N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04236

JPMorgan Trust II

(Exact name of registrant as specified in charter)

270 Park Avenue

New York, NY 10017

(Address of principal executive offices) (Zip code)

Frank J. Nasta

270 Park Avenue

New York, NY 10017

(Name and Address of Agent for Service)

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

Date of fiscal year end: June 30

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

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

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

ITEM 1. REPORTS TO STOCKHOLDERS.

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

Annual Report

J.P. Morgan Small Cap Funds

June 30, 2016

JPMorgan Dynamic Small Cap Growth Fund

JPMorgan Small Cap Core Fund

JPMorgan Small Cap Equity Fund

JPMorgan Small Cap Growth Fund

JPMorgan Small Cap Value Fund

JPMorgan U.S. Small Company Fund

CONTENTS

CEO’s Letter	1
Market Overview	2
Fund Commentaries:
JPMorgan Dynamic Small Cap Growth Fund	3
JPMorgan Small Cap Core Fund	5
JPMorgan Small Cap Equity Fund	7
JPMorgan Small Cap Growth Fund	9
JPMorgan Small Cap Value Fund	11
JPMorgan U.S. Small Company Fund	13
Schedules of Portfolio Investments	15
Financial Statements	46
Financial Highlights	62
Notes to Financial Statements	74
Report of Independent Registered Public Accounting Firm	84
Trustees	85
Officers	87
Schedule of Shareholder Expenses	88
Tax Letter	91
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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

July 15, 2016 (Unaudited)

Dear Shareholder,

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

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

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

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

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

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

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

U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the

end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.

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

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

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

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

Sincerely yours,

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 1

J.P. Morgan Small Cap Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

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

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

However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. The Russell 2000 Index returned -6.73% for the twelve month reporting period, while the Russell 2000 Growth Index returned -10.75% and the Russell 2000 Value Index returned -2.58%.

2 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Dynamic Small Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*	(14.42)%
Russell 2000 Growth Index	(10.75)%
Net Assets as of 6/30/16 (In Thousands)	$152,906

INVESTMENT OBJECTIVE**

The JPMorgan Dynamic Small Cap Growth Fund (the “Fund”) seeks capital growth over the long term.

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

The Fund’s Class A Shares, without a sales charge, underperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care sector and financials sector was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing and producer durables sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Tailored Brands Inc., Nimble Storage Inc. and Barracuda Networks Inc. Shares of Tailored Brands, an apparel retail chain operator, fell on lower than expected quarterly earnings and revenue. Shares of Nimble Storage, a provider of data flash storage, declined on lower than expected quarterly earnings and the company’s forecast for continued weakness in earnings and revenue. Shares of Barracuda, a provider of data security technology, fell amid competitive pressure in the cloud storage sector.

Leading individual contributors to relative performance included the Fund’s overweight positions in Acuity Brands Inc., Lennox International Inc. and Pool Corp. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains. Shares of Lennox International, a maker of heating and air conditioning systems, rose on better than expected earnings and an increase in its quarterly dividend. Shares of Pool, a distributor of swimming pool supplies, rose on better than expected quarterly results and the company’s positive earnings forecast.

HOW WAS THE FUND POSITIONED?

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

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

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Monolithic Power Systems, Inc.	1.5	%
	2.	HEICO Corp.	1.4
	3.	Boyd Gaming Corp.	1.4
	4.	2U, Inc.	1.3
	5.	Carlisle Cos., Inc.	1.3
	6.	Envestnet, Inc.	1.3
	7.	Acadia Healthcare Co., Inc.	1.3
	8.	Masonite International Corp.	1.3
	9.	Lennox International, Inc.	1.3
	10.	Guidewire Software, Inc.	1.3

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	26.3	%
Health Care	23.5
Industrials	18.4
Consumer Discretionary	14.5
Financials	8.5
Consumer Staples	3.5
Materials	1.6
Energy	1.6
Short-Term Investment	2.1

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

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

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

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 3

JPMorgan Dynamic Small Cap Growth Fund

FUND COMMENTARY

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

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		May 19, 1997
With Sales Charge*				(18.91	)%		5.26	%		5.06	%
Without Sales Charge				(14.42	)		6.41			5.63
CLASS C SHARES		January 7, 1998
With CDSC**				(15.86	)		5.87			5.04
Without CDSC				(14.86	)		5.87			5.04
SELECT CLASS SHARES		April 5, 1999		(14.23	)		6.72			5.98

* Sales Charge for Class A Shares is 5.25%.

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

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Dynamic Small Cap Growth Fund, the Russell 2000 Growth Index and the Lipper Small-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 2000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell

2000 Growth Index is an unmanaged index which measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Small-Cap Growth Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

4 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Small Cap Core Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	(8.97)%
Russell 2000 Index	(6.73)%
Net Assets as of 6/30/2016 (In Thousands)	$164,636

INVESTMENT OBJECTIVE**

The JPMorgan Small Cap Core Fund (the “Fund”) seeks capital growth over the long term.

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

The Fund’s Select Class Shares underperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financial services sector and its overweight position in the energy sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the producer durables and materials & processing sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Dynegy Inc., Unisys Corp. and Blucora Inc. Shares of Dynegy, an electric utility company, fell amid a trend away from coal-fired power plants. Shares of Unisys, an information technology provider, fell on declining revenue and an increased competition in its business lines. Shares of Blucora, a financial solutions provider, fell amid plans to sell its InfoSpace online search business and transform itself into a financial services technology provider.

Leading individual contributors to relative performance included the Fund’s overweight positions in Hawaiian Holdings Inc., Heartware International Inc. and Talen Energy Corp. Shares of Hawaiian Holdings, owner operator of Hawaiian Airlines, rose on investor expectations of continued growth. Shares of Heartware International, a medical device maker, rose following a $1.1 billion takeover offer from Medtronic PLC. Shares of Talen Energy, an electric utility company, rose on news that it would be acquired by private equity firm Riverstone Holdings LLC for an estimated $1.8 billion.

HOW WAS THE FUND POSITIONED?

In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so that stock selection is typically the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio managers employ a bottom-up approach to stock selection,

using quantitative screening and proprietary analysis to construct a portfolio of companies that they believe are attractively valued and possess strong momentum. During the reporting period, the Fund was managed and positioned in accordance with this investment process.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Cash America International, Inc.	1.2	%
	2.	Take-Two Interactive Software, Inc.	1.1
	3.	Vectrus, Inc.	1.1
	4.	Sanmina Corp.	1.1
	5.	Quad/Graphics, Inc.	1.0
	6.	HeartWare International, Inc.	1.0
	7.	Portland General Electric Co.	1.0
	8.	Bloomin’ Brands, Inc.	1.0
	9.	Talen Energy Corp.	1.0
	10.	Molina Healthcare, Inc.	0.9

PORTFOLIO COMPOSITION BY SECTOR***
Financials	24.5	%
Industrials	17.4
Information Technology	17.0
Health Care	12.7
Consumer Discretionary	10.3
Materials	3.9
Utilities	3.9
Energy	3.1
Consumer Staples	2.6
Telecommunication Services	0.9
Short-Term Investment	3.7

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

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

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

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 5

JPMorgan Small Cap Core Fund

FUND COMMENTARY

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

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		May 31, 2016
With Sales Charge*				(13.78	)%		8.07	%		5.66	%
Without Sales Charge				(9.01	)		9.25			6.23
CLASS C SHARES		May 31, 2016
With CDSC**				(10.05	)		9.24			6.23
Without CDSC				(9.05	)		9.24			6.23
CLASS R6 SHARES		May 31, 2016		(8.97	)		9.26			6.24
SELECT CLASS SHARES		January 1, 1997		(8.97	)		9.26			6.24

* Sales Charge for Class A Shares is 5.25%.

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

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

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

Returns for Class A, Class C and Class R6 Shares prior to their inception date are based on the performance of the Select Class Shares. The actual returns of Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares. The actual returns of the Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Small Cap Core Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 2000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of

the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

6 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Small Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*	1.10%
Russell 2000 Index	(6.73)%
Net Assets as of 6/30/2015 (In Thousands)	$3,448,930

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class A Shares, without a sales charge, outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and underweight position in the health care sector and its security selection in the producer durables sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the financials sector and its underweight position in the utilities sector were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s positions in Waste Connections Inc., Toro Co. and Idexx Laboratories Inc., none of which were held in the Benchmark. Shares of Waste Connections, a waste management company, rose on news of its $2.67 billion merger with Canada’s Progressive Waste Solutions Ltd. Shares of Toro, a maker of lawn mowers and lawn care products, rose on better than expected quarterly earnings. Shares of Idexx Laboratories, a provider of veterinary products and services, rose on better than expected earnings.

Leading individual detractors from relative performance included the Fund’s overweight positions in Hanger Inc., Realogy Holdings Corp. and Ascent Capital Group Inc. Shares of Hanger, a provider of orthopedic and prosthetic care and services, fell after the company delayed filing its financial statements and said it would restate prior financial reports due to accounting errors. Shares of Realogy Holdings, a real estate brokerage franchisor not held in the Benchmark, fell on lower than expected revenue and a weak earnings forecast. Shares of Ascent Capital Group, a provider of electronic home security monitoring, fell on a decline in customer subscription rates.

HOW WAS THE FUND POSITIONED?

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

company fundamentals and proprietary analysis. The Fund’s portfolio managers looked for companies that, in their view, had leading competitive advantages, predictable and durable business models, and sustainable free cash flow generation with management teams committed to increasing intrinsic value.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Toro Co. (The)	2.5	%
	2.	Spectrum Brands Holdings, Inc.	2.4
	3.	AptarGroup, Inc.	2.3
	4.	IDEXX Laboratories, Inc.	1.9
	5.	Patterson-UTI Energy, Inc.	1.8
	6.	Pool Corp.	1.8
	7.	West Pharmaceutical Services, Inc.	1.7
	8.	Crown Holdings, Inc.	1.6
	9.	National Retail Properties, Inc.	1.6
	10.	Brinker International, Inc.	1.5

PORTFOLIO COMPOSITION BY SECTOR***
Financials	23.6	%
Industrials	19.5
Consumer Discretionary	14.4
Health Care	11.8
Information Technology	10.5
Materials	5.7
Consumer Staples	4.1
Energy	3.6
Utilities	2.8
Short-Term Investment	4.0

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

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

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

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 7

JPMorgan Small Cap Equity Fund

FUND COMMENTARY

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

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	December 20, 1994
With Sales Charge*			(4.22	)%		10.16	%		9.25	%
Without Sales Charge			1.10			11.35			9.84
CLASS C SHARES	February 19, 2005
With CDSC**			(0.37	)		10.80			9.30
Without CDSC			0.63			10.80			9.30
CLASS R2 SHARES	November 3, 2008		0.85			11.07			9.63
CLASS R5 SHARES	May 15, 2006		1.62			11.91			10.39
CLASS R6 SHARES	May 31, 2016		1.62			11.91			10.39
SELECT CLASS SHARES	May 7, 1996		1.41			11.68			10.17

* 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 (6/30/06 TO 6/30/16)

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

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Equity Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 2000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of

all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

8 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Small Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*		(14.17)%
Russell 2000 Growth Index		(10.75)%
Net Assets as of 6/30/2016 (In Thousands)	$	1,037,138

INVESTMENT OBJECTIVE**

The JPMorgan Small Cap Growth Fund (the “Fund”) seeks long-term capital growth primarily by investing in a portfolio of equity securities of small-capitalization and emerging growth companies.

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

The Fund’s Class A Shares, without a sales charge, underperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care and financial services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials & processing and producer durables sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Tailored Brands Inc., Nimble Storage Inc. and Barracuda Networks Inc. Shares of Tailored Brands, an apparel retail chain operator, fell on lower than expected quarterly earnings and revenue. Shares of Nimble Storage, a provider of data flash storage, declined on lower than expected quarterly earnings and the company’s forecast for continued weakness in earnings and revenue. Shares of Barracuda, a provider of data security technology, fell amid competitive pressure in the cloud storage sector.

Leading individual contributors to relative performance included the Fund’s overweight positions in Acuity Brands Inc., Lennox International Inc. and Pool Corp. Shares of Acuity Brands, a maker of commercial and residential lighting, rose on strength in its LED lighting business and market share gains. Shares of Lennox International, a maker of heating and air conditioning systems, rose on better than expected earnings and an increase in its quarterly dividend. Shares of Pool, a distributor of swimming pool supplies, rose on better than expected quarterly results and the company’s positive earnings forecast.

HOW WAS THE FUND POSITIONED?

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

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

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Monolithic Power Systems, Inc.	1.5	%
	2.	HEICO Corp.	1.4
	3.	Boyd Gaming Corp.	1.4
	4.	2U, Inc.	1.3
	5.	Carlisle Cos., Inc.	1.3
	6.	Envestnet, Inc.	1.3
	7.	Acadia Healthcare Co., Inc.	1.3
	8.	Masonite International Corp.	1.3
	9.	Lennox International, Inc.	1.3
	10.	Guidewire Software, Inc.	1.3

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	26.3	%
Health Care	23.4
Industrials	18.5
Consumer Discretionary	14.4
Financials	8.5
Consumer Staples	3.5
Materials	1.6
Energy	1.6
Short-Term Investment	2.2

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

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

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

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 9

JPMorgan Small Cap Growth Fund

FUND COMMENTARY

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

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		July 1, 1991
With Sales Charge*				(18.66	)%		5.50	%		6.12	%
Without Sales Charge				(14.17	)		6.64			6.69
CLASS C SHARES		November 4, 1997
With CDSC**				(15.59	)		6.11			6.11
Without CDSC				(14.59	)		6.11			6.11
CLASS R2 SHARES		November 3, 2008		(14.34	)		6.38			6.43
CLASS R6 SHARES		November 30, 2010		(13.69	)		7.18			7.17
INSTITUTIONAL CLASS SHARES		February 19, 2005		(13.83	)		7.07			7.11
SELECT CLASS SHARES		March 26, 1996		(13.92	)		6.92			6.95

* Sales Charge for Class A Shares is 5.25%.

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

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

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

Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. All prior class performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes.

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Growth Fund, the Russell 2000 Growth Index and the Lipper Small-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 2000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect

reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 2000 Growth Index is an unmanaged index which measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Small-Cap Growth Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

10 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Small Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(2.32)%
Russell 2000 Value Index		(2.58)%
Net Assets as of 6/30/2016 (In Thousands)	$	1,753,332

INVESTMENT OBJECTIVE**

The JPMorgan Small Cap Value Fund (the “Fund”) seeks long-term capital growth primarily by investing in equity securities of small-capitalization companies.

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

The Fund’s Select Class Shares outperformed the Russell 2000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the producer durables and financial services sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection and overweight position in the energy sector and its security selection in the consumer staples sectors were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in CoreSite Realty Inc., Central Garden & Pet Co. and Children’s Place Retail Stores Inc. Shares of CoreSite Realty, a data center real estate investment trust not held in the Benchmark, rose on better than expected quarterly earnings. Shares of Central Garden & Pet, a manufacturer and distributor of garden and pet supplies, rose on earnings and revenue growth. Shares of Children’s Place, an apparel retail chain, rose on better than expected quarterly earnings and revenue.

Leading individual detractors from relative performance included the Fund’s overweight positions in Stone Energy Corp., Unisys Corp. and Penn Virginia Corp. Shares of Stone Energy and Penn Virginia, both oil and gas producers, fell amid continued weakness in global energy prices. Shares of Unisys, an information technology provider, fell on declining revenue and an increased competition in its business lines.

HOW WAS THE FUND POSITIONED?

In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so that stock selection is typically the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio managers use a quantitative ranking methodology to identify stocks in each sector that, in their view, trade at attractive levels. Through bottom-up fundamental research, they seek

companies that they believe have attractive valuations, exhibit high earnings quality and have management teams that make effective capital deployment decisions. During the reporting period, the Fund was managed and positioned in accordance with this investment process.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	DCT Industrial Trust, Inc.	1.3	%
	2.	DigitalGlobe, Inc.	1.2
	3.	Tech Data Corp.	1.1
	4.	Westamerica Bancorporation	1.1
	5.	CYS Investments, Inc.	1.0
	6.	REX American Resources Corp.	1.0
	7.	FTI Consulting, Inc.	1.0
	8.	Children’s Place, Inc. (The)	1.0
	9.	EMCOR Group, Inc.	1.0
	10.	ACCO Brands Corp.	1.0

PORTFOLIO COMPOSITION BY SECTOR***
Financials	39.7	%
Industrials	14.3
Information Technology	10.8
Consumer Discretionary	9.1
Utilities	7.3
Health Care	5.0
Materials	4.5
Energy	4.5
Consumer Staples	2.5
Telecommunication Services	0.7
Short-Term Investment	1.6

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

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

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

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 11

JPMorgan Small Cap Value Fund

FUND COMMENTARY

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

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	January 27, 1995
With Sales Charge*			(7.67	)%		7.62	%		5.35	%
Without Sales Charge			(2.54	)		8.79			5.92
CLASS C SHARES	March 22, 1999
With CDSC**			(4.16	)		8.13			5.28
Without CDSC			(3.16	)		8.13			5.28
CLASS R2 SHARES	November 3, 2008		(2.78	)		8.51			5.66
CLASS R5 SHARES	May 15, 2006		(2.21	)		9.16			6.29
CLASS R6 SHARES	February 22, 2005		(2.07	)		9.25			6.35
SELECT CLASS SHARES	January 27, 1995		(2.32	)		9.06			6.19

* Sales Charge for Class A Shares is 5.25%.

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

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

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

Returns for Class R2 prior to their inception date are based on the performance of the Select Class Shares. All prior class performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Small Cap Value Fund, the Russell 2000 Value Index and the Lipper Small-Cap Value Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 2000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the

Lipper Small-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 2000 Value Index is an unmanaged index which measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Small-Cap Value Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

12 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan U.S. Small Company Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Institutional Class Shares)*		(6.48)%
Russell 2000 Index		(6.73)%
Net Assets as of 6/30/2016 (In Thousands)	$	1,323,312

INVESTMENT OBJECTIVE**

The JPMorgan U.S. Small Company Fund (the “Fund”) seeks to provide high total return from a portfolio of small company stocks.

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

The Fund’s Institutional Class Shares outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financial services and producer durables sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s overweight position in the energy sector and its security selection in the consumer staples sectors were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in CoreSite Realty Corp., The Children’s Place Retail Stores Inc. and Take-Two Interactive Software Inc. Shares of CoreSite Realty, a data center real estate investment trust, rose on better than expected quarterly earnings. Shares of Children’s Place, an apparel retail chain, rose on better than expected quarterly earnings and revenue. Shares of Take-Two Interactive, a developer and publisher of interactive games and entertainment, rose on better than expected earnings.

Leading individual detractors from relative performance included the Fund’s overweight positions in Unisys Corp., Outerwall Inc. and Iconix Brand Group Inc. Shares of Unisys, an information technology provider, fell on declining revenue and increased competition in its business lines. Shares of Outerwall, a provider of automated retail technologies, fell on a decline in revenue and competitive pressure in its movie and game rental business. Shares of Iconix Brands, a manager of brand name apparel, declined after the company issued a weak earnings forecast and reported lower than expected quarterly revenue.

HOW WAS THE FUND POSITIONED?

In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so that stock selection is typically the primary driver of relative performance versus the Benchmark. The Fund’s portfolio managers use a quantitative ranking methodology to identify

stocks in each sector that, in their view, trade at attractive levels. Through bottom-up fundamental research, they seek companies that exhibit high earnings quality and have management teams that make effective capital deployment decisions. During the reporting period, the Fund was managed and positioned in accordance with this investment process.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Take-Two Interactive Software, Inc.	1.4	%
	2.	CoreSite Realty Corp.	1.3
	3.	DigitalGlobe, Inc.	1.3
	4.	Outerwall, Inc.	1.2
	5.	Children’s Place, Inc. (The)	1.2
	6.	REX American Resources Corp.	1.2
	7.	Aspen Technology, Inc.	1.1
	8.	Darling Ingredients, Inc.	1.0
	9.	FCB Financial Holdings, Inc., Class A	1.0
	10.	ACCO Brands Corp.	1.0

PORTFOLIO COMPOSITION BY SECTOR***
Financials	24.3	%
Information Technology	17.8
Industrials	13.8
Consumer Discretionary	13.3
Health Care	13.2
Utilities	4.0
Materials	3.8
Energy	3.3
Consumer Staples	3.0
Telecommunication Services	1.0
Short-Term Investment	2.5

* 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, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 13

JPMorgan U.S. Small Company Fund

FUND COMMENTARY

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

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	November 1, 2007
With Sales Charge*			(11.75	)%		8.39	%		6.13	%
Without Sales Charge			(6.86	)		9.57			6.70
CLASS C SHARES	November 1, 2007
With CDSC**			(8.35	)		9.02			6.25
Without CDSC			(7.35	)		9.02			6.25
CLASS R2 SHARES	November 1, 2011		(7.09	)		9.33			6.59
CLASS R6 SHARES	November 1, 2011		(6.39	)		10.11			7.18
INSTITUTIONAL CLASS SHARES	November 4, 1993		(6.48	)		10.03			7.14
SELECT CLASS SHARES	September 10, 2001		(6.63	)		9.84			6.95

* Sales Charge for Class A Shares is 5.25%.

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

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

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

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

Returns for Class R2 Shares prior to their inception date are based on the performance of the Class A Shares from November 1, 2007 to October 31, 2011 and the performance of Select Class Shares prior to November 1, 2007. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares and Select Class Shares.

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

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan U.S. Small Company Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of

all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 2000 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

14 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Dynamic Small Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.4%
		Consumer Discretionary — 14.5%
		Distributors — 1.0%
	17	Pool Corp.		1,600
		Hotels, Restaurants & Leisure — 3.8%
	116	Boyd Gaming Corp. (a)		2,141
	38	La Quinta Holdings, Inc. (a)		431
	37	Texas Roadhouse, Inc.		1,699
	11	Vail Resorts, Inc.		1,554
				5,825
		Household Durables — 0.6%
	77	TRI Pointe Group, Inc. (a)		904
		Internet & Catalog Retail — 1.0%
	39	Wayfair, Inc., Class A (a)		1,537
		Multiline Retail — 1.0%
	59	Ollie’s Bargain Outlet Holdings, Inc. (a)		1,475
		Specialty Retail — 5.2%
	24	Burlington Stores, Inc. (a)		1,601
	22	Lithia Motors, Inc., Class A		1,586
	17	Monro Muffler Brake, Inc.		1,073
	29	Penske Automotive Group, Inc.		916
	54	Sally Beauty Holdings, Inc. (a)		1,579
	40	Tailored Brands, Inc.		509
	24	Vitamin Shoppe, Inc. (a)		729
				7,993
		Textiles, Apparel & Luxury Goods — 1.9%
	27	G-III Apparel Group Ltd. (a)		1,237
	41	Kate Spade & Co. (a)		835
	40	Wolverine World Wide, Inc.		807
				2,879
		Total Consumer Discretionary		22,213
		Consumer Staples — 3.5%
		Food & Staples Retailing — 2.5%
	10	Casey’s General Stores, Inc.		1,278
	42	Performance Food Group Co. (a)		1,125
	60	Sprouts Farmers Market, Inc. (a)		1,385
				3,788
		Food Products — 1.0%
	106	Freshpet, Inc. (a)		985
	19	Snyder’s-Lance, Inc.		633
				1,618
		Total Consumer Staples		5,406

SHARES		SECURITY DESCRIPTION	VALUE($)
		Energy — 1.6%
		Oil, Gas & Consumable Fuels — 1.6%
	33	Delek U.S. Holdings, Inc.		435
	11	Diamondback Energy, Inc. (a)		1,027
	28	RSP Permian, Inc. (a)		962
		Total Energy		2,424
		Financials — 8.6%
		Banks — 2.7%
	37	PrivateBancorp, Inc.		1,631
	8	Signature Bank (a)		967
	31	Texas Capital Bancshares, Inc. (a)		1,431
				4,029
		Capital Markets — 2.9%
	39	Evercore Partners, Inc., Class A		1,739
	51	Financial Engines, Inc.		1,317
	137	PennantPark Investment Corp.		939
	44	WisdomTree Investments, Inc.		429
				4,424
		Real Estate Investment Trusts (REITs) — 1.4%
	34	CubeSmart		1,047
	22	Highwoods Properties, Inc.		1,137
				2,184
		Real Estate Management & Development — 1.2%
	44	RE/MAX Holdings, Inc., Class A		1,769
		Thrifts & Mortgage Finance — 0.4%
	37	BofI Holding, Inc. (a)		658
		Total Financials		13,064
		Health Care — 23.6%
		Biotechnology — 8.8%
	20	ACADIA Pharmaceuticals, Inc. (a)		656
	28	Acceleron Pharma, Inc. (a)		957
	82	Arrowhead Pharmaceuticals, Inc. (a)		439
	37	Axovant Sciences Ltd., (Bermuda) (a)		471
	64	Bellicum Pharmaceuticals, Inc. (a)		833
	46	Coherus Biosciences, Inc. (a)		770
	63	Exact Sciences Corp. (a)		770
	32	FibroGen, Inc. (a)		521
	119	Halozyme Therapeutics, Inc. (a)		1,030
	70	Ignyta, Inc. (a)		378
	58	Insmed, Inc. (a)		573
	26	Kite Pharma, Inc. (a)		1,322
	24	Neurocrine Biosciences, Inc. (a)		1,091
	41	Portola Pharmaceuticals, Inc. (a)		968
	24	REGENXBIO, Inc. (a)		194

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 15

JPMorgan Dynamic Small Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Biotechnology — continued
	21	Sage Therapeutics, Inc. (a)		646
	19	Spark Therapeutics, Inc. (a)		978
	9	Ultragenyx Pharmaceutical, Inc. (a)		456
	42	Versartis, Inc. (a)		462
				13,515
		Health Care Equipment & Supplies — 5.2%
	153	GenMark Diagnostics, Inc. (a)		1,332
	32	Insulet Corp. (a)		958
	70	K2M Group Holdings, Inc. (a)		1,090
	24	Nevro Corp. (a)		1,736
	170	Novadaq Technologies, Inc., (Canada) (a)		1,672
	132	Syneron Medical Ltd., (Israel) (a)		1,019
	60	Unilife Corp. (a)		197
				8,004
		Health Care Providers & Services — 3.8%
	36	Acadia Healthcare Co., Inc. (a)		1,982
	39	Surgical Care Affiliates, Inc. (a)		1,876
	17	WellCare Health Plans, Inc. (a)		1,874
				5,732
		Health Care Technology — 2.4%
	96	Evolent Health, Inc., Class A (a)		1,837
	55	Veeva Systems, Inc., Class A (a)		1,883
				3,720
		Pharmaceuticals — 3.4%
	88	Horizon Pharma plc (a)		1,447
	66	Nektar Therapeutics (a)		935
	38	Revance Therapeutics, Inc. (a)		517
	48	Sagent Pharmaceuticals, Inc. (a)		714
	179	TherapeuticsMD, Inc. (a)		1,517
				5,130
		Total Health Care		36,101
		Industrials — 18.5%
		Aerospace & Defense — 2.2%
	33	HEICO Corp.		2,181
	29	Hexcel Corp.		1,214
				3,395
		Air Freight & Logistics — 0.5%
	28	XPO Logistics, Inc. (a)		722
		Building Products — 6.8%
	66	Advanced Drainage Systems, Inc.		1,797
	33	Caesarstone Ltd., (Israel) (a)		1,152
	30	Fortune Brands Home & Security, Inc.		1,755

SHARES		SECURITY DESCRIPTION	VALUE($)
		Building Products — continued
	14	Lennox International, Inc.		1,944
	29	Masonite International Corp. (a)		1,945
	42	Trex Co., Inc. (a)		1,892
				10,485
		Electrical Equipment — 1.2%
	7	Acuity Brands, Inc.		1,799
		Industrial Conglomerates — 1.3%
	19	Carlisle Cos., Inc.		2,015
		Machinery — 3.5%
	22	Graco, Inc.		1,706
	31	John Bean Technologies Corp.		1,884
	16	Middleby Corp. (The) (a)		1,825
				5,415
		Road & Rail — 1.0%
	25	Old Dominion Freight Line, Inc. (a)		1,503
		Trading Companies & Distributors — 2.0%
	52	Rush Enterprises, Inc., Class A (a)		1,127
	13	Watsco, Inc.		1,893
				3,020
		Total Industrials		28,354
		Information Technology — 26.4%
		Communications Equipment — 0.5%
	40	Ciena Corp. (a)		758
		Internet Software & Services — 11.2%
	70	2U, Inc. (a)		2,046
	40	Benefitfocus, Inc. (a)		1,521
	41	Cornerstone OnDemand, Inc. (a)		1,568
	9	CoStar Group, Inc. (a)		1,905
	21	Demandware, Inc. (a)		1,563
	60	Envestnet, Inc. (a)		2,001
	57	GoDaddy, Inc., Class A (a)		1,792
	53	GrubHub, Inc. (a)		1,635
	36	Instructure, Inc. (a)		675
	14	Marketo, Inc. (a)		501
	52	Shopify, Inc., (Canada), Class A (a)		1,609
	9	Twilio, Inc., Class A (a)		345
				17,161
		Semiconductors & Semiconductor Equipment — 5.6%
	41	Cavium, Inc. (a)		1,579
	49	Inphi Corp. (a)		1,568
	43	MACOM Technology Solutions Holdings, Inc. (a)		1,430
	41	MKS Instruments, Inc.		1,756

SEE NOTES TO FINANCIAL STATEMENTS.

16 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	33	Monolithic Power Systems, Inc.		2,252
				8,585
		Software — 8.7%
	44	Atlassian Corp. plc, (Australia), Class A (a)		1,127
	19	Fleetmatics Group plc, (Ireland) (a)		829
	31	Guidewire Software, Inc. (a)		1,940
	21	HubSpot, Inc. (a)		918
	30	Imperva, Inc. (a)		1,296
	28	Proofpoint, Inc. (a)		1,780
	71	RingCentral, Inc., Class A (a)		1,399
	11	Tableau Software, Inc., Class A (a)		561
	15	Take-Two Interactive Software, Inc. (a)		569
	6	Tyler Technologies, Inc. (a)		927
	72	Zendesk, Inc. (a)		1,907
				13,253
		Technology Hardware, Storage & Peripherals — 0.4%
	81	Nimble Storage, Inc. (a)		643
		Total Information Technology		40,400

SHARES		SECURITY DESCRIPTION	VALUE($)
		Materials — 1.7%
		Construction Materials — 1.7%
	23	Eagle Materials, Inc.		1,746
	38	Summit Materials, Inc., Class A (a)		780
		Total Materials		2,526
		Total Common Stocks (Cost $111,134)		150,488
	Short-Term Investment — 2.1%
		Investment Company — 2.1%
	3,180	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $3,180)		3,180
		Total Investments — 100.5% (Cost $114,314)		153,668
		Liabilities in Excess of Other Assets — (0.5)%		(762	)
		NET ASSETS — 100.0%	$	152,906

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 17

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 95.7%
		Consumer Discretionary — 10.2%
		Auto Components — 2.2%
	34	American Axle & Manufacturing Holdings, Inc. (a)		486
	42	Cooper Tire & Rubber Co.		1,241
	15	Cooper-Standard Holding, Inc. (a)		1,169
	4	Dana Holding Corp.		37
	17	Horizon Global Corp. (a)		188
	2	Stoneridge, Inc. (a)		31
	23	Tower International, Inc.		466
				3,618
		Diversified Consumer Services — 0.2%
	2	Capella Education Co.		96
	21	K12, Inc. (a)		268
				364
		Hotels, Restaurants & Leisure — 2.0%
	92	Bloomin’ Brands, Inc.		1,640
	19	Carrols Restaurant Group, Inc. (a)		229
	19	Isle of Capri Casinos, Inc. (a)		350
	29	Krispy Kreme Doughnuts, Inc. (a)		599
	24	Red Rock Resorts, Inc., Class A (a)		519
				3,337
		Household Durables — 1.2%
	14	Helen of Troy Ltd. (a)		1,459
	3	Libbey, Inc.		42
	20	Lifetime Brands, Inc.		288
	2	NACCO Industries, Inc., Class A		108
				1,897
		Leisure Products — 0.2%
	14	Nautilus, Inc. (a)		242
		Media — 0.9%
	61	Gray Television, Inc. (a)		658
	3	Nexstar Broadcasting Group, Inc., Class A		158
	23	Sinclair Broadcast Group, Inc., Class A		687
				1,503
		Specialty Retail — 3.4%
	5	Abercrombie & Fitch Co., Class A		95
	28	Caleres, Inc.		670
	24	Cato Corp. (The), Class A		924
	18	Children’s Place, Inc. (The)		1,444
	19	Express, Inc. (a)		270
	10	Kirkland’s, Inc. (a)		150
	193	Office Depot, Inc. (a)		640
	6	Outerwall, Inc.		265

SHARES		SECURITY DESCRIPTION	VALUE($)
		Specialty Retail — continued
	211	Pier 1 Imports, Inc.		1,083
	14	Tilly’s, Inc., Class A (a)		80
				5,621
		Textiles, Apparel & Luxury Goods — 0.1%
	9	Perry Ellis International, Inc. (a)		187
		Total Consumer Discretionary		16,769
		Consumer Staples — 2.6%
		Food & Staples Retailing — 1.0%
	38	SpartanNash Co.		1,174
	39	SUPERVALU, Inc. (a)		184
	11	US Foods Holding Corp. (a)		264
	3	Village Super Market, Inc., Class A		89
				1,711
		Food Products — 1.4%
	25	Dean Foods Co.		458
	28	Pilgrim’s Pride Corp.		718
	4	Pinnacle Foods, Inc.		177
	6	Post Holdings, Inc. (a)		505
	3	Sanderson Farms, Inc.		286
	2	TreeHouse Foods, Inc. (a)		246
				2,390
		Household Products — 0.1%
	6	Central Garden & Pet Co., Class A (a)		119
		Personal Products — 0.1%
	1	USANA Health Sciences, Inc. (a)		88
		Total Consumer Staples		4,308
		Energy — 3.1%
		Energy Equipment & Services — 1.5%
	31	Archrock, Inc.		296
	61	Atwood Oceanics, Inc.		766
	25	Helix Energy Solutions Group, Inc. (a)		171
	14	Matrix Service Co. (a)		228
	7	PHI, Inc. (a)		119
	3	Pioneer Energy Services Corp. (a)		14
	36	RigNet, Inc. (a)		483
	49	Seadrill Ltd., (United Kingdom) (a)		159
	13	Superior Energy Services, Inc.		241
				2,477
		Oil, Gas & Consumable Fuels — 1.6%
	30	Bill Barrett Corp. (a)		189
	8	Callon Petroleum Co. (a)		87

SEE NOTES TO FINANCIAL STATEMENTS.

18 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Oil, Gas & Consumable Fuels — continued
	6	Carrizo Oil & Gas, Inc. (a)		222
	36	Delek U.S. Holdings, Inc.		480
	113	Denbury Resources, Inc.		406
	78	Eclipse Resources Corp. (a)		259
	72	EP Energy Corp., Class A (a)		372
	8	Green Plains, Inc.		159
	28	Renewable Energy Group, Inc. (a)		245
	1	REX American Resources Corp. (a)		78
	3	World Fuel Services Corp.		140
				2,637
		Total Energy		5,114
		Financials — 24.3%
		Banks — 8.7%
	15	Banc of California, Inc.		280
	14	BBCN Bancorp, Inc.		205
	8	Cathay General Bancorp		226
	2	Community Trust Bancorp, Inc.		59
	3	CU Bancorp (a)		75
	19	Customers Bancorp, Inc. (a)		478
	42	East West Bancorp, Inc.		1,438
	32	Fidelity Southern Corp.		505
	5	Financial Institutions, Inc.		130
	78	First BanCorp, (Puerto Rico) (a)		310
	5	First Business Financial Services, Inc.		115
	23	First Commonwealth Financial Corp.		213
	6	First Community Bancshares, Inc.		132
	5	First Financial Bancorp		99
	5	First Merchants Corp.		114
	9	First NBC Bank Holding Co. (a)		157
	5	Franklin Financial Network, Inc. (a)		166
	51	Fulton Financial Corp.		691
	34	Hanmi Financial Corp.		794
	14	Hilltop Holdings, Inc. (a)		290
	135	Huntington Bancshares, Inc.		1,206
	1	IBERIABANK Corp.		79
	4	MainSource Financial Group, Inc.		93
	3	NBT Bancorp, Inc.		87
	25	PacWest Bancorp		988
	51	Popular, Inc., (Puerto Rico)		1,491
	11	Preferred Bank		308
	2	Premier Financial Bancorp, Inc.		34
	5	PrivateBancorp, Inc.		232
	6	Sierra Bancorp		94
	4	Southern National Bancorp of Virginia, Inc.		50
	2	Stonegate Bank		68

SHARES		SECURITY DESCRIPTION	VALUE($)
		Banks — continued
	2	SVB Financial Group (a)		153
	115	TCF Financial Corp.		1,453
	2	Towne Bank		48
	16	TriCo Bancshares		435
	15	TriState Capital Holdings, Inc. (a)		208
	6	Triumph Bancorp, Inc. (a)		99
	67	Wilshire Bancorp, Inc.		694
				14,297
		Capital Markets — 0.9%
	67	BGC Partners, Inc., Class A		582
	3	Evercore Partners, Inc., Class A		139
	5	Houlihan Lokey, Inc.		112
	14	INTL. FCStone, Inc. (a)		395
	4	Piper Jaffray Cos. (a)		155
	1	Stifel Financial Corp. (a)		46
				1,429
		Consumer Finance — 1.2%
	45	Cash America International, Inc.		1,924
		Diversified Financial Services — 0.3%
	5	Bats Global Markets, Inc. (a)		136
	12	FNFV Group (a)		138
	1	MarketAxess Holdings, Inc.		174
				448
		Insurance — 2.4%
	37	American Equity Investment Life Holding Co.		529
	7	Aspen Insurance Holdings Ltd., (Bermuda)		347
	51	CNO Financial Group, Inc.		898
	11	First American Financial Corp.		454
	6	HCI Group, Inc.		171
	2	Horace Mann Educators Corp.		58
	5	Maiden Holdings Ltd., (Bermuda)		62
	3	National General Holdings Corp.		74
	4	Selective Insurance Group, Inc.		139
	21	Stewart Information Services Corp.		861
	4	United Fire Group, Inc.		173
	11	Universal Insurance Holdings, Inc.		202
	1	Validus Holdings Ltd., (Bermuda)		66
				4,034
		Real Estate Investment Trusts (REITs) — 9.1%
	1	Agree Realty Corp.		62
	12	American Assets Trust, Inc.		510
	5	American Campus Communities, Inc.		242
	10	Armada Hoffler Properties, Inc.		135

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 19

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Real Estate Investment Trusts (REITs) — continued
	152	Ashford Hospitality Trust, Inc.		815
	20	Bluerock Residential Growth REIT, Inc.		258
	135	Capstead Mortgage Corp.		1,307
	9	Chatham Lodging Trust		202
	8	Chesapeake Lodging Trust		188
	9	CoreSite Realty Corp.		778
	23	Cousins Properties, Inc.		241
	10	CubeSmart		303
	3	CyrusOne, Inc.		139
	8	DCT Industrial Trust, Inc.		408
	10	DDR Corp.		177
	16	DiamondRock Hospitality Co.		149
	6	Easterly Government Properties, Inc.		113
	8	Education Realty Trust, Inc.		371
	4	EPR Properties		323
	3	Equity One, Inc.		84
	44	First Industrial Realty Trust, Inc.		1,212
	3	Franklin Street Properties Corp.		39
	20	GEO Group, Inc. (The)		693
	5	Government Properties Income Trust		125
	29	Gramercy Property Trust		269
	7	Highwoods Properties, Inc.		386
	6	Hudson Pacific Properties, Inc.		172
	8	InfraREIT, Inc.		147
	13	LTC Properties, Inc.		693
	3	Parkway Properties, Inc.		54
	2	PS Business Parks, Inc.		191
	9	RAIT Financial Trust		28
	3	Ramco-Gershenson Properties Trust		56
	22	Redwood Trust, Inc.		310
	55	Retail Opportunity Investments Corp.		1,194
	23	Rexford Industrial Realty, Inc.		475
	22	RLJ Lodging Trust		461
	1	Sovran Self Storage, Inc.		63
	49	Summit Hotel Properties, Inc.		649
	3	Sun Communities, Inc.		200
	38	Sunstone Hotel Investors, Inc.		461
	23	Xenia Hotels & Resorts, Inc.		384
				15,067
		Thrifts & Mortgage Finance — 1.7%
	19	Dime Community Bancshares, Inc.		323
	37	Flagstar Bancorp, Inc. (a)		897
	1	Home Bancorp, Inc.		33
	42	HomeStreet, Inc. (a)		829
	7	Meta Financial Group, Inc.		377

SHARES		SECURITY DESCRIPTION	VALUE($)
		Thrifts & Mortgage Finance — continued
	9	PennyMac Financial Services, Inc., Class A (a)		109
	9	Walker & Dunlop, Inc. (a)		200
	2	Washington Federal, Inc.		43
				2,811
		Total Financials		40,010
		Health Care — 12.7%
		Biotechnology — 4.5%
	4	Acceleron Pharma, Inc. (a)		150
	14	Achillion Pharmaceuticals, Inc. (a)		108
	11	Acorda Therapeutics, Inc. (a)		283
	6	Adamas Pharmaceuticals, Inc. (a)		83
	10	Aduro Biotech, Inc. (a)		118
	1	Adverum Biotechnologies, Inc. (a)		3
	2	Agios Pharmaceuticals, Inc. (a)		71
	11	AMAG Pharmaceuticals, Inc. (a)		266
	19	Amicus Therapeutics, Inc. (a)		106
	13	Applied Genetic Technologies Corp. (a)		189
	7	Bellicum Pharmaceuticals, Inc. (a)		92
	8	Bluebird Bio, Inc. (a)		329
	13	Blueprint Medicines Corp. (a)		269
	19	Cara Therapeutics, Inc. (a)		89
	40	Celldex Therapeutics, Inc. (a)		176
	8	Clovis Oncology, Inc. (a)		114
	9	Coherus Biosciences, Inc. (a)		144
	9	Corvus Pharmaceuticals, Inc. (a)		131
	9	Dimension Therapeutics, Inc. (a)		56
	22	Epizyme, Inc. (a)		228
	8	Esperion Therapeutics, Inc. (a)		78
	7	FibroGen, Inc. (a)		120
	8	Global Blood Therapeutics, Inc. (a)		129
	6	Immune Design Corp. (a)		45
	27	Infinity Pharmaceuticals, Inc. (a)		36
	20	Insmed, Inc. (a)		194
	3	Intellia Therapeutics, Inc. (a)		68
	20	Karyopharm Therapeutics, Inc. (a)		133
	1	Loxo Oncology, Inc. (a)		21
	13	MacroGenics, Inc. (a)		362
	9	Neurocrine Biosciences, Inc. (a)		418
	5	Ophthotech Corp. (a)		245
	7	Puma Biotechnology, Inc. (a)		203
	50	Raptor Pharmaceutical Corp. (a)		266
	7	Sage Therapeutics, Inc. (a)		223
	16	Selecta Biosciences, Inc. (a)		229
	3	Seres Therapeutics, Inc. (a)		87
	5	Spark Therapeutics, Inc. (a)		261

SEE NOTES TO FINANCIAL STATEMENTS.

20 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Biotechnology — continued
	55	Synergy Pharmaceuticals, Inc. (a)		208
	6	Ultragenyx Pharmaceutical, Inc. (a)		274
	35	Vitae Pharmaceuticals, Inc. (a)		382
	11	Voyager Therapeutics, Inc. (a)		118
	13	Xencor, Inc. (a)		243
				7,348
		Health Care Equipment & Supplies — 3.4%
	12	AngioDynamics, Inc. (a)		177
	8	Cynosure, Inc., Class A (a)		411
	11	Greatbatch, Inc. (a)		342
	29	HeartWare International, Inc. (a)		1,677
	3	ICU Medical, Inc. (a)		366
	15	Inogen, Inc. (a)		774
	12	NuVasive, Inc. (a)		717
	50	OraSure Technologies, Inc. (a)		296
	9	Orthofix International N.V. (a)		369
	1	Penumbra, Inc. (a)		75
	5	West Pharmaceutical Services, Inc.		410
				5,614
		Health Care Providers & Services — 3.9%
	8	American Renal Associates Holdings, Inc. (a)		220
	14	Amsurg Corp. (a)		1,074
	12	Civitas Solutions, Inc. (a)		248
	95	Cross Country Healthcare, Inc. (a)		1,325
	28	Kindred Healthcare, Inc.		315
	31	Molina Healthcare, Inc. (a)		1,543
	10	Owens & Minor, Inc.		386
	14	PharMerica Corp. (a)		350
	12	Surgical Care Affiliates, Inc. (a)		595
	4	WellCare Health Plans, Inc. (a)		382
				6,438
		Life Sciences Tools & Services — 0.1%
	3	Cambrex Corp. (a)		171
		Pharmaceuticals — 0.8%
	9	Amphastar Pharmaceuticals, Inc. (a)		137
	6	Flex Pharma, Inc. (a)		61
	9	Intra-Cellular Therapies, Inc. (a)		361
	7	Medicines Co. (The) (a)		222
	3	Pacira Pharmaceuticals, Inc. (a)		108
	13	Reata Pharmaceuticals, Inc., Class A (a)		259
	9	Revance Therapeutics, Inc. (a)		125
				1,273
		Total Health Care		20,844

SHARES		SECURITY DESCRIPTION	VALUE($)
		Industrials — 17.3%
		Aerospace & Defense — 1.8%
	16	AAR Corp.		382
	13	Engility Holdings, Inc. (a)		273
	6	HEICO Corp., Class A		316
	3	Moog, Inc., Class A (a)		173
	62	Vectrus, Inc. (a)		1,755
				2,899
		Air Freight & Logistics — 0.3%
	12	Atlas Air Worldwide Holdings, Inc. (a)		478
	4	Park-Ohio Holdings Corp.		106
				584
		Airlines — 1.4%
	35	Hawaiian Holdings, Inc. (a)		1,340
	36	SkyWest, Inc.		947
				2,287
		Building Products — 1.6%
	17	American Woodmark Corp. (a)		1,140
	24	NCI Building Systems, Inc. (a)		379
	12	Universal Forest Products, Inc.		1,131
				2,650
		Commercial Services & Supplies — 3.6%
	14	ABM Industries, Inc.		518
	146	ACCO Brands Corp. (a)		1,506
	26	Essendant, Inc.		807
	3	Herman Miller, Inc.		77
	16	Interface, Inc.		250
	12	Kimball International, Inc., Class B		137
	73	Quad/Graphics, Inc.		1,704
	30	Steelcase, Inc., Class A		409
	4	Viad Corp.		119
	1	VSE Corp.		54
	16	West Corp.		307
				5,888
		Construction & Engineering — 1.1%
	15	EMCOR Group, Inc.		729
	33	MasTec, Inc. (a)		725
	13	Tutor Perini Corp. (a)		307
				1,761
		Electrical Equipment — 1.4%
	7	EnerSys		436
	109	General Cable Corp.		1,384
	8	Powell Industries, Inc.		303
	3	Regal Beloit Corp.		183
				2,306

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 21

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Machinery — 3.1%
	6	Barnes Group, Inc.		194
	5	Columbus McKinnon Corp.		71
	16	Federal Signal Corp.		204
	56	Global Brass & Copper Holdings, Inc.		1,523
	5	Greenbrier Cos., Inc. (The)		153
	2	Hurco Cos., Inc.		56
	4	Hyster-Yale Materials Handling, Inc.		232
	10	Joy Global, Inc.		201
	7	Kadant, Inc.		385
	3	Kennametal, Inc.		71
	106	Meritor, Inc. (a)		762
	1	Standex International Corp.		103
	10	TriMas Corp. (a)		176
	84	Wabash National Corp. (a)		1,065
				5,196
		Marine — 0.0% (g)
	2	Matson, Inc.		54
		Professional Services — 1.9%
	31	Barrett Business Services, Inc.		1,277
	5	CRA International, Inc. (a)		120
	4	Insperity, Inc.		277
	2	Kelly Services, Inc., Class A		37
	12	RPX Corp. (a)		111
	10	TriNet Group, Inc. (a)		200
	32	TrueBlue, Inc. (a)		602
	8	WageWorks, Inc. (a)		449
				3,073
		Road & Rail — 0.8%
	55	ArcBest Corp.		890
	3	Universal Logistics Holdings, Inc.		33
	38	YRC Worldwide, Inc. (a)		332
				1,255
		Trading Companies & Distributors — 0.3%
	9	Applied Industrial Technologies, Inc.		384
	3	SiteOne Landscape Supply, Inc. (a)		98
				482
		Total Industrials		28,435
		Information Technology — 16.8%
		Communications Equipment — 0.9%
	20	Comtech Telecommunications Corp.		262
	41	EMCORE Corp. (a)		242
	276	Extreme Networks, Inc. (a)		935
				1,439

SHARES		SECURITY DESCRIPTION	VALUE($)
		Electronic Equipment, Instruments & Components — 3.2%
	34	Benchmark Electronics, Inc. (a)		724
	47	Insight Enterprises, Inc. (a)		1,228
	29	Kimball Electronics, Inc. (a)		359
	2	Littelfuse, Inc.		293
	8	Methode Electronics, Inc.		290
	65	Sanmina Corp. (a)		1,743
	8	Tech Data Corp. (a)		554
				5,191
		Internet Software & Services — 2.5%
	9	Carbonite, Inc. (a)		91
	9	Cornerstone OnDemand, Inc. (a)		341
	55	Everyday Health, Inc. (a)		430
	32	Five9, Inc. (a)		377
	3	Q2 Holdings, Inc. (a)		85
	158	RetailMeNot, Inc. (a)		1,215
	11	Twilio, Inc., Class A (a)		402
	6	Web.com Group, Inc. (a)		117
	13	WebMD Health Corp. (a)		727
	30	Xactly Corp. (a)		389
				4,174
		IT Services — 2.3%
	2	Blackhawk Network Holdings, Inc. (a)		62
	11	Euronet Worldwide, Inc. (a)		771
	2	EVERTEC, Inc., (Puerto Rico)		37
	9	ExlService Holdings, Inc. (a)		463
	48	Planet Payment, Inc. (a)		216
	6	Science Applications International Corp.		325
	14	Sykes Enterprises, Inc. (a)		412
	75	Travelport Worldwide Ltd., (United Kingdom)		960
	85	Unisys Corp. (a)		622
				3,868
		Semiconductors & Semiconductor Equipment — 3.4%
	2	Acacia Communications, Inc. (a)		68
	12	Advanced Energy Industries, Inc. (a)		461
	8	Alpha & Omega Semiconductor Ltd. (a)		109
	29	Amkor Technology, Inc. (a)		169
	8	Cirrus Logic, Inc. (a)		303
	30	Cohu, Inc.		327
	99	Cypress Semiconductor Corp.		1,046
	15	First Solar, Inc. (a)		712
	66	IXYS Corp.		679
	5	Nanometrics, Inc. (a)		97
	15	NeoPhotonics Corp. (a)		138
	11	PDF Solutions, Inc. (a)		152

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	81	Sigma Designs, Inc. (a)		520
	81	Ultra Clean Holdings, Inc. (a)		460
	68	Xcerra Corp. (a)		391
				5,632
		Software — 4.5%
	56	AVG Technologies N.V., (Netherlands) (a)		1,059
	4	Manhattan Associates, Inc. (a)		282
	28	Pegasystems, Inc.		752
	9	PTC, Inc. (a)		337
	29	Qlik Technologies, Inc. (a)		850
	3	Qualys, Inc. (a)		92
	9	Rapid7, Inc. (a)		109
	43	RingCentral, Inc., Class A (a)		842
	73	Rovi Corp. (a)		1,140
	49	Take-Two Interactive Software, Inc. (a)		1,870
	5	VASCO Data Security International, Inc. (a)		74
				7,407
		Total Information Technology		27,711
		Materials — 3.9%
		Chemicals — 2.0%
	3	FutureFuel Corp.		35
	18	Innophos Holdings, Inc.		760
	1	Innospec, Inc.		58
	13	Minerals Technologies, Inc.		722
	14	OMNOVA Solutions, Inc. (a)		105
	36	Trinseo S.A. (a)		1,541
				3,221
		Containers & Packaging — 0.6%
	3	AEP Industries, Inc.		258
	10	Berry Plastics Group, Inc. (a)		373
	36	Graphic Packaging Holding Co.		448
				1,079
		Metals & Mining — 0.7%
	20	Commercial Metals Co.		336
	35	Ryerson Holding Corp. (a)		607
	4	Worthington Industries, Inc.		184
				1,127
		Paper & Forest Products — 0.6%
	14	Boise Cascade Co. (a)		312
	20	Schweitzer-Mauduit International, Inc.		697
				1,009
		Total Materials		6,436

SHARES		SECURITY DESCRIPTION	VALUE($)
		Telecommunication Services — 0.9%
		Diversified Telecommunication Services — 0.9%
	6	8x8, Inc. (a)		93
	7	IDT Corp., Class B		104
	65	Inteliquent, Inc.		1,291
		Total Telecommunication Services		1,488
		Utilities — 3.9%
		Electric Utilities — 2.0%
	2	El Paso Electric Co.		75
	7	IDACORP, Inc.		539
	3	MGE Energy, Inc.		190
	38	Portland General Electric Co.		1,657
	20	Spark Energy, Inc., Class A		650
	2	Westar Energy, Inc.		127
				3,238
		Gas Utilities — 0.5%
	1	AGL Resources, Inc.		41
	14	New Jersey Resources Corp.		530
	3	Southwest Gas Corp.		251
				822
		Independent Power & Renewable Electricity Producers — 1.3%
	14	Atlantic Power Corp.		34
	16	Dynegy, Inc. (a)		274
	121	Talen Energy Corp. (a)		1,639
	66	TerraForm Global, Inc., Class A		215
				2,162
		Water Utilities — 0.1%
	2	American States Water Co.		90
	2	Consolidated Water Co., Ltd., (Cayman Islands)		32
				122
		Total Utilities		6,344
		Total Common Stocks (Cost $124,597)		157,459
NUMBER OF WARRANTS
	Warrant — 0.0%
		Financials — 0.0%
		Consumer Finance — 0.0%
	2	Emergent Capital, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (Cost $—)		—

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 23

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 3.6%
		Investment Company — 3.6%
	5,966	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $5,966)		5,966
		Total Investments — 99.3% (Cost $130,563)		163,425
		Other Assets in Excess of Liabilities — 0.7%		1,211
		NET ASSETS — 100.0%	$	164,636

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	66	E-mini Russell 2000		09/16/16		USD	$	7,573	$	85

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Small Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 95.5%
		Consumer Discretionary — 14.3%
		Auto Components — 0.9%
	355	Drew Industries, Inc.		30,132
		Distributors — 1.8%
	643	Pool Corp.		60,487
		Diversified Consumer Services — 1.3%
	1,083	ServiceMaster Global Holdings, Inc. (a)		43,086
		Hotels, Restaurants & Leisure — 3.7%
	1,112	Brinker International, Inc.		50,615
	611	Monarch Casino & Resort, Inc. (a)		13,415
	578	Papa John’s International, Inc.		39,331
	708	Zoe’s Kitchen, Inc. (a)		25,687
				129,048
		Leisure Products — 1.5%
	904	Brunswick Corp.		40,951
	1,013	Malibu Boats, Inc., Class A (a)		12,233
				53,184
		Media — 2.3%
	1,123	Cinemark Holdings, Inc.		40,929
	2,341	E.W. Scripps Co. (The), Class A (a)		37,074
				78,003
		Specialty Retail — 1.7%
	1,673	American Eagle Outfitters, Inc.		26,646
	3,095	Chico’s FAS, Inc.		33,146
				59,792
		Textiles, Apparel & Luxury Goods — 1.1%
	3,481	Crocs, Inc. (a)		39,265
		Total Consumer Discretionary		492,997
		Consumer Staples — 4.0%
		Food & Staples Retailing — 0.9%
	1,160	Performance Food Group Co. (a)		31,222
		Food Products — 0.7%
	204	J&J Snack Foods Corp.		24,375
		Household Products — 2.4%
	702	Spectrum Brands Holdings, Inc.		83,712
		Total Consumer Staples		139,309
		Energy — 3.6%
		Energy Equipment & Services — 2.3%
	308	Dril-Quip, Inc. (a)		17,973
	2,860	Patterson-UTI Energy, Inc.		60,978
				78,951

SHARES		SECURITY DESCRIPTION	VALUE($)
		Oil, Gas & Consumable Fuels — 1.3%
	187	Cimarex Energy Co.		22,311
	3,537	Synergy Resources Corp. (a)		23,556
				45,867
		Total Energy		124,818
		Financials — 23.5%
		Banks — 9.7%
	2,481	Associated Banc-Corp.		42,546
	1,178	BankUnited, Inc.		36,179
	347	Commerce Bancshares, Inc.		16,606
	1,294	First Financial Bancorp		25,177
	2,252	First Horizon National Corp.		31,027
	383	First Republic Bank		26,818
	1,046	Glacier Bancorp, Inc.		27,808
	1,199	Great Western Bancorp, Inc.		37,823
	572	IBERIABANK Corp.		34,172
	1,866	Umpqua Holdings Corp.		28,874
	860	Western Alliance Bancorp (a)		28,079
				335,109
		Capital Markets — 3.1%
	891	Eaton Vance Corp.		31,476
	653	Greenhill & Co., Inc.		10,508
	1,854	Janus Capital Group, Inc.		25,814
	703	Lazard Ltd., (Bermuda), Class A		20,944
	726	Moelis & Co., Class A		16,329
				105,071
		Diversified Financial Services — 2.0%
	174	FactSet Research Systems, Inc.		28,094
	517	Morningstar, Inc.		42,272
				70,366
		Insurance — 1.3%
	848	ProAssurance Corp.		45,418
		Real Estate Investment Trusts (REITs) — 5.4%
	680	EastGroup Properties, Inc.		46,871
	389	Mid-America Apartment Communities, Inc.		41,354
	1,077	National Retail Properties, Inc.		55,721
	1,929	RLJ Lodging Trust		41,374
				185,320
		Real Estate Management & Development — 2.0%
	1,255	HFF, Inc., Class A		36,237
	1,129	Realogy Holdings Corp. (a)		32,752
				68,989
		Total Financials		810,273

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 25

JPMorgan Small Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Health Care — 11.8%
		Health Care Equipment & Supplies — 4.1%
	147	ICU Medical, Inc. (a)		16,615
	706	IDEXX Laboratories, Inc. (a)		65,574
	755	West Pharmaceutical Services, Inc.		57,273
				139,462
		Health Care Providers & Services — 5.1%
	694	Centene Corp. (a)		49,516
	412	HealthEquity, Inc. (a)		12,505
	1,285	HealthSouth Corp.		49,871
	353	Magellan Health, Inc. (a)		23,201
	384	WellCare Health Plans, Inc. (a)		41,178
				176,271
		Health Care Technology — 1.4%
	575	Cotiviti Holdings, Inc. (a)		12,158
	694	Medidata Solutions, Inc. (a)		32,513
	118	Press Ganey Holdings, Inc. (a)		4,632
				49,303
		Pharmaceuticals — 1.2%
	1,797	Catalent, Inc. (a)		41,315
		Total Health Care		406,351
		Industrials — 19.4%
		Commercial Services & Supplies — 5.9%
	1,204	Brady Corp., Class A		36,797
	297	G&K Services, Inc., Class A		22,732
	1,248	Herman Miller, Inc.		37,305
	960	KAR Auction Services, Inc.		40,082
	408	US Ecology, Inc.		18,728
	677	Waste Connections, Inc., (Canada)		48,812
				204,456
		Electrical Equipment — 0.9%
	915	Generac Holdings, Inc. (a)		31,986
		Machinery — 8.2%
	1,600	Allison Transmission Holdings, Inc.		45,180
	943	Altra Industrial Motion Corp.		25,438
	980	Douglas Dynamics, Inc.		25,208
	388	Lincoln Electric Holdings, Inc.		22,907
	157	Proto Labs, Inc. (a)		9,042
	575	RBC Bearings, Inc. (a)		41,692
	1,264	Rexnord Corp. (a)		24,804
	990	Toro Co. (The)		87,306
				281,577

SHARES		SECURITY DESCRIPTION	VALUE($)
		Road & Rail — 2.4%
	1,504	Knight Transportation, Inc.		39,975
	629	Landstar System, Inc.		43,190
				83,165
		Trading Companies & Distributors — 2.0%
	742	Applied Industrial Technologies, Inc.		33,484
	249	Watsco, Inc.		35,001
				68,485
		Total Industrials		669,669
		Information Technology — 10.5%
		Electronic Equipment, Instruments & Components — 0.8%
	260	FEI Co.		27,761
		Internet Software & Services — 2.3%
	999	GrubHub, Inc. (a)		31,035
	692	Instructure, Inc. (a)		13,151
	1,171	Q2 Holdings, Inc. (a)		32,811
				76,997
		IT Services — 1.2%
	1,097	CoreLogic, Inc. (a)		42,221
		Semiconductors & Semiconductor Equipment — 0.7%
	592	Cabot Microelectronics Corp.		25,051
		Software — 5.5%
	454	Aspen Technology, Inc. (a)		18,275
	526	Guidewire Software, Inc. (a)		32,489
	610	Imperva, Inc. (a)		26,224
	1,311	Monotype Imaging Holdings, Inc.		32,288
	381	NetSuite, Inc. (a)		27,722
	296	Splunk, Inc. (a)		16,044
	212	Tyler Technologies, Inc. (a)		35,337
				188,379
		Total Information Technology		360,409
		Materials — 5.7%
		Chemicals — 0.5%
	261	GCP Applied Technologies, Inc. (a)		6,793
	112	Quaker Chemical Corp.		9,995
				16,788
		Containers & Packaging — 5.2%
	1,015	AptarGroup, Inc.		80,336
	1,106	Crown Holdings, Inc. (a)		56,023
	855	Silgan Holdings, Inc.		44,016
				180,375
		Total Materials		197,163

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Utilities — 2.7%
		Electric Utilities — 1.4%
	1,109	Portland General Electric Co.		48,922
		Multi-Utilities — 1.3%
	720	NorthWestern Corp.		45,416
		Total Utilities		94,338
		Total Common Stocks (Cost $2,428,739)		3,295,327

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 4.0%
		Investment Company — 4.0%
	138,079	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $138,079)		138,079
		Total Investments — 99.5% (Cost $2,566,818)		3,433,406
		Other Assets in Excess of Liabilities — 0.5%		15,524
		NET ASSETS — 100.0%	$	3,448,930

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 27

JPMorgan Small Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.2%
		Consumer Discretionary — 14.5%
		Distributors — 1.0%
	115	Pool Corp.		10,807
		Hotels, Restaurants & Leisure — 3.8%
	788	Boyd Gaming Corp. (a)		14,503
	257	La Quinta Holdings, Inc. (a)		2,931
	253	Texas Roadhouse, Inc.		11,515
	76	Vail Resorts, Inc.		10,493
				39,442
		Household Durables — 0.6%
	519	TRI Pointe Group, Inc. (a)		6,136
		Internet & Catalog Retail — 1.0%
	267	Wayfair, Inc., Class A (a)		10,417
		Multiline Retail — 1.0%
	402	Ollie’s Bargain Outlet Holdings, Inc. (a)		9,999
		Specialty Retail — 5.2%
	162	Burlington Stores, Inc. (a)		10,814
	151	Lithia Motors, Inc., Class A		10,745
	115	Monro Muffler Brake, Inc.		7,278
	198	Penske Automotive Group, Inc.		6,215
	364	Sally Beauty Holdings, Inc. (a)		10,699
	274	Tailored Brands, Inc.		3,465
	162	Vitamin Shoppe, Inc. (a)		4,947
				54,163
		Textiles, Apparel & Luxury Goods — 1.9%
	184	G-III Apparel Group Ltd. (a)		8,391
	275	Kate Spade & Co. (a)		5,664
	269	Wolverine World Wide, Inc.		5,476
				19,531
		Total Consumer Discretionary		150,495
		Consumer Staples — 3.5%
		Food & Staples Retailing — 2.5%
	66	Casey’s General Stores, Inc.		8,631
	284	Performance Food Group Co. (a)		7,630
	410	Sprouts Farmers Market, Inc. (a)		9,386
				25,647
		Food Products — 1.0%
	716	Freshpet, Inc. (a)		6,678
	127	Snyder’s-Lance, Inc.		4,302
				10,980
		Total Consumer Staples		36,627

SHARES		SECURITY DESCRIPTION	VALUE($)
		Energy — 1.6%
		Oil, Gas & Consumable Fuels — 1.6%
	224	Delek U.S. Holdings, Inc.		2,961
	76	Diamondback Energy, Inc. (a)		6,965
	187	RSP Permian, Inc. (a)		6,529
		Total Energy		16,455
		Financials — 8.5%
		Banks — 2.6%
	251	PrivateBancorp, Inc.		11,049
	51	Signature Bank (a)		6,325
	207	Texas Capital Bancshares, Inc. (a)		9,692
				27,066
		Capital Markets — 2.9%
	266	Evercore Partners, Inc., Class A		11,775
	345	Financial Engines, Inc.		8,926
	933	PennantPark Investment Corp.		6,370
	298	WisdomTree Investments, Inc.		2,922
				29,993
		Real Estate Investment Trusts (REITs) — 1.4%
	230	CubeSmart		7,105
	146	Highwoods Properties, Inc.		7,710
				14,815
		Real Estate Management & Development — 1.2%
	298	RE/MAX Holdings, Inc., Class A		11,989
		Thrifts & Mortgage Finance — 0.4%
	252	BofI Holding, Inc. (a)		4,471
		Total Financials		88,334
		Health Care — 23.5%
		Biotechnology — 8.9%
	137	ACADIA Pharmaceuticals, Inc. (a)		4,432
	191	Acceleron Pharma, Inc. (a)		6,493
	561	Arrowhead Pharmaceuticals, Inc. (a)		2,985
	249	Axovant Sciences Ltd., (Bermuda) (a)		3,203
	436	Bellicum Pharmaceuticals, Inc. (a)		5,651
	310	Coherus Biosciences, Inc. (a)		5,228
	427	Exact Sciences Corp. (a)		5,233
	216	FibroGen, Inc. (a)		3,546
	809	Halozyme Therapeutics, Inc. (a)		6,984
	475	Ignyta, Inc. (a)		2,575
	395	Insmed, Inc. (a)		3,893
	179	Kite Pharma, Inc. (a)		8,964
	163	Neurocrine Biosciences, Inc. (a)		7,399
	278	Portola Pharmaceuticals, Inc. (a)		6,566
	166	REGENXBIO, Inc. (a)		1,328

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Biotechnology — continued
	146	Sage Therapeutics, Inc. (a)		4,389
	130	Spark Therapeutics, Inc. (a)		6,639
	63	Ultragenyx Pharmaceutical, Inc. (a)		3,100
	284	Versartis, Inc. (a)		3,144
				91,752
		Health Care Equipment & Supplies — 5.1%
	1,038	GenMark Diagnostics, Inc. (a)		9,032
	215	Insulet Corp. (a)		6,498
	476	K2M Group Holdings, Inc. (a)		7,392
	159	Nevro Corp. (a)		11,764
	981	Novadaq Technologies, Inc., (Canada) (a)		9,654
	899	Syneron Medical Ltd., (Israel) (a)		6,910
	410	Unilife Corp. (a)		1,349
				52,599
		Health Care Providers & Services — 3.7%
	242	Acadia Healthcare Co., Inc. (a)		13,428
	267	Surgical Care Affiliates, Inc. (a)		12,713
	118	WellCare Health Plans, Inc. (a)		12,664
				38,805
		Health Care Technology — 2.4%
	648	Evolent Health, Inc., Class A (a)		12,450
	374	Veeva Systems, Inc., Class A (a)		12,755
				25,205
		Pharmaceuticals — 3.4%
	595	Horizon Pharma plc (a)		9,804
	446	Nektar Therapeutics (a)		6,340
	259	Revance Therapeutics, Inc. (a)		3,517
	324	Sagent Pharmaceuticals, Inc. (a)		4,851
	1,210	TherapeuticsMD, Inc. (a)		10,284
				34,796
		Total Health Care		243,157
		Industrials — 18.5%
		Aerospace & Defense — 2.2%
	221	HEICO Corp.		14,777
	198	Hexcel Corp.		8,232
				23,009
		Air Freight & Logistics — 0.5%
	187	XPO Logistics, Inc. (a)		4,903
		Building Products — 6.8%
	445	Advanced Drainage Systems, Inc.		12,177
	225	Caesarstone Ltd., (Israel) (a)		7,811
	205	Fortune Brands Home & Security, Inc.		11,894

SHARES		SECURITY DESCRIPTION	VALUE($)
		Building Products — continued
	92	Lennox International, Inc.		13,171
	199	Masonite International Corp. (a)		13,179
	285	Trex Co., Inc. (a)		12,816
				71,048
		Electrical Equipment — 1.2%
	49	Acuity Brands, Inc.		12,189
		Industrial Conglomerates — 1.3%
	129	Carlisle Cos., Inc.		13,648
		Machinery — 3.5%
	146	Graco, Inc.		11,562
	208	John Bean Technologies Corp.		12,762
	107	Middleby Corp. (The) (a)		12,362
				36,686
		Road & Rail — 1.0%
	169	Old Dominion Freight Line, Inc. (a)		10,189
		Trading Companies & Distributors — 2.0%
	355	Rush Enterprises, Inc., Class A (a)		7,639
	91	Watsco, Inc.		12,825
				20,464
		Total Industrials		192,136
		Information Technology — 26.4%
		Communications Equipment — 0.5%
	275	Ciena Corp. (a)		5,149
		Internet Software & Services — 11.2%
	471	2U, Inc. (a)		13,858
	270	Benefitfocus, Inc. (a)		10,309
	279	Cornerstone OnDemand, Inc. (a)		10,626
	59	CoStar Group, Inc. (a)		12,910
	141	Demandware, Inc. (a)		10,595
	407	Envestnet, Inc. (a)		13,559
	389	GoDaddy, Inc., Class A (a)		12,144
	357	GrubHub, Inc. (a)		11,078
	241	Instructure, Inc. (a)		4,586
	98	Marketo, Inc. (a)		3,405
	354	Shopify, Inc., (Canada), Class A (a)		10,900
	64	Twilio, Inc., Class A (a)		2,336
				116,306
		Semiconductors & Semiconductor Equipment — 5.6%
	277	Cavium, Inc. (a)		10,697
	332	Inphi Corp. (a)		10,628
	294	MACOM Technology Solutions Holdings, Inc. (a)		9,694
	276	MKS Instruments, Inc.		11,901

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 29

JPMorgan Small Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	223	Monolithic Power Systems, Inc.		15,254
				58,174
		Software — 8.7%
	295	Atlassian Corp. plc, (Australia), Class A (a)		7,640
	130	Fleetmatics Group plc, (Ireland) (a)		5,624
	213	Guidewire Software, Inc. (a)		13,147
	143	HubSpot, Inc. (a)		6,229
	204	Imperva, Inc. (a)		8,786
	191	Proofpoint, Inc. (a)		12,064
	481	RingCentral, Inc., Class A (a)		9,480
	78	Tableau Software, Inc., Class A (a)		3,812
	103	Take-Two Interactive Software, Inc. (a)		3,887
	38	Tyler Technologies, Inc. (a)		6,291
	490	Zendesk, Inc. (a)		12,917
				89,877
		Technology Hardware, Storage & Peripherals — 0.4%
	548	Nimble Storage, Inc. (a)		4,365
		Total Information Technology		273,871

SHARES		SECURITY DESCRIPTION	VALUE($)
		Materials — 1.7%
		Construction Materials — 1.7%
	153	Eagle Materials, Inc.		11,829
	259	Summit Materials, Inc., Class A (a)		5,296
		Total Materials		17,125
		Total Common Stocks (Cost $845,085)		1,018,200
	Short-Term Investment — 2.2%
		Investment Company — 2.2%
	22,619	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $22,619)		22,619
		Total Investments — 100.4% (Cost $867,704)		1,040,819
		Liabilities in Excess of Other Assets — (0.4)%		(3,681	)
		NET ASSETS — 100.0%	$	1,037,138

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.7%
		Consumer Discretionary — 9.1%
		Auto Components — 1.4%
	501	Cooper Tire & Rubber Co.		14,952
	651	Dana Holding Corp.		6,874
	173	Stoneridge, Inc. (a)		2,585
				24,411
		Diversified Consumer Services — 1.5%
	316	Ascent Capital Group, Inc., Class A (a)		4,865
	316	DeVry Education Group, Inc.		5,629
	454	K12, Inc. (a)		5,665
	769	Regis Corp. (a)		9,568
				25,727
		Hotels, Restaurants & Leisure — 2.0%
	134	Bob Evans Farms, Inc.		5,082
	45	Intrawest Resorts Holdings, Inc. (a)		580
	683	Isle of Capri Casinos, Inc. (a)		12,504
	21	Jack in the Box, Inc.		1,804
	809	La Quinta Holdings, Inc. (a)		9,223
	71	Ruby Tuesday, Inc. (a)		257
	305	Ruth’s Hospitality Group, Inc.		4,872
	46	Speedway Motorsports, Inc.		809
				35,131
		Household Durables — 0.6%
	98	CSS Industries, Inc.		2,627
	107	Leggett & Platt, Inc.		5,443
	39	NACCO Industries, Inc., Class A		2,162
				10,232
		Internet & Catalog Retail — 0.4%
	339	Liberty TripAdvisor Holdings, Inc., Class A (a)		7,411
		Leisure Products — 0.1%
	109	JAKKS Pacific, Inc. (a)		863
	25	Nautilus, Inc. (a)		441
				1,304
		Media — 0.3%
	169	Central European Media Enterprises Ltd., (Bermuda), Class A (a)		355
	251	Entercom Communications Corp., Class A		3,409
	279	Radio One, Inc., Class D (a)		890
	10	Saga Communications, Inc., Class A		397
				5,051
		Multiline Retail — 0.2%
	75	Dillard’s, Inc., Class A		4,527

SHARES		SECURITY DESCRIPTION	VALUE($)
		Specialty Retail — 2.1%
	734	Abercrombie & Fitch Co., Class A		13,076
	216	Children’s Place, Inc. (The)		17,287
	1,188	Pier 1 Imports, Inc.		6,108
				36,471
		Textiles, Apparel & Luxury Goods — 0.5%
	528	Iconix Brand Group, Inc. (a)		3,567
	253	Movado Group, Inc.		5,476
				9,043
		Total Consumer Discretionary		159,308
		Consumer Staples — 2.5%
		Food & Staples Retailing — 0.3%
	65	Smart & Final Stores, Inc. (a)		968
	119	SpartanNash Co.		3,632
	65	US Foods Holding Corp. (a)		1,576
				6,176
		Food Products — 0.7%
	589	Darling Ingredients, Inc. (a)		8,779
	66	Dean Foods Co.		1,188
	48	Fresh Del Monte Produce, Inc.		2,613
				12,580
		Household Products — 0.7%
	539	Central Garden & Pet Co., Class A (a)		11,693
		Tobacco — 0.8%
	232	Universal Corp.		13,390
		Total Consumer Staples		43,839
		Energy — 4.5%
		Energy Equipment & Services — 1.9%
	45	Archrock, Inc.		421
	137	Atwood Oceanics, Inc.		1,709
	37	Geospace Technologies Corp. (a)		612
	10	North Atlantic Drilling Ltd., (Norway) (a)		69
	346	Parker Drilling Co. (a)		793
	1,465	Pioneer Energy Services Corp. (a)		6,739
	84	SEACOR Holdings, Inc. (a)		4,845
	4,201	Seadrill Ltd., (United Kingdom) (a)		13,612
	298	Unit Corp. (a)		4,631
				33,431
		Oil, Gas & Consumable Fuels — 2.6%
	5	Adams Resources & Energy, Inc.		181
	103	Alon USA Energy, Inc.		666
	1,688	Bill Barrett Corp. (a)		10,784
	2,112	Denbury Resources, Inc.		7,582

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 31

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Oil, Gas & Consumable Fuels — continued
	461	Eclipse Resources Corp. (a)		1,539
	588	EP Energy Corp., Class A (a)		3,047
	234	Jones Energy, Inc., Class A (a)		964
	302	REX American Resources Corp. (a)		18,069
	437	Sanchez Energy Corp. (a)		3,083
				45,915
		Total Energy		79,346
		Financials — 39.8%
		Banks — 17.4%
	121	1st Source Corp.		3,919
	7	American National Bankshares, Inc.		176
	72	BancFirst Corp.		4,337
	419	BancorpSouth, Inc.		9,507
	183	Bank of Hawaii Corp.		12,618
	69	Banner Corp.		2,935
	396	BBCN Bancorp, Inc.		5,911
	84	Brookline Bancorp, Inc.		928
	35	Bryn Mawr Bank Corp.		1,010
	261	Capital Bank Financial Corp., Class A		7,502
	93	Cascade Bancorp (a)		516
	231	Cathay General Bancorp		6,523
	543	Central Pacific Financial Corp.		12,812
	27	Central Valley Community Bancorp		379
	9	Century Bancorp, Inc., Class A		389
	22	Citizens & Northern Corp.		435
	162	City Holding Co.		7,380
	81	CoBiz Financial, Inc.		947
	61	Columbia Banking System, Inc.		1,712
	152	Community Bank System, Inc.		6,254
	137	Community Trust Bancorp, Inc.		4,757
	188	Customers Bancorp, Inc. (a)		4,735
	14	East West Bancorp, Inc.		473
	412	FCB Financial Holdings, Inc., Class A (a)		14,018
	78	Financial Institutions, Inc.		2,033
	34	First Bancorp		596
	1,432	First BanCorp, (Puerto Rico) (a)		5,685
	148	First Busey Corp.		3,166
	9	First Citizens BancShares, Inc., Class A		2,408
	1,362	First Commonwealth Financial Corp.		12,530
	68	First Community Bancshares, Inc.		1,517
	121	First Financial Bancorp		2,359
	85	First Financial Bankshares, Inc.		2,784
	23	First Financial Corp.		853
	99	First Interstate BancSystem, Inc., Class A		2,788
	164	Flushing Financial Corp.		3,256

SHARES		SECURITY DESCRIPTION	VALUE($)
		Banks — continued
	396	Fulton Financial Corp.		5,351
	238	Glacier Bancorp, Inc.		6,323
	41	Great Southern Bancorp, Inc.		1,523
	166	Great Western Bancorp, Inc.		5,236
	51	Guaranty Bancorp		850
	373	Hancock Holding Co.		9,739
	61	Heartland Financial USA, Inc.		2,139
	27	Heritage Financial Corp.		479
	23	Independent Bank Corp.		338
	1,092	Investors Bancorp, Inc.		12,094
	69	Lakeland Bancorp, Inc.		786
	31	Lakeland Financial Corp.		1,467
	188	MainSource Financial Group, Inc.		4,136
	18	Mercantile Bank Corp.		438
	631	OFG Bancorp, (Puerto Rico)		5,241
	88	Pacific Continental Corp.		1,379
	175	PacWest Bancorp		6,942
	59	Park Sterling Corp.		419
	20	Preferred Bank		572
	22	Republic Bancorp, Inc., Class A		605
	25	S&T Bancorp, Inc.		601
	30	Sandy Spring Bancorp, Inc.		869
	19	Sierra Bancorp		319
	85	Southside Bancshares, Inc.		2,624
	136	Southwest Bancorp, Inc.		2,308
	64	State Bank Financial Corp.		1,311
	21	Stock Yards Bancorp, Inc.		601
	20	Suffolk Bancorp		611
	44	Tompkins Financial Corp.		2,886
	29	TriState Capital Holdings, Inc. (a)		394
	397	Trustmark Corp.		9,875
	210	UMB Financial Corp.		11,169
	662	Umpqua Holdings Corp.		10,235
	451	Union Bankshares Corp.		11,136
	85	Valley National Bancorp		774
	43	Washington Trust Bancorp, Inc.		1,619
	125	Webster Financial Corp.		4,251
	44	West Bancorporation, Inc.		825
	386	Westamerica Bancorporation		18,995
	18	Western Alliance Bancorp (a)		572
	695	Wilshire Bancorp, Inc.		7,243
				305,423
		Capital Markets — 1.3%
	49	Arlington Asset Investment Corp., Class A		635
	810	Cowen Group, Inc., Class A (a)		2,398

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Capital Markets — continued
	183	Investment Technology Group, Inc.		3,065
	826	KCG Holdings, Inc., Class A (a)		10,980
	51	Oppenheimer Holdings, Inc., Class A		792
	138	Stifel Financial Corp. (a)		4,343
				22,213
		Consumer Finance — 0.7%
	175	Cash America International, Inc.		7,450
	176	EZCORP, Inc., Class A (a)		1,332
	101	Nelnet, Inc., Class A		3,523
				12,305
		Diversified Financial Services — 0.1%
	36	Marlin Business Services Corp.		592
		Insurance — 4.1%
	38	Arch Capital Group Ltd., (Bermuda) (a)		2,753
	152	Argo Group International Holdings Ltd., (Bermuda)		7,878
	783	CNO Financial Group, Inc.		13,668
	13	Global Indemnity plc, (Ireland) (a)		355
	82	Hallmark Financial Services (a)		949
	263	Horace Mann Educators Corp.		8,873
	975	MBIA, Inc. (a)		6,662
	40	Navigators Group, Inc. (The)		3,670
	286	Primerica, Inc.		16,377
	197	ProAssurance Corp.		10,528
				71,713
		Real Estate Investment Trusts (REITs) — 12.6%
	105	AG Mortgage Investment Trust, Inc.		1,516
	26	American Assets Trust, Inc.		1,095
	220	Apartment Investment & Management Co., Class A		9,716
	249	ARMOUR Residential REIT, Inc.		4,974
	1,000	Ashford Hospitality Trust, Inc.		5,369
	1,146	Capstead Mortgage Corp.		11,112
	405	CBL & Associates Properties, Inc.		3,766
	307	Cedar Realty Trust, Inc.		2,281
	93	CoreSite Realty Corp.		8,248
	2,165	CYS Investments, Inc.		18,124
	472	DCT Industrial Trust, Inc.		22,681
	356	DiamondRock Hospitality Co.		3,217
	78	DuPont Fabros Technology, Inc.		3,689
	74	EPR Properties		5,946
	794	FelCor Lodging Trust, Inc.		4,949
	141	First Industrial Realty Trust, Inc.		3,917
	546	First Potomac Realty Trust		5,020

SHARES		SECURITY DESCRIPTION	VALUE($)
		Real Estate Investment Trusts (REITs) — continued
	181	Franklin Street Properties Corp.		2,225
	163	Getty Realty Corp.		3,504
	82	Gladstone Commercial Corp.		1,378
	510	Government Properties Income Trust		11,756
	441	Gramercy Property Trust		4,061
	243	Hatteras Financial Corp.		3,987
	33	Highwoods Properties, Inc.		1,753
	178	Hospitality Properties Trust		5,126
	40	InfraREIT, Inc.		703
	136	Kite Realty Group Trust		3,807
	89	LaSalle Hotel Properties		2,092
	110	LTC Properties, Inc.		5,711
	142	Mack-Cali Realty Corp.		3,839
	16	Mid-America Apartment Communities, Inc.		1,710
	261	Monogram Residential Trust, Inc.		2,664
	144	Pebblebrook Hotel Trust		3,770
	335	Pennsylvania Real Estate Investment Trust		7,192
	271	Potlatch Corp.		9,241
	94	PS Business Parks, Inc.		9,972
	515	RAIT Financial Trust		1,613
	355	RLJ Lodging Trust		7,604
	13	Saul Centers, Inc.		821
	72	Silver Bay Realty Trust Corp.		1,233
	504	Sunstone Hotel Investors, Inc.		6,078
	15	Taubman Centers, Inc.		1,135
	87	Urstadt Biddle Properties, Inc., Class A		2,156
	10	Washington Real Estate Investment Trust		324
	7	WP Glimcher, Inc.		75
				221,150
		Real Estate Management & Development — 1.0%
	154	Alexander & Baldwin, Inc.		5,580
	507	Forestar Group, Inc. (a)		6,032
	365	St. Joe Co. (The) (a)		6,466
				18,078
		Thrifts & Mortgage Finance — 2.6%
	27	BankFinancial Corp.		323
	878	Beneficial Bancorp, Inc. (a)		11,170
	293	Charter Financial Corp.		3,888
	17	First Defiance Financial Corp.		676
	30	Fox Chase Bancorp, Inc.		614
	22	Kearny Financial Corp.		277
	368	Meridian Bancorp, Inc.		5,442
	661	Northfield Bancorp, Inc.		9,806
	10	OceanFirst Financial Corp.		178

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 33

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Thrifts & Mortgage Finance — continued
	101	Oritani Financial Corp.		1,617
	18	Territorial Bancorp, Inc.		468
	108	United Financial Bancorp, Inc.		1,407
	261	Walker & Dunlop, Inc. (a)		5,936
	99	Waterstone Financial, Inc.		1,519
	85	WSFS Financial Corp.		2,746
				46,067
		Total Financials		697,541
		Health Care — 5.1%
		Biotechnology — 1.3%
	40	ACADIA Pharmaceuticals, Inc. (a)		1,308
	69	Acorda Therapeutics, Inc. (a)		1,750
	9	Adverum Biotechnologies, Inc. (a)		28
	8	Applied Genetic Technologies Corp. (a)		113
	148	Ardelyx, Inc. (a)		1,289
	46	Cara Therapeutics, Inc. (a)		223
	15	Epizyme, Inc. (a)		150
	53	Five Prime Therapeutics, Inc. (a)		2,175
	1,976	Idera Pharmaceuticals, Inc. (a)		3,023
	17	Immune Design Corp. (a)		135
	50	Insmed, Inc. (a)		493
	7	Karyopharm Therapeutics, Inc. (a)		45
	17	MacroGenics, Inc. (a)		456
	87	NantKwest, Inc. (a)		543
	74	Radius Health, Inc. (a)		2,727
	720	Rigel Pharmaceuticals, Inc. (a)		1,605
	6	Sage Therapeutics, Inc. (a)		178
	89	Seres Therapeutics, Inc. (a)		2,580
	14	Ultragenyx Pharmaceutical, Inc. (a)		670
	158	Versartis, Inc. (a)		1,743
	125	Voyager Therapeutics, Inc. (a)		1,374
	17	Zafgen, Inc. (a)		99
				22,707
		Health Care Equipment & Supplies — 0.7%
	45	Halyard Health, Inc. (a)		1,453
	45	Inogen, Inc. (a)		2,255
	44	Meridian Bioscience, Inc.		862
	278	Quidel Corp. (a)		4,958
	104	SurModics, Inc. (a)		2,442
				11,970
		Health Care Providers & Services — 2.4%
	69	Addus HomeCare Corp. (a)		1,199
	98	Alliance HealthCare Services, Inc. (a)		610
	786	Community Health Systems, Inc. (a)		9,467

SHARES		SECURITY DESCRIPTION	VALUE($)
		Health Care Providers & Services — continued
	553	Cross Country Healthcare, Inc. (a)		7,696
	168	Molina Healthcare, Inc. (a)		8,393
	146	Owens & Minor, Inc.		5,443
	67	Surgical Care Affiliates, Inc. (a)		3,194
	174	Triple-S Management Corp., (Puerto Rico), Class B (a)		4,261
	17	WellCare Health Plans, Inc. (a)		1,845
				42,108
		Pharmaceuticals — 0.7%
	95	Amphastar Pharmaceuticals, Inc. (a)		1,533
	513	Endocyte, Inc. (a)		1,647
	168	Medicines Co. (The) (a)		5,650
	231	MyoKardia, Inc. (a)		2,862
	29	Revance Therapeutics, Inc. (a)		391
				12,083
		Total Health Care		88,868
		Industrials — 14.3%
		Aerospace & Defense — 2.3%
	286	AAR Corp.		6,684
	90	Curtiss-Wright Corp.		7,608
	947	DigitalGlobe, Inc. (a)		20,265
	96	Moog, Inc., Class A (a)		5,198
				39,755
		Air Freight & Logistics — 0.3%
	119	Atlas Air Worldwide Holdings, Inc. (a)		4,946
		Airlines — 0.3%
	94	Alaska Air Group, Inc.		5,456
		Building Products — 0.2%
	117	Gibraltar Industries, Inc. (a)		3,684
		Commercial Services & Supplies — 2.8%
	1,629	ACCO Brands Corp. (a)		16,822
	94	Ennis, Inc.		1,795
	182	Essendant, Inc.		5,568
	511	Quad/Graphics, Inc.		11,890
	73	VSE Corp.		4,863
	391	West Corp.		7,679
				48,617
		Construction & Engineering — 1.1%
	40	Argan, Inc.		1,673
	28	Comfort Systems USA, Inc.		915
	342	EMCOR Group, Inc.		16,862
				19,450

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Electrical Equipment — 0.1%
	210	General Cable Corp.		2,663
		Machinery — 3.2%
	107	AGCO Corp.		5,019
	301	Briggs & Stratton Corp.		6,371
	398	Douglas Dynamics, Inc.		10,238
	224	Federal Signal Corp.		2,879
	12	Graham Corp.		228
	54	Greenbrier Cos., Inc. (The)		1,559
	72	Hurco Cos., Inc.		2,007
	46	Hyster-Yale Materials Handling, Inc.		2,760
	412	Joy Global, Inc.		8,703
	113	Kadant, Inc.		5,836
	22	Kennametal, Inc.		478
	810	Wabash National Corp. (a)		10,288
				56,366
		Marine — 0.3%
	147	Matson, Inc.		4,737
		Professional Services — 2.2%
	216	Barrett Business Services, Inc.		8,922
	440	FTI Consulting, Inc. (a)		17,899
	84	Huron Consulting Group, Inc. (a)		5,076
	166	RPX Corp. (a)		1,523
	281	TriNet Group, Inc. (a)		5,842
				39,262
		Road & Rail — 0.6%
	5	AMERCO		1,873
	241	ArcBest Corp.		3,911
	269	USA Truck, Inc. (a)		4,712
				10,496
		Trading Companies & Distributors — 0.9%
	181	DXP Enterprises, Inc. (a)		2,701
	596	MRC Global, Inc. (a)		8,468
	32	SiteOne Landscape Supply, Inc. (a)		1,084
	327	Titan Machinery, Inc. (a)		3,642
				15,895
		Total Industrials		251,327
		Information Technology — 10.8%
		Communications Equipment — 1.4%
	88	Bel Fuse, Inc., Class B		1,568
	282	Black Box Corp.		3,684
	168	Comtech Telecommunications Corp.		2,161
	75	InterDigital, Inc.		4,193

SHARES		SECURITY DESCRIPTION	VALUE($)
		Communications Equipment — continued
	179	NETGEAR, Inc. (a)		8,509
	466	Polycom, Inc. (a)		5,238
				25,353
		Electronic Equipment, Instruments & Components — 3.0%
	748	Benchmark Electronics, Inc. (a)		15,820
	229	Insight Enterprises, Inc. (a)		5,941
	68	Sanmina Corp. (a)		1,829
	270	Tech Data Corp. (a)		19,385
	725	Vishay Intertechnology, Inc.		8,983
				51,958
		Internet Software & Services — 0.6%
	581	Bazaarvoice, Inc. (a)		2,328
	46	Benefitfocus, Inc. (a)		1,769
	695	EarthLink Holdings Corp.		4,449
	427	Monster Worldwide, Inc. (a)		1,020
	177	RetailMeNot, Inc. (a)		1,362
				10,928
		IT Services — 0.8%
	219	Convergys Corp.		5,470
	64	Datalink Corp. (a)		479
	39	EVERTEC, Inc., (Puerto Rico)		600
	1,122	Unisys Corp. (a)		8,170
				14,719
		Semiconductors & Semiconductor Equipment — 2.7%
	295	Advanced Energy Industries, Inc. (a)		11,191
	324	Alpha & Omega Semiconductor Ltd. (a)		4,519
	837	Amkor Technology, Inc. (a)		4,813
	316	Cohu, Inc.		3,427
	934	Cypress Semiconductor Corp.		9,849
	512	FormFactor, Inc. (a)		4,607
	229	IXYS Corp.		2,346
	84	Ultra Clean Holdings, Inc. (a)		476
	1,064	Xcerra Corp. (a)		6,119
				47,347
		Software — 2.3%
	69	Aspen Technology, Inc. (a)		2,760
	72	Fair Isaac Corp.		8,080
	93	Progress Software Corp. (a)		2,543
	667	Rovi Corp. (a)		10,429
	425	Take-Two Interactive Software, Inc. (a)		16,120
				39,932
		Total Information Technology		190,237

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 35

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Materials — 4.6%
		Chemicals — 1.8%
	98	American Vanguard Corp.		1,483
	169	Innophos Holdings, Inc.		7,142
	50	Innospec, Inc.		2,313
	117	Minerals Technologies, Inc.		6,663
	990	Rayonier Advanced Materials, Inc.		13,457
				31,058
		Containers & Packaging — 0.5%
	643	Graphic Packaging Holding Co.		8,059
	61	Myers Industries, Inc.		883
				8,942
		Metals & Mining — 1.8%
	279	Carpenter Technology Corp.		9,184
	348	Cliffs Natural Resources, Inc. (a)		1,974
	62	Olympic Steel, Inc.		1,691
	175	Ryerson Holding Corp. (a)		3,057
	224	Schnitzer Steel Industries, Inc., Class A		3,934
	262	Worthington Industries, Inc.		11,061
				30,901
		Paper & Forest Products — 0.5%
	111	Domtar Corp.		3,879
	148	Schweitzer-Mauduit International, Inc.		5,204
				9,083
		Total Materials		79,984
		Telecommunication Services — 0.7%
		Diversified Telecommunication Services — 0.7%
	558	Cincinnati Bell, Inc. (a)		2,551
	235	Intelsat S.A., (Luxembourg) (a)		607
	946	Windstream Holdings, Inc.		8,771
				11,929
		Wireless Telecommunication Services — 0.0% (g)
	39	Spok Holdings, Inc.		745
		Total Telecommunication Services		12,674
		Utilities — 7.3%
		Electric Utilities — 1.9%
	333	El Paso Electric Co.		15,731
	369	Portland General Electric Co.		16,298
	24	Spark Energy, Inc., Class A		803
				32,832
		Gas Utilities — 2.5%
	95	AGL Resources, Inc.		6,273
	160	Northwest Natural Gas Co.		10,378

SHARES		SECURITY DESCRIPTION	VALUE($)
		Gas Utilities — continued
	168	Southwest Gas Corp.		13,247
	199	Spire, Inc.		14,111
				44,009
		Independent Power & Renewable Electricity Producers — 0.8%
	2,285	Atlantic Power Corp.		5,667
	427	Dynegy, Inc. (a)		7,362
	50	Ormat Technologies, Inc.		2,192
				15,221
		Multi-Utilities — 1.4%
	278	Avista Corp.		12,437
	147	NorthWestern Corp.		9,265
	58	Unitil Corp.		2,466
				24,168
		Water Utilities — 0.7%
	181	American States Water Co.		7,909
	125	California Water Service Group		4,349
				12,258
		Total Utilities		128,488
		Total Common Stocks (Cost $1,527,985)		1,731,612
NUMBER OF WARRANTS
	Warrant — 0.0%
		Financials — 0.0%
		Consumer Finance — 0.0%
	3	Emergent Capital, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (Cost $—)		—
SHARES
	Short-Term Investment — 1.6%
		Investment Company — 1.6%
	27,554	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $27,554)		27,554
		Total Investments — 100.3% (Cost $1,555,539)		1,759,166
		Liabilities in Excess of Other Assets — (0.3)%		(5,834	)
		NET ASSETS — 100.0%	$	1,753,332

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

36 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	179	E-mini Russell 2000		09/16/16		USD	$	20,538	$	556

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 37

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.2%
		Consumer Discretionary — 13.3%
		Auto Components — 1.6%
	37	American Axle & Manufacturing Holdings, Inc. (a)		542
	426	Cooper Tire & Rubber Co.		12,715
	253	Dana Holding Corp.		2,672
	335	Stoneridge, Inc. (a)		5,003
	20	Tenneco, Inc. (a)		923
				21,855
		Diversified Consumer Services — 2.0%
	129	Ascent Capital Group, Inc., Class A (a)		1,991
	236	Houghton Mifflin Harcourt Co. (a)		3,692
	95	K12, Inc. (a)		1,189
	761	Regis Corp. (a)		9,472
	204	Strayer Education, Inc. (a)		10,037
				26,381
		Hotels, Restaurants & Leisure — 4.0%
	88	Bloomin’ Brands, Inc.		1,565
	174	Bob Evans Farms, Inc.		6,607
	38	Boyd Gaming Corp. (a)		692
	64	Diamond Resorts International, Inc. (a)		1,923
	9	DineEquity, Inc.		797
	23	Intrawest Resorts Holdings, Inc. (a)		296
	510	Isle of Capri Casinos, Inc. (a)		9,340
	130	Jack in the Box, Inc.		11,135
	293	La Quinta Holdings, Inc. (a)		3,345
	195	Red Rock Resorts, Inc., Class A (a)		4,290
	282	Ruby Tuesday, Inc. (a)		1,017
	386	Sonic Corp.		10,444
	87	Speedway Motorsports, Inc.		1,548
				52,999
		Household Durables — 0.7%
	44	CSS Industries, Inc.		1,180
	86	Leggett & Platt, Inc.		4,411
	62	NACCO Industries, Inc., Class A		3,494
				9,085
		Leisure Products — 0.1%
	158	JAKKS Pacific, Inc. (a)		1,252
		Media — 0.9%
	77	Nexstar Broadcasting Group, Inc., Class A		3,669
	284	Sinclair Broadcast Group, Inc., Class A		8,468
				12,137

SHARES		SECURITY DESCRIPTION	VALUE($)
		Multiline Retail — 0.6%
	137	Big Lots, Inc.		6,880
	16	Dillard’s, Inc., Class A		994
				7,874
		Specialty Retail — 3.2%
	259	Abercrombie & Fitch Co., Class A		4,608
	200	Children’s Place, Inc. (The)		16,020
	383	Outerwall, Inc.		16,064
	990	Pier 1 Imports, Inc.		5,088
				41,780
		Textiles, Apparel & Luxury Goods — 0.2%
	96	Movado Group, Inc.		2,077
		Total Consumer Discretionary		175,440
		Consumer Staples — 3.0%
		Food & Staples Retailing — 0.4%
	92	Ingles Markets, Inc., Class A		3,435
	70	US Foods Holding Corp. (a)		1,690
				5,125
		Food Products — 2.2%
	918	Darling Ingredients, Inc. (a)		13,684
	263	Dean Foods Co.		4,759
	168	Pilgrim’s Pride Corp.		4,286
	50	Post Holdings, Inc. (a)		4,151
	21	Sanderson Farms, Inc.		1,854
	20	Seneca Foods Corp., Class A (a)		739
				29,473
		Personal Products — 0.1%
	18	Herbalife Ltd. (a)		1,054
	14	Medifast, Inc.		452
				1,506
		Tobacco — 0.3%
	52	Universal Corp.		3,014
		Total Consumer Staples		39,118
		Energy — 3.3%
		Energy Equipment & Services — 0.9%
	64	Archrock, Inc.		604
	318	Parker Drilling Co. (a)		729
	267	Pioneer Energy Services Corp. (a)		1,230
	109	SEACOR Holdings, Inc. (a)		6,316
	289	Seadrill Ltd., (United Kingdom) (a)		936
	123	Unit Corp. (a)		1,911
				11,726

SEE NOTES TO FINANCIAL STATEMENTS.

38 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Oil, Gas & Consumable Fuels — 2.4%
	16	Adams Resources & Energy, Inc.		616
	1,076	Bill Barrett Corp. (a)		6,873
	1,344	Denbury Resources, Inc.		4,825
	21	EP Energy Corp., Class A (a)		109
	61	Renewable Energy Group, Inc. (a)		538
	257	REX American Resources Corp. (a)		15,346
	330	Sanchez Energy Corp. (a)		2,330
	40	Western Refining, Inc.		817
				31,454
		Total Energy		43,180
		Financials — 24.2%
		Banks — 8.6%
	57	1st Source Corp.		1,858
	83	BancFirst Corp.		5,019
	221	BancorpSouth, Inc.		5,010
	26	Banner Corp.		1,106
	73	BBCN Bancorp, Inc.		1,082
	227	Capital Bank Financial Corp., Class A		6,543
	86	Cathay General Bancorp		2,434
	337	Central Pacific Financial Corp.		7,944
	20	Central Valley Community Bancorp		283
	34	Chemical Financial Corp.		1,264
	23	Citizens & Northern Corp.		455
	55	City Holding Co.		2,496
	59	CoBiz Financial, Inc.		687
	373	CVB Financial Corp.		6,105
	4	East West Bancorp, Inc.		138
	396	FCB Financial Holdings, Inc., Class A (a)		13,464
	421	First Commonwealth Financial Corp.		3,869
	24	First Community Bancshares, Inc.		541
	7	First Financial Bancorp		134
	25	First Interstate BancSystem, Inc., Class A		705
	73	Flushing Financial Corp.		1,457
	136	FNB Corp.		1,705
	93	Fulton Financial Corp.		1,251
	58	Great Western Bancorp, Inc.		1,817
	36	Guaranty Bancorp		608
	36	Independent Bank Corp.		518
	242	Investors Bancorp, Inc.		2,685
	29	MainSource Financial Group, Inc.		631
	232	OFG Bancorp, (Puerto Rico)		1,926
	59	PacWest Bancorp		2,351
	72	Park Sterling Corp.		511
	25	Sierra Bancorp		417
	35	Simmons First National Corp., Class A		1,626

SHARES		SECURITY DESCRIPTION	VALUE($)
		Banks — continued
	17	Southside Bancshares, Inc.		523
	18	Southwest Bancorp, Inc.		310
	116	Suffolk Bancorp		3,619
	222	TCF Financial Corp.		2,810
	76	Trustmark Corp.		1,891
	34	UMB Financial Corp.		1,804
	312	Union Bankshares Corp.		7,702
	21	Webster Financial Corp.		696
	82	West Bancorporation, Inc.		1,521
	255	Westamerica Bancorporation		12,542
	148	Wilshire Bancorp, Inc.		1,538
				113,596
		Capital Markets — 0.5%
	237	Cowen Group, Inc., Class A (a)		702
	32	Federated Investors, Inc., Class B		909
	156	Investment Technology Group, Inc.		2,602
	174	KCG Holdings, Inc., Class A (a)		2,313
				6,526
		Consumer Finance — 0.6%
	56	Cash America International, Inc.		2,370
	10	Credit Acceptance Corp. (a)		1,777
	223	EZCORP, Inc., Class A (a)		1,682
	73	Nelnet, Inc., Class A		2,519
				8,348
		Diversified Financial Services — 0.9%
	64	Bats Global Markets, Inc. (a)		1,655
	72	MarketAxess Holdings, Inc.		10,512
				12,167
		Insurance — 2.2%
	16	Ambac Financial Group, Inc. (a)		265
	146	American Equity Investment Life Holding Co.		2,078
	25	Aspen Insurance Holdings Ltd., (Bermuda)		1,159
	331	CNO Financial Group, Inc.		5,777
	56	First American Financial Corp.		2,252
	20	Global Indemnity plc, (Ireland) (a)		562
	71	Kemper Corp.		2,206
	96	MBIA, Inc. (a)		656
	48	Navigators Group, Inc. (The)		4,387
	88	Primerica, Inc.		5,060
	75	ProAssurance Corp.		4,027
	14	Stewart Information Services Corp.		563
				28,992

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 39

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Real Estate Investment Trusts (REITs) — 8.4%
	95	American Assets Trust, Inc.		4,045
	14	Armada Hoffler Properties, Inc.		185
	41	Ashford Hospitality Trust, Inc.		219
	607	Capstead Mortgage Corp.		5,885
	104	CBL & Associates Properties, Inc.		970
	189	CoreSite Realty Corp.		16,762
	69	CubeSmart		2,125
	21	CyrusOne, Inc.		1,152
	1,380	CYS Investments, Inc.		11,554
	82	DCT Industrial Trust, Inc.		3,956
	102	DiamondRock Hospitality Co.		918
	45	EastGroup Properties, Inc.		3,095
	5	EPR Properties		387
	26	Equity LifeStyle Properties, Inc.		2,089
	22	Equity One, Inc.		705
	51	First Industrial Realty Trust, Inc.		1,422
	88	Franklin Street Properties Corp.		1,083
	20	Gladstone Commercial Corp.		339
	96	Government Properties Income Trust		2,221
	128	Gramercy Property Trust		1,177
	179	Hersha Hospitality Trust		3,063
	38	Highwoods Properties, Inc.		2,017
	104	Hospitality Properties Trust		3,001
	164	LTC Properties, Inc.		8,468
	92	Mack-Cali Realty Corp.		2,487
	90	Monogram Residential Trust, Inc.		922
	13	National Retail Properties, Inc.		667
	54	Pennsylvania Real Estate Investment Trust		1,158
	42	Post Properties, Inc.		2,564
	143	Potlatch Corp.		4,883
	18	PS Business Parks, Inc.		1,920
	188	Ramco-Gershenson Properties Trust		3,691
	490	RLJ Lodging Trust		10,511
	50	Saul Centers, Inc.		3,086
	23	Silver Bay Realty Trust Corp.		388
	33	Summit Hotel Properties, Inc.		433
	34	Taubman Centers, Inc.		2,515
				112,063
		Real Estate Management & Development — 0.5%
	31	Alexander & Baldwin, Inc.		1,113
	420	Forestar Group, Inc. (a)		4,989
	20	St. Joe Co. (The) (a)		356
				6,458

SHARES		SECURITY DESCRIPTION	VALUE($)
		Thrifts & Mortgage Finance — 2.5%
	19	BankFinancial Corp.		223
	388	Beneficial Bancorp, Inc. (a)		4,937
	20	Capitol Federal Financial, Inc.		279
	72	Charter Financial Corp.		952
	20	First Defiance Financial Corp.		769
	597	Meridian Bancorp, Inc.		8,819
	227	MGIC Investment Corp. (a)		1,348
	218	NMI Holdings, Inc., Class A (a)		1,193
	584	Northfield Bancorp, Inc.		8,662
	158	Oritani Financial Corp.		2,531
	133	Walker & Dunlop, Inc. (a)		3,019
				32,732
		Total Financials		320,882
		Health Care — 13.1%
		Biotechnology — 4.5%
	129	ACADIA Pharmaceuticals, Inc. (a)		4,181
	91	Adamas Pharmaceuticals, Inc. (a)		1,370
	15	Aduro Biotech, Inc. (a)		171
	92	Aimmune Therapeutics, Inc. (a)		990
	160	Amicus Therapeutics, Inc. (a)		875
	8	Applied Genetic Technologies Corp. (a)		112
	31	Ardelyx, Inc. (a)		271
	335	Arrowhead Pharmaceuticals, Inc. (a)		1,784
	52	Atara Biotherapeutics, Inc. (a)		1,175
	30	Avexis, Inc. (a)		1,137
	132	Bellicum Pharmaceuticals, Inc. (a)		1,716
	35	Blueprint Medicines Corp. (a)		713
	87	Cara Therapeutics, Inc. (a)		417
	38	Chimerix, Inc. (a)		148
	72	Coherus Biosciences, Inc. (a)		1,221
	92	Dimension Therapeutics, Inc. (a)		554
	101	Edge Therapeutics, Inc. (a)		1,021
	84	FibroGen, Inc. (a)		1,374
	96	Flexion Therapeutics, Inc. (a)		1,434
	90	Global Blood Therapeutics, Inc. (a)		1,491
	123	Halozyme Therapeutics, Inc. (a)		1,063
	52	Heron Therapeutics, Inc. (a)		935
	183	Idera Pharmaceuticals, Inc. (a)		280
	134	Immune Design Corp. (a)		1,093
	189	Infinity Pharmaceuticals, Inc. (a)		252
	27	Intellia Therapeutics, Inc. (a)		585
	147	Karyopharm Therapeutics, Inc. (a)		986
	12	Kite Pharma, Inc. (a)		615
	62	MacroGenics, Inc. (a)		1,673
	49	Mirati Therapeutics, Inc. (a)		265

SEE NOTES TO FINANCIAL STATEMENTS.

40 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Biotechnology — continued
	99	Neurocrine Biosciences, Inc. (a)		4,513
	41	Ophthotech Corp. (a)		2,082
	49	Portola Pharmaceuticals, Inc. (a)		1,145
	54	Proteostasis Therapeutics, Inc. (a)		657
	75	Prothena Corp. plc, (Ireland) (a)		2,632
	298	PTC Therapeutics, Inc. (a)		2,095
	19	Puma Biotechnology, Inc. (a)		560
	53	Radius Health, Inc. (a)		1,933
	55	Sage Therapeutics, Inc. (a)		1,663
	132	Selecta Biosciences, Inc. (a)		1,845
	43	Seres Therapeutics, Inc. (a)		1,235
	19	Spark Therapeutics, Inc. (a)		982
	639	Synergy Pharmaceuticals, Inc. (a)		2,429
	83	Tokai Pharmaceuticals, Inc. (a)		458
	45	Ultragenyx Pharmaceutical, Inc. (a)		2,206
	54	Versartis, Inc. (a)		594
	147	Xencor, Inc. (a)		2,782
	11	Zafgen, Inc. (a)		68
				59,781
		Health Care Equipment & Supplies — 2.5%
	184	Inogen, Inc. (a)		9,240
	35	NuVasive, Inc. (a)		2,078
	113	Orthofix International N.V. (a)		4,783
	9	Penumbra, Inc. (a)		506
	350	Quidel Corp. (a)		6,242
	184	SurModics, Inc. (a)		4,323
	20	Utah Medical Products, Inc.		1,235
	244	Wright Medical Group N.V., (Netherlands) (a)		4,229
				32,636
		Health Care Providers & Services — 4.6%
	141	Alliance HealthCare Services, Inc. (a)		877
	56	American Renal Associates Holdings, Inc. (a)		1,608
	71	Amsurg Corp. (a)		5,474
	239	Civitas Solutions, Inc. (a)		4,976
	897	Community Health Systems, Inc. (a)		10,811
	503	Cross Country Healthcare, Inc. (a)		7,002
	66	Landauer, Inc.		2,708
	155	Molina Healthcare, Inc. (a)		7,755
	228	Owens & Minor, Inc.		8,504
	107	Surgical Care Affiliates, Inc. (a)		5,105
	102	Triple-S Management Corp., (Puerto Rico), Class B (a)		2,485
	34	WellCare Health Plans, Inc. (a)		3,594
				60,899

SHARES		SECURITY DESCRIPTION	VALUE($)
		Health Care Technology — 0.2%
	169	HMS Holdings Corp. (a)		2,967
		Life Sciences Tools & Services — 0.3%
	25	Cambrex Corp. (a)		1,314
	63	INC Research Holdings, Inc., Class A (a)		2,410
				3,724
		Pharmaceuticals — 1.0%
	100	Amphastar Pharmaceuticals, Inc. (a)		1,609
	129	Axsome Therapeutics, Inc. (a)		975
	52	Intra-Cellular Therapies, Inc. (a)		2,011
	54	Pacira Pharmaceuticals, Inc. (a)		1,804
	30	Prestige Brands Holdings, Inc. (a)		1,679
	107	Reata Pharmaceuticals, Inc., Class A (a)		2,121
	61	Relypsa, Inc. (a)		1,123
	75	Revance Therapeutics, Inc. (a)		1,021
	200	TherapeuticsMD, Inc. (a)		1,699
				14,042
		Total Health Care		174,049
		Industrials — 13.8%
		Aerospace & Defense — 2.1%
	113	AAR Corp.		2,628
	68	Curtiss-Wright Corp.		5,754
	772	DigitalGlobe, Inc. (a)		16,511
	63	Moog, Inc., Class A (a)		3,376
				28,269
		Air Freight & Logistics — 0.2%
	46	Atlas Air Worldwide Holdings, Inc. (a)		1,897
		Airlines — 0.5%
	115	Alaska Air Group, Inc.		6,680
		Building Products — 0.8%
	209	Continental Building Products, Inc. (a)		4,642
	127	Gibraltar Industries, Inc. (a)		4,009
	158	Ply Gem Holdings, Inc. (a)		2,302
				10,953
		Commercial Services & Supplies — 3.0%
	1,289	ACCO Brands Corp. (a)		13,314
	107	Deluxe Corp.		7,095
	238	Ennis, Inc.		4,570
	189	Essendant, Inc.		5,764
	66	Interface, Inc.		999
	58	VSE Corp.		3,841
	200	West Corp.		3,926
				39,509

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 41

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Construction & Engineering — 1.0%
	222	EMCOR Group, Inc.		10,945
	118	MasTec, Inc. (a)		2,625
				13,570
		Machinery — 2.2%
	258	Actuant Corp., Class A		5,838
	327	Briggs & Stratton Corp.		6,924
	314	Douglas Dynamics, Inc.		8,087
	12	Graham Corp.		217
	39	Hurco Cos., Inc.		1,094
	23	Hyster-Yale Materials Handling, Inc.		1,351
	18	Joy Global, Inc.		383
	72	Kadant, Inc.		3,698
	26	Kennametal, Inc.		579
	52	Wabash National Corp. (a)		655
				28,826
		Marine — 0.7%
	273	Matson, Inc.		8,822
		Professional Services — 1.3%
	136	Barrett Business Services, Inc.		5,621
	41	Franklin Covey Co. (a)		628
	52	Huron Consulting Group, Inc. (a)		3,112
	32	TriNet Group, Inc. (a)		665
	122	WageWorks, Inc. (a)		7,273
				17,299
		Road & Rail — 0.7%
	116	ArcBest Corp.		1,880
	123	Swift Transportation Co. (a)		1,891
	293	USA Truck, Inc. (a)		5,132
				8,903
		Trading Companies & Distributors — 1.3%
	75	Applied Industrial Technologies, Inc.		3,394
	166	DXP Enterprises, Inc. (a)		2,478
	383	MRC Global, Inc. (a)		5,440
	120	NOW, Inc. (a)		2,175
	24	SiteOne Landscape Supply, Inc. (a)		816
	309	Titan Machinery, Inc. (a)		3,450
				17,753
		Total Industrials		182,481
		Information Technology — 17.8%
		Communications Equipment — 2.6%
	94	Bel Fuse, Inc., Class B		1,673
	58	Black Box Corp.		753

SHARES		SECURITY DESCRIPTION	VALUE($)
		Communications Equipment — continued
	591	Harmonic, Inc. (a)		1,686
	120	InterDigital, Inc.		6,704
	116	NETGEAR, Inc. (a)		5,524
	185	Plantronics, Inc.		8,149
	258	Polycom, Inc. (a)		2,897
	186	Ubiquiti Networks, Inc. (a)		7,206
				34,592
		Electronic Equipment, Instruments & Components — 2.4%
	221	Benchmark Electronics, Inc. (a)		4,679
	19	Coherent, Inc. (a)		1,716
	41	Insight Enterprises, Inc. (a)		1,071
	1,312	InvenSense, Inc. (a)		8,040
	135	Sanmina Corp. (a)		3,630
	162	Tech Data Corp. (a)		11,654
	97	Vishay Intertechnology, Inc.		1,202
				31,992
		Internet Software & Services — 2.8%
	2,161	Bazaarvoice, Inc. (a)		8,665
	736	EarthLink Holdings Corp.		4,710
	195	Marchex, Inc., Class B (a)		619
	183	MINDBODY, Inc., Class A (a)		2,957
	259	RetailMeNot, Inc. (a)		1,997
	88	Twilio, Inc., Class A (a)		3,219
	291	Web.com Group, Inc. (a)		5,297
	77	WebMD Health Corp. (a)		4,498
	397	Xactly Corp. (a)		5,082
				37,044
		IT Services — 1.8%
	209	Convergys Corp.		5,232
	220	CSG Systems International, Inc.		8,884
	26	Euronet Worldwide, Inc. (a)		1,806
	34	EVERTEC, Inc., (Puerto Rico)		527
	62	Science Applications International Corp.		3,618
	493	Unisys Corp. (a)		3,589
				23,656
		Semiconductors & Semiconductor Equipment — 2.5%
	14	Acacia Communications, Inc. (a)		551
	187	Advanced Energy Industries, Inc. (a)		7,114
	320	Alpha & Omega Semiconductor Ltd. (a)		4,456
	430	Cohu, Inc.		4,663
	303	Integrated Device Technology, Inc. (a)		6,093
	296	Intersil Corp., Class A		4,012
	19	Silicon Laboratories, Inc. (a)		906

SEE NOTES TO FINANCIAL STATEMENTS.

42 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	57	Tessera Technologies, Inc.		1,759
	621	Xcerra Corp. (a)		3,570
				33,124
		Software — 5.7%
	188	ACI Worldwide, Inc. (a)		3,672
	362	Aspen Technology, Inc. (a)		14,559
	177	AVG Technologies N.V., (Netherlands) (a)		3,367
	134	Barracuda Networks, Inc. (a)		2,027
	80	Fair Isaac Corp.		8,996
	48	Manhattan Associates, Inc. (a)		3,078
	263	Mentor Graphics Corp.		5,600
	32	Progress Software Corp. (a)		887
	52	Qualys, Inc. (a)		1,547
	65	Rapid7, Inc. (a)		814
	624	Rovi Corp. (a)		9,751
	494	Take-Two Interactive Software, Inc. (a)		18,725
	127	VASCO Data Security International, Inc. (a)		2,073
				75,096
		Total Information Technology		235,504
		Materials — 3.8%
		Chemicals — 1.8%
	84	Innophos Holdings, Inc.		3,541
	67	Koppers Holdings, Inc. (a)		2,068
	112	Minerals Technologies, Inc.		6,350
	258	OMNOVA Solutions, Inc. (a)		1,871
	450	Rayonier Advanced Materials, Inc.		6,117
	79	Trinseo S.A. (a)		3,409
				23,356
		Containers & Packaging — 0.8%
	60	Berry Plastics Group, Inc. (a)		2,312
	678	Graphic Packaging Holding Co.		8,496
	31	Myers Industries, Inc.		452
				11,260
		Metals & Mining — 1.1%
	53	Carpenter Technology Corp.		1,732
	50	Commercial Metals Co.		850
	74	Olympic Steel, Inc.		2,024
	131	Ryerson Holding Corp. (a)		2,292
	174	Worthington Industries, Inc.		7,348
				14,246
		Paper & Forest Products — 0.1%
	41	Domtar Corp.		1,428
		Total Materials		50,290

SHARES		SECURITY DESCRIPTION	VALUE($)
		Telecommunication Services — 1.0%
		Diversified Telecommunication Services — 1.0%
	1,089	Cincinnati Bell, Inc. (a)		4,975
	25	General Communication, Inc., Class A (a)		387
	85	Vonage Holdings Corp. (a)		520
	782	Windstream Holdings, Inc.		7,245
		Total Telecommunication Services		13,127
		Utilities — 3.9%
		Electric Utilities — 1.3%
	104	El Paso Electric Co.		4,930
	77	PNM Resources, Inc.		2,733
	155	Portland General Electric Co.		6,821
	80	Spark Energy, Inc., Class A		2,644
				17,128
		Gas Utilities — 0.9%
	48	AGL Resources, Inc.		3,157
	52	Southwest Gas Corp.		4,109
	61	Spire, Inc.		4,335
				11,601
		Independent Power & Renewable Electricity Producers — 0.8%
	1,181	Atlantic Power Corp.		2,929
	416	Dynegy, Inc. (a)		7,179
	18	Ormat Technologies, Inc.		792
				10,900
		Multi-Utilities — 0.2%
	26	Avista Corp.		1,160
	28	NorthWestern Corp.		1,791
				2,951
		Water Utilities — 0.7%
	221	American States Water Co.		9,684
		Total Utilities		52,264
		Total Common Stocks (Cost $1,215,698)		1,286,335
NUMBER OF RIGHTS
	Rights — 0.0%
		Health Care — 0.0%
		Biotechnology — 0.0%
	63	Trius Therapeutics, Inc. CVR (a) (Cost $—)		—

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 43

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

NUMBER OF WARRANTS			SECURITY DESCRIPTION	VALUE($)
	Warrant — 0.0%
			Financials — 0.0%
			Consumer Finance — 0.0%
	—	(h)	Emergent Capital, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (Cost $—)		—

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 2.5%
		Investment Company — 2.5%
	32,546	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $32,546)		32,546
		Total Investments — 99.7% (Cost $1,248,244)		1,318,881
		Other Assets in Excess of Liabilities — 0.3%		4,431
		NET ASSETS — 100.0%	$	1,323,312

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	310	E-mini Russell 2000		09/16/16		USD	$	35,569	$	521

SEE NOTES TO FINANCIAL STATEMENTS.

44 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

JPMorgan Small Cap Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

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 (shares or number of warrants).
(l)	—  The rate shown is the current yield as of June 30, 2016.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 45

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016

(Amounts in thousands, except per share amounts)

	Dynamic Small Cap Growth Fund			Small Cap Core Fund			Small Cap Equity Fund
ASSETS:
Investments in non-affiliates, at value	$	150,488		$	157,459		$	3,295,327
Investments in affiliates, at value		3,180			5,966			138,079
Total investment securities, at value		153,668			163,425			3,433,406
Deposits at broker for futures contracts		—			455			—
Due from custodian		—			—			2,580
Receivables:
Investment securities sold		975			1,464			—
Fund shares sold		94			95			18,960
Dividends from non-affiliates		84			200			3,737
Dividends from affiliates		—	(a)		1			50
Variation margin on futures contracts		—			114			—
Total Assets		154,821			165,754			3,458,733
LIABILITIES:
Payables:
Due to custodian		—			11			—
Investment securities purchased		1,326			621			3,984
Fund shares redeemed		276			263			1,776
Accrued liabilities:
Investment advisory fees		57			76			1,747
Administration fees		—			3			220
Distribution fees		32			—	(a)		186
Shareholder servicing fees		25			35			888
Custodian and accounting fees		9			10			21
Trustees’ and Chief Compliance Officer’s fees		—	(a)		—	(a)		3
Sub-transfer agency fees		69			77			650
Other		121			22			328
Total Liabilities		1,915			1,118			9,803
Net Assets	$	152,906		$	164,636		$	3,448,930

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

46 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

	Dynamic Small Cap Growth Fund			Small Cap Core Fund			Small Cap Equity Fund
NET ASSETS:
Paid-in-Capital	$	106,522		$	121,320		$	2,458,361
Accumulated undistributed (distributions in excess of) net investment income		(658	)		(31	)		8,726
Accumulated net realized gains (losses)		7,688			10,400			115,255
Net unrealized appreciation (depreciation)		39,354			32,947			866,588
Total Net Assets	$	152,906		$	164,636		$	3,448,930
Net Assets:
Class A	$	55,583		$	23		$	736,629
Class C		32,734			20			70,176
Class R2		—			—			5,313
Class R5		—			—			1,349,107
Class R6		—			20			25,933
Select Class		64,589			164,573			1,261,772
Total	$	152,906		$	164,636		$	3,448,930
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		2,904			1			17,673
Class C		2,102			1			2,179
Class R2		—			—			129
Class R5		—			—			28,361
Class R6		—			1			545
Select Class		3,051			3,585			26,566
Net Asset Value (a):
Class A —Redemption price per share	$	19.14		$	45.88		$	41.68
Class C — Offering price per share (b)		15.58			45.86			32.21
Class R2 —Offering and redemption price per share		—			—			41.08
Class R5 —Offering and redemption price per share		—			—			47.57
Class R6 —Offering and redemption price per share		—			45.90			47.57
Select Class — Offering and redemption price per share		21.17			45.90			47.50
Class A maximum sales charge		5.25	%		5.25	%		5.25	%
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)]	$	20.20		$	48.42		$	43.99
Cost of investments in non-affiliates	$	111,134		$	124,597		$	2,428,739
Cost of investments in affiliates		3,180			5,966			138,079

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 47

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except per share amounts)

	Small Cap Growth Fund		Small Cap Value Fund			U.S. Small Company Fund
ASSETS:
Investments in non-affiliates, at value	$	1,018,200	$	1,731,612		$	1,286,335
Investments in affiliates, at value		22,619		27,554			32,546
Total investment securities, at value		1,040,819		1,759,166			1,318,881
Cash		43		—			—
Deposits at broker for futures contracts		—		1,168			1,395
Due from custodian		—		1,518			—
Receivables:
Investment securities sold		6,596		7,775			5,960
Fund shares sold		594		1,813			2,127
Dividends from non-affiliates		569		3,377			1,697
Dividends from affiliates		4		9			15
Variation margin on futures contracts		—		328			511
Total Assets		1,048,625		1,775,154			1,330,586
LIABILITIES:
Payables:
Due to custodian		—		—	(a)		—
Investment securities purchased		8,998		16,938			4,855
Fund shares redeemed		1,377		2,765			1,037
Accrued liabilities:
Investment advisory fees		522		926			632
Administration fees		69		117			88
Distribution fees		57		158			89
Shareholder servicing fees		42		64			56
Custodian and accounting fees		9		13			23
Trustees’ and Chief Compliance Officer’s fees		1		—	(a)		1
Sub-transfer agency fees		287		581			343
Other		125		260			150
Total Liabilities		11,487		21,822			7,274
Net Assets	$	1,037,138	$	1,753,332		$	1,323,312

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

48 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

	Small Cap Growth Fund			Small Cap Value Fund			U.S. Small Company Fund
NET ASSETS:
Paid-in-Capital	$	883,407		$	1,579,895		$	1,296,896
Accumulated undistributed (distributions in excess of) net investment income		(1,912	)		2,643			2,547
Accumulated net realized gains (losses)		(17,472	)		(33,389	)		(47,289	)
Net unrealized appreciation (depreciation)		173,115			204,183			71,158
Total Net Assets	$	1,037,138		$	1,753,332		$	1,323,312
Net Assets:
Class A	$	179,093		$	551,313		$	226,309
Class C		18,218			41,161			45,932
Class R2		21,276			47,309			34,326
Class R5		—			96,674			—
Class R6		445,008			753,439			139,835
Institutional Class		271,369			—			587,279
Select Class		102,174			263,436			289,631
Total	$	1,037,138		$	1,753,332		$	1,323,312
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class A		15,662			22,374			14,996
Class C		2,067			1,977			3,152
Class R2		1,908			1,932			2,307
Class R5		—			3,723			—
Class R6		34,763			28,986			9,080
Institutional Class		21,342			—			38,161
Select Class		8,226			10,144			18,809
Net Asset Value (a):
Class A — Redemption price per share	$	11.43		$	24.64		$	15.09
Class C — Offering price per share (b)		8.82			20.82			14.57
Class R2 — Offering and redemption price per share		11.15			24.48			14.88
Class R5 — Offering and redemption price per share		—			25.97			—
Class R6 — Offering and redemption price per share		12.80			25.99			15.40
Institutional Class — Offering and redemption price per share		12.72			—			15.39
Select Class — Offering and redemption price per share		12.42			25.97			15.40
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)]	$	12.06		$	26.01		$	15.93
Cost of investments in non-affiliates	$	845,085		$	1,527,985		$	1,215,698
Cost of investments in affiliates		22,619			27,554			32,546

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 49

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2016

(Amounts in thousands)

	Dynamic Small Cap Growth Fund			Small Cap Core Fund			Small Cap Equity Fund
INVESTMENT INCOME:
Dividend income from non-affiliates	$	1,418		$	5,037		$	48,318
Dividend income from affiliates		7			14			317
Total investment income		1,425			5,051			48,635
EXPENSES:
Investment advisory fees		2,065			2,989			20,213
Administration fees		260			377			2,549
Distribution fees:
Class A (a)		152			—	(b)		1,737
Class C (a)		291			—	(b)		302
Class R2		—			—			16
Shareholder servicing fees:
Class A (a)		152			—	(b)		1,737
Class C (a)		97			—	(b)		101
Class R2		—			—			8
Class R5		—			—			613
Select Class		545			1,150			2,861
Custodian and accounting fees		41			63			96
Interest expense to affiliates		—	(b)		—			—	(b)
Professional fees		51			52			77
Trustees’ and Chief Compliance Officer’s fees		9			10			31
Printing and mailing costs		137			91			558
Registration and filing fees		39			32			129
Transfer agency fees (See Note 2.D.)		29			15			86
Sub-transfer agency fees (See Note 2.D.)		229			533			2,888
Other		8			8			30
Total expenses		4,105			5,320			34,032
Less fees waived		(497	)		(1,658	)		(3,179	)
Less expense reimbursements		(1	)		(8	)		(50	)
Net expenses		3,607			3,654			30,803
Net investment income (loss)		(2,182	)		1,397			17,832
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		27,057			69,611			399,193
Futures		1,130			(2,237	)		—
Net realized gain (loss)		28,187			67,374			399,193
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(117,590	)		(152,376	)		(343,741	)
Futures		—			453			—
Change in net unrealized appreciation/depreciation		(117,590	)		(151,923	)		(343,741	)
Net realized/unrealized gains (losses)		(89,403	)		(84,549	)		55,452
Change in net assets resulting from operations	$	(91,585	)	$	(83,152	)	$	73,284

(a) Commencement of offering of class of shares effective May 31, 2016 for Small Cap Core Fund.

(b) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

50 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

	Small Cap Growth Fund			Small Cap Value Fund			U.S. Small Company Fund
INVESTMENT INCOME:
Dividend income from non-affiliates	$	5,300		$	33,915		$	15,756
Dividend income from affiliates		36			95			98
Total investment income		5,336			34,010			15,854
EXPENSES:
Investment advisory fees		7,091			11,398			6,644
Administration fees		894			1,437			908
Distribution fees:
Class A		531			1,356			577
Class C		158			325			333
Class R2		116			227			139
Shareholder servicing fees:
Class A		531			1,356			577
Class C		53			108			111
Class R2		58			114			70
Class R5		—			48			—
Institutional Class		264			—			431
Select Class		294			851			658
Custodian and accounting fees		50			102			103
Professional fees		56			59			65
Trustees’ and Chief Compliance Officer’s fees		14			18			14
Printing and mailing costs		94			255			133
Registration and filing fees		119			162			196
Transfer agency fees (See Note 2.D.)		77			428			75
Sub-transfer agency fees (See Note 2.D.)		976			1,894			1,217
Other		15			35			13
Total expenses		11,391			20,173			12,264
Less fees waived		(1,151	)		(2,095	)		(1,157	)
Less expense reimbursements		(87	)		(344	)		(30	)
Net expenses		10,153			17,734			11,077
Net investment income (loss)		(4,817	)		16,276			4,777
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		3,683			(6,282	)		(26,400	)
Futures		—			(5,339	)		747
Net realized gain (loss)		3,683			(11,621	)		(25,653	)
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(172,393	)		(53,206	)		(38,055	)
Futures		—			963			756
Change in net unrealized appreciation/depreciation		(172,393	)		(52,243	)		(37,299	)
Net realized/unrealized gains (losses)		(168,710	)		(63,864	)		(62,952	)
Change in net assets resulting from operations	$	(173,527	)	$	(47,588	)	$	(58,175	)

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 51

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Dynamic Small Cap Growth Fund						Small Cap Core Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	(2,182	)	$	(3,624	)	$	1,397		$	4,900
Net realized gain (loss)		28,187			60,975			67,374			75,637
Change in net unrealized appreciation/depreciation		(117,590	)		8,299			(151,923	)		(30,546	)
Change in net assets resulting from operations		(91,585	)		65,650			(83,152	)		49,991
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net realized gains		(8,870	)		(5,692	)		—			—
Class B (a)
From net realized gains		—			(37	)		—			—
Class C
From net realized gains		(6,681	)		(4,687	)		—			—
Select Class
From net investment income		—			—			(4,787	)		(1,375	)
From net realized gains		(40,293	)		(32,531	)		(69,898	)		(72,101	)
Total distributions to shareholders		(55,844	)		(42,947	)		(74,685	)		(73,476	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		(209,461	)		(72,931	)		(493,179	)		135,830
NET ASSETS:
Change in net assets		(356,890	)		(50,228	)		(651,016	)		112,345
Beginning of period		509,796			560,024			815,652			703,307
End of period	$	152,906		$	509,796		$	164,636		$	815,652
Accumulated undistributed (distributions in excess of) net investment income	$	(658	)	$	(1,638	)	$	(31	)	$	3,671

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

SEE NOTES TO FINANCIAL STATEMENTS.

52 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

	Small Cap Equity Fund						Small Cap Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	17,832		$	16,019		$	(4,817	)	$	(6,112	)
Net realized gain (loss)		399,193			217,676			3,683			105,332
Change in net unrealized appreciation/depreciation		(343,741	)		22,116			(172,393	)		49,185
Change in net assets resulting from operations		73,284			255,811			(173,527	)		148,405
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(2,634	)		(1,326	)		—			—
From net realized gains		(51,657	)		(72,144	)		(17,982	)		(20,645	)
Class B (a)
From net realized gains		—			(441	)		—			(176	)
Class C
From net realized gains		(2,993	)		(4,673	)		(2,222	)		(2,503	)
Class R2
From net realized gains		(211	)		(372	)		(1,956	)		(2,202	)
Class R5
From net investment income		(7,998	)		(7,331	)		—			—
From net realized gains		(77,242	)		(107,883	)		—			—
Class R6
From net realized gains		—			—			(34,132	)		(30,237	)
Institutional Class
From net realized gains		—			—			(19,628	)		(20,050	)
Select Class
From net investment income		(3,556	)		(6,696	)		—			—
From net realized gains		(59,055	)		(140,920	)		(8,776	)		(10,568	)
Total distributions to shareholders		(205,346	)		(341,786	)		(84,696	)		(86,381	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		187,154			70,368			50,292			25,731
NET ASSETS:
Change in net assets		55,092			(15,607	)		(207,931	)		87,755
Beginning of period		3,393,838			3,409,445			1,245,069			1,157,314
End of period	$	3,448,930		$	3,393,838		$	1,037,138		$	1,245,069
Accumulated undistributed (distributions in excess of) net investment income	$	8,726		$	7,031		$	(1,912	)	$	(2,802	)

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

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 53

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Small Cap Value Fund						U.S. Small Company Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	16,276		$	17,079		$	4,777		$	3,308
Net realized gain (loss)		(11,621	)		82,582			(25,653	)		36,899
Change in net unrealized appreciation/depreciation		(52,243	)		(77,688	)		(37,299	)		23,209
Change in net assets resulting from operations		(47,588	)		21,973			(58,175	)		63,416
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(3,316	)		(4,063	)		(375	)		—
From net realized gains		(24,024	)		(24,585	)		(9,859	)		(5,065	)
Class B (a)
From net investment income		—			(10	)		—			—
From net realized gains		—			(142	)		—			—
Class C
From net investment income		(138	)		(237	)		—			—
From net realized gains		(2,266	)		(2,788	)		(1,985	)		(879	)
Class R2
From net investment income		(176	)		(253	)		(36	)		—
From net realized gains		(2,034	)		(2,245	)		(1,197	)		(339	)
Class R5
From net investment income		(877	)		(897	)		—			—
From net realized gains		(4,226	)		(3,945	)		—			—
Class R6
From net investment income		(7,344	)		(5,716	)		(620	)		(152	)
From net realized gains		(33,390	)		(23,274	)		(4,031	)		(1,577	)
Institutional Class
From net investment income		—			—			(2,157	)		(689	)
From net realized gains		—			—			(16,302	)		(8,505	)
Select Class
From net investment income		(2,589	)		(4,081	)		(1,045	)		(184	)
From net realized gains		(11,883	)		(19,170	)		(11,139	)		(5,885	)
Total distributions to shareholders		(92,263	)		(91,406	)		(48,746	)		(23,275	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		22,440			381,022			458,685			349,644
NET ASSETS:
Change in net assets		(117,411	)		311,589			351,764			389,785
Beginning of period		1,870,743			1,559,154			971,548			581,763
End of period	$	1,753,332		$	1,870,743		$	1,323,312		$	971,548
Accumulated undistributed (distributions in excess of) net investment income	$	2,643		$	1,913		$	2,547		$	2,417

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Small Cap Value Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

54 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

	Dynamic Small Cap Growth Fund						Small Cap Core Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A (a)
Proceeds from shares issued	$	10,070		$	11,741		$	23		$	—
Distributions reinvested		6,411			4,072			—			—
Cost of shares redeemed		(14,402	)		(32,156	)		—			—
Conversion from Class B Shares		—			366			—			—
Change in net assets resulting from Class A capital transactions	$	2,079		$	(15,977	)	$	23		$	—
Class B (b)
Proceeds from shares issued	$	—		$	8		$	—		$	—
Distributions reinvested		—			33			—			—
Cost of shares redeemed		—			(202	)		—			—
Conversion to Class A Shares		—			(366	)		—			—
Change in net assets resulting from Class B capital transactions	$	—		$	(527	)	$	—		$	—
Class C (a)
Proceeds from shares issued	$	13,161		$	12,653		$	20		$	—
Distributions reinvested		856			515			—			—
Cost of shares redeemed		(17,151	)		(19,389	)		—			—
Change in net assets resulting from Class C capital transactions	$	(3,134	)	$	(6,221	)	$	20		$	—
Class R6 (a)
Proceeds from shares issued	$	—		$	—		$	20		$	—
Change in net assets resulting from Class R6 capital transactions	$	—		$	—		$	20		$	—
Select Class
Proceeds from shares issued	$	68,912		$	109,502		$	82,011		$	165,199
Distributions reinvested		39,841			32,251			71,593			69,335
Cost of shares redeemed		(317,159	)		(191,959	)		(116,062	)		(98,704	)
Redemptions in-kind (See Note 7)		—			—			(530,784	)		—
Change in net assets resulting from Select Class capital transactions	$	(208,406	)	$	(50,206	)	$	(493,242	)	$	135,830
Total change in net assets resulting from capital transactions	$	(209,461	)	$	(72,931	)	$	(493,179	)	$	135,830

(a) Commencement of offering of class of shares effective May 31, 2016 for Small Cap Core Fund.

(b) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Dynamic Small Cap Growth Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 55

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Dynamic Small Cap Growth Fund						Small Cap Core Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A (a)
Issued		478			487			1			—
Reinvested		327			179			—			—
Redeemed		(712	)		(1,334	)		—			—
Conversion from Class B Shares		—			14			—			—
Change in Class A Shares		93			(654	)		1			—
Class B (b)
Issued		—			1			—			—
Reinvested		—			1			—			—
Redeemed		—			(10	)		—			—
Conversion to Class A Shares		—			(16	)		—			—
Change in Class B Shares		—			(24	)		—			—
Class C (a)
Issued		780			625			1			—
Reinvested		54			27			—			—
Redeemed		(1,015	)		(935	)		—			—
Change in Class C Shares		(181	)		(283	)		1			—
Class R6 (a)
Issued		—			—			1			—
Change in Class R6 Shares		—			—			1			—
Select Class
Issued		3,027			4,202			1,600			2,959
Reinvested		1,842			1,306			1,578			1,342
Redeemed		(15,456	)		(7,272	)		(2,421	)		(1,763	)
Redemptions in-kind (See Note 7)		—			—			(11,691	)		—
Change in Select Class Shares		(10,587	)		(1,764	)		(10,934	)		2,538

(a) Commencement of offering of class of shares effective May 31, 2016 for Small Cap Core Fund.

(b) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Dynamic Small Cap Growth Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

56 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

	Small Cap Equity Fund						Small Cap Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	797,670		$	108,279		$	34,331		$	41,024
Distributions reinvested		49,673			66,061			17,120			19,785
Cost of shares redeemed		(225,187	)		(213,835	)		(82,368	)		(88,174	)
Redemptions in-kind (See Note 7)		(545,339	)		—			—			—
Conversion from Class B Shares		—			1,096			—			1,416
Change in net assets resulting from Class A capital transactions	$	76,817		$	(38,399	)	$	(30,917	)	$	(25,949	)
Class B (a)
Proceeds from shares issued	$	—		$	54		$	—		$	18
Distributions reinvested		—			405			—			165
Cost of shares redeemed		—			(4,544	)		—			(832	)
Conversion to Class A Shares		—			(1,096	)		—			(1,416	)
Change in net assets resulting from Class B capital transactions	$	—		$	(5,181	)	$	—		$	(2,065	)
Class C
Proceeds from shares issued	$	39,875		$	1,597		$	1,342		$	1,657
Distributions reinvested		2,583			3,928			1,891			2,095
Cost of shares redeemed		(7,079	)		(7,262	)		(5,168	)		(5,918	)
Change in net assets resulting from Class C capital transactions	$	35,379		$	(1,737	)	$	(1,935	)	$	(2,166	)
Class R2
Proceeds from shares issued	$	3,684		$	864		$	3,627		$	3,831
Distributions reinvested		147			267			1,908			2,147
Cost of shares redeemed		(1,850	)		(1,407	)		(6,699	)		(9,815	)
Change in net assets resulting from Class R2 capital transactions	$	1,981		$	(276	)	$	(1,164	)	$	(3,837	)
Class R5
Proceeds from shares issued	$	327,668		$	212,080		$	—		$	—
Distributions reinvested		80,413			108,316			—			—
Cost of shares redeemed		(243,746	)		(227,737	)		—			—
Change in net assets resulting from Class R5 capital transactions	$	164,335		$	92,659		$	—		$	—
Class R6 (b)
Proceeds from shares issued	$	25,790		$	—		$	130,485		$	120,496
Distributions reinvested		—			—			34,132			30,237
Cost of shares redeemed		(173	)		—			(105,409	)		(46,820	)
Change in net assets resulting from Class R6 capital transactions	$	25,617		$	—		$	59,208		$	103,913
Institutional Class
Proceeds from shares issued	$	—		$	—		$	114,481		$	65,873
Distributions reinvested		—			—			18,231			18,418
Cost of shares redeemed		—			—			(81,578	)		(121,813	)
Change in net assets resulting from Institutional Class capital transactions	$	—		$	—		$	51,134		$	(37,522	)
Select Class
Proceeds from shares issued	$	643,933		$	365,334		$	29,505		$	35,361
Distributions reinvested		55,589			136,721			7,984			9,680
Cost of shares redeemed		(816,497	)		(478,753	)		(63,523	)		(51,684	)
Change in net assets resulting from Select Class capital transactions	$	(116,975	)	$	23,302		$	(26,034	)	$	(6,643	)
Total change in net assets resulting from capital transactions	$	187,154		$	70,368		$	50,292		$	25,731

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

(b) Commencement of offering of class of shares effective May 31, 2016 for Small Cap Equity Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 57

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Small Cap Equity Fund						Small Cap Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		20,677			2,447			2,821			3,026
Reinvested		1,292			1,602			1,466			1,564
Redeemed		(5,663	)		(4,844	)		(7,028	)		(6,513	)
Redemptions in-kind (See Note 7)		(13,733	)		—			—			—
Conversion from Class B Shares		—			24			—			96
Change in Class A Shares		2,573			(771	)		(2,741	)		(1,827	)
Class B (a)
Issued		—			2			—			1
Reinvested		—			12			—			17
Redeemed		—			(127	)		—			(80	)
Conversion to Class A Shares		—			(31	)		—			(129	)
Change in Class B Shares		—			(144	)		—			(191	)
Class C
Issued		1,307			47			143			154
Reinvested		87			120			210			208
Redeemed		(228	)		(203	)		(572	)		(544	)
Change in Class C Shares		1,166			(36	)		(219	)		(182	)
Class R2
Issued		93			20			309			288
Reinvested		4			7			167			173
Redeemed		(46	)		(33	)		(566	)		(730	)
Change in Class R2 Shares		51			(6	)		(90	)		(269	)
Class R5
Issued		7,138			4,248			—			—
Reinvested		1,832			2,321			—			—
Redeemed		(5,295	)		(4,580	)		—			—
Change in Class R5 Shares		3,675			1,989			—			—
Class R6 (b)
Issued		549			—			10,137			8,080
Reinvested		—			—			2,617			2,169
Redeemed		(4	)		—			(8,387	)		(3,169	)
Change in Class R6 Shares		545			—			4,367			7,080
Institutional Class
Issued		—			—			8,718			4,442
Reinvested		—			—			1,407			1,328
Redeemed		—			—			(6,315	)		(8,156	)
Change in Institutional Class Shares		—			—			3,810			(2,386	)
Select Class
Issued		14,082			7,313			2,235			2,421
Reinvested		1,270			2,941			630			711
Redeemed		(17,314	)		(9,609	)		(4,737	)		(3,538	)
Change in Select Class Shares		(1,962	)		645			(1,872	)		(406	)

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

(b) Commencement of offering of class of shares effective May 31, 2016 for Small Cap Equity Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

58 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

	Small Cap Value Fund						U.S. Small Company Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	138,661		$	267,230		$	112,560		$	158,127
Distributions reinvested		25,666			26,931			9,251			4,623
Cost of shares redeemed		(186,013	)		(168,313	)		(108,488	)		(59,204	)
Conversion from Class B Shares		—			2,069			—			—
Change in net assets resulting from Class A capital transactions	$	(21,686	)	$	127,917		$	13,323		$	103,546
Class B (a)
Proceeds from shares issued	$	—		$	35		$	—		$	—
Distributions reinvested		—			150			—			—
Cost of shares redeemed		—			(1,071	)		—			—
Conversion to Class A Shares		—			(2,069	)		—			—
Change in net assets resulting from Class B capital transactions	$	—		$	(2,955	)	$	—		$	—
Class C
Proceeds from shares issued	$	3,797		$	7,961		$	17,408		$	25,684
Distributions reinvested		2,160			2,683			1,817			772
Cost of shares redeemed		(10,313	)		(10,808	)		(12,981	)		(5,242	)
Change in net assets resulting from Class C capital transactions	$	(4,356	)	$	(164	)	$	6,244		$	21,214
Class R2
Proceeds from shares issued	$	16,117		$	17,717		$	25,767		$	11,570
Distributions reinvested		2,028			2,299			944			335
Cost of shares redeemed		(15,854	)		(17,153	)		(7,774	)		(4,428	)
Change in net assets resulting from Class R2 capital transactions	$	2,291		$	2,863		$	18,937		$	7,477
Class R5
Proceeds from shares issued	$	31,169		$	46,041		$	—		$	—
Distributions reinvested		4,681			4,335			—			—
Cost of shares redeemed		(34,423	)		(23,688	)		—			—
Change in net assets resulting from Class R5 capital transactions	$	1,427		$	26,688		$	—		$	—
Class R6
Proceeds from shares issued	$	383,830		$	149,197		$	100,275		$	39,209
Distributions reinvested		40,732			28,990			4,436			1,450
Cost of shares redeemed		(173,847	)		(58,319	)		(26,418	)		(19,367	)
Change in net assets resulting from Class R6 capital transactions	$	250,715		$	119,868		$	78,293		$	21,292
Institutional Class
Proceeds from shares issued	$	—		$	—		$	366,693		$	184,860
Distributions reinvested		—			—			17,359			8,769
Cost of shares redeemed		—			—			(113,529	)		(73,427	)
Change in net assets resulting from Institutional Class capital transactions	$	—		$	—		$	270,523		$	120,202
Select Class
Proceeds from shares issued	$	106,814		$	210,959		$	166,060		$	114,544
Distributions reinvested		12,987			20,813			11,293			5,585
Cost of shares redeemed		(325,752	)		(124,967	)		(105,988	)		(44,216	)
Change in net assets resulting from Select Class capital transactions	$	(205,951	)	$	106,805		$	71,365		$	75,913
Total change in net assets resulting from capital transactions	$	22,440		$	381,022		$	458,685		$	349,644

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Small Cap Value Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 59

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Small Cap Value Fund						U.S. Small Company Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		5,761			9,914			7,413			9,673
Reinvested		1,114			1,055			626			298
Redeemed		(7,728	)		(6,295	)		(7,196	)		(3,624	)
Conversion from Class B Shares		—			76			—			—
Change in Class A Shares		(853	)		4,750			843			6,347
Class B (a)
Issued		—			2			—			—
Reinvested		—			7			—			—
Redeemed		—			(47	)		—			—
Conversion to Class A Shares		—			(88	)		—			—
Change in Class B Shares		—			(126	)		—			—
Class C
Issued		184			349			1,176			1,604
Reinvested		111			123			127			51
Redeemed		(506	)		(471	)		(897	)		(330	)
Change in Class C Shares		(211	)		1			406			1,325
Class R2
Issued		675			669			1,706			706
Reinvested		89			91			65			22
Redeemed		(669	)		(646	)		(528	)		(271	)
Change in Class R2 Shares		95			114			1,243			457
Class R5
Issued		1,223			1,643			—			—
Reinvested		193			161			—			—
Redeemed		(1,376	)		(843	)		—			—
Change in Class R5 Shares		40			961			—			—
Class R6
Issued		14,544			5,312			6,414			2,338
Reinvested		1,675			1,077			294			92
Redeemed		(7,015	)		(2,075	)		(1,663	)		(1,156	)
Change in Class R6 Shares		9,204			4,314			5,045			1,274
Institutional Class
Issued		—			—			24,199			11,156
Reinvested		—			—			1,150			554
Redeemed		—			—			(7,566	)		(4,455	)
Change in Institutional Class Shares		—			—			17,783			7,255
Select Class
Issued		4,250			7,576			10,694			6,883
Reinvested		535			775			748			354
Redeemed		(12,338	)		(4,468	)		(6,898	)		(2,668	)
Change in Select Class Shares		(7,553	)		3,883			4,544			4,569

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Small Cap Value Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

60 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

THIS PAGE IS INTENTIONALLY LEFT BLANK

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 61

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net realized gain
Dynamic Small Cap Growth Fund
Class A
Year Ended June 30, 2016	$	26.04	$	(0.16	)	$	(3.52	)	$	(3.68	)	$	(3.22	)
Year Ended June 30, 2015		25.11		(0.20	)		3.17			2.97			(2.04	)
Year Ended June 30, 2014		23.10		(0.24	)		4.44			4.20			(2.19	)
Year Ended June 30, 2013		18.83		(0.14	)(e)		5.17			5.03			(0.76	)
Year Ended June 30, 2012		20.20		(0.13	)(f)		(1.24	)		(1.37	)		—
Class C
Year Ended June 30, 2016		21.97		(0.22	)		(2.95	)		(3.17	)		(3.22	)
Year Ended June 30, 2015		21.61		(0.28	)		2.68			2.40			(2.04	)
Year Ended June 30, 2014		20.25		(0.32	)		3.87			3.55			(2.19	)
Year Ended June 30, 2013		16.68		(0.22	)(e)		4.55			4.33			(0.76	)
Year Ended June 30, 2012		17.98		(0.20	)(f)		(1.10	)		(1.30	)		—
Select Class
Year Ended June 30, 2016		28.34		(0.14	)		(3.81	)		(3.95	)		(3.22	)
Year Ended June 30, 2015		27.08		(0.15	)		3.45			3.30			(2.04	)
Year Ended June 30, 2014		24.70		(0.19	)		4.76			4.57			(2.19	)
Year Ended June 30, 2013		20.02		(0.07	)(e)		5.51			5.44			(0.76	)
Year Ended June 30, 2012		21.39		(0.06	)(f)		(1.31	)		(1.37	)		—

(a) Calculated based upon average shares outstanding.

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

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

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

(e) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.20), $(0.27) and $(0.14) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (1.00)%, (1.51)% and (0.64)% for Class A, Class C and Select Class Shares, respectively.

(f) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.17), $(0.23) and $(0.10) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.94)%, (1.43)% and (0.53)% for Class A, Class C and Select Class Shares, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

62 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	19.14		(14.42	)%	$	55,583		1.25	%		(0.76	)%		1.51	%		56	%
	26.04		13.02			73,175		1.25			(0.82	)		1.44			48
	25.11		18.56			86,997		1.33			(0.95	)		1.38			65
	23.10		27.61			77,408		1.44			(0.70	)(e)		1.44			65
	18.83		(6.78	)		64,997		1.47			(0.72	)(f)		1.48			63
	15.58		(14.80	)		32,734		1.75			(1.27	)		2.12			56
	21.97		12.46			50,162		1.75			(1.32	)		2.02			48
	21.61		17.93			55,458		1.83			(1.45	)		1.88			65
	20.25		26.96			54,171		1.94			(1.20	)(e)		1.94			65
	16.68		(7.23	)		50,144		1.97			(1.21	)(f)		1.98			63
	21.17		(14.19	)		64,589		1.00			(0.57	)		1.09			56
	28.34		13.30			386,459		1.00			(0.57	)		1.11			48
	27.08		18.87			417,048		1.06			(0.69	)		1.13			65
	24.70		28.02			387,402		1.09			(0.33	)(e)		1.19			65
	20.02		(6.40	)		219,805		1.10			(0.32	)(f)		1.22			63

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 63

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Small Cap Core Fund
Class A
May 31, 2016 (f) through June 30, 2016	$	45.81	$	0.02	(g)(h)	$	0.05		$	0.07		$	—		$	—		$	—
Class C
May 31, 2016 (f) through June 30, 2016		45.81		—	(g)(h)(i)		0.05			0.05			—			—			—
Class R6
May 31, 2016 (f) through June 30, 2016		45.81		0.04	(g)(h)		0.05			0.09			—			—			—
Select Class
Year Ended June 30, 2016		56.18		0.15	(g)(h)		(5.25	)		(5.10	)		(0.32	)		(4.86	)		(5.18	)
Year Ended June 30, 2015		58.70		0.37	(g)		3.20			3.57			(0.10	)		(5.99	)		(6.09	)
Year Ended June 30, 2014		48.11		0.15	(j)		13.44			13.59			(0.27	)		(2.73	)		(3.00	)
Year Ended June 30, 2013		37.54		0.37	(k)		10.63			11.00			(0.43	)		—			(0.43	)
Year Ended June 30, 2012		39.44		0.27	(l)		(1.98	)		(1.71	)		(0.19	)		—			(0.19	)

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

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

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

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

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

(f) Commencement of offering of class of shares.

(g) Calculated based upon average shares outstanding.

(h) Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes.

(i) Amount rounds to less than $0.005.

(j) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.09 and the net investment income (loss) ratio would have been 0.17% for Select Class Shares.

(k) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.19 and the net investment income (loss) ratio would have been 0.44% for Select Class Shares.

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

SEE NOTES TO FINANCIAL STATEMENTS.

64 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)(e)
$	45.88		0.15	%	$	23		1.25	%		0.56	%(h)		1.39	%		58	%
	45.86		0.11			20		1.74			0.06	(h)		1.89			58
	45.90		0.20			20		0.74			1.06	(h)		0.88			58
	45.90		(8.97	)		164,573		0.80			0.30	(h)		1.16			58
	56.18		7.01			815,652		0.80			0.66			1.13			56
	58.70		28.95			703,307		0.79			0.28	(j)		1.12			51
	48.11		29.50			522,295		0.79			0.84	(k)		1.19			55
	37.54		(4.29	)		406,590		0.80			0.64	(l)		1.02			45

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 65

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)			Net realized and unrealized gains (losses) on investments		Total from investment operations			Net investment income			Net realized gain			Total distributions
Small Cap Equity Fund
Class A
Year Ended June 30, 2016	$	44.68	$	0.13	(g)	$	0.08	$	0.21		$	(0.14	)	$	(3.07	)	$	(3.21	)
Year Ended June 30, 2015		46.56		0.08			2.98		3.06			(0.08	)		(4.86	)		(4.94	)
Year Ended June 30, 2014		39.94		0.10	(h)		8.97		9.07			(0.07	)		(2.38	)		(2.45	)
Year Ended June 30, 2013		36.02		0.29	(i)		7.39		7.68			(0.36	)		(3.40	)		(3.76	)
Year Ended June 30, 2012		36.72		0.07			1.09		1.16			(0.10	)		(1.76	)		(1.86	)
Class C
Year Ended June 30, 2016		35.32		(0.06	)(g)		0.02		(0.04	)		—			(3.07	)		(3.07	)
Year Ended June 30, 2015		37.96		(0.12	)		2.34		2.22			—			(4.86	)		(4.86	)
Year Ended June 30, 2014		33.06		(0.10	)(h)		7.38		7.28			—			(2.38	)		(2.38	)
Year Ended June 30, 2013		30.46		0.09	(i)		6.15		6.24			(0.24	)		(3.40	)		(3.64	)
Year Ended June 30, 2012		31.41		(0.08	)		0.89		0.81			—			(1.76	)		(1.76	)
Class R2
Year Ended June 30, 2016		44.04		0.01	(g)		0.10		0.11			—			(3.07	)		(3.07	)
Year Ended June 30, 2015		45.99		(0.04	)		2.95		2.91			—			(4.86	)		(4.86	)
Year Ended June 30, 2014		39.52		(0.01	)(h)		8.86		8.85			—			(2.38	)		(2.38	)
Year Ended June 30, 2013		35.67		0.20	(i)		7.31		7.51			(0.26	)		(3.40	)		(3.66	)
Year Ended June 30, 2012		36.41		(0.01	)		1.07		1.06			(0.04	)		(1.76	)		(1.80	)
Class R5
Year Ended June 30, 2016		50.43		0.36	(g)		0.15		0.51			(0.30	)		(3.07	)		(3.37	)
Year Ended June 30, 2015		51.88		0.34			3.37		3.71			(0.30	)		(4.86	)		(5.16	)
Year Ended June 30, 2014		44.21		0.36	(h)		9.96		10.32			(0.27	)		(2.38	)		(2.65	)
Year Ended June 30, 2013		39.47		0.52	(i)		8.16		8.68			(0.54	)		(3.40	)		(3.94	)
Year Ended June 30, 2012		40.04		0.28			1.19		1.47			(0.28	)		(1.76	)		(2.04	)
Class R6
May 31, 2016 (j) through June 30, 2016		47.04		0.06	(g)		0.47		0.53			—			—			—
Select Class
Year Ended June 30, 2016		50.31		0.25	(g)		0.17		0.42			(0.16	)		(3.07	)		(3.23	)
Year Ended June 30, 2015		51.78		0.24			3.36		3.60			(0.21	)		(4.86	)		(5.07	)
Year Ended June 30, 2014		44.14		0.26	(h)		9.94		10.20			(0.18	)		(2.38	)		(2.56	)
Year Ended June 30, 2013		39.41		0.44	(i)		8.15		8.59			(0.46	)		(3.40	)		(3.86	)
Year Ended June 30, 2012		39.98		0.19			1.20		1.39			(0.20	)		(1.76	)		(1.96	)

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

(b) Calculated based upon average shares outstanding.

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

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

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

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

(g) Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes.

(h) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.04), $(0.21), $(0.15), $0.20 and $0.10 for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.09)%, (0.59)%, (0.34)%, 0.41% and 0.21% for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively.

(i) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.05, $(0.11), $(0.04), $0.26 and $0.18 for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.14%, (0.36)%, (0.10)%, 0.62% and 0.44% for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively.

(j) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

66 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)(f)
$	41.68		1.10	%	$	736,629		1.29	%		0.31	%(g)		1.38	%		32	%
	44.68		7.49			674,619		1.29			0.17			1.39			20
	46.56		23.27			738,967		1.29			0.23	(h)		1.37			30
	39.94		23.11			696,784		1.29			0.78	(i)		1.39			25
	36.02		3.79			618,705		1.30			0.21			1.41			27
	32.21		0.63			70,176		1.79			(0.20	)(g)		1.85			32
	35.32		6.92			35,783		1.79			(0.33	)		1.87			20
	37.96		22.67			39,824		1.79			(0.26	)(h)		1.87			30
	33.06		22.50			37,039		1.79			0.28	(i)		1.88			25
	30.46		3.26			34,994		1.80			(0.29	)		1.91			27
	41.08		0.85			5,313		1.54			0.03	(g)		1.72			32
	44.04		7.23			3,446		1.54			(0.08	)		1.73			20
	45.99		22.95			3,883		1.54			(0.02	)(h)		1.62			30
	39.52		22.80			4,909		1.54			0.53	(i)		1.64			25
	35.67		3.51			5,587		1.55			(0.03	)		1.66			27
	47.57		1.62			1,349,107		0.79			0.78	(g)		0.86			32
	50.43		8.03			1,244,878		0.79			0.68			0.89			20
	51.88		23.90			1,177,534		0.79			0.73	(h)		0.92			30
	44.21		23.71			814,942		0.79			1.25	(i)		0.94			25
	39.47		4.31			696,200		0.79			0.73			0.96			27
	47.57		1.13			25,933		0.73			1.60	(g)		0.75			32
	47.50		1.41			1,261,772		0.99			0.54	(g)		1.14			32
	50.31		7.81			1,435,112		0.99			0.48			1.14			20
	51.78		23.65			1,443,768		0.99			0.53	(h)		1.12			30
	44.14		23.48			1,134,887		0.99			1.07	(i)		1.14			25
	39.41		4.09			1,076,509		1.00			0.51			1.16			27

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 67

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net realized gain
Small Cap Growth Fund
Class A
Year Ended June 30, 2016	$	14.50	$	(0.09	)	$	(1.94	)	$	(2.03	)	$	(1.04	)
Year Ended June 30, 2015		13.96		(0.11	)(e)		1.77			1.66			(1.12	)
Year Ended June 30, 2014		13.00		(0.12	)		2.52			2.40			(1.44	)
Year Ended June 30, 2013		11.13		(0.06	)(f)		2.94			2.88			(1.01	)
Year Ended June 30, 2012		12.17		(0.05	)(g)		(0.77	)		(0.82	)		(0.22	)
Class C
Year Ended June 30, 2016		11.50		(0.12	)		(1.52	)		(1.64	)		(1.04	)
Year Ended June 30, 2015		11.36		(0.14	)(e)		1.40			1.26			(1.12	)
Year Ended June 30, 2014		10.87		(0.16	)		2.09			1.93			(1.44	)
Year Ended June 30, 2013		9.51		(0.10	)(f)		2.47			2.37			(1.01	)
Year Ended June 30, 2012		10.48		(0.09	)(g)		(0.66	)		(0.75	)		(0.22	)
Class R2
Year Ended June 30, 2016		14.20		(0.12	)		(1.89	)		(2.01	)		(1.04	)
Year Ended June 30, 2015		13.73		(0.14	)(e)		1.73			1.59			(1.12	)
Year Ended June 30, 2014		12.84		(0.16	)		2.49			2.33			(1.44	)
Year Ended June 30, 2013		11.03		(0.09	)(f)		2.91			2.82			(1.01	)
Year Ended June 30, 2012		12.09		(0.08	)(g)		(0.76	)		(0.84	)		(0.22	)
Class R6
Year Ended June 30, 2016		16.01		(0.03	)		(2.14	)		(2.17	)		(1.04	)
Year Ended June 30, 2015		15.23		(0.05	)(e)		1.95			1.90			(1.12	)
Year Ended June 30, 2014		14.00		(0.06	)		2.73			2.67			(1.44	)
Year Ended June 30, 2013		11.85		—	(f)(h)		3.16			3.16			(1.01	)
Year Ended June 30, 2012		12.88		—	(g)(h)		(0.81	)		(0.81	)		(0.22	)
Institutional Class
Year Ended June 30, 2016		15.93		(0.05	)		(2.12	)		(2.17	)		(1.04	)
Year Ended June 30, 2015		15.17		(0.06	)(e)		1.94			1.88			(1.12	)
Year Ended June 30, 2014		13.96		(0.07	)		2.72			2.65			(1.44	)
Year Ended June 30, 2013		11.84		(0.01	)(f)		3.14			3.13			(1.01	)
Year Ended June 30, 2012		12.87		(0.01	)(g)		(0.80	)		(0.81	)		(0.22	)
Select Class
Year Ended June 30, 2016		15.61		(0.07	)		(2.08	)		(2.15	)		(1.04	)
Year Ended June 30, 2015		14.91		(0.08	)(e)		1.90			1.82			(1.12	)
Year Ended June 30, 2014		13.77		(0.09	)		2.67			2.58			(1.44	)
Year Ended June 30, 2013		11.70		(0.03	)(f)		3.11			3.08			(1.01	)
Year Ended June 30, 2012		12.74		(0.02	)(g)		(0.80	)		(0.82	)		(0.22	)

(a) Calculated based upon average shares outstanding.

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

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

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

(e) Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes.

(f) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.09), $(0.13), $(0.12), $(0.04), $(0.05) and $(0.07) for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.80)%, (1.30)%, (1.04)%, (0.29)%, (0.40)% and (0.54)% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively.

(g) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.07), $(0.11), $(0.10), $(0.02), $(0.27) and $(0.40) for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.68)%, (1.18)%, (0.92)%, (0.19)%, (0.03)% and (0.05)% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively.

(h) Amount rounds to less than $0.005.

(i) Amount rounds to less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

68 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	11.43		(14.17	)%	$	179,093		1.25	%		(0.77	)%		1.50	%		47	%
	14.50		13.04			266,805		1.25			(0.82	)(e)		1.42			50
	13.96		18.94			282,408		1.25			(0.86	)		1.37			58
	13.00		27.94			249,986		1.24			(0.50	)(f)		1.42			60
	11.13		(6.59	)		219,946		1.25			(0.46	)(g)		1.44			58
	8.82		(14.50	)		18,218		1.75			(1.27	)		1.91			47
	11.50		12.47			26,297		1.75			(1.32	)(e)		1.87			50
	11.36		18.29			28,035		1.75			(1.36	)		1.87			58
	10.87		27.30			25,415		1.74			(1.00	)(f)		1.92			60
	9.51		(6.99	)		23,689		1.75			(0.97	)(g)		1.94			58
	11.15		(14.34	)		21,276		1.50			(1.01	)		1.85			47
	14.20		12.74			28,364		1.50			(1.07	)(e)		1.72			50
	13.73		18.62			31,119		1.50			(1.11	)		1.62			58
	12.84		27.64			26,561		1.49			(0.75	)(f)		1.67			60
	11.03		(6.80	)		22,514		1.50			(0.71	)(g)		1.69			58
	12.80		(13.69	)		445,008		0.75			(0.25	)		0.77			47
	16.01		13.55			486,724		0.75			(0.31	)(e)		0.79			50
	15.23		19.55			355,032		0.75			(0.36	)		0.87			58
	14.00		28.63			248,415		0.75			0.00	(f)(i)		0.92			60
	11.85		(6.14	)		200,960		0.75			0.02	(g)		0.94			58
	12.72		(13.76	)		271,369		0.85			(0.35	)		0.96			47
	15.93		13.47			279,248		0.85			(0.42	)(e)		0.95			50
	15.17		19.46			302,087		0.85			(0.46	)		0.97			58
	13.96		28.39			230,458		0.85			(0.11	)(f)		1.02			60
	11.84		(6.15	)		226,834		0.85			(0.06	)(g)		1.04			58
	12.42		(13.92	)		102,174		1.00			(0.52	)		1.18			47
	15.61		13.29			157,631		1.00			(0.57	)(e)		1.16			50
	14.91		19.20			156,585		1.00			(0.62	)		1.12			58
	13.77		28.30			148,078		1.00			(0.25	)(f)		1.17			60
	11.70		(6.29	)		123,887		1.00			(0.21	)(g)		1.19			58

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 69

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Small Cap Value Fund
Class A
Year Ended June 30, 2016	$	26.65	$	0.17		$	(0.94	)	$	(0.77	)	$	(0.15	)	$	(1.09	)	$	(1.24	)
Year Ended June 30, 2015		27.98		0.22			(0.01	)		0.21			(0.20	)		(1.34	)		(1.54	)
Year Ended June 30, 2014		23.77		0.12	(e)		4.87			4.99			(0.11	)		(0.67	)		(0.78	)
Year Ended June 30, 2013		18.75		0.21	(f)		5.04			5.25			(0.23	)		—			(0.23	)
Year Ended June 30, 2012		18.99		0.14			(0.22	)		(0.08	)		(0.16	)		—			(0.16	)
Class C
Year Ended June 30, 2016		22.77		0.02			(0.82	)		(0.80	)		(0.06	)		(1.09	)		(1.15	)
Year Ended June 30, 2015		24.19		0.05			(0.01	)		0.04			(0.11	)		(1.34	)		(1.45	)
Year Ended June 30, 2014		20.73		(0.03	)(e)		4.22			4.19			(0.06	)		(0.67	)		(0.73	)
Year Ended June 30, 2013		16.40		0.06	(f)		4.41			4.47			(0.14	)		—			(0.14	)
Year Ended June 30, 2012		16.64		0.03			(0.19	)		(0.16	)		(0.08	)		—			(0.08	)
Class R2
Year Ended June 30, 2016		26.49		0.11			(0.94	)		(0.83	)		(0.09	)		(1.09	)		(1.18	)
Year Ended June 30, 2015		27.83		0.16			(0.02	)		0.14			(0.14	)		(1.34	)		(1.48	)
Year Ended June 30, 2014		23.67		0.07	(e)		4.83			4.90			(0.07	)		(0.67	)		(0.74	)
Year Ended June 30, 2013		18.68		0.15	(f)		5.03			5.18			(0.19	)		—			(0.19	)
Year Ended June 30, 2012		18.93		0.10			(0.23	)		(0.13	)		(0.12	)		—			(0.12	)
Class R5
Year Ended June 30, 2016		28.01		0.26			(0.98	)		(0.72	)		(0.23	)		(1.09	)		(1.32	)
Year Ended June 30, 2015		29.31		0.34			(0.02	)		0.32			(0.28	)		(1.34	)		(1.62	)
Year Ended June 30, 2014		24.85		0.23	(e)		5.09			5.32			(0.19	)		(0.67	)		(0.86	)
Year Ended June 30, 2013		19.58		0.29	(f)		5.27			5.56			(0.29	)		—			(0.29	)
Year Ended June 30, 2012		19.82		0.20			(0.22	)		(0.02	)		(0.22	)		—			(0.22	)
Class R6
Year Ended June 30, 2016		28.03		0.31			(1.00	)		(0.69	)		(0.26	)		(1.09	)		(1.35	)
Year Ended June 30, 2015		29.33		0.37			(0.02	)		0.35			(0.31	)		(1.34	)		(1.65	)
Year Ended June 30, 2014		24.87		0.24	(e)		5.09			5.33			(0.20	)		(0.67	)		(0.87	)
Year Ended June 30, 2013		19.59		0.29	(f)		5.29			5.58			(0.30	)		—			(0.30	)
Year Ended June 30, 2012		19.83		0.22			(0.23	)		(0.01	)		(0.23	)		—			(0.23	)
Select Class
Year Ended June 30, 2016		28.00		0.23			(0.97	)		(0.74	)		(0.20	)		(1.09	)		(1.29	)
Year Ended June 30, 2015		29.31		0.31			(0.02	)		0.29			(0.26	)		(1.34	)		(1.60	)
Year Ended June 30, 2014		24.86		0.20	(e)		5.09			5.29			(0.17	)		(0.67	)		(0.84	)
Year Ended June 30, 2013		19.58		0.26	(f)		5.29			5.55			(0.27	)		—			(0.27	)
Year Ended June 30, 2012		19.82		0.19			(0.23	)		(0.04	)		(0.20	)		—			(0.20	)

(a) Calculated based upon average shares outstanding.

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

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

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

(e) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.11, $(0.05), $0.05, $0.22, $0.23 and $0.18 for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.41%, (0.20)%, 0.20%, 0.79%, 0.82% and 0.66% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

(f) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.12, $(0.01), $0.06, $0.19, $0.20 and $0.17 for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.57%, (0.08)%, 0.27%, 0.86%, 0.89% and 0.77% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

70 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	24.64		(2.54	)%	$	551,313		1.25	%		0.69	%		1.53	%		46	%
	26.65		1.04			618,977		1.24			0.84			1.44			38
	27.98		21.24			516,950		1.24			0.46	(e)		1.40			40
	23.77		28.08			332,177		1.24			0.98	(f)		1.39			38
	18.75		(0.36	)		184,920		1.25			0.79			1.41			38
	20.82		(3.12	)		41,161		1.86			0.07			1.94			46
	22.77		0.42			49,815		1.85			0.23			1.89			38
	24.19		20.45			52,909		1.84			(0.15	)(e)		1.89			40
	20.73		27.35			41,108		1.85			0.34	(f)		1.89			38
	16.40		(0.96	)		28,834		1.86			0.18			1.91			38
	24.48		(2.78	)		47,309		1.50			0.45			1.91			46
	26.49		0.77			48,675		1.49			0.59			1.76			38
	27.83		20.95			47,939		1.49			0.25	(e)		1.66			40
	23.67		27.79			15,500		1.49			0.69	(f)		1.64			38
	18.68		(0.64	)		6,758		1.50			0.55			1.66			38
	25.97		(2.21	)		96,674		0.90			1.04			0.93			46
	28.01		1.39			103,149		0.91			1.19			0.93			38
	29.31		21.67			79,792		0.90			0.85	(e)		0.95			40
	24.85		28.53			32,304		0.90			1.28	(f)		0.94			38
	19.58		(0.03	)		15,668		0.91			1.09			0.95			38
	25.99		(2.07	)		753,439		0.77			1.21			0.77			46
	28.03		1.49			554,522		0.79			1.32			0.81			38
	29.33		21.71			453,645		0.85			0.87	(e)		0.90			40
	24.87		28.62			207,613		0.85			1.32	(f)		0.89			38
	19.59		0.02			180,853		0.86			1.21			0.91			38
	25.97		(2.28	)		263,436		1.00			0.88			1.18			46
	28.00		1.27			495,605		0.99			1.10			1.14			38
	29.31		21.52			404,848		0.99			0.71	(e)		1.15			40
	24.86		28.47			266,018		0.99			1.19	(f)		1.14			38
	19.58		(0.11	)		196,102		1.00			1.04			1.16			38

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 71

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
U.S. Small Company Fund
Class A
Year Ended June 30, 2016	$	16.96	$	0.02		$	(1.20	)	$	(1.18	)	$	(0.02	)	$	(0.67	)	$	(0.69	)
Year Ended June 30, 2015		16.25		0.03			1.22			1.25			—			(0.54	)		(0.54	)
Year Ended June 30, 2014		13.17		(0.01	)(g)		3.39			3.38			(0.01	)		(0.29	)		(0.30	)
Year Ended June 30, 2013		10.31		0.04	(h)		2.89			2.93			(0.07	)		—			(0.07	)
Year Ended June 30, 2012		10.62		0.02			(0.33	)(i)		(0.31	)		—			—			—
Class C
Year Ended June 30, 2016		16.46		(0.05	)		(1.17	)		(1.22	)		—			(0.67	)		(0.67	)
Year Ended June 30, 2015		15.86		(0.05	)		1.19			1.14			—			(0.54	)		(0.54	)
Year Ended June 30, 2014		12.91		(0.08	)(g)		3.32			3.24			—			(0.29	)		(0.29	)
Year Ended June 30, 2013		10.14		(0.02	)(h)		2.83			2.81			(0.04	)		—			(0.04	)
Year Ended June 30, 2012		10.50		(0.02	)		(0.34	)(i)		(0.36	)		—			—			—
Class R2
Year Ended June 30, 2016		16.77		(0.01	)		(1.19	)		(1.20	)		(0.02	)		(0.67	)		(0.69	)
Year Ended June 30, 2015		16.12		(0.01	)		1.20			1.19			—			(0.54	)		(0.54	)
Year Ended June 30, 2014		13.09		(0.05	)(g)		3.38			3.33			(0.01	)		(0.29	)		(0.30	)
Year Ended June 30, 2013		10.25		(0.02	)(h)		2.90			2.88			(0.04	)		—			(0.04	)
November 1, 2011(j) through June 30, 2012		9.02		—	(k)		1.27	(i)		1.27			(0.04	)		—			(0.04	)
Class R6
Year Ended June 30, 2016		17.29		0.11			(1.23	)		(1.12	)		(0.10	)		(0.67	)		(0.77	)
Year Ended June 30, 2015		16.52		0.12			1.24			1.36			(0.05	)		(0.54	)		(0.59	)
Year Ended June 30, 2014		13.35		0.06	(g)		3.46			3.52			(0.06	)		(0.29	)		(0.35	)
Year Ended June 30, 2013		10.43		0.11	(h)		2.91			3.02			(0.10	)		—			(0.10	)
November 1, 2011(j) through June 30, 2012		9.13		0.05			1.29	(i)		1.34			(0.04	)		—			(0.04	)
Institutional Class
Year Ended June 30, 2016		17.28		0.10			(1.24	)		(1.14	)		(0.08	)		(0.67	)		(0.75	)
Year Ended June 30, 2015		16.51		0.11			1.24			1.35			(0.04	)		(0.54	)		(0.58	)
Year Ended June 30, 2014		13.35		0.06	(g)		3.44			3.50			(0.05	)		(0.29	)		(0.34	)
Year Ended June 30, 2013		10.43		0.10	(h)		2.92			3.02			(0.10	)		—			(0.10	)
Year Ended June 30, 2012		10.75		0.06			(0.34	)(i)		(0.28	)		(0.04	)		—			(0.04	)
Select Class
Year Ended June 30, 2016		17.29		0.06			(1.22	)		(1.16	)		(0.06	)		(0.67	)		(0.73	)
Year Ended June 30, 2015		16.53		0.08			1.24			1.32			(0.02	)		(0.54	)		(0.56	)
Year Ended June 30, 2014		13.37		0.03	(g)		3.45			3.48			(0.03	)		(0.29	)		(0.32	)
Year Ended June 30, 2013		10.45		0.08	(h)		2.92			3.00			(0.08	)		—			(0.08	)
Year Ended June 30, 2012		10.76		0.05			(0.33	)(i)		(0.28	)		(0.03	)		—			(0.03	)

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

(b) Calculated based upon average shares outstanding.

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

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

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

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

(g) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income(loss) per share would have been $(0.02), $(0.09), $(0.05), $0.06, $0.05 and $0.02 for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.12)%, (0.61)%, (0.36)%, 0.38%, 0.34% and 0.13% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively.

(h) Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.01), $(0.07), $(0.07), $0.07, $0.05 and $0.03 for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.08)%, (0.57)%, (0.58)%, 0.56%, 0.41% and 0.25% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively.

(i) An affiliate of JPMorgan made a payment to the Fund for losses incurred from an operational error. Without this payment, the net realized and unrealized gains (losses) on investments per share would have been $(0.34), $(0.35), $1.28 and $(0.34) for Class A, Class C, Class R6 and Select Class Shares, respectively, and the total return would have been (3.01)%, (3.52)%, 14.66% and (2.70)% for Class A, Class C, Class R6 and Select Class Shares, respectively. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return for Class R2 and Institutional Class Shares.

(j) Commencement of offering of class of shares.

(k) Amount rounds to less than $0.005.

SEE NOTES TO FINANCIAL STATEMENTS.

72 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)(f)
$	15.09		(6.86	)%	$	226,309		1.26	%		0.15	%		1.44	%		49	%
	16.96		7.98			240,064		1.25			0.21			1.40			56
	16.25		25.86			126,858		1.25			(0.08	)(g)		1.34			51
	13.17		28.54			49,607		1.25			0.31	(h)		1.43			54
	10.31		(2.92	)(i)		8,411		1.26			0.17			1.59			74
	14.57		(7.35	)		45,932		1.76			(0.34	)		1.91			49
	16.46		7.47			45,202		1.75			(0.28	)		1.88			56
	15.86		25.27			22,539		1.75			(0.57	)(g)		1.84			51
	12.91		27.83			6,972		1.75			(0.18	)(h)		1.93			54
	10.14		(3.43	)(i)		1,247		1.76			(0.26	)		2.10			74
	14.88		(7.09	)		34,326		1.51			(0.05	)		1.75			49
	16.77		7.66			17,846		1.50			(0.04	)		1.66			56
	16.12		25.66			9,785		1.50			(0.32	)(g)		1.59			51
	13.09		28.19			1,744		1.50			(0.20	)(h)		1.65			54
	10.25		14.17	(i)		57		1.51			0.02			1.91			74
	15.40		(6.39	)		139,835		0.73			0.71			0.74			49
	17.29		8.54			69,755		0.73			0.73			0.76			56
	16.52		26.54			45,604		0.75			0.42	(g)		0.84			51
	13.35		29.17			17,232		0.75			0.95	(h)		0.97			54
	10.43		14.77	(i)		12,959		0.75			0.70			1.08			74
	15.39		(6.48	)		587,279		0.82			0.63			0.90			49
	17.28		8.49			352,036		0.82			0.64			0.94			56
	16.51		26.42			216,698		0.82			0.39	(g)		0.94			51
	13.35		29.08			30,226		0.82			0.79	(h)		1.05			54
	10.43		(2.59	)(i)		9,350		0.83			0.62			1.19			74
	15.40		(6.63	)		289,631		1.00			0.42			1.11			49
	17.29		8.25			246,645		1.00			0.45			1.11			56
	16.53		26.21			160,279		1.00			0.17	(g)		1.09			51
	13.37		28.81			66,928		1.00			0.64	(h)		1.21			54
	10.45		(2.60	)(i)		37,935		1.01			0.49			1.35			74

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 73

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016

1. Organization

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

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

	Classes Offered	Trust	Diversified/Non-Diversified
Dynamic Small Cap Growth Fund	Class A, Class C and Select Class	JPM I	Diversified
Small Cap Core Fund	Class A*, Class C*, Class R6*, Select Class	JPM I	Diversified
Small Cap Equity Fund	Class A, Class C, Class R2, Class R5, Class R6** and Select Class	JPM I	Diversified
Small Cap Growth Fund	Class A, Class C, Class R2, Class R6, Institutional Class and Select Class	JPM II	Diversified
Small Cap Value Fund	Class A, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
U.S. Small Company Fund	Class A, Class C, Class R2, Class R6, Institutional Class and Select Class	JPM I	Diversified

* Class A, Class C and Class R6 Shares commenced operations on May 31, 2016 for Small Cap Core Fund.

** Class R6 Shares commenced operations on May 31, 2016 for Small Cap Equity Fund.

The investment objectives of Dynamic Small Cap Growth Fund, Small Cap Core Fund and Small Cap Equity Fund are to seek capital growth over the long term.

The investment objective of Small Cap Growth Fund is to seek long-term capital growth primarily by investing in a portfolio of equity securities of small-capitalization and emerging growth companies.

The investment objective of Small Cap Value Fund is to seek long-term capital growth primarily by investing in equity securities of small-capitalization companies.

The investment objective of U.S. Small Company Fund is to seek to provide high total return from a portfolio of small company stocks.

All share classes of the Dynamic Small Cap Growth Fund and Small Cap Growth Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Funds unless they meet certain requirements as described in the Funds’ prospectuses. Effective as of the close of business on August 12, 2016, the Select Shares of the Small Cap Core Fund were publicly offered only on a limited basis. Effective August 25, 2016, all share classes of the Small Cap Growth Fund were publicly offered.

Prior to November 16, 2015, Small Cap Equity Fund was publicly offered only on a limited basis.

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

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

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

2. Significant Accounting Policies

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

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

74 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

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

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

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

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

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

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

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

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

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

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

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

Dynamic Small Cap Growth Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (a)	$	153,668	$	—	$	—		$	153,668
Small Cap Core Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (b)	$	163,425	$	—	$	—	(c)	$	163,425
Appreciation in Other Financial Instruments
Futures Contracts	$	85	$	—	$	—		$	85
Small Cap Equity Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (a)	$	3,433,406	$	—	$	—		$	3,433,406

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 75

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

Small Cap Growth Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (a)	$	1,040,819	$	—	$	—		$	1,040,819
Small Cap Value Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (b)	$	1,759,166	$	—	$	—	(c)	$	1,759,166
Appreciation in Other Financial Instruments
Futures Contracts	$	556	$	—	$	—		$	556
U.S. Small Company Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (d)	$	1,318,881	$	—	$	—	(c)	$	1,318,881
Appreciation in Other Financial Instruments
Futures Contracts	$	521	$	—	$	—		$	521

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

(b) Portfolio holdings designated in level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of warrants. Please refer to the SOIs for industry specifics of portfolio holdings.

(c) Value is Zero

(d) Portfolio holdings designated in level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of a right and warrant. Please refer to the SOIs for industry specifics of portfolio holdings.

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

B. Futures Contracts — Small Cap Core Fund, Small Cap Value Fund and U.S. Small Company Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.

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

The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

76 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

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

	Small Cap Core Fund		Small Cap Value Fund		U.S. Small Company Fund
Futures Contracts:
Average Notional Balance Long	$	11,431	$	49,924	$	34,338
Ending Notional Balance Long		7,573		20,538		35,569

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

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

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

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

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

	Class A			Class C		Class R2		Class R5		Class R6			Institutional Class		Select Class		Total
Dynamic Small Cap Growth Fund
Transfer agency fees	$	22		$	2		n/a		n/a		n/a			n/a	$	5	$	29
Sub-transfer agency fees		70			99		n/a		n/a		n/a			n/a		60		229
Small Cap Core Fund
Transfer agency fees		—	(a)		—		n/a		n/a	$	—			n/a		15		15
Sub-transfer agency fees		—			—		n/a		n/a		—			n/a		533		533
Small Cap Equity Fund
Transfer agency fees		47			2		$1	$	12		—	(a)		n/a		24		86
Sub-transfer agency fees		781			30		6		612		—			n/a		1,459		2,888
Small Cap Growth Fund
Transfer agency fees		52			5		1		n/a		6		$	5		8		77
Sub-transfer agency fees		442			24		76		n/a		—			247		187		976
Small Cap Value Fund
Transfer agency fees		351			7		39		6		15			n/a		10		428
Sub-transfer agency fees		1,059			67		138		99		—			n/a		531		1,894
U.S. Small Company Fund
Transfer agency fees		31			9		7		n/a		5			10		13		75
Sub-transfer agency fees		447			69		68		n/a		—			292		341		1,217

(a) Amount rounds to less than $500.

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

F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually, except for Small Cap Value Fund, which are generally declared and paid quarterly. Distributions are declared separately for each class. No class has preferential divi-

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 77

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

dend 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)
Dynamic Small Cap Growth Fund	$	1,447		$	3,162		$	(4,609	)
Small Cap Core Fund		43,893			(312	)		(43,581	)
Small Cap Equity Fund		235,495			(1,949	)		(233,546	)
Small Cap Growth Fund		(6,539	)		5,707			832
Small Cap Value Fund		—			(1,106	)		1,106
U.S. Small Company Fund		—			(414	)		414

The reclassifications for the Funds relate primarily to net operating losses, tax equalization, non-taxable dividends, adjustments to gain/loss due to redemptions in-kind and investments in real estate investment trusts.

3. Fees and Other Transactions with Affiliates

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

Dynamic Small Cap Growth Fund	0.65	%
Small Cap Core Fund	0.65
Small Cap Equity Fund	0.65
Small Cap Growth Fund	0.65
Small Cap Value Fund	0.65
U.S. Small Company Fund	0.60

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

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

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

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

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

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

	Class A			Class C			Class R2
Dynamic Small Cap Growth Fund		0.25	%		0.75	%		n/a
Small Cap Core Fund		0.25			0.75			n/a
Small Cap Equity Fund		0.25			0.75			0.50	%
Small Cap Growth Fund		0.25			0.75			0.50
Small Cap Value Fund		0.25			0.75			0.50
U.S. Small Company Fund		0.25			0.75			0.50

78 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

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

	Front-End Sales Charge		CDSC
Dynamic Small Cap Growth Fund	$	2	$	—
Small Cap Equity Fund		75		—	(a)
Small Cap Growth Fund		6		—
Small Cap Value Fund		18		—	(a)
U.S. Small Company Fund		17		—	(a)

(a) Amount rounds to less than $500.

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

	Class A			Class C			Class R2			Class R5			Institutional Class			Select Class
Dynamic Small Cap Growth Fund		0.25	%		0.25	%		n/a			n/a			n/a			0.25	%
Small Cap Core Fund		0.25			0.25			n/a			n/a			n/a			0.25
Small Cap Equity Fund		0.25			0.25			0.25	%		0.05	%		n/a			0.25
Small Cap Growth Fund		0.25			0.25			0.25			n/a			0.10	%		0.25
Small Cap Value Fund		0.25			0.25			0.25			0.05			n/a			0.25
U.S. Small Company Fund		0.25			0.25			0.25			n/a			0.10			0.25

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

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

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

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

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

	Class A			Class C			Class R2			Class R5			Class R6			Institutional Class			Select Class
Dynamic Small Cap Growth Fund		1.25	%		1.75	%		n/a			n/a			n/a			n/a			1.00	%
Small Cap Core Fund		1.25			1.75			n/a			n/a			0.75	%		n/a			0.80
Small Cap Equity Fund		1.30			1.80			1.55	%		0.80	%		0.75			n/a			1.00
Small Cap Growth Fund		1.25			1.75			1.50			n/a			0.75			0.85	%		1.00
Small Cap Value Fund		1.25			1.86			1.50			0.91			0.86			n/a			1.00
U.S. Small Company Fund		1.26			1.76			1.51			n/a			0.76			0.83			1.01

The expense limitation agreements were in effect for the year ended June 30, 2016. The contractual expense limitation percentages in the table above are in place until at least May 31, 2017 for Class A, Class C and Class R6 of Small Cap Core Fund and Class R6 for Small Cap Equity Fund. For all other classes, the contractual expense limitation percentages in the table above are in place until at least October 31, 2016.

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 79

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

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

	Contractual Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total		Contractual Reimbursements
Dynamic Small Cap Growth Fund	$	216	$	115	$	155	$	486	$	1
Small Cap Core Fund		1,215		373		46		1,634		8
Small Cap Equity Fund		780		520		1,617		2,917		50
Small Cap Growth Fund		101		65		952		1,118		87
Small Cap Value Fund		6		—		1,997		2,003		344
U.S. Small Company Fund		—		—		1,079		1,079		30

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

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

Dynamic Small Cap Growth Fund	$	11
Small Cap Core Fund		24
Small Cap Equity Fund		262
Small Cap Growth Fund		33
Small Cap Value Fund		92
U.S. Small Company Fund		78

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

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

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

During the year ended June 30, 2016, Dynamic Small Cap Growth Fund, Small Cap Core Fund and U.S. Small Company Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

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

Dynamic Small Cap Growth Fund	$	—	(a)
Small Cap Core Fund		—	(a)
Small Cap Growth Fund		1
Small Cap Value Fund		—	(a)
U.S. Small Company Fund		1

(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.

80 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

4. Investment Transactions

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

	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)
Dynamic Small Cap Growth Fund	$	172,501	$	435,993
Small Cap Core Fund		254,463		278,157
Small Cap Equity Fund		1,482,365		955,240
Small Cap Growth Fund		504,898		545,693
Small Cap Value Fund		786,230		797,172
U.S. Small Company Fund		946,397		532,432

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

5. Federal Income Tax Matters

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

	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Dynamic Small Cap Growth Fund	$	121,004	$	42,707	$	10,043	$	32,664
Small Cap Core Fund		132,472		40,481		9,528		30,953
Small Cap Equity Fund		2,572,159		955,684		94,437		861,247
Small Cap Growth Fund		881,655		259,200		100,036		159,164
Small Cap Value Fund		1,561,667		337,277		139,778		197,499
U.S. Small Company Fund		1,263,163		161,902		106,184		55,718

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

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
Dynamic Small Cap Growth Fund	$	—	$	55,844	$	55,844
Small Cap Core Fund		16,109		58,576		74,685
Small Cap Equity Fund		37,477		167,869		205,346
Small Cap Growth Fund		—		84,696		84,696
Small Cap Value Fund		15,467		76,796		92,263
U.S. Small Company Fund		16,789		31,957		48,746

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

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

	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Dynamic Small Cap Growth Fund	$	6,167	$	36,780	$	42,947
Small Cap Core Fund		13,046		60,430		73,476
Small Cap Equity Fund		37,796		303,990		341,786
Small Cap Growth Fund		303		86,078		86,381
Small Cap Value Fund		27,790		63,616		91,406
U.S. Small Company Fund		11,336		11,939		23,275

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

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 81

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

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

	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss  Carryover)		Unrealized Appreciation (Depreciation)
Dynamic Small Cap Growth Fund	$	—	$	14,379	$	32,664
Small Cap Core Fund		—		12,394		30,953
Small Cap Equity Fund		8,782		131,133		861,247
Small Cap Growth Fund		—		250		159,164
Small Cap Value Fund		3,151		828		197,499
U.S. Small Company Fund		2,556		—		55,718

For the Funds, the cumulative timing differences primarily consist of late year ordinary loss deferrals, wash sale loss deferrals, non-taxable dividends, post-October loss deferrals, investments in PFICs and mark to market of futures contracts.

As of June 30, 2016, the Funds did not have any capital loss carryforwards.

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

	Net Capital Losses					Late Year Ordinary Losses
	Short-Term		Long- Term
Dynamic Small Cap Growth Fund	$	—	$	—		$	643
Small Cap Equity Fund		10,541		—			—
Small Cap Growth Fund		19,610		(15,840	)		1,886
Small Cap Value Fund		49,393		(21,383	)		—
U.S. Small Company Fund		36,322		(4,475	)		—

6. Borrowings

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

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

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016. Average borrowings from the Facility for, or at any time during the year ended June 30, 2016, were as follows (amounts in thousands):

	Average Borrowings		Average Interest Rate Paid			Number of Days Outstanding		Interest Paid
Dynamic Small Cap Growth Fund	$	23,687		0.23	%		1	$	—	(a)
Small Cap Equity Fund		20,831		0.25			3		—	(a)

(a) Amount rounds to less than $500.

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

82 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

7. Redemptions In-Kind

During the year ended June 30, 2016, certain shareholders sold their shares of Small Cap Core Fund and Small Cap Equity 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):

December 18, 2015	Value			Realized Gains (Losses)		Type
Small Cap Core Fund — Select Class	$	530,784	*	$	35,980		Redemption in-kind

March 18, 2016	Value			Realized Gains (Losses)		Type
Small Cap Equity Fund — Class A	$	545,339	**		235,174		Redemption in-kind

* This amount includes cash of approximately $16,676,000 associated with the redemptions in-kind.

** This amount includes cash of approximately $26,463,000 associated with the redemptions in-kind.

8. Risks, Concentrations and Indemnifications

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

As of June 30, 2016, Dynamic Small Cap Growth Fund, Small Cap Core Fund, Small Cap Equity Fund, Small Cap Growth Fund and U.S. Small Company Fund had omnibus accounts, which collectively represented the following percentage of each Fund’s net assets:

	Number of Non-affiliated Omnibus Accounts		% of the Fund
Dynamic Small Cap Growth Fund		3		57.6	%
Small Cap Core Fund		3		47.6
Small Cap Equity Fund		3		14.9
Small Cap Growth Fund		2		11.4
U.S. Small Company Fund		9		41.4

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

	JPMorgan SmartRetirement Funds
Small Cap Growth Fund		30.3	%
Small Cap Value Fund		18.1

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

Because the Funds may invest a significant portion of their assets in REITs, the Funds may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.

Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.

9. Subsequent Event

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

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 83

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Dynamic Small Cap Growth Fund, JPMorgan Small Cap Core Fund, JPMorgan Small Cap Equity Fund, JPMorgan Small Cap Growth Fund, JPMorgan Small Cap Value Fund and JPMorgan U.S. Small Company 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 Dynamic Small Cap Growth Fund, JPMorgan Small Cap Core Fund, JPMorgan Small Cap Equity Fund and JPMorgan U.S. Small Company Fund (each a separate fund of JPMorgan Trust I) and JPMorgan Small Cap Growth Fund and JPMorgan Small Cap Value Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

August 25, 2016

84 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

TRUSTEES

(Unaudited)

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

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	152	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	152	Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	152	None
Frankie D. Hughes (1952); Trustee of Trusts since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	152	Trustee, The Victory Portfolios (2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	152	None
Mary E. Martinez (1960); Trustee of Trusts since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	152	None
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	152	None
Mitchell M. Merin (1953); Trustee of Trusts since 2013.	Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	152	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	152	Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 85

TRUSTEES

(Unaudited) (continued)

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

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

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

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

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

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

86 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

OFFICERS

(Unaudited)

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

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

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

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

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 87

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

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

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period		Annualized Expense Ratio
Dynamic Small Cap Growth Fund
Class A
Actual*	$	1,000.00	$	960.40	$	6.09		1.25	%
Hypothetical*		1,000.00		1,018.65		6.27		1.25
Class C
Actual*		1,000.00		958.20		8.52		1.75
Hypothetical*		1,000.00		1,016.16		8.77		1.75
Select Class
Actual*		1,000.00		961.80		4.88		1.00
Hypothetical*		1,000.00		1,019.89		5.02		1.00
Small Cap Core Fund
Class A
Actual**		1,000.00		1,001.50		1.03		1.25
Hypothetical*		1,000.00		1,018.65		6.27		1.25
Class C
Actual**		1,000.00		1,001.10		1.43		1.74
Hypothetical*		1,000.00		1,016.21		8.72		1.74
Class R6
Actual**		1,000.00		1,002.00		0.61		0.74
Hypothetical*		1,000.00		1,021.18		3.72		0.74
Select Class
Actual*		1,000.00		995.00		3.92		0.79
Hypothetical*		1,000.00		1,020.93		3.97		0.79
Small Cap Equity Fund
Class A
Actual*		1,000.00		1,079.50		6.67		1.29
Hypothetical*		1,000.00		1,018.45		6.47		1.29

88 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period		Annualized Expense Ratio
Small Cap Equity Fund (continued)
Class C
Actual*	$	1,000.00	$	1,076.90	$	9.19		1.78	%
Hypothetical*		1,000.00		1,016.01		8.92		1.78
Class R2
Actual*		1,000.00		1,078.20		7.96		1.54
Hypothetical*		1,000.00		1,017.21		7.72		1.54
Class R5
Actual*		1,000.00		1,082.40		4.09		0.79
Hypothetical*		1,000.00		1,020.93		3.97		0.79
Class R6
Actual**		1,000.00		1,011.30		0.60		0.73
Hypothetical*		1,000.00		1,021.23		3.67		0.73
Select Class
Actual*		1,000.00		1,081.30		5.12		0.99
Hypothetical*		1,000.00		1,019.94		4.97		0.99
Small Cap Growth Fund
Class A
Actual*		1,000.00		961.30		6.10		1.25
Hypothetical*		1,000.00		1,018.65		6.27		1.25
Class C
Actual*		1,000.00		959.70		8.53		1.75
Hypothetical*		1,000.00		1,016.16		8.77		1.75
Class R2
Actual*		1,000.00		960.40		7.31		1.50
Hypothetical*		1,000.00		1,017.40		7.52		1.50
Class R6
Actual*		1,000.00		963.90		3.66		0.75
Hypothetical*		1,000.00		1,021.13		3.77		0.75
Institutional Class
Actual*		1,000.00		963.60		4.15		0.85
Hypothetical*		1,000.00		1,020.64		4.27		0.85
Select Class
Actual*		1,000.00		962.80		4.88		1.00
Hypothetical*		1,000.00		1,019.89		5.02		1.00
Small Cap Value Fund
Class A
Actual*		1,000.00		1,062.30		6.41		1.25
Hypothetical*		1,000.00		1,018.65		6.27		1.25
Class C
Actual*		1,000.00		1,059.00		9.52		1.86
Hypothetical*		1,000.00		1,015.61		9.32		1.86
Class R2
Actual*		1,000.00		1,061.10		7.69		1.50
Hypothetical*		1,000.00		1,017.40		7.52		1.50
Class R5
Actual*		1,000.00		1,064.50		4.62		0.90
Hypothetical*		1,000.00		1,020.39		4.52		0.90
Class R6
Actual*		1,000.00		1,065.10		3.95		0.77
Hypothetical*		1,000.00		1,021.03		3.87		0.77
Select Class
Actual*		1,000.00		1,064.00		5.13		1.00
Hypothetical*		1,000.00		1,019.89		5.02		1.00

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 89

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period		Annualized Expense Ratio
U.S. Small Company Fund
Class A
Actual*	$	1,000.00	$	1,008.00	$	6.24		1.25	%
Hypothetical*		1,000.00		1,018.65		6.27		1.25
Class C
Actual*		1,000.00		1,005.50		8.73		1.75
Hypothetical*		1,000.00		1,016.16		8.77		1.75
Class R2
Actual*		1,000.00		1,006.80		7.48		1.50
Hypothetical*		1,000.00		1,017.40		7.52		1.50
Class R6
Actual*		1,000.00		1,011.20		3.70		0.74
Hypothetical*		1,000.00		1,021.18		3.72		0.74
Institutional Class
Actual*		1,000.00		1,010.50		4.10		0.82
Hypothetical*		1,000.00		1,020.79		4.12		0.82
Select Class
Actual*		1,000.00		1,009.80		5.00		1.00
Hypothetical*		1,000.00		1,019.89		5.02		1.00

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

** Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 30/366 (to reflect the one-half year period).

90 J.P. MORGAN SMALL CAP FUNDS JUNE 30, 2016

TAX LETTER

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

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

	Dividends Received Deduction
Small Cap Core Fund		38.76	%
Small Cap Equity Fund		100.00
Small Cap Value Fund		100.00
U.S. Small Company Fund		100.00

Long Term Capital Gain

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

	Long-Term Capital Gain Distribution
Dynamic Small Cap Growth Fund	$	60,078
Small Cap Core Fund		67,752
Small Cap Equity Fund		167,869
Small Cap Growth Fund		84,696
Small Cap Value Fund		76,796
U.S. Small Company Fund		31,957

Qualified Dividend Income (QDI)

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

	Qualified Dividend Income
Small Cap Core Fund	$	6,399
Small Cap Equity Fund		37,477
Small Cap Value Fund		15,467
U.S. Small Company Fund		16,788

JUNE 30, 2016 J.P. MORGAN SMALL CAP FUNDS 91

Rev. January 2011

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

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

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

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

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

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

Page 2

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

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

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

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

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

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

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

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

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

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

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

Annual Report

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

June 30, 2016

JPMorgan Growth Advantage Fund

JPMorgan Mid Cap Equity Fund

JPMorgan Mid Cap Growth Fund

JPMorgan Mid Cap Value Fund

JPMorgan Multi-Cap Market Neutral Fund

JPMorgan Value Advantage Fund

CONTENTS

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

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

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

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

CEO’S LETTER

July 15, 2016 (Unaudited)

Dear Shareholder,

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

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

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

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

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

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

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

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

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

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

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

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

Sincerely yours,

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

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

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

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

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

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

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

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

JPMorgan Growth Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

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

INVESTMENT OBJECTIVE**

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

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

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

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

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

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

HOW WAS THE FUND POSITIONED?

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

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

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

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

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

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

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

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

JPMorgan Growth Advantage Fund

FUND COMMENTARY

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

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

* Sales Charge for Class A Shares is 5.25%.

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

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

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

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

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

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

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

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

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

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

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

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

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

INVESTMENT OBJECTIVE**

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

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

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

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

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

HOW WAS THE FUND POSITIONED?

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

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

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

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

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

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

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

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

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

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

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

* Sales Charge for Class A Shares is 5.25%.

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

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

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

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

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

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

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

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

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

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

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

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

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

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

INVESTMENT OBJECTIVE**

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

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

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

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

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

HOW WAS THE FUND POSITIONED?

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

to stock selection, researching individual companies in an effort

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

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

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

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

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

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

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

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

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

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

* Sales Charge for Class A Shares is 5.25%.

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

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

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

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

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

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

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

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

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

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

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

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

INVESTMENT OBJECTIVE**

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

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

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

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

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

HOW WAS THE FUND POSITIONED?

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

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

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

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

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

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

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

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

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

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

* Sales Charge for Class A Shares is 5.25%.

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

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

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

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

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

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

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

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

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

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

JPMorgan Multi-Cap Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

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

INVESTMENT OBJECTIVE**

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

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

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

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

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

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

HOW WAS THE FUND POSITIONED?

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

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

JPMorgan Multi-Cap Market Neutral Fund

FUND COMMENTARY

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

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

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

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

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

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

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

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

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

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

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

* Sales Charge for Class A Shares is 5.25%.

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

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

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

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

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

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

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

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

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

JPMorgan Value Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

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

INVESTMENT OBJECTIVE**

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

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

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

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

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

HOW WAS THE FUND POSITIONED?

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

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

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

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

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

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

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

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

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

* Sales Charge for Class A Shares is 5.25%.

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

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

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

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

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

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

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

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

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

JPMorgan Growth Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

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

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

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

Percentages indicated are based on net assets.

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

THIS PAGE IS INTENTIONALLY LEFT BLANK

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

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016

(Amounts in thousands, except per share amounts)

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except per share amounts)

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2016

(Amounts in thousands)

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

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

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

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

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

(b) Amount rounds to less than 500.

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

THIS PAGE IS INTENTIONALLY LEFT BLANK

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

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

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

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

(b) Calculated based upon average shares outstanding.

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

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

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

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

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

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

(i) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

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

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

(b) Calculated based upon average shares outstanding.

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

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

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

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

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

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

(i) Amount rounds to less than $0.005.

(j) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

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

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

(b) Calculated based upon average shares outstanding.

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

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

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

(j) Commencement of offering of class of shares.

(k) Amount rounds to less than $0.005.

SEE NOTES TO FINANCIAL STATEMENTS.

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

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

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

(a) Calculated based upon average shares outstanding.

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

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

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

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

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

(g) Amount rounds to less than $0.005.

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

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

(a) Calculated based upon average shares outstanding.

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

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

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

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

(a) Calculated based upon average shares outstanding.

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

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

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

SEE NOTES TO FINANCIAL STATEMENTS.

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

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016

1. Organization

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

2. Significant Accounting Policies

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

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

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

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

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

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

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

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

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

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

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

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

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

Growth Advantage Fund

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

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

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

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

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

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

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

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

3. Fees and Other Transactions with Affiliates

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

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

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

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

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

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

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

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

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

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

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

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

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

(a) Amount rounds to less than $500.

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

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

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

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

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

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

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

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

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

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

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

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

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

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

(a) Amount rounds to less than $500.

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

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

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

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

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

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

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

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

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

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

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

4. Investment Transactions

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

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

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

5. Federal Income Tax Matters

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

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

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

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

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

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

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

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

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

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

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

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

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

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

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

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

	2018
Mid Cap Value Fund	$	14,734	*

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

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

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

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

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

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

Multi-Cap Market Neutral Fund $ 16,098

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

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

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

6. Borrowings

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

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

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

7. Redemptions in-Kind

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

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

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

8. Risks, Concentrations and Indemnifications

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

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

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

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

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

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

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

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

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

9. Subsequent Event

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

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

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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

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

PricewaterhouseCoopers LLP

New York, New York

August 25, 2016

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

TRUSTEES

(Unaudited)

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

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	152	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	152	Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	152	None
Frankie D. Hughes (1952); Trustee of Trusts since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	152	Trustee, The Victory Portfolios (2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	152	None
Mary E. Martinez (1960); Trustee of Trusts since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	152	None
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	152	None
Mitchell M. Merin (1953); Trustee of Trusts since 2013.	Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	152	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	152	Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

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

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

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

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

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

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

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

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

OFFICERS

(Unaudited)

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

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

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

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

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

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

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

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

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

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

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

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

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

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

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

TAX LETTER

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

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

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

Long Term Capital Gain

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

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

Qualified Dividend Income (QDI)

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

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

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

Rev. January 2011

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

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

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

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

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

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

Page 2

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

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

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

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

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

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

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

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

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

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

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

Annual Report

J.P. Morgan Large Cap Funds

June 30, 2016

JPMorgan Disciplined Equity Fund

JPMorgan Dynamic Growth Fund

JPMorgan Equity Focus Fund

JPMorgan Equity Income Fund

JPMorgan Growth and Income Fund

JPMorgan Hedged Equity Fund

JPMorgan Large Cap Growth Fund

JPMorgan Large Cap Value Fund

JPMorgan U.S. Equity Fund

CONTENTS

CEO’s Letter	1
Market Overview	2
Fund Commentaries:
JPMorgan Disciplined Equity Fund	3
JPMorgan Dynamic Growth Fund	5
JPMorgan Equity Focus Fund	7
JPMorgan Equity Income Fund	9
JPMorgan Growth and Income Fund	11
JPMorgan Hedged Equity Fund	13
JPMorgan Large Cap Growth Fund	15
JPMorgan Large Cap Value Fund	17
JPMorgan U.S. Equity Fund.	19
Schedules of Portfolio Investments	21
Financial Statements	50
Financial Highlights	74
Notes to Financial Statements	92
Report of Independent Registered Public Accounting Firm	105
Trustees	106
Officers	108
Schedule of Shareholder Expenses	109
Tax Letter	113
Privacy Policy — Located at back of this Annual Report

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

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

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

CEO’S LETTER

July 15, 2016 (Unaudited)

Dear Shareholder,

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

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

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

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

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

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

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

U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the

end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.

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

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

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

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

Sincerely yours,

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 1

J.P. Morgan Large Cap Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.9% in one day. In October, U. S. stocks came roaring back and turned in their best monthly performance since late 2011.

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

However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a positive return for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices. For the twelve months ended June 30, 2016, the S&P 500 returned 3.99% and the Russell 1000 Index returned 2.93%.

2 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Disciplined Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Institutional Class Shares)*		(3.94)%
S&P 500 Index		3.99%
Net Assets as of 6/30/2016 (In Thousands)	$	8,221,578

INVESTMENT OBJECTIVE**

The JPMorgan Disciplined Equity Fund (the “Fund”) seeks to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the Standard & Poor’s 500 Index (the “Benchmark”).

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

The Fund’s Institutional Class Shares underperformed the Benchmark for the twelve months ended June 30, 2016. The Fund’s security selection in the industrial cyclical sector and pharmaceutical/medical technology sector was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the energy and utilities sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Biogen Inc., Dish Network Corp. and Valeant Pharmaceuticals International Inc. Shares of Biogen, a drug maker, declined on investor concerns about both changes in management and the company’s weak pipeline of new drug candidates. Shares of Dish Network, a satellite television network operator not held in the Benchmark, fell on weakness in subscriptions and consumer trends toward online entertainment providers. Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on investor concerns about the company’s revenue accounting practices.

Leading individual contributors to relative performance included the Fund’s underweight position in Walt Disney Co. and its overweight positions in Bristol-Myers Squibb Co. and Yum Brands Inc. Shares of Walt Disney, an entertainment and media company, declined amid a consumer trend away from cable TV and toward online entertainment providers. Shares of Bristol-Myers, a drug maker, rose on revenue growth and strong demand for its cancer immunotherapy drug, Opdivo. Shares of Yum Brands, an owner and franchiser of fast food restaurants, rose after the company unveiled plans to spin off its China unit and raised its full-year 2016 earnings forecast.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the principal source of potential excess return. The Fund’s portfolio managers sought investment opportunities in companies that they believed were attractive based on valuation and strong fundamentals.

TOP TEN HOLDINGS OF THE PORTFOLIO***
	1.	Microsoft Corp.	3.1	%
	2.	Apple, Inc.	2.8
	3.	Alphabet, Inc., Class A	2.6
	4.	PepsiCo, Inc.	2.0
	5.	Facebook, Inc., Class A	1.7
	6.	Bristol-Myers Squibb Co.	1.6
	7.	Pfizer, Inc.	1.6
	8.	Amazon.com, Inc.	1.5
	9.	Lowe’s Cos., Inc.	1.5
	10.	AT&T, Inc.	1.5

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	20.6	%
Health Care	15.0
Financials	14.7
Consumer Discretionary	12.5
Consumer Staples	9.6
Industrials	9.4
Energy	7.2
Utilities	3.5
Materials	3.0
Telecommunication Services	2.3
Short-Term Investments	2.2

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

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

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

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 3

JPMorgan Disciplined Equity Fund

FUND COMMENTARY

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

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	September 28, 2001
With Sales Charge*			(9.33	)%		9.81	%		6.56	%
Without Sales Charge			(4.30	)		11.00			7.14
CLASS R6 SHARES	March 24, 2003		(3.83	)		11.57			7.69
INSTITUTIONAL CLASS SHARES	January 3, 1997		(3.94	)		11.45			7.58
SELECT CLASS SHARES	September 10, 2001		(4.08	)		11.28			7.41

* Sales Charge for Class A Shares is 5.25%.

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

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

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Disciplined Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual

fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

4 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Dynamic Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(3.54)%
Russell 1000 Growth Index		3.02%
Net Assets as of 6/30/2016 (In Thousands)	$	329,407

INVESTMENT OBJECTIVE**

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

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

The Fund’s Select Class Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and overweight position in the health care sector and its security selection in the financial services sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the technology and consumer discretionary sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Regeneron Pharmaceuticals Inc., Gilead Sciences Inc. and Charles Schwab Corp. Shares of Regeneron, a drug maker, fell amid investor concerns about industry wide drug-pricing practices. Shares of Gilead Sciences, a pharmaceuticals company, fell amid increased price competition for its leading products. Shares of Charles Schwab, a financial services company, fell along with other financial sector companies on investor concerns about the impact of the U.K.’s “Brexit” vote.

Leading individual contributors to relative performance included the Fund’s overweight positions in Amazon.com Inc. and Facebook Inc. and its underweight position in Apple Inc. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Facebook, a social media company, rose on continued growth in advertising revenue. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue.

HOW WAS THE FUND POSITIONED?

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

to construct portfolios of stocks that have strong fundamentals and positive price momentum. The Fund’s portfolio managers sought to invest in companies with attractive fundamentals that, in their view, possessed the potential to significantly exceed expectations for a prolonged period of time.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Facebook, Inc., Class A	6.6	%
	2.	Amazon.com, Inc.	6.5
	3.	Alphabet, Inc., Class A	6.1
	4.	MasterCard, Inc., Class A	5.0
	5.	Home Depot, Inc. (The)	4.8
	6.	Ulta Salon Cosmetics & Fragrance, Inc.	4.0
	7.	Gilead Sciences, Inc.	3.8
	8.	Broadcom Ltd., (Singapore)	3.4
	9.	Charles Schwab Corp. (The)	3.3
	10.	ARM Holdings plc, (United Kingdom), ADR	3.3

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	33.9	%
Consumer Discretionary	25.9
Health Care	14.1
Financials	9.0
Industrials	7.1
Materials	3.0
Energy	2.2
Consumer Staples	1.2
Short-Term Investment	3.6

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

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

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

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 5

JPMorgan Dynamic Growth Fund

FUND COMMENTARY

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

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			SINCE INCEPTION
CLASS A SHARES	November 30, 2007
With Sales Charge*			(8.80	)%		8.67	%		5.36	%
Without Sales Charge			(3.77	)		9.86			6.02
CLASS C SHARES	November 30, 2007
With CDSC**			(5.24	)		9.31			5.49
Without CDSC			(4.24	)		9.31			5.49
CLASS R5 SHARES	November 30, 2007		(3.33	)		10.36			6.50
SELECT CLASS SHARES	November 30, 2007		(3.54	)		10.14			6.29

* Sales Charge for Class A Shares is 5.25%.

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

LIFE OF FUND PERFORMANCE (11/30/07 TO 6/30/16)

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

The Fund commenced operations on November 30, 2007.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Dynamic Growth Fund, the Russell 1000 Growth Index and the Lipper Large-Cap Growth Funds Index from November 30, 2007 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 1000 Growth Index is an unmanaged index which measures the

performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Large-Cap Growth Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

Subsequent to the inception date of the Fund and through August 5, 2010, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

6 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Equity Focus Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(1.37)%
S&P 500 Index		3.99%
Net Assets as of 6/30/2016 (In Thousands)	$	139,489

INVESTMENT OBJECTIVE**

The JPMorgan Equity Focus Fund (the “Fund”) seeks long term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund (Select Class Shares) underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care sector and its security selection and overweight position in the financial services sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the information technology and consumer discretionary sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Gilead Sciences Inc., Regeneron Inc. and Kohl’s Corp. Shares of Gilead Sciences, a pharmaceuticals company, fell amid increased price competition for its leading products. Shares of Regeneron, a drug maker, fell amid investor concerns about industry wide drug-pricing practices. Shares of Kohl’s, an apparel retailer, fell on lower than expected earnings and weak sales growth.

Leading individual contributors to relative performance included the Fund’s overweight positions in Amazon.com Inc., Facebook Inc. and Alphabet Inc. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Facebook, a provider of social media, rose on continued growth in advertising revenue. Shares of Alphabet, parent company of Google, rose on continued strength in advertising and earnings.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection. As a result of this approach to stock selection, the Fund’s largest overweight positions

versus the Benchmark were in the consumer discretionary and financial services sectors. The Fund’s largest underweight positions versus the Benchmark were in the consumer staples and utilities sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Amazon.com, Inc.	5.8	%
	2.	Facebook, Inc., Class A	5.7
	3.	MasterCard, Inc., Class A	4.8
	4.	Alphabet, Inc., Class C	4.7
	5.	Loews Corp.	4.6
	6.	American International Group, Inc.	4.6
	7.	Gilead Sciences, Inc.	3.8
	8.	Wells Fargo & Co.	3.7
	9.	Capital One Financial Corp.	3.7
	10.	Priceline Group, Inc. (The)	3.3

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	22.0	%
Financials	22.0
Consumer Discretionary	21.8
Health Care	14.0
Energy	5.6
Industrials	5.4
Materials	4.4
Short-Term Investment	4.8

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 7

JPMorgan Equity Focus Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			3 YEAR			SINCE INCEPTION
CLASS A SHARES	July 29, 2011
With Sales Charge*			(6.76	)%		7.42	%		9.83	%
Without Sales Charge			(1.60	)		9.36			11.03
CLASS C SHARES	July 29, 2011
With CDSC**			(3.10	)		8.83			10.48
Without CDSC			(2.10	)		8.83			10.48
SELECT CLASS SHARES	July 29, 2011		(1.37	)		9.64			11.31

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (7/29/11 TO 06/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.

The Fund commenced operations on July 29, 2011.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Equity Focus Fund, the S&P 500 Index and the Lipper Multi-Cap Growth Funds Index from July 29, 2011 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index

generally representative of the performance of large companies in the U.S. stock market. The Lipper Multi-Cap Growth Funds Index represents the total returns of all mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Subsequent to the inception date of the Fund and through July 31, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

8 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Equity Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		4.75%
Russell 1000 Value Index		2.86%
Net Assets as of 6/30/2016 (In Thousands)	$	12,066,321

INVESTMENT OBJECTIVE**

The JPMorgan Equity Income Fund (the “Fund”) seeks capital appreciation and current income.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and overweight position in the consumer staples sector and its security selection in the financials sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the information technology sector and its overweight position in the consumer discretionary sector were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight position in Altria Group Inc., Airgas Inc. and Home Depot Inc. Shares of Altria, a tobacco company, rose on continued growth in electronic cigarette sales. Shares of Airgas, a provider of industrial gases, rose on news of a takeover offer by Air Liquide SA. Shares of Home Depot, a home improvement retailer, rose on continued revenue growth.

Leading individual detractors from relative performance included the Fund’s overweight position in Apple Inc. and Tiffany & Co. and its underweight position in General Electric Co. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue. Shares of Tiffany, a luxury jeweler, fell after reporting a sharp drop in sales. Shares of General Electric, an industrial manufacturer not held by the Fund, rose on overall strength in the industrials sector stocks.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers’ focus remained on stock selection, as they believed that quality companies trading at attractive valuations have the greatest potential to outperform in the long term. As the Fund aimed to purchase stocks with

above average dividend yields, the research process was designed to identify companies with predictable and durable business models deemed capable of generating sustainable free cash flow.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Wells Fargo & Co.	3.7	%
	2.	Exxon Mobil Corp.	2.9
	3.	Johnson & Johnson	2.7
	4.	Altria Group, Inc.	2.3
	5.	Pfizer, Inc.	2.1
	6.	Occidental Petroleum Corp.	2.1
	7.	Chevron Corp.	2.0
	8.	Travelers Cos., Inc. (The)	2.0
	9.	BlackRock, Inc.	1.9
	10.	Merck & Co., Inc.	1.9

PORTFOLIO COMPOSITION BY SECTOR***
Financials	27.4	%
Health Care	12.0
Consumer Staples	9.4
Energy	9.4
Information Technology	9.3
Industrials	9.1
Consumer Discretionary	8.4
Utilities	5.5
Materials	3.4
Telecommunication Services	1.7
Short-Term Investment	4.4

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 9

JPMorgan Equity Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	February 18, 1992
With Sales Charge*			(1.01	)%		10.44	%		7.15	%
Without Sales Charge			4.45			11.64			7.73
CLASS C SHARES	November 4, 1997
With CDSC**			3.01			11.09			7.18
Without CDSC			4.01			11.09			7.18
CLASS R2 SHARES	February 28, 2011		4.20			11.37			7.53
CLASS R5 SHARES	February 28, 2011		4.96			12.15			8.14
CLASS R6 SHARES	January 31, 2012		4.98			12.19			8.16
SELECT CLASS SHARES	July 2, 1987		4.75			11.92			8.03

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 and Class R5 Shares prior to their inception dates are based on the performance of Select Class Shares. With respect to Class R2 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes. The actual returns for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to February 28, 2011, Select Class Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 and Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Equity Income Fund, the Russell 1000 Value Index and the Lipper Equity Income Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge.

The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Equity Income Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Equity Income Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

10 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Growth and Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Class A Shares, without a sales charge)*		1.04%
Russell 1000 Value Index		2.86%
Net Assets as of 6/30/2016 (In Thousands)	$	487,820

INVESTMENT OBJECTIVE**

The JPMorgan Growth and Income Fund (the “Fund”) seeks to provide capital growth over the long term and earn income from dividends.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class A Shares, without a sales charge, underperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financials sector and its underweight position in the utilities sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the consumer staples and materials sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Apple Inc. and Invesco Ltd. and its underweight position in AT&T Inc. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue. Shares of Invesco, an investment management company, fell on investor concerns about the impact of the U.K.’s “Brexit” vote. Shares of AT&T, a telecommunications provider not held by the Fund, rose amid investor demand for stocks with relatively high dividends and on news of and end to a strike by the Communications Workers of America.

Leading individual contributors to relative performance included the Fund’s overweight positions in Molson Coors Brewing Co., Verizon Communications Inc. and Altria Group Inc. Shares of Molson Coors, a brewing company, rose on investor expectations that it would acquire control of valuable joint venture MillerCoors following the proposed acquisition of SABMiller by Anheuser Bush InBev. Shares of Verizon, a telecommunications provider, rose after earnings were hurt less than expected by a union strike. Shares of Altria, a tobacco company, rose on continued growth in electronic cigarette sales.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers focused on stock selection and aimed to invest in undervalued companies with durable franchises, strong management and the ability to grow their intrinsic

value per share. The portfolio managers employed a bottom-up approach to security selection and fundamental research. During the reporting period, the Fund’s largest overweight position relative to the Benchmark was in the consumer discretionary sector, while its largest underweight position was in the energy sector.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Microsoft Corp.	2.8	%
	2.	Exxon Mobil Corp.	2.7
	3.	Bank of America Corp.	2.7
	4.	Wells Fargo & Co.	2.5
	5.	Chevron Corp.	2.5
	6.	Occidental Petroleum Corp.	2.1
	7.	General Electric Co.	2.1
	8.	Berkshire Hathaway, Inc., Class B	2.1
	9.	Apple, Inc.	2.1
	10.	Bristol-Myers Squibb Co.	2.0

PORTFOLIO COMPOSITION BY SECTOR***
Financials	28.9	%
Health Care	12.8
Information Technology	11.8
Energy	10.7
Industrials	9.6
Consumer Discretionary	8.9
Consumer Staples	6.7
Utilities	5.5
Telecommunication Services	2.6
Materials	0.9
Short-Term Investment	1.6

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 11

JPMorgan Growth and Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	September 23, 1987
With Sales Charge*			(4.26	)%		10.56	%		5.80	%
Without Sales Charge			1.04			11.76			6.38
CLASS C SHARES	January 2, 1998
With CDSC**			(0.46	)		11.20			5.84
Without CDSC			0.54			11.20			5.84
CLASS R2 SHARES	November 2, 2015		0.86			11.72			6.36
CLASS R5 SHARES	November 2, 2015		1.41			12.07			6.68
CLASS R6 SHARES	November 2, 2015		1.46			12.08			6.69
SELECT CLASS SHARES	January 25, 1996		1.28			12.04			6.67

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.

Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Select Class Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth and Income Fund, the Russell 1000 Value Index and the Lipper Large-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect

reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 1000 Value Index is an unmanaged index, which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain groups of mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.

Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

12 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Hedged Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		0.01%
S&P 500 Index		3.99%
Net Assets as of 6/30/2016 (In Thousands)	$	240,203

INVESTMENT OBJECTIVE**

The JPMorgan Hedged Equity Fund (the “Fund”) seeks to provide capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the twelve months ended June 30, 2016.

The Fund’s options hedge allowed the Fund to generally perform as designed, delivering returns with less volatility than the Benchmark during the reporting period. The Fund provided a downside buffer throughout the particularly volatile market environment, exhibiting markedly less volatility than the Benchmark while capturing 57% of the market rebound from its trough in the first quarter of 2016.

The Fund’s security selection in the pharmaceutical/medical technology and industrial cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and utilities sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc., Time Warner Inc. and 21^st Century Fox Inc. Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on investor concerns about the company’s revenue accounting practices. Shares of Time Warner and 21^st Century Fox, both media and entertainment companies, fell on lower-than-expected advertising revenue amid a consumer trend away from cable TV and toward online entertainment providers.

Leading individual contributors to relative performance included the Fund’s underweight positions in Walt Disney Co. and its overweight positions in Accenture PLC and Chubb Ltd. Shares of Walt Disney, an entertainment and media company, declined amid a consumer trend away from cable TV and toward online entertainment providers. Shares of Accenture, a technology consulting and outsourcing company, rose after the company reported revenue growth and increased demand. Shares of Chubb, a property insurer, rose after the company reported better than expected quarterly results and increased its quarterly dividend.

HOW WAS THE FUND POSITIONED?

The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while

systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call options. The option overlay is known as a “Put/Spread Collar” strategy. The combination of the diversified portfolio of equity securities, downside protection from index put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments, while exposing the Fund to less risk than traditional long-only equity strategies.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Apple, Inc.	2.9	%
	2.	Microsoft Corp.	2.9
	3.	Wells Fargo & Co.	1.8
	4.	Facebook, Inc., Class A	1.7
	5.	Exxon Mobil Corp.	1.7
	6.	Amazon.com, Inc.	1.6
	7.	Pfizer, Inc.	1.6
	8.	PepsiCo, Inc.	1.5
	9.	Bristol-Myers Squibb Co.	1.4
	10.	Berkshire Hathaway, Inc., Class B	1.4

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	19.7	%
Financials	15.2
Health Care	15.1
Consumer Discretionary	13.2
Consumer Staples	9.7
Industrials	9.6
Energy	7.3
Utilities	3.5
Materials	2.8
Telecommunication Services	1.9
Put Option	1.5
Short-Term Investments	0.5

* 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, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 13

JPMorgan Hedged Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			SINCE INCEPTION
CLASS A SHARES	December 13, 2013
With Sales Charge*			(5.47	)%		2.20	%
Without Sales Charge			(0.25	)		4.39
CLASS C SHARES	December 13, 2013
With CDSC**			(1.76	)		3.85
Without CDSC			(0.76	)		3.85
CLASS R5 SHARES	December 13, 2013		0.19			4.85
CLASS R6 SHARES	December 13, 2013		0.25			4.90
SELECT CLASS SHARES	December 13, 2013		0.01			4.64

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (12/13/13 TO 06/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The Fund commenced operations on December 13, 2013.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Hedged Equity Fund, the S&P 500 Index, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Alternative Long/Short Equity Funds Average from December 13, 2013 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmarks, if applicable. The performance of the Lipper Alternative Long/Short Equity Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The BofA Merrill

Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index. The Lipper Alternative Long/Short Equity Funds Average is an average based on the total returns of all mutual funds within the funds designated category as determined by Lipper, Inc.

Select Class Shares have a $1,000,000 minimum initial investment.

Subsequent to the inception date of the Fund and through May 30, 2014, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

14 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Large Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(6.29)%
Russell 1000 Growth Index		3.02%
Net Assets as of 6/30/2016 (In Thousands	$	13,704,136

INVESTMENT OBJECTIVE**

The JPMorgan Large Cap Growth Fund (the “Fund”) seeks long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and overweight position in the health care sector and its security selection and underweight position in the consumer staples sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the technology and consumer discretionary sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Ltd., Regeneron Inc. and Vertex Pharmaceuticals Inc. Shares of Valeant Pharmaceuticals, a drug maker not held in the Benchmark, fell on investor concerns about the company’s revenue accounting practices. Shares of Regeneron, a drug maker, fell amid investor concerns about industry wide drug-pricing practices. Shares of Vertex Pharmaceuticals, a drug maker, fell after the company posted lower than expected earnings and revenue.

Leading individual contributors to relative performance included the Fund’s overweight positions in Facebook Inc. and Amazon.com Inc. and its underweight position in Apple Inc. Shares of Facebook, a social media company, rose on continued growth in advertising revenue. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct portfolios of stocks that have strong

fundamentals and positive price momentum. The Fund’s portfolio managers sought to invest in companies with attractive fundamentals that, in their view, possessed the potential to significantly exceed expectations for a prolonged period of time.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Alphabet, Inc., Class C	5.8	%
	2.	Amazon.com, Inc.	5.0
	3.	Home Depot, Inc. (The)	5.0
	4.	Facebook, Inc., Class A	4.8
	5.	Visa, Inc., Class A	3.8
	6.	Comcast Corp., Class A	3.2
	7.	MasterCard, Inc., Class A	3.1
	8.	Apple, Inc.	2.3
	9.	Honeywell International, Inc.	2.3
	10.	Reynolds American, Inc.	2.3

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	38.0	%
Consumer Discretionary	21.6
Health Care	14.3
Consumer Staples	8.2
Industrials	7.6
Materials	5.7
Financials	2.4
Energy	0.4
Short-Term Investment	1.8

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 15

JPMorgan Large Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	February 22, 1994
With Sales Charge*			(11.36	)%		8.30	%		7.62	%
Without Sales Charge			(6.45	)		9.48			8.21
CLASS C SHARES	November 4, 1997
With CDSC**			(7.90	)		8.94			7.65
Without CDSC			(6.90	)		8.94			7.65
CLASS R2 SHARES	November 3, 2008		(6.69	)		9.21			7.94
CLASS R5 SHARES	April 14, 2009		(6.10	)		9.89			8.58
CLASS R6 SHARES	November 30, 2010		(6.00	)		9.97			8.62
SELECT CLASS SHARES	February 28, 1992		(6.29	)		9.67			8.43

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 and Class R5 Shares prior to their inception dates are based on the performance of Select Class Shares. With respect to Class R2 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes. The actual returns for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to April 14, 2009, Select Class Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 and Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Large Cap Growth Fund, the Russell 1000 Growth Index and the Lipper Large-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge.

The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 1000 Growth Index is an unmanaged index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Large-Cap Growth Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

16 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Large Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(2.34)%
Russell 1000 Value Index		2.86%
Net Assets as of 6/30/2016 (In Thousands)	$	709,946

INVESTMENT OBJECTIVE**

The JPMorgan Large Cap Value Fund (the “Fund”) seeks capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection and overweight positions in both the automotive and transportation sector and the banks and brokerages sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection and underweight position in the energy sector and its security selection in the utilities sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in MetLife Inc. and Harman International Industries Inc. and its underweight position in Toll Brothers Inc. Shares of MetLife, a life insurer, fell as continued low interest rates hurt its ability to earn a return on invested assets. Shares of Harman International, an automotive technology maker, fell after reporting lower than expected quarterly earnings and revenue. Shares of Toll Brothers, a home builder, rose on better than expected revenue on growth in U.S. home sales.

Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in Chubb Ltd. and Aetna Inc. and its underweight position in Kinder Morgan Inc. Shares of Chubb, a property insurer, rose after the company reported better than expected earnings and increased its quarterly dividend. Shares of Aetna, a health insurer, rose on news of a potential merger with Humana Inc. Shares of Kinder Morgan, an owner/operator of natural gas pipelines and terminals, declined amid continued weakness in energy prices.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers combined a bottom-up fundamental approach to security selection with a systematic valuation

process. Overall, the Fund’s portfolio managers looked to take advantage of mispriced stocks that they believed appeared attractive relative to their fair value.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Citigroup, Inc.	4.2	%
	2.	Pfizer, Inc.	4.0
	3.	Wells Fargo & Co.	3.8
	4.	Aetna, Inc.	3.6
	5.	General Motors Co.	3.3
	6.	Carnival Corp.	3.2
	7.	Delphi Automotive plc, (United Kingdom)	2.6
	8.	Royal Caribbean Cruises Ltd.	2.5
	9.	Bank of America Corp.	2.4
	10.	Chevron Corp.	2.2

PORTFOLIO COMPOSITION BY SECTOR***
Financials	26.3	%
Consumer Discretionary	22.0
Health Care	13.8
Energy	9.4
Information Technology	8.9
Industrials	4.8
Consumer Staples	2.9
Materials	2.4
Telecommunication Services	2.0
Utilities	1.0
Short-Term Investment	6.5

* 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, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 17

JPMorgan Large Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		February 18, 1992
With Sales Charge*				(7.62	)%		9.06	%		5.04	%
Without Sales Charge				(2.51	)		10.23			5.61
CLASS C SHARES		March 22, 1999
With CDSC**				(3.98	)		9.69			5.07
Without CDSC				(2.98	)		9.69			5.07
CLASS R2 SHARES		November 3, 2008		(2.78	)		9.96			5.32
CLASS R5 SHARES		May 15, 2006		(2.15	)		10.65			6.03
CLASS R6 SHARES		November 30, 2010		(2.06	)		10.69			6.05
SELECT CLASS SHARES		March 1, 1991		(2.34	)		10.42			5.80

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to their inception dates are based on the performance of Select Class Shares. With respect to Class R2 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Large Cap Value Fund, the Russell 1000 Value Index and the Lipper Large-Cap Value Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction

of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Large-Cap Value Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

18 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan U.S. Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Institutional Class Shares)*		(0.83)%
S&P 500 Index		3.99%
Net Assets as of 6/30/2016 (In Thousands)	$	12,382,487

INVESTMENT OBJECTIVE**

The JPMorgan U.S. Equity Fund (the “Fund”) seeks to provide high total return from a portfolio of selected equity securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Institutional Class Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the pharmaceutical and medical technology sector and its security selection and overweight position in the banks and brokers sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the semiconductors and hardware sector and the software and services sector was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Valeant Pharmaceuticals International Inc. and 21^st Century Fox Inc., and its underweight position in Johnson & Johnson. Shares of Valeant Pharmaceuticals, a drug maker, fell amid continuing investor concerns about its revenue accounting practices. Shares of 21^st Century Fox, a media and entertainment company, fell amid a consumer trend away from cable TV and toward online entertainment providers. Shares of Johnson & Johnson, a maker of consumer health products, rose on analysts’ expectations for continued revenue growth and profit margin expansion.

Leading individual contributors to relative performance included the Fund’s overweight positions in Broadcom Ltd., Chubb Ltd. and Lowe’s Cos. Shares of Broadcom, a semiconductor manufacturer, rose on better than expected earnings growth. Shares of Chubb, a property insurer, rose after the company reported better than expected quarterly results and increased its quarterly dividend. Shares of Lowe’s, a home improvement retail chain, rose on better than expected sales and an increase in the company’s quarterly dividend.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection, researching companies to determine what they believed to be their underlying value and

potential for future earnings growth. As a result of this approach to stock selection, the Fund’s largest average overweight positions relative to the Benchmark for the twelve months ended June 30, 2016 were in the insurance and media sectors, while the Fund’s largest underweight positions were in the consumer staples and real estate investment trust sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Microsoft Corp.	3.1	%
	2.	Wells Fargo & Co.	2.5
	3.	Lowe’s Cos., Inc.	2.2
	4.	Apple, Inc.	2.1
	5.	Amazon.com, Inc.	2.0
	6.	Broadcom Ltd., (Singapore)	2.0
	7.	Chubb Ltd., (Switzerland)	2.0
	8.	Alphabet, Inc., Class C	1.9
	9.	Pfizer, Inc.	1.9
	10.	UnitedHealth Group, Inc.	1.9

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	20.8	%
Consumer Discretionary	15.8
Financials	15.5
Health Care	15.2
Industrials	9.6
Energy	7.3
Consumer Staples	7.0
Materials	3.0
Utilities	2.7
Telecommunication Services	2.0
Short-Term Investment	1.1

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 19

JPMorgan U.S. Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	September 10, 2001
With Sales Charge*			(6.36	)%		10.05	%		7.56	%
Without Sales Charge			(1.15	)		11.24			8.15
CLASS C SHARES	September 10, 2001
With CDSC**			(2.66	)		10.69			7.60
Without CDSC			(1.66	)		10.69			7.60
CLASS R2 SHARES	November 3, 2008		(1.47	)		10.95			7.94
CLASS R5 SHARES	May 15, 2006		(0.84	)		11.64			8.59
CLASS R6 SHARES	November 30, 2010		(0.78	)		11.73			8.63
INSTITUTIONAL CLASS SHARES	September 17, 1993		(0.83	)		11.62			8.54
SELECT CLASS SHARES	September 10, 2001		(1.00	)		11.45			8.39

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan U.S. Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses

or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Institutional Class Shares have a $3,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

20 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Disciplined Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.7%
		Consumer Discretionary — 12.6%
		Auto Components — 0.2%
	98	Delphi Automotive plc, (United Kingdom)		6,122
	64	Johnson Controls, Inc.		2,815
	106	Magna International, Inc., (Canada)		3,704
				12,641
		Automobiles — 0.5%
	1,213	Ford Motor Co.		15,249
	964	General Motors Co.		27,275
				42,524
		Hotels, Restaurants & Leisure — 1.8%
	191	Carnival Corp.		8,424
	675	Royal Caribbean Cruises Ltd.		45,293
	812	Starbucks Corp.		46,376
	534	Yum! Brands, Inc.		44,254
				144,347
		Household Durables — 0.3%
	261	D.R. Horton, Inc.		8,219
	189	Harman International Industries, Inc.		13,567
	198	PulteGroup, Inc.		3,865
	60	Toll Brothers, Inc. (a)		1,620
				27,271
		Internet & Catalog Retail — 1.6%
	178	Amazon.com, Inc. (a)		127,166
		Media — 3.8%
	178	Charter Communications, Inc., Class A (a)		40,721
	870	Comcast Corp., Class A		56,728
	706	DISH Network Corp., Class A (a)		37,010
	3,924	Sirius XM Holdings, Inc. (a)		15,500
	1,027	Time Warner, Inc.		75,518
	3,345	Twenty-First Century Fox, Inc., Class A		90,493
				315,970
		Multiline Retail — 0.5%
	361	Dollar General Corp.		33,896
	111	Target Corp.		7,750
				41,646
		Specialty Retail — 3.7%
	1,104	Best Buy Co., Inc.		33,779
	439	Home Depot, Inc. (The)		56,018
	1,545	Lowe’s Cos., Inc.		122,326
	175	O’Reilly Automotive, Inc. (a)		47,497
	609	TJX Cos., Inc. (The)		47,056
				306,676

SHARES		SECURITY DESCRIPTION	VALUE($)
		Textiles, Apparel & Luxury Goods — 0.2%
	236	V.F. Corp.		14,487
		Total Consumer Discretionary		1,032,728
		Consumer Staples — 9.7%
		Beverages — 4.2%
	736	Coca-Cola Co. (The)		33,372
	388	Constellation Brands, Inc., Class A		64,175
	855	Molson Coors Brewing Co., Class B		86,436
	1,531	PepsiCo, Inc.		162,141
				346,124
		Food & Staples Retailing — 1.6%
	296	Costco Wholesale Corp.		46,453
	1,623	Kroger Co. (The)		59,725
	316	Walgreens Boots Alliance, Inc.		26,288
				132,466
		Food Products — 1.0%
	168	Hershey Co. (The)		19,066
	1,391	Mondelez International, Inc., Class A		63,309
				82,375
		Household Products — 1.8%
	604	Kimberly-Clark Corp.		83,066
	728	Procter & Gamble Co. (The)		61,614
				144,680
		Tobacco — 1.1%
	323	Altria Group, Inc.		22,260
	693	Philip Morris International, Inc.		70,482
				92,742
		Total Consumer Staples		798,387
		Energy — 7.3%
		Energy Equipment & Services — 0.5%
	512	Halliburton Co.		23,197
	263	Schlumberger Ltd.		20,814
				44,011
		Oil, Gas & Consumable Fuels — 6.8%
	516	Cabot Oil & Gas Corp.		13,287
	949	Chevron Corp.		99,442
	67	Concho Resources, Inc. (a)		8,003
	320	ConocoPhillips		13,952
	366	Diamondback Energy, Inc.		33,401
	518	EOG Resources, Inc.		43,228
	529	EQT Corp.		40,976
	1,176	Exxon Mobil Corp.		110,201
	173	Kinder Morgan, Inc.		3,237

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 21

JPMorgan Disciplined Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Oil, Gas & Consumable Fuels — continued
	211	Marathon Petroleum Corp.		7,994
	977	Occidental Petroleum Corp.		73,837
	352	Pioneer Natural Resources Co.		53,211
	430	Plains GP Holdings LP, Class A		4,486
	40	Tesoro Corp.		2,959
	330	TransCanada Corp., (Canada)		14,927
	635	Valero Energy Corp.		32,406
				555,547
		Total Energy		599,558
		Financials — 14.8%
		Banks — 4.4%
	6,783	Bank of America Corp.		90,009
	2,342	Citigroup, Inc.		99,282
	1,124	Citizens Financial Group, Inc.		22,459
	1,371	KeyCorp		15,148
	392	Regions Financial Corp.		3,332
	2,341	Wells Fargo & Co.		110,800
	934	Zions Bancorporation		23,469
				364,499
		Capital Markets — 2.9%
	51	Ameriprise Financial, Inc.		4,618
	487	Bank of New York Mellon Corp. (The)		18,936
	135	BlackRock, Inc.		46,070
	1,439	Charles Schwab Corp. (The)		36,429
	186	Goldman Sachs Group, Inc. (The)		27,606
	509	Invesco Ltd.		12,987
	2,492	Morgan Stanley		64,732
	241	State Street Corp.		13,016
	381	TD Ameritrade Holding Corp.		10,849
				235,243
		Consumer Finance — 0.9%
	443	Ally Financial, Inc. (a)		7,563
	27	American Express Co.		1,634
	393	Capital One Financial Corp.		24,985
	355	Discover Financial Services		19,014
	798	Synchrony Financial (a)		20,166
				73,362
		Diversified Financial Services — 1.7%
	650	Berkshire Hathaway, Inc., Class B (a)		94,056
	137	Intercontinental Exchange, Inc.		35,041
	15	S&P Global, Inc.		1,620
	496	Voya Financial, Inc.		12,273
				142,990

SHARES		SECURITY DESCRIPTION	VALUE($)
		Insurance — 2.4%
	540	American International Group, Inc.		28,539
	804	Arthur J. Gallagher & Co.		38,275
	380	Chubb Ltd., (Switzerland)		49,696
	52	Everest Re Group Ltd., (Bermuda)		9,481
	1,720	MetLife, Inc.		68,496
	48	Prudential Financial, Inc.		3,431
	96	XL Group plc, (Ireland)		3,208
				201,126
		Real Estate Investment Trusts (REITs) — 2.5%
	35	American Tower Corp.		4,022
	37	Apartment Investment & Management Co., Class A		1,630
	370	AvalonBay Communities, Inc.		66,744
	32	Boston Properties, Inc.		4,168
	237	DiamondRock Hospitality Co.		2,137
	42	Equinix, Inc.		16,285
	18	Essex Property Trust, Inc.		4,060
	92	HCP, Inc.		3,259
	728	Kimco Realty Corp.		22,857
	41	Liberty Property Trust		1,632
	19	Macerich Co. (The)		1,631
	158	Prologis, Inc.		7,758
	16	Public Storage		4,038
	165	Simon Property Group, Inc.		35,723
	97	SL Green Realty Corp.		10,338
	522	STORE Capital Corp.		15,364
				201,646
		Total Financials		1,218,866
		Health Care — 15.2%
		Biotechnology — 3.2%
	153	Alexion Pharmaceuticals, Inc. (a)		17,818
	218	Biogen, Inc. (a)		52,813
	743	Celgene Corp. (a)		73,243
	1,154	Gilead Sciences, Inc.		96,283
	228	Vertex Pharmaceuticals, Inc. (a)		19,570
				259,727
		Health Care Equipment & Supplies — 1.4%
	1,250	Abbott Laboratories		49,145
	1,998	Boston Scientific Corp. (a)		46,686
	135	Stryker Corp.		16,213
				112,044
		Health Care Providers & Services — 3.5%
	638	Aetna, Inc.		77,907
	114	Anthem, Inc.		15,012

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Health Care Providers & Services — continued
	145	Cigna Corp.		18,558
	176	Humana, Inc.		31,677
	374	McKesson Corp.		69,826
	526	UnitedHealth Group, Inc.		74,243
				287,223
		Life Sciences Tools & Services — 0.5%
	109	Agilent Technologies, Inc.		4,822
	121	Illumina, Inc. (a)		16,944
	158	Thermo Fisher Scientific, Inc.		23,287
				45,053
		Pharmaceuticals — 6.6%
	131	AbbVie, Inc.		8,098
	237	Allergan plc (a)		54,699
	1,775	Bristol-Myers Squibb Co.		130,544
	1,239	Eli Lilly & Co.		97,587
	709	Johnson & Johnson		86,026
	513	Merck & Co., Inc.		29,560
	162	Mylan N.V. (a)		6,987
	3,665	Pfizer, Inc.		129,034
				542,535
		Total Health Care		1,246,582
		Industrials — 9.5%
		Aerospace & Defense — 3.1%
	189	General Dynamics Corp.		26,344
	987	Honeywell International, Inc.		114,773
	163	L-3 Communications Holdings, Inc.		23,940
	100	Northrop Grumman Corp.		22,206
	164	Textron, Inc.		5,977
	581	United Technologies Corp.		59,551
				252,791
		Air Freight & Logistics — 0.0% (g)
	37	United Parcel Service, Inc., Class B		3,975
		Airlines — 0.7%
	895	Delta Air Lines, Inc.		32,612
	650	United Continental Holdings, Inc. (a)		26,676
				59,288
		Building Products — 0.7%
	448	Allegion plc, (Ireland)		31,084
	59	Lennox International, Inc.		8,342
	464	Masco Corp.		14,347
				53,773

SHARES		SECURITY DESCRIPTION	VALUE($)
		Construction & Engineering — 0.1%
	150	Fluor Corp.		7,407
		Electrical Equipment — 0.6%
	826	Eaton Corp. plc		49,307
		Industrial Conglomerates — 1.1%
	355	Danaher Corp.		35,865
	1,636	General Electric Co.		51,486
				87,351
		Machinery — 2.2%
	140	Cummins, Inc.		15,685
	39	Ingersoll-Rand plc		2,471
	715	PACCAR, Inc.		37,108
	245	Snap-on, Inc.		38,634
	811	Stanley Black & Decker, Inc.		90,211
				184,109
		Road & Rail — 1.0%
	123	Canadian Pacific Railway Ltd., (Canada)		15,828
	781	Union Pacific Corp.		68,116
				83,944
		Total Industrials		781,945
		Information Technology — 20.8%
		Communications Equipment — 0.4%
	1,085	Cisco Systems, Inc.		31,137
		Electronic Equipment, Instruments & Components — 1.1%
	1,483	TE Connectivity Ltd., (Switzerland)		84,700
		Internet Software & Services — 4.8%
	308	Alphabet, Inc., Class A (a)		216,546
	53	Alphabet, Inc., Class C (a)		36,612
	1,243	Facebook, Inc., Class A (a)		142,039
				395,197
		IT Services — 3.8%
	978	Accenture plc, (Ireland), Class A		110,809
	406	Cognizant Technology Solutions Corp., Class A (a)		23,217
	770	Fidelity National Information Services, Inc.		56,748
	34	Global Payments, Inc.		2,420
	84	MasterCard, Inc., Class A		7,432
	206	PayPal Holdings, Inc. (a)		7,528
	508	Vantiv, Inc., Class A (a)		28,724
	1,038	Visa, Inc., Class A		77,011
				313,889

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 23

JPMorgan Disciplined Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — 3.4%
	640	Broadcom Ltd., (Singapore)		99,456
	1,021	Lam Research Corp.		85,792
	303	NXP Semiconductors N.V., (Netherlands) (a)		23,706
	24	Skyworks Solutions, Inc.		1,493
	1,122	Texas Instruments, Inc.		70,306
				280,753
		Software — 3.9%
	709	Adobe Systems, Inc. (a)		67,906
	4,958	Microsoft Corp.		253,705
				321,611
		Technology Hardware, Storage & Peripherals — 3.4%
	2,463	Apple, Inc.		235,482
	1,755	HP, Inc.		22,025
	468	Western Digital Corp.		22,123
				279,630
		Total Information Technology		1,706,917
		Materials — 3.0%
		Chemicals — 2.2%
	752	Dow Chemical Co. (The)		37,367
	884	E.I. du Pont de Nemours & Co.		57,264
	876	Eastman Chemical Co.		59,487
	947	Mosaic Co. (The)		24,779
				178,897
		Containers & Packaging — 0.8%
	726	Crown Holdings, Inc. (a)		36,797
	512	Sealed Air Corp.		23,532
	188	WestRock Co.		7,323
				67,652
		Total Materials		246,549
		Telecommunication Services — 2.3%
		Diversified Telecommunication Services — 2.1%
	2,810	AT&T, Inc.		121,437
	920	Verizon Communications, Inc.		51,384
				172,821
		Wireless Telecommunication Services — 0.2%
	491	T-Mobile US, Inc. (a)		21,259
		Total Telecommunication Services		194,080
		Utilities — 3.5%
		Electric Utilities — 2.4%
	396	Edison International		30,742
	52	Entergy Corp.		4,214

SHARES		SECURITY DESCRIPTION	VALUE($)
		Electric Utilities — continued
	181	Exelon Corp.		6,581
	602	NextEra Energy, Inc.		78,501
	26	PG&E Corp.		1,636
	1,648	Xcel Energy, Inc.		73,811
				195,485
		Gas Utilities — 0.1%
	201	UGI Corp.		9,113
		Multi-Utilities — 1.0%
	1,001	CMS Energy Corp.		45,911
	580	Public Service Enterprise Group, Inc.		27,043
	110	Sempra Energy		12,542
				85,496
		Total Utilities		290,094
		Total Common Stocks (Cost $7,348,784)		8,115,706
PRINCIPAL AMOUNT($)
	Short-Term Investments — 2.2%
		U.S. Treasury Obligation — 0.1%
	8,046	U.S. Treasury Bill, 0.484%, 03/30/17 (k) (n)		8,022
SHARES
		Investment Company — 2.1%
	174,657	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l)		174,657
		Total Short-Term Investments (Cost $182,674)		182,679
		Total Investments — 100.9% (Cost $7,531,458)		8,298,385
		Liabilities in Excess of Other Assets — (0.9)%		(76,807	)
		NET ASSETS — 100.0%	$	8,221,578

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE	TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	981	E-mini S&P 500	09/16/16		USD	$	102,524	$	1,452

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 25

JPMorgan Dynamic Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 96.5%
		Consumer Discretionary — 25.9%
		Hotels, Restaurants & Leisure — 4.8%
	155	Las Vegas Sands Corp.		6,743
	158	Starbucks Corp.		9,017
				15,760
		Internet & Catalog Retail — 10.8%
	30	Amazon.com, Inc. (a)		21,354
	60	Netflix, Inc. (a)		5,445
	7	Priceline Group, Inc. (The) (a)		8,789
				35,588
		Specialty Retail — 10.3%
	123	Home Depot, Inc. (The)		15,728
	94	Ross Stores, Inc.		5,322
	54	Ulta Salon Cosmetics & Fragrance, Inc. (a)		13,041
				34,091
		Total Consumer Discretionary		85,439
		Consumer Staples — 1.2%
		Food & Staples Retailing — 1.2%
	41	CVS Health Corp.		3,935
		Energy — 2.2%
		Oil, Gas & Consumable Fuels — 2.2%
	49	Pioneer Natural Resources Co.		7,345
		Financials — 9.1%
		Capital Markets — 3.3%
	429	Charles Schwab Corp. (The)		10,847
		Diversified Financial Services — 2.5%
	32	Intercontinental Exchange, Inc.		8,210
		Real Estate Investment Trusts (REITs) — 3.3%
	28	Equinix, Inc.		10,769
		Total Financials		29,826
		Health Care — 14.1%
		Biotechnology — 11.0%
	58	BioMarin Pharmaceutical, Inc. (a)		4,528
	151	Gilead Sciences, Inc.		12,630
	28	Regeneron Pharmaceuticals, Inc. (a)		9,944
	107	Vertex Pharmaceuticals, Inc. (a)		9,170
				36,272
		Life Sciences Tools & Services — 3.1%
	73	Illumina, Inc. (a)		10,195
		Total Health Care		46,467
		Industrials — 7.1%
		Aerospace & Defense — 2.5%
	31	TransDigm Group, Inc. (a)		8,230

SHARES		SECURITY DESCRIPTION	VALUE($)
		Electrical Equipment — 2.2%
	30	Acuity Brands, Inc.		7,339
		Road & Rail — 2.4%
	86	Kansas City Southern		7,703
		Total Industrials		23,272
		Information Technology — 33.9%
		Internet Software & Services — 12.7%
	29	Alphabet, Inc., Class A (a)		20,163
	191	Facebook, Inc., Class A (a)		21,779
				41,942
		IT Services — 7.8%
	189	MasterCard, Inc., Class A		16,668
	245	PayPal Holdings, Inc. (a)		8,960
				25,628
		Semiconductors & Semiconductor Equipment — 6.6%
	237	ARM Holdings plc, (United Kingdom), ADR		10,794
	72	Broadcom Ltd., (Singapore)		11,142
				21,936
		Software — 6.8%
	88	Adobe Systems, Inc. (a)		8,458
	97	salesforce.com, Inc. (a)		7,693
	92	ServiceNow, Inc. (a)		6,134
				22,285
		Total Information Technology		111,791
		Materials — 3.0%
		Chemicals — 3.0%
	69	Air Products & Chemicals, Inc.		9,790
		Total Common Stocks (Cost $248,147)		317,865
	Short-Term Investment — 3.6%
		Investment Company — 3.6%
	11,878	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $11,878)		11,878
		Total Investments — 100.1% (Cost $260,025)		329,743
		Liabilities in Excess of Other Assets — (0.1)%		(336	)
		NET ASSETS — 100.0%	$	329,407

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Equity Focus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 96.5%
		Consumer Discretionary — 22.1%
		Distributors — 2.2%
	30	Genuine Parts Co.		3,063
		Hotels, Restaurants & Leisure — 0.5%
	12	Starbucks Corp.		704
		Internet & Catalog Retail — 9.2%
	11	Amazon.com, Inc. (a)		8,165
	4	Priceline Group, Inc. (The) (a)		4,700
				12,865
		Media — 2.4%
	64	DISH Network Corp., Class A (a)		3,343
		Multiline Retail — 2.2%
	79	Kohl’s Corp.		2,995
		Specialty Retail — 5.6%
	75	Best Buy Co., Inc.		2,292
	69	Gap, Inc. (The)		1,466
	17	Ulta Salon Cosmetics & Fragrance, Inc. (a)		4,098
				7,856
		Total Consumer Discretionary		30,826
		Energy — 5.7%
		Oil, Gas & Consumable Fuels — 5.7%
	155	Kinder Morgan, Inc.		2,893
	55	Marathon Petroleum Corp.		2,071
	20	Pioneer Natural Resources Co.		3,011
		Total Energy		7,975
		Financials — 22.3%
		Banks — 3.8%
	111	Wells Fargo & Co.		5,234
		Capital Markets — 1.7%
	33	T. Rowe Price Group, Inc.		2,432
		Consumer Finance — 5.1%
	114	Ally Financial, Inc. (a)		1,937
	81	Capital One Financial Corp.		5,158
				7,095
		Insurance — 9.3%
	122	American International Group, Inc.		6,434
	160	Loews Corp.		6,567
				13,001
		Real Estate Investment Trusts (REITs) — 2.4%
	129	Rayonier, Inc.		3,382
		Total Financials		31,144

SHARES		SECURITY DESCRIPTION	VALUE($)
		Health Care — 14.1%
		Biotechnology — 9.5%
	64	Gilead Sciences, Inc.		5,363
	11	Regeneron Pharmaceuticals, Inc. (a)		3,915
	46	Vertex Pharmaceuticals, Inc. (a)		3,922
				13,200
		Health Care Providers & Services — 2.5%
	25	UnitedHealth Group, Inc.		3,517
		Life Sciences Tools & Services — 2.1%
	21	Illumina, Inc. (a)		3,007
		Total Health Care		19,724
		Industrials — 5.5%
		Airlines — 2.5%
	97	Delta Air Lines, Inc.		3,522
		Machinery — 1.7%
	35	Dover Corp.		2,412
		Road & Rail — 1.3%
	19	Kansas City Southern		1,744
		Total Industrials		7,678
		Information Technology — 22.4%
		Electronic Equipment, Instruments & Components — 1.4%
	31	Arrow Electronics, Inc. (a)		1,920
		Internet Software & Services — 10.6%
	10	Alphabet, Inc., Class C (a)		6,658
	71	Facebook, Inc., Class A (a)		8,115
				14,773
		IT Services — 5.9%
	77	MasterCard, Inc., Class A		6,817
	39	PayPal Holdings, Inc. (a)		1,425
				8,242
		Semiconductors & Semiconductor Equipment — 1.8%
	53	ARM Holdings plc, (United Kingdom), ADR		2,429
		Software — 2.7%
	48	salesforce.com, Inc. (a)		3,812
		Total Information Technology		31,176
		Materials — 4.4%
		Construction Materials — 2.1%
	15	Martin Marietta Materials, Inc.		2,889
		Containers & Packaging — 2.3%
	85	WestRock Co.		3,287
		Total Materials		6,176
		Total Common Stocks (Cost $124,507)		134,699

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 27

JPMorgan Equity Focus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 4.9%
		Investment Company — 4.9%
	6,771	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $6,771)		6,771
		Total Investments — 101.4% (Cost $131,278)		141,470
		Liabilities in Excess of Other Assets — (1.4)%		(1,981	)
		NET ASSETS — 100.0%	$	139,489

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 95.5%
		Consumer Discretionary — 8.4%
		Distributors — 0.9%
	1,098	Genuine Parts Co.		111,204
		Hotels, Restaurants & Leisure — 0.8%
	406	Brinker International, Inc.		18,475
	1,062	Wyndham Worldwide Corp.		75,642
				94,117
		Media — 2.4%
	1,132	Cinemark Holdings, Inc.		41,258
	1,702	Comcast Corp., Class A		110,974
	1,887	Time Warner, Inc.		138,760
				290,992
		Specialty Retail — 3.3%
	1,671	Best Buy Co., Inc.		51,120
	1,362	Home Depot, Inc. (The)		173,960
	1,535	L Brands, Inc.		103,058
	1,219	Tiffany & Co.		73,947
				402,085
		Textiles, Apparel & Luxury Goods — 1.0%
	1,889	V.F. Corp.		116,125
		Total Consumer Discretionary		1,014,523
		Consumer Staples — 9.4%
		Beverages — 2.7%
	1,589	Coca-Cola Co. (The)		72,023
	1,056	Dr. Pepper Snapple Group, Inc.		102,070
	842	Molson Coors Brewing Co., Class B		85,199
	670	PepsiCo, Inc.		70,935
				330,227
		Food Products — 1.3%
	340	Kraft Heinz Co. (The)		30,121
	2,733	Mondelez International, Inc., Class A		124,401
				154,522
		Household Products — 1.7%
	1,007	Kimberly-Clark Corp.		138,438
	824	Procter & Gamble Co. (The)		69,765
				208,203
		Tobacco — 3.7%
	3,966	Altria Group, Inc.		273,466
	1,007	Philip Morris International, Inc.		102,479
	1,291	Reynolds American, Inc.		69,634
				445,579
		Total Consumer Staples		1,138,531

SHARES		SECURITY DESCRIPTION	VALUE($)
		Energy — 9.4%
		Energy Equipment & Services — 0.8%
	1,148	Schlumberger Ltd.		90,745
		Oil, Gas & Consumable Fuels — 8.6%
	2,308	Chevron Corp.		241,975
	3,812	ConocoPhillips		166,217
	3,674	Exxon Mobil Corp.		344,359
	3,290	Occidental Petroleum Corp.		248,624
	702	Valero Energy Corp.		35,781
				1,036,956
		Total Energy		1,127,701
		Financials — 27.3%
		Banks — 8.2%
	3,249	BB&T Corp.		115,701
	820	Cullen/Frost Bankers, Inc.		52,289
	431	M&T Bank Corp.		50,991
	2,642	PNC Financial Services Group, Inc. (The)		215,004
	2,972	U.S. Bancorp		119,872
	9,336	Wells Fargo & Co.		441,860
				995,717
		Capital Markets — 4.1%
	447	Ameriprise Financial, Inc.		40,156
	684	BlackRock, Inc.		234,429
	1,513	Northern Trust Corp.		100,235
	1,696	T. Rowe Price Group, Inc.		123,722
				498,542
		Consumer Finance — 1.1%
	1,235	Capital One Financial Corp.		78,412
	1,104	Discover Financial Services		59,189
				137,601
		Diversified Financial Services — 2.3%
	2,211	CME Group, Inc.		215,353
	563	S&P Global, Inc.		60,366
				275,719
		Insurance — 7.8%
	1,286	Arthur J. Gallagher & Co.		61,201
	794	Chubb Ltd., (Switzerland)		103,771
	767	Cincinnati Financial Corp.		57,461
	3,811	Hartford Financial Services Group, Inc. (The)		169,132
	3,560	MetLife, Inc.		141,795
	1,347	Progressive Corp. (The)		45,119
	1,308	Prudential Financial, Inc.		93,303
	2,003	Travelers Cos., Inc. (The)		238,398
	549	Validus Holdings Ltd., (Bermuda)		26,678
				936,858

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 29

JPMorgan Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Real Estate Investment Trusts (REITs) — 3.8%
	451	Alexandria Real Estate Equities, Inc.		46,684
	596	AvalonBay Communities, Inc.		107,472
	576	Boston Properties, Inc.		75,981
	1,843	HCP, Inc.		65,208
	736	Simon Property Group, Inc.		159,539
				454,884
		Total Financials		3,299,321
		Health Care — 12.0%
		Biotechnology — 0.4%
	528	Gilead Sciences, Inc.		44,012
		Health Care Equipment & Supplies — 2.2%
	2,260	Abbott Laboratories		88,825
	1,070	Becton, Dickinson and Co.		181,441
				270,266
		Pharmaceuticals — 9.4%
	619	AbbVie, Inc.		38,333
	2,092	Bristol-Myers Squibb Co.		153,876
	1,759	Eli Lilly & Co.		138,524
	2,663	Johnson & Johnson		323,069
	3,958	Merck & Co., Inc.		228,016
	7,203	Pfizer, Inc.		253,632
				1,135,450
		Total Health Care		1,449,728
		Industrials — 9.1%
		Aerospace & Defense — 2.7%
	653	General Dynamics Corp.		90,950
	1,549	Honeywell International, Inc.		180,170
	534	United Technologies Corp.		54,798
				325,918
		Air Freight & Logistics — 0.6%
	693	United Parcel Service, Inc., Class B		74,650
		Commercial Services & Supplies — 1.0%
	2,389	Republic Services, Inc.		122,604
		Industrial Conglomerates — 1.2%
	807	3M Co.		141,348
		Machinery — 2.4%
	1,623	Illinois Tool Works, Inc.		169,016
	761	PACCAR, Inc.		39,463
	164	Snap-on, Inc.		25,809
	505	Stanley Black & Decker, Inc.		56,173
				290,461

SHARES		SECURITY DESCRIPTION	VALUE($)
		Road & Rail — 1.2%
	824	Norfolk Southern Corp.		70,148
	762	Union Pacific Corp.		66,506
				136,654
		Total Industrials		1,091,635
		Information Technology — 9.3%
		IT Services — 2.4%
	669	Accenture plc, (Ireland), Class A		75,738
	968	Automatic Data Processing, Inc.		88,884
	1,741	Fidelity National Information Services, Inc.		128,287
				292,909
		Semiconductors & Semiconductor Equipment — 3.6%
	1,858	Analog Devices, Inc.		105,259
	1,275	KLA-Tencor Corp.		93,380
	1,331	QUALCOMM, Inc.		71,310
	2,569	Texas Instruments, Inc.		160,952
				430,901
		Software — 1.6%
	3,859	Microsoft Corp.		197,489
		Technology Hardware, Storage & Peripherals — 1.7%
	2,142	Apple, Inc.		204,747
		Total Information Technology		1,126,046
		Materials — 3.4%
		Chemicals — 3.2%
	1,354	E.I. du Pont de Nemours & Co.		87,718
	280	International Flavors & Fragrances, Inc.		35,352
	953	PPG Industries, Inc.		99,231
	903	Praxair, Inc.		101,540
	1,139	RPM International, Inc.		56,897
				380,738
		Containers & Packaging — 0.2%
	584	WestRock Co.		22,684
		Total Materials		403,422
		Telecommunication Services — 1.7%
		Diversified Telecommunication Services — 1.7%
	3,691	Verizon Communications, Inc.		206,103
		Utilities — 5.5%
		Electric Utilities — 3.1%
	1,891	Edison International		146,872
	771	NextEra Energy, Inc.		100,572
	2,801	Xcel Energy, Inc.		125,451
				372,895

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Multi-Utilities — 2.4%
	2,940	CMS Energy Corp.		134,823
	204	DTE Energy Co.		20,218
	2,927	NiSource, Inc.		77,613
	485	Sempra Energy		55,290
				287,944
		Total Utilities		660,839
		Total Common Stocks (Cost $9,508,018)		11,517,849

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 4.4%
		Investment Company — 4.4%
	533,390	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $533,390)		533,390
		Total Investments — 99.9% (Cost $10,041,408)		12,051,239
		Other Assets in Excess of Liabilities — 0.1%		15,082
		NET ASSETS — 100.0%	$	12,066,321

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 31

JPMorgan Growth and Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.1%
		Consumer Discretionary — 8.9%
		Household Durables — 0.6%
	44	Harman International Industries, Inc.		3,124
		Media — 2.2%
	69	DISH Network Corp., Class A (a)		3,589
	45	Time Warner, Inc.		3,317
	40	Walt Disney Co. (The)		3,864
				10,770
		Specialty Retail — 5.3%
	6	AutoZone, Inc. (a)		4,850
	163	Best Buy Co., Inc.		5,000
	55	Home Depot, Inc. (The)		7,074
	72	L Brands, Inc.		4,833
	63	Tiffany & Co.		3,833
				25,590
		Textiles, Apparel & Luxury Goods — 0.8%
	62	V.F. Corp.		3,831
		Total Consumer Discretionary		43,315
		Consumer Staples — 6.7%
		Beverages — 3.4%
	49	Dr. Pepper Snapple Group, Inc.		4,774
	90	Molson Coors Brewing Co., Class B		9,122
	24	PepsiCo, Inc.		2,532
				16,428
		Food & Staples Retailing — 1.0%
	50	CVS Health Corp.		4,787
		Food Products — 0.6%
	33	Kraft Heinz Co. (The)		2,911
		Household Products — 0.6%
	23	Kimberly-Clark Corp.		3,203
		Tobacco — 1.1%
	77	Altria Group, Inc.		5,310
		Total Consumer Staples		32,639
		Energy — 10.6%
		Energy Equipment & Services — 1.0%
	64	Schlumberger Ltd.		5,022
		Oil, Gas & Consumable Fuels — 9.6%
	114	Chevron Corp.		11,930
	75	ConocoPhillips		3,290
	35	EOG Resources, Inc.		2,936
	138	Exxon Mobil Corp.		12,944
	137	Occidental Petroleum Corp.		10,337

SHARES		SECURITY DESCRIPTION	VALUE($)
		Oil, Gas & Consumable Fuels — continued
	40	Phillips 66		3,158
	47	Valero Energy Corp.		2,402
				46,997
		Total Energy		52,019
		Financials — 28.8%
		Banks — 11.9%
	972	Bank of America Corp.		12,902
	134	BB&T Corp.		4,772
	135	Citigroup, Inc.		5,704
	55	Cullen/Frost Bankers, Inc.		3,492
	37	M&T Bank Corp.		4,339
	58	PNC Financial Services Group, Inc. (The)		4,680
	128	SunTrust Banks, Inc.		5,271
	116	U.S. Bancorp		4,658
	257	Wells Fargo & Co.		12,154
				57,972
		Capital Markets — 5.3%
	22	Ameriprise Financial, Inc.		1,959
	23	BlackRock, Inc.		7,844
	115	Charles Schwab Corp. (The)		2,903
	141	Invesco Ltd.		3,601
	113	Morgan Stanley		2,928
	88	T. Rowe Price Group, Inc.		6,385
				25,620
		Consumer Finance — 2.0%
	41	American Express Co.		2,516
	61	Capital One Financial Corp.		3,842
	66	Discover Financial Services		3,553
				9,911
		Diversified Financial Services — 2.4%
	70	Berkshire Hathaway, Inc., Class B (a)		10,150
	7	Intercontinental Exchange, Inc.		1,792
				11,942
		Insurance — 3.9%
	21	Chubb Ltd., (Switzerland)		2,754
	169	Hartford Financial Services Group, Inc. (The)		7,513
	52	Loews Corp.		2,116
	76	MetLife, Inc.		3,019
	49	Prudential Financial, Inc.		3,503
				18,905
		Real Estate Investment Trusts (REITs) — 3.3%
	16	AvalonBay Communities, Inc.		2,940
	42	General Growth Properties, Inc.		1,250

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Real Estate Investment Trusts (REITs) — continued
	54	Macerich Co. (The)		4,611
	41	Prologis, Inc.		2,006
	12	Simon Property Group, Inc.		2,646
	26	Vornado Realty Trust		2,623
				16,076
		Total Financials		140,426
		Health Care — 12.8%
		Biotechnology — 0.7%
	42	Gilead Sciences, Inc.		3,479
		Health Care Equipment & Supplies — 0.9%
	26	Becton, Dickinson and Co.		4,375
		Health Care Providers & Services — 3.0%
	20	Aetna, Inc.		2,455
	20	Humana, Inc.		3,634
	27	McKesson Corp.		5,077
	25	UnitedHealth Group, Inc.		3,459
				14,625
		Life Sciences Tools & Services — 0.3%
	11	Illumina, Inc. (a)		1,600
		Pharmaceuticals — 7.9%
	134	Bristol-Myers Squibb Co.		9,870
	60	Eli Lilly & Co.		4,749
	76	Johnson & Johnson		9,195
	101	Merck & Co., Inc.		5,834
	245	Pfizer, Inc.		8,619
				38,267
		Total Health Care		62,346
		Industrials — 9.6%
		Aerospace & Defense — 2.9%
	80	Honeywell International, Inc.		9,329
	45	United Technologies Corp.		4,635
				13,964
		Building Products — 0.6%
	96	Masco Corp.		2,967
		Industrial Conglomerates — 3.6%
	42	3M Co.		7,408
	327	General Electric Co.		10,297
				17,705
		Machinery — 0.6%
	61	PACCAR, Inc.		3,143
		Road & Rail — 0.7%
	133	CSX Corp.		3,458

SHARES		SECURITY DESCRIPTION	VALUE($)
		Trading Companies & Distributors — 1.2%
	13	W.W. Grainger, Inc.		2,977
	19	Watsco, Inc.		2,631
				5,608
		Total Industrials		46,845
		Information Technology — 11.8%
		Communications Equipment — 0.6%
	97	Cisco Systems, Inc.		2,786
		Electronic Equipment, Instruments & Components — 0.3%
	29	TE Connectivity Ltd., (Switzerland)		1,667
		Internet Software & Services — 1.1%
	7	Alphabet, Inc., Class C (a)		5,135
		IT Services — 1.1%
	47	Fidelity National Information Services, Inc.		3,448
	23	MasterCard, Inc., Class A		1,999
				5,447
		Semiconductors & Semiconductor Equipment — 3.3%
	239	Applied Materials, Inc.		5,739
	52	KLA-Tencor Corp.		3,838
	50	QUALCOMM, Inc.		2,673
	59	Texas Instruments, Inc.		3,665
				15,915
		Software — 2.8%
	267	Microsoft Corp.		13,637
		Technology Hardware, Storage & Peripherals — 2.6%
	106	Apple, Inc.		10,095
	221	HP, Inc.		2,774
				12,869
		Total Information Technology		57,456
		Materials — 0.9%
		Chemicals — 0.9%
	70	E.I. du Pont de Nemours & Co.		4,510
		Telecommunication Services — 2.5%
		Diversified Telecommunication Services — 1.9%
	172	Verizon Communications, Inc.		9,594
		Wireless Telecommunication Services — 0.6%
	65	T-Mobile US, Inc. (a)		2,800
		Total Telecommunication Services		12,394
		Utilities — 5.5%
		Electric Utilities — 3.6%
	79	Edison International		6,136
	35	NextEra Energy, Inc.		4,525

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 33

JPMorgan Growth and Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Electric Utilities — continued
	90	PPL Corp.		3,394
	74	Xcel Energy, Inc.		3,300
				17,355
		Multi-Utilities — 1.9%
	120	CMS Energy Corp.		5,508
	34	Sempra Energy		3,876
				9,384
		Total Utilities		26,739
		Total Common Stocks (Cost $348,744)		478,689

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 1.6%
		Investment Company — 1.6%
	7,673	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $7,673)		7,673
		Total Investments — 99.7% (Cost $356,417)		486,362
		Other Assets in Excess of Liabilities — 0.3%		1,458
		NET ASSETS — 100.0%	$	487,820

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 99.0%
		Consumer Discretionary — 13.3%
		Auto Components — 0.2%
	5	Delphi Automotive plc, (United Kingdom)		287
	3	Johnson Controls, Inc.		136
	2	Magna International, Inc., (Canada)		87
				510
		Automobiles — 0.3%
	37	Ford Motor Co.		467
	12	General Motors Co. (o)		334
				801
		Hotels, Restaurants & Leisure — 1.3%
	14	Royal Caribbean Cruises Ltd.		939
	24	Starbucks Corp. (o)		1,347
	9	Yum! Brands, Inc.		745
				3,031
		Household Durables — 0.8%
	16	D.R. Horton, Inc.		515
	8	Harman International Industries, Inc.		568
	1	Mohawk Industries, Inc. (a)		138
	3	Newell Brands, Inc.		143
	24	PulteGroup, Inc.		462
	7	Toll Brothers, Inc. (a)		185
				2,011
		Internet & Catalog Retail — 1.6%
	6	Amazon.com, Inc. (a)		3,962
		Media — 4.2%
	6	CBS Corp. (Non-Voting), Class B (o)		300
	5	Charter Communications, Inc., Class A (a)		1,200
	45	Comcast Corp., Class A		2,918
	11	DISH Network Corp., Class A (a)		569
	60	Sirius XM Holdings, Inc. (a)		236
	36	Time Warner, Inc. (o)		2,633
	83	Twenty-First Century Fox, Inc., Class A (o)		2,234
				10,090
		Multiline Retail — 0.7%
	13	Dollar General Corp.		1,185
	5	Target Corp.		381
				1,566
		Specialty Retail — 3.6%
	2	AutoNation, Inc. (a)		85
	14	Best Buy Co., Inc.		435
	22	Home Depot, Inc. (The)		2,863
	33	Lowe’s Cos., Inc. (o)		2,599

SHARES			SECURITY DESCRIPTION	VALUE($)
			Specialty Retail — continued
	3		O’Reilly Automotive, Inc. (a)		679
	2		Ross Stores, Inc.		129
	1		Signet Jewelers Ltd.		54
	3		Tiffany & Co.		201
	19		TJX Cos., Inc. (The) (o)		1,486
					8,531
			Textiles, Apparel & Luxury Goods — 0.6%
	1		lululemon athletica, Inc., (Canada) (a)		106
	1		PVH Corp.		102
	4		Ralph Lauren Corp.		361
	15		V.F. Corp. (o)		905
					1,474
			Total Consumer Discretionary		31,976
			Consumer Staples — 9.8%
			Beverages — 3.7%
	1		Boston Beer Co., Inc. (The), Class A (a)		249
	43		Coca-Cola Co. (The) (o)		1,931
	7		Constellation Brands, Inc., Class A (o)		1,115
	2		Dr. Pepper Snapple Group, Inc.		236
	16		Molson Coors Brewing Co., Class B (o)		1,663
	34		PepsiCo, Inc.		3,574
					8,768
			Food & Staples Retailing — 1.4%
	10		Costco Wholesale Corp. (o)		1,543
	30		Kroger Co. (The)		1,088
	10		Walgreens Boots Alliance, Inc.		813
	—	(h)	Wal-Mart Stores, Inc.		29
					3,473
			Food Products — 1.5%
	5		Archer-Daniels-Midland Co. (o)		198
	8		Hershey Co. (The)		947
	52		Mondelez International, Inc., Class A (o)		2,357
					3,502
			Household Products — 2.0%
	16		Kimberly-Clark Corp. (o)		2,251
	30		Procter & Gamble Co. (The) (o)		2,535
					4,786
			Tobacco — 1.2%
	29		Philip Morris International, Inc.		2,924
			Total Consumer Staples		23,453

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 35

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES			SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
			Energy — 7.3%
			Energy Equipment & Services — 0.8%
	6		Baker Hughes, Inc.		265
	20		Halliburton Co.		905
	3		National Oilwell Varco, Inc.		109
	7		Schlumberger Ltd. (o)		588
					1,867
			Oil, Gas & Consumable Fuels — 6.5%
	28		Cabot Oil & Gas Corp.		715
	—	(h)	California Resources Corp.		—	(h)
	30		Chevron Corp. (o)		3,120
	3		Concho Resources, Inc. (a)		390
	19		ConocoPhillips		819
	6		Diamondback Energy, Inc. (a)		537
	12		EOG Resources, Inc.		996
	11		EQT Corp.		832
	44		Exxon Mobil Corp.		4,079
	17		Kinder Morgan, Inc.		323
	4		Marathon Petroleum Corp.		159
	23		Occidental Petroleum Corp. (o)		1,752
	9		Pioneer Natural Resources Co.		1,376
	12		Valero Energy Corp.		623
					15,721
			Total Energy		17,588
			Financials — 15.3%
			Banks — 4.7%
	202		Bank of America Corp. (o)		2,676
	5		BB&T Corp.		186
	71		Citigroup, Inc.		3,028
	8		Citizens Financial Group, Inc.		156
	4		Comerica, Inc.		157
	32		KeyCorp		357
	12		Regions Financial Corp.		105
	2		SVB Financial Group (a)		188
	90		Wells Fargo & Co.		4,281
	4		Zions Bancorporation		108
					11,242
			Capital Markets — 2.6%
	1		Ameriprise Financial, Inc.		79
	9		Bank of New York Mellon Corp. (The)		353
	4		BlackRock, Inc.		1,428
	42		Charles Schwab Corp. (The) (o)		1,070
	4		Goldman Sachs Group, Inc. (The) (o)		535
	9		Invesco Ltd. (o)		230
	60		Morgan Stanley (o)		1,552

SHARES		SECURITY DESCRIPTION	VALUE($)
		Capital Markets — continued
	15	State Street Corp. (o)		832
	8	TD Ameritrade Holding Corp.		224
				6,303
		Consumer Finance — 0.8%
	3	American Express Co.		178
	13	Capital One Financial Corp.		843
	12	Discover Financial Services		670
	10	Synchrony Financial (a) (o)		240
				1,931
		Diversified Financial Services — 1.8%
	23	Berkshire Hathaway, Inc., Class B (a)		3,347
	3	Intercontinental Exchange, Inc. (o)		844
	1	S&P Global, Inc.		119
	8	Voya Financial, Inc.		191
				4,501
		Insurance — 2.5%
	21	American International Group, Inc. (o)		1,096
	9	Arthur J. Gallagher & Co.		410
	16	Chubb Ltd., (Switzerland)		2,050
	1	Everest Re Group Ltd., (Bermuda)		110
	43	MetLife, Inc. (o)		1,710
	2	Prudential Financial, Inc.		110
	14	XL Group plc, (Ireland)		470
				5,956
		Real Estate Investment Trusts (REITs) — 2.9%
	4	American Tower Corp.		504
	3	Apartment Investment & Management Co., Class A		123
	5	AvalonBay Communities, Inc.		983
	1	Boston Properties, Inc.		178
	14	DiamondRock Hospitality Co.		126
	2	Equinix, Inc.		598
	1	Essex Property Trust, Inc.		244
	14	HCP, Inc.		478
	20	Kimco Realty Corp.		636
	9	LaSalle Hotel Properties		216
	7	Liberty Property Trust		269
	2	Macerich Co. (The)		133
	12	Prologis, Inc.		575
	1	Public Storage		291
	5	Simon Property Group, Inc. (o)		1,073
	3	SL Green Realty Corp.		365
	4	STORE Capital Corp.		117
				6,909
		Total Financials		36,842

SEE NOTES TO FINANCIAL STATEMENTS.

36 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Health Care — 15.3%
		Biotechnology — 3.0%
	5	Alexion Pharmaceuticals, Inc. (a)		636
	1	Amgen, Inc.		118
	5	Biogen, Inc. (a) (o)		1,309
	1	BioMarin Pharmaceutical, Inc. (a)		105
	20	Celgene Corp. (a) (o)		2,018
	29	Gilead Sciences, Inc.		2,417
	7	Vertex Pharmaceuticals, Inc. (a)		642
				7,245
		Health Care Equipment & Supplies — 1.8%
	44	Abbott Laboratories (o)		1,747
	71	Boston Scientific Corp. (a) (o)		1,656
	1	Medtronic plc, (Ireland)		126
	5	Stryker Corp. (o)		659
				4,188
		Health Care Providers & Services — 3.5%
	12	Aetna, Inc. (o)		1,452
	1	Anthem, Inc.		191
	3	Cigna Corp.		433
	2	HCA Holdings, Inc. (a)		134
	6	Humana, Inc.		997
	13	McKesson Corp. (o)		2,379
	2	Quest Diagnostics, Inc.		190
	19	UnitedHealth Group, Inc. (o)		2,727
				8,503
		Life Sciences Tools & Services — 0.7%
	4	Agilent Technologies, Inc.		188
	4	Illumina, Inc. (a)		576
	6	Thermo Fisher Scientific, Inc.		864
				1,628
		Pharmaceuticals — 6.3%
	7	Allergan plc (a) (o)		1,670
	46	Bristol-Myers Squibb Co.		3,376
	31	Eli Lilly & Co. (o)		2,453
	22	Johnson & Johnson (o)		2,677
	14	Merck & Co., Inc. (o)		798
	5	Mylan N.V. (a)		218
	111	Pfizer, Inc.		3,921
				15,113
		Total Health Care		36,677

SHARES		SECURITY DESCRIPTION	VALUE($)
		Industrials — 9.7%
		Aerospace & Defense — 3.1%
	1	General Dynamics Corp.		137
	23	Honeywell International, Inc. (o)		2,709
	7	L-3 Communications Holdings, Inc.		1,089
	4	Northrop Grumman Corp.		899
	3	Textron, Inc.		118
	24	United Technologies Corp. (o)		2,462
				7,414
		Air Freight & Logistics — 0.1%
	2	United Parcel Service, Inc., Class B		238
		Airlines — 0.6%
	16	Delta Air Lines, Inc.		588
	20	United Continental Holdings, Inc. (a)		803
				1,391
		Building Products — 0.5%
	8	Allegion plc, (Ireland)		576
	22	Masco Corp.		688
				1,264
		Construction & Engineering — 0.2%
	12	Fluor Corp. (o)		594
		Electrical Equipment — 0.7%
	24	Eaton Corp. plc (o)		1,425
	3	Emerson Electric Co.		144
				1,569
		Industrial Conglomerates — 1.2%
	1	3M Co.		123
	4	Danaher Corp.		398
	73	General Electric Co. (o)		2,309
				2,830
		Machinery — 1.9%
	2	Caterpillar, Inc.		121
	8	Cummins, Inc. (o)		944
	2	Deere & Co.		138
	5	Ingersoll-Rand plc		336
	24	PACCAR, Inc. (o)		1,236
	2	Parker-Hannifin Corp. (o)		241
	2	Pentair plc, (United Kingdom)		135
	2	Snap-on, Inc.		356
	10	Stanley Black & Decker, Inc.		1,121
				4,628
		Professional Services — 0.0% (g)
	1	Equifax, Inc.		120

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 37

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures and Options contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Road & Rail — 1.4%
	6	Canadian Pacific Railway Ltd., (Canada)		742
	12	CSX Corp. (o)		325
	26	Union Pacific Corp.		2,275
				3,342
		Total Industrials		23,390
		Information Technology — 19.9%
		Communications Equipment — 0.5%
	40	Cisco Systems, Inc. (o)		1,138
		Electronic Equipment, Instruments & Components — 0.6%
	2	Amphenol Corp., Class A		125
	23	TE Connectivity Ltd., (Switzerland) (o)		1,316
				1,441
		Internet Software & Services — 4.5%
	5	Alphabet, Inc., Class A (a)		3,310
	5	Alphabet, Inc., Class C (a)		3,276
	37	Facebook, Inc., Class A (a)		4,241
				10,827
		IT Services — 3.6%
	28	Accenture plc, (Ireland), Class A		3,212
	2	Automatic Data Processing, Inc.		139
	19	Cognizant Technology Solutions Corp., Class A (a) (o)		1,097
	16	Fidelity National Information Services, Inc.		1,199
	2	Global Payments, Inc.		133
	2	MasterCard, Inc., Class A		211
	6	PayPal Holdings, Inc. (a)		228
	6	Vantiv, Inc., Class A (a)		321
	30	Visa, Inc., Class A (o)		2,205
				8,745
		Semiconductors & Semiconductor Equipment — 3.2%
	18	Broadcom Ltd., (Singapore) (o)		2,756
	2	KLA-Tencor Corp.		147
	24	Lam Research Corp. (o)		1,978
	8	NXP Semiconductors N.V., (Netherlands) (a)		608
	2	Qorvo, Inc. (a)		86
	33	Texas Instruments, Inc. (o)		2,056
				7,631
		Software — 4.0%
	24	Adobe Systems, Inc. (a) (o)		2,308
	135	Microsoft Corp.		6,910
	9	Oracle Corp. (o)		368
				9,586

SHARES		SECURITY DESCRIPTION	VALUE($)
		Technology Hardware, Storage & Peripherals — 3.5%
	75	Apple, Inc.		7,126
	6	Hewlett Packard Enterprise Co.		109
	58	HP, Inc.		728
	11	Western Digital Corp.		531
				8,494
		Total Information Technology		47,862
		Materials — 2.8%
		Chemicals — 2.0%
	22	Dow Chemical Co. (The)		1,085
	22	E.I. du Pont de Nemours & Co. (o)		1,401
	15	Eastman Chemical Co.		988
	3	Monsanto Co.		360
	35	Mosaic Co. (The) (o)		917
				4,751
		Construction Materials — 0.2%
	2	Martin Marietta Materials, Inc. (o)		351
		Containers & Packaging — 0.5%
	16	Crown Holdings, Inc. (a)		788
	3	Sealed Air Corp.		121
	10	WestRock Co.		388
				1,297
		Metals & Mining — 0.1%
	6	Newmont Mining Corp.		251
	1	United States Steel Corp.		24
				275
		Total Materials		6,674
		Telecommunication Services — 2.0%
		Diversified Telecommunication Services — 1.8%
	73	AT&T, Inc. (o)		3,164
	21	Verizon Communications, Inc. (o)		1,177
				4,341
		Wireless Telecommunication Services — 0.2%
	9	T-Mobile US, Inc. (a)		376
		Total Telecommunication Services		4,717
		Utilities — 3.6%
		Electric Utilities — 2.3%
	18	Edison International (o)		1,382
	3	Exelon Corp.		123
	16	NextEra Energy, Inc. (o)		2,090
	4	PG&E Corp.		266
	36	Xcel Energy, Inc. (o)		1,604
				5,465

SEE NOTES TO FINANCIAL STATEMENTS.

38 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Gas Utilities — 0.1%
	7	UGI Corp.		319
		Multi-Utilities — 1.2%
	20	CMS Energy Corp.		900
	23	Public Service Enterprise Group, Inc.		1,075
	7	Sempra Energy		780
				2,755
		Total Utilities		8,539
		Total Common Stocks (Cost $215,101)		237,718
NUMBER OF CONTRACTS
	Option Purchased — 1.5%
		Put Option Purchased — 1.5%
	1,141	S&P 500 Index, Expiring 09/30/16 at $1,980.00, European Style (Cost $3,837)		3,617

PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investments — 0.5%
		U.S. Treasury Obligation — 0.0% (g)
	60	U.S. Treasury Bill, 0.470%, 03/30/17 (k) (n)		60
SHARES
		Investment Company — 0.5%
	1,122	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l)		1,122
		Total Short-Term Investments (Cost $1,182)		1,182
		Total Investments — 101.0% (Cost $220,120)		242,517
		Liabilities in Excess of Other Assets — (1.0)%		(2,314	)
		NET ASSETS — 100.0%	$	240,203

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	17	E-mini S&P 500		09/16/16		USD	$	1,777	$	22

OPTIONS WRITTEN

Call Option Written
DESCRIPTION	EXERCISE PRICE		EXPIRATION DATE		NUMBER OF CONTRACTS		VALUE
S&P 500 Index, European Style (Premiums received of $3,122)	$	2,150.000		9/30/16		1,141	$	(3,201	)
Put Option Written
DESCRIPTION	EXERCISE PRICE		EXPIRATION DATE		NUMBER OF CONTRACTS		VALUE
S&P 500 Index, European Style (Premiums received of $716)	$	1,675.000		9/30/16		1,141	$	(673	)

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 39

JPMorgan Large Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.5%
		Consumer Discretionary — 21.7%
		Auto Components — 0.7%
	1,562	Delphi Automotive plc, (United Kingdom)		97,756
		Automobiles — 0.6%
	371	Tesla Motors, Inc. (a)		78,692
		Hotels, Restaurants & Leisure — 2.2%
	5,334	Starbucks Corp.		304,660
		Internet & Catalog Retail — 7.2%
	970	Amazon.com, Inc. (a)		694,466
	2,182	Netflix, Inc. (a)		199,646
	76	Priceline Group, Inc. (The) (a)		94,380
				988,492
		Media — 3.2%
	6,655	Comcast Corp., Class A		433,840
		Specialty Retail — 7.8%
	5,405	Home Depot, Inc. (The)		690,113
	2,234	Ross Stores, Inc.		126,628
	1,019	Ulta Salon Cosmetics & Fragrance, Inc. (a)		248,367
				1,065,108
		Total Consumer Discretionary		2,968,548
		Consumer Staples — 8.2%
		Beverages — 3.3%
	2,325	Coca-Cola Co. (The)		105,401
	815	Constellation Brands, Inc., Class A		134,751
	1,357	Monster Beverage Corp. (a)		218,132
				458,284
		Food & Staples Retailing — 2.6%
	513	Costco Wholesale Corp.		80,593
	1,493	Walgreens Boots Alliance, Inc.		124,314
	2,125	Wal-Mart Stores, Inc.		155,182
				360,089
		Tobacco — 2.3%
	5,752	Reynolds American, Inc.		310,205
		Total Consumer Staples		1,128,578
		Energy — 0.5%
		Oil, Gas & Consumable Fuels — 0.5%
	404	Pioneer Natural Resources Co.		61,119
		Financials — 2.4%
		Capital Markets — 0.5%
	2,392	Charles Schwab Corp. (The)		60,534

SHARES		SECURITY DESCRIPTION	VALUE($)
		Diversified Financial Services — 1.9%
	402	Intercontinental Exchange, Inc.		102,793
	1,713	Moody’s Corp.		160,563
				263,356
		Total Financials		323,890
		Health Care — 14.3%
		Biotechnology — 5.5%
	68	Alexion Pharmaceuticals, Inc. (a)		7,986
	32	Biogen, Inc. (a)		7,617
	322	BioMarin Pharmaceutical, Inc. (a)		25,044
	629	Celgene Corp. (a)		61,999
	3,436	Gilead Sciences, Inc.		286,648
	193	Incyte Corp. (a)		15,468
	668	Regeneron Pharmaceuticals, Inc. (a)		233,111
	1,340	Vertex Pharmaceuticals, Inc. (a)		115,233
				753,106
		Health Care Equipment & Supplies — 4.2%
	850	Becton, Dickinson and Co.		144,185
	7,231	Boston Scientific Corp. (a)		168,982
	404	Intuitive Surgical, Inc. (a)		267,342
				580,509
		Life Sciences Tools & Services — 1.9%
	998	Illumina, Inc. (a)		140,029
	802	Thermo Fisher Scientific, Inc.		118,503
				258,532
		Pharmaceuticals — 2.7%
	3,235	Bristol-Myers Squibb Co.		237,964
	1,119	Johnson & Johnson		135,674
				373,638
		Total Health Care		1,965,785
		Industrials — 7.6%
		Aerospace & Defense — 3.5%
	2,682	Honeywell International, Inc.		311,912
	728	Northrop Grumman Corp.		161,753
				473,665
		Airlines — 1.9%
	7,112	Delta Air Lines, Inc.		259,101
		Electrical Equipment — 1.1%
	633	Acuity Brands, Inc.		156,959
		Industrial Conglomerates — 1.1%
	896	Roper Technologies, Inc.		152,822
		Total Industrials		1,042,547

SEE NOTES TO FINANCIAL STATEMENTS.

40 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Information Technology — 38.1%
		Electronic Equipment, Instruments & Components — 0.3%
	690	Amphenol Corp., Class A		39,541
		Internet Software & Services — 11.8%
	1,159	Alphabet, Inc., Class C (a)		802,118
	5,730	Facebook, Inc., Class A (a)		654,824
	231	LinkedIn Corp., Class A (a)		43,792
	1,367	VeriSign, Inc. (a)		118,200
				1,618,934
		IT Services — 10.6%
	1,347	Accenture plc, (Ireland), Class A		152,613
	1,809	Cognizant Technology Solutions Corp., Class A (a)		103,547
	4,796	MasterCard, Inc., Class A		422,318
	2,532	PayPal Holdings, Inc. (a)		92,432
	2,817	Vantiv, Inc., Class A (a)		159,454
	7,062	Visa, Inc., Class A		523,766
				1,454,130
		Semiconductors & Semiconductor Equipment — 3.8%
	304	ARM Holdings plc, (United Kingdom), ADR		13,844
	173	ASML Holding N.V., (Netherlands)		17,161
	1,501	Broadcom Ltd., (Singapore)		233,302
	2,959	NVIDIA Corp.		139,093
	1,521	NXP Semiconductors N.V., (Netherlands) (a)		119,187
				522,587
		Software — 9.3%
	4,665	Activision Blizzard, Inc.		184,886
	2,994	Adobe Systems, Inc. (a)		286,833
	5,574	Microsoft Corp.		285,222
	3,565	salesforce.com, Inc. (a)		283,073
	2,510	ServiceNow, Inc. (a)		166,684
	1,255	Splunk, Inc. (a)		68,001
				1,274,699

SHARES		SECURITY DESCRIPTION	VALUE($)
		Technology Hardware, Storage & Peripherals — 2.3%
	3,281	Apple, Inc.		313,701
		Total Information Technology		5,223,592
		Materials — 5.7%
		Chemicals — 4.5%
	1,224	Ecolab, Inc.		145,143
	1,523	LyondellBasell Industries N.V., Class A		113,305
	584	PPG Industries, Inc.		60,782
	1,002	Sherwin-Williams Co. (The)		294,345
				613,575
		Construction Materials — 1.2%
	1,426	Vulcan Materials Co.		171,681
		Total Materials		785,256
		Total Common Stocks (Cost $9,380,320)		13,499,315
	Short-Term Investment — 1.8%
		Investment Company — 1.8%
	247,515	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $247,515)		247,515
		Total Investments — 100.3% (Cost $9,627,835)		13,746,830
		Liabilities in Excess of Other Assets — (0.3)%		(42,694	)
		NET ASSETS — 100.0%	$	13,704,136

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 41

JPMorgan Large Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.3%
		Consumer Discretionary — 22.8%
		Auto Components — 2.7%
	311	Delphi Automotive plc, (United Kingdom)		19,456
		Automobiles — 3.4%
	855	General Motors Co.		24,191
		Hotels, Restaurants & Leisure — 6.3%
	131	Bloomin’ Brands, Inc.		2,345
	533	Carnival Corp.		23,563
	281	Royal Caribbean Cruises Ltd.		18,842
				44,750
		Household Durables — 6.0%
	98	CalAtlantic Group, Inc.		3,598
	123	Harman International Industries, Inc.		8,820
	265	MDC Holdings, Inc.		6,452
	52	Meritage Homes Corp. (a)		1,959
	36	Newell Brands, Inc.		1,749
	498	PulteGroup, Inc.		9,698
	69	Taylor Morrison Home Corp., Class A (a)		1,025
	353	Toll Brothers, Inc. (a)		9,494
				42,795
		Leisure Products — 0.1%
	23	Brunswick Corp.		1,051
		Media — 3.1%
	14	Charter Communications, Inc., Class A (a)		3,249
	218	DISH Network Corp., Class A (a)		11,429
	46	Time Warner, Inc.		3,361
	136	Twenty-First Century Fox, Inc., Class A		3,673
				21,712
		Specialty Retail — 0.8%
	135	Best Buy Co., Inc.		4,140
	17	Lithia Motors, Inc., Class A		1,201
				5,341
		Textiles, Apparel & Luxury Goods — 0.4%
	59	Michael Kors Holdings Ltd., (United Kingdom) (a)		2,924
		Total Consumer Discretionary		162,220
		Consumer Staples — 3.0%
		Beverages — 1.1%
	78	Molson Coors Brewing Co., Class B		7,919
		Food & Staples Retailing — 1.6%
	301	Kroger Co. (The)		11,070
		Food Products — 0.3%
	74	Snyder’s-Lance, Inc.		2,494
		Total Consumer Staples		21,483

SHARES		SECURITY DESCRIPTION	VALUE($)
		Energy — 9.8%
		Energy Equipment & Services — 0.6%
	52	Schlumberger Ltd.		4,081
		Oil, Gas & Consumable Fuels — 9.2%
	157	Chevron Corp.		16,437
	60	Diamondback Energy, Inc. (a)		5,491
	77	EOG Resources, Inc.		6,457
	91	Exxon Mobil Corp.		8,556
	116	Occidental Petroleum Corp.		8,727
	74	Pioneer Natural Resources Co.		11,129
	165	Valero Energy Corp.		8,405
				65,202
		Total Energy		69,283
		Financials — 27.4%
		Banks — 16.3%
	1,316	Bank of America Corp.		17,466
	332	BB&T Corp.		11,815
	740	Citigroup, Inc.		31,386
	54	East West Bancorp, Inc.		1,859
	795	Huntington Bancshares, Inc.		7,108
	801	KeyCorp		8,856
	32	M&T Bank Corp.		3,760
	415	Regions Financial Corp.		3,527
	20	SVB Financial Group (a)		1,856
	591	Wells Fargo & Co.		27,971
				115,604
		Capital Markets — 1.3%
	269	Charles Schwab Corp. (The)		6,806
	219	WisdomTree Investments, Inc.		2,144
				8,950
		Consumer Finance — 2.4%
	163	Ally Financial, Inc. (a)		2,786
	143	Capital One Financial Corp.		9,069
	198	Synchrony Financial (a)		4,998
				16,853
		Diversified Financial Services — 1.7%
	74	Berkshire Hathaway, Inc., Class B (a)		10,714
	70	Voya Financial, Inc.		1,736
				12,450
		Insurance — 4.5%
	52	American International Group, Inc.		2,771
	119	Arthur J. Gallagher & Co.		5,679
	274	MetLife, Inc.		10,898

SEE NOTES TO FINANCIAL STATEMENTS.

42 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Insurance — continued
	92	Principal Financial Group, Inc.		3,778
	76	Travelers Cos., Inc. (The)		9,071
				32,197
		Real Estate Investment Trusts (REITs) — 0.3%
	98	Outfront Media, Inc.		2,359
		Real Estate Management & Development — 0.2%
	76	St. Joe Co. (The) (a)		1,354
		Thrifts & Mortgage Finance — 0.7%
	201	BofI Holding, Inc. (a)		3,558
	204	MGIC Investment Corp. (a)		1,215
				4,773
		Total Financials		194,540
		Health Care — 14.4%
		Biotechnology — 2.5%
	19	Alexion Pharmaceuticals, Inc. (a)		2,207
	9	Biogen, Inc. (a)		2,128
	30	Celgene Corp. (a)		2,949
	36	Gilead Sciences, Inc.		3,036
	84	Vertex Pharmaceuticals, Inc. (a)		7,200
				17,520
		Health Care Providers & Services — 6.8%
	215	Aetna, Inc.		26,258
	29	Cigna Corp.		3,750
	21	Humana, Inc.		3,783
	59	McKesson Corp.		11,012
	25	UnitedHealth Group, Inc.		3,516
				48,319
		Life Sciences Tools & Services — 0.4%
	44	PAREXEL International Corp. (a)		2,767
		Pharmaceuticals — 4.7%
	17	Allergan plc (a)		3,929
	840	Pfizer, Inc.		29,576
				33,505
		Total Health Care		102,111
		Industrials — 5.0%
		Aerospace & Defense — 1.2%
	20	General Dynamics Corp.		2,743
	152	Textron, Inc.		5,550
				8,293
		Airlines — 2.5%
	82	Delta Air Lines, Inc.		2,994
	179	Southwest Airlines Co.		7,007
	179	Spirit Airlines, Inc. (a)		8,023
				18,024

SHARES		SECURITY DESCRIPTION	VALUE($)
		Machinery — 0.7%
	177	Allison Transmission Holdings, Inc.		4,988
		Road & Rail — 0.6%
	32	Canadian Pacific Railway Ltd., (Canada)		4,147
		Total Industrials		35,452
		Information Technology — 9.2%
		Communications Equipment — 0.2%
	26	Arista Networks, Inc. (a)		1,687
		Electronic Equipment, Instruments & Components — 0.4%
	56	TE Connectivity Ltd., (Switzerland)		3,170
		Internet Software & Services — 0.7%
	96	eBay, Inc. (a)		2,257
	68	Yahoo!, Inc. (a)		2,565
				4,822
		IT Services — 1.1%
	36	Fidelity National Information Services, Inc.		2,638
	450	First Data Corp., Class A (a)		4,983
				7,621
		Semiconductors & Semiconductor Equipment — 4.5%
	83	Broadcom Ltd., (Singapore)		12,922
	67	Lam Research Corp.		5,649
	292	Marvell Technology Group Ltd., (Bermuda)		2,785
	131	NXP Semiconductors N.V., (Netherlands) (a)		10,286
				31,642
		Software — 0.4%
	48	Synopsys, Inc. (a)		2,607
		Technology Hardware, Storage & Peripherals — 1.9%
	39	Apple, Inc.		3,681
	372	EMC Corp.		10,099
				13,780
		Total Information Technology		65,329
		Materials — 2.5%
		Chemicals — 2.5%
	140	Axiall Corp.		4,579
	60	E.I. du Pont de Nemours & Co.		3,901
	76	Eastman Chemical Co.		5,140
	44	FMC Corp.		2,015
	84	Mosaic Co. (The)		2,210
		Total Materials		17,845
		Telecommunication Services — 2.1%
		Diversified Telecommunication Services — 1.1%
	173	AT&T, Inc.		7,484

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 43

JPMorgan Large Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Wireless Telecommunication Services — 1.0%
	172	T-Mobile US, Inc. (a)		7,435
		Total Telecommunication Services		14,919
		Utilities — 1.1%
		Electric Utilities — 1.1%
	59	NextEra Energy, Inc.		7,681
		Total Common Stocks (Cost $647,228)		690,863
NUMBER OF WARRANTS
	Warrant — 0.0%
		Financials — 0.0%
		Consumer Finance — 0.0%
	36	Emergent Capital, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (Cost $—)		—

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 6.8%
		Investment Company — 6.8%
	48,090	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $48,090)		48,090
		Total Investments — 104.1% (Cost $695,318)		738,953
		Liabilities in Excess of Other Assets — (4.1)%		(29,007	)
		NET ASSETS — 100.0%	$	709,946

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

44 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

JPMorgan U.S. Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.6%
		Consumer Discretionary — 15.7%
		Auto Components — 0.6%
	1,209	Delphi Automotive plc, (United Kingdom)		75,703
		Automobiles — 1.3%
	1,809	Ford Motor Co.		22,744
	5,057	General Motors Co.		143,117
				165,861
		Hotels, Restaurants & Leisure — 1.1%
	215	Carnival Corp.		9,490
	28	Chipotle Mexican Grill, Inc. (a)		11,422
	967	Royal Caribbean Cruises Ltd.		64,938
	667	Starbucks Corp.		38,115
	190	Yum! Brands, Inc.		15,772
				139,737
		Household Durables — 1.6%
	1,647	D.R. Horton, Inc.		51,855
	658	Harman International Industries, Inc.		47,278
	177	Mohawk Industries, Inc. (a)		33,628
	1,300	PulteGroup, Inc.		25,344
	1,215	Toll Brothers, Inc. (a)		32,708
	66	Whirlpool Corp.		11,054
				201,867
		Internet & Catalog Retail — 2.0%
	343	Amazon.com, Inc. (a)		245,241
		Media — 5.3%
	626	CBS Corp. (Non-Voting), Class B		34,072
	313	Charter Communications, Inc., Class A (a)		71,632
	1,148	Comcast Corp., Class A		74,852
	1,385	DISH Network Corp., Class A (a)		72,550
	2,645	Time Warner, Inc.		194,510
	268	Time, Inc.		4,415
	4,019	Twenty-First Century Fox, Inc., Class A		108,723
	990	Twenty-First Century Fox, Inc., Class B		26,983
	662	Walt Disney Co. (The)		64,771
				652,508
		Specialty Retail — 3.7%
	925	Best Buy Co., Inc.		28,292
	652	Home Depot, Inc. (The)		83,290
	3,355	Lowe’s Cos., Inc.		265,588
	14	O’Reilly Automotive, Inc. (a)		3,843
	944	TJX Cos., Inc. (The)		72,917
				453,930

SHARES		SECURITY DESCRIPTION	VALUE($)
		Textiles, Apparel & Luxury Goods — 0.1%
	150	V.F. Corp.		9,210
		Total Consumer Discretionary		1,944,057
		Consumer Staples — 7.0%
		Beverages — 3.1%
	2,000	Coca-Cola Co. (The)		90,668
	145	Constellation Brands, Inc., Class A		24,014
	1,441	Molson Coors Brewing Co., Class B		145,774
	1,152	PepsiCo, Inc.		122,045
				382,501
		Food & Staples Retailing — 1.2%
	389	Costco Wholesale Corp.		61,055
	2,458	Kroger Co. (The)		90,425
				151,480
		Food Products — 1.2%
	3,211	Mondelez International, Inc., Class A		146,129
		Household Products — 1.0%
	758	Kimberly-Clark Corp.		104,198
	293	Procter & Gamble Co. (The)		24,789
				128,987
		Tobacco — 0.5%
	585	Philip Morris International, Inc.		59,460
		Total Consumer Staples		868,557
		Energy — 7.3%
		Energy Equipment & Services — 0.0% (g)
	112	Halliburton Co.		5,057
		Oil, Gas & Consumable Fuels — 7.3%
	1,807	Cabot Oil & Gas Corp.		46,501
	956	Chevron Corp.		100,243
	285	Concho Resources, Inc. (a)		33,940
	767	Diamondback Energy, Inc. (a)		69,985
	168	Energen Corp.		8,110
	2,031	EOG Resources, Inc.		169,418
	1,067	EQT Corp.		82,643
	705	Marathon Petroleum Corp.		26,748
	2,528	Occidental Petroleum Corp.		191,041
	934	Pioneer Natural Resources Co.		141,221
	164	RSP Permian, Inc. (a)		5,728
	148	TransCanada Corp., (Canada)		6,704
	329	Valero Energy Corp.		16,773
				899,055
		Total Energy		904,112

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 45

JPMorgan U.S. Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Financials — 15.5%
		Banks — 5.8%
	7,405	Bank of America Corp.		98,268
	3,492	Citigroup, Inc.		148,031
	236	East West Bancorp, Inc.		8,073
	6,087	KeyCorp		67,260
	1,949	Regions Financial Corp.		16,582
	704	SunTrust Banks, Inc.		28,931
	189	SVB Financial Group (a)		18,019
	6,625	Wells Fargo & Co.		313,546
	544	Zions Bancorporation		13,681
				712,391
		Capital Markets — 2.8%
	28	Ameriprise Financial, Inc.		2,505
	197	BlackRock, Inc.		67,534
	2,419	Charles Schwab Corp. (The)		61,212
	456	Goldman Sachs Group, Inc. (The)		67,727
	225	Invesco Ltd.		5,754
	5,174	Morgan Stanley		134,432
				339,164
		Consumer Finance — 0.7%
	345	Capital One Financial Corp.		21,915
	1,273	Discover Financial Services		68,198
				90,113
		Diversified Financial Services — 0.5%
	231	Intercontinental Exchange, Inc.		59,092
		Insurance — 5.0%
	1,576	American International Group, Inc.		83,333
	967	Arthur J. Gallagher & Co.		46,009
	1,846	Chubb Ltd., (Switzerland)		241,326
	22	Everest Re Group Ltd., (Bermuda)		4,001
	678	Hartford Financial Services Group, Inc. (The)		30,092
	1,027	Marsh & McLennan Cos., Inc.		70,284
	3,600	MetLife, Inc.		143,401
	139	XL Group plc, (Ireland)		4,646
				623,092
		Real Estate Investment Trusts (REITs) — 0.7%
	237	AvalonBay Communities, Inc.		42,719
	772	Kimco Realty Corp.		24,233
	429	Prologis, Inc.		21,052
	30	SL Green Realty Corp.		3,157
				91,161
		Total Financials		1,915,013

SHARES		SECURITY DESCRIPTION	VALUE($)
		Health Care — 15.2%
		Biotechnology — 3.6%
	503	Alexion Pharmaceuticals, Inc. (a)		58,701
	253	Biogen, Inc. (a)		61,273
	261	BioMarin Pharmaceutical, Inc. (a)		20,315
	871	Celgene Corp. (a)		85,891
	1,586	Gilead Sciences, Inc.		132,266
	941	Vertex Pharmaceuticals, Inc. (a)		80,976
				439,422
		Health Care Equipment & Supplies — 1.0%
	520	Abbott Laboratories		20,448
	4,534	Boston Scientific Corp. (a)		105,952
				126,400
		Health Care Providers & Services — 4.4%
	1,190	Aetna, Inc.		145,381
	37	Anthem, Inc.		4,850
	124	Cigna Corp.		15,869
	375	Humana, Inc.		67,508
	441	McKesson Corp.		82,331
	1,621	UnitedHealth Group, Inc.		228,824
				544,763
		Life Sciences Tools & Services — 0.6%
	400	Agilent Technologies, Inc.		17,727
	376	Illumina, Inc. (a)		52,787
				70,514
		Pharmaceuticals — 5.6%
	576	Allergan plc (a)		133,186
	2,521	Bristol-Myers Squibb Co.		185,442
	1,801	Eli Lilly & Co.		141,793
	6,681	Pfizer, Inc.		235,244
				695,665
		Total Health Care		1,876,764
		Industrials — 9.5%
		Aerospace & Defense — 2.9%
	1,402	Honeywell International, Inc.		163,064
	158	L-3 Communications Holdings, Inc.		23,214
	402	Northrop Grumman Corp.		89,275
	832	United Technologies Corp.		85,293
				360,846
		Airlines — 1.1%
	1,714	Delta Air Lines, Inc.		62,437
	91	Spirit Airlines, Inc. (a)		4,072
	1,593	United Continental Holdings, Inc. (a)		65,361
				131,870

SEE NOTES TO FINANCIAL STATEMENTS.

46 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Building Products — 0.9%
	786	Allegion plc, (Ireland)		54,601
	59	Lennox International, Inc.		8,463
	1,603	Masco Corp.		49,595
				112,659
		Commercial Services & Supplies — 0.0% (g)
	47	Tyco International plc		2,010
	51	Waste Connections, Inc., (Canada)		3,669
				5,679
		Electrical Equipment — 0.3%
	384	Eaton Corp. plc		22,912
	455	Sensata Technologies Holding N.V. (a)		15,878
				38,790
		Industrial Conglomerates — 1.5%
	94	Danaher Corp.		9,490
	5,580	General Electric Co.		175,651
				185,141
		Machinery — 1.6%
	223	Deere & Co.		18,104
	110	Ingersoll-Rand plc		6,975
	615	PACCAR, Inc.		31,892
	65	Snap-on, Inc.		10,268
	1,207	Stanley Black & Decker, Inc.		134,192
				201,431
		Road & Rail — 1.2%
	299	Canadian Pacific Railway Ltd., (Canada)		38,534
	1,185	Union Pacific Corp.		103,378
				141,912
		Total Industrials		1,178,328
		Information Technology — 20.8%
		Electronic Equipment, Instruments & Components — 0.5%
	1,021	TE Connectivity Ltd., (Switzerland)		58,281
		Internet Software & Services — 5.2%
	322	Alphabet, Inc., Class A (a)		226,313
	340	Alphabet, Inc., Class C (a)		235,324
	1,628	Facebook, Inc., Class A (a)		186,105
				647,742
		IT Services — 3.4%
	1,380	Accenture plc, (Ireland), Class A		156,384
	1,235	Fidelity National Information Services, Inc.		91,029
	379	MasterCard, Inc., Class A		33,403
	121	PayPal Holdings, Inc. (a)		4,422

SHARES		SECURITY DESCRIPTION	VALUE($)
		IT Services — continued
	1,743	Visa, Inc., Class A		129,285
	68	WEX, Inc. (a)		6,010
				420,533
		Semiconductors & Semiconductor Equipment — 5.4%
	1,573	Broadcom Ltd., (Singapore)		244,451
	1,973	Lam Research Corp.		165,819
	488	Marvell Technology Group Ltd., (Bermuda)		4,650
	1,222	NXP Semiconductors N.V., (Netherlands) (a)		95,732
	2,447	Texas Instruments, Inc.		153,333
				663,985
		Software — 4.1%
	1,052	Adobe Systems, Inc. (a)		100,728
	7,390	Microsoft Corp.		378,137
	388	Workday, Inc., Class A (a)		29,005
				507,870
		Technology Hardware, Storage & Peripherals — 2.2%
	2,765	Apple, Inc.		264,314
	821	HP, Inc.		10,310
				274,624
		Total Information Technology		2,573,035
		Materials — 3.0%
		Chemicals — 1.7%
	16	Albemarle Corp.		1,277
	710	CF Industries Holdings, Inc.		17,109
	415	Dow Chemical Co. (The)		20,619
	639	E.I. du Pont de Nemours & Co.		41,425
	1,183	Eastman Chemical Co.		80,307
	63	Monsanto Co.		6,555
	1,318	Mosaic Co. (The)		34,500
	79	PPG Industries, Inc.		8,263
				210,055
		Construction Materials — 0.8%
	203	Martin Marietta Materials, Inc.		38,941
	523	Vulcan Materials Co.		62,968
				101,909
		Containers & Packaging — 0.5%
	1,123	Crown Holdings, Inc. (a)		56,910
		Metals & Mining — 0.0% (g)
	408	United States Steel Corp.		6,883
		Total Materials		375,757

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 47

JPMorgan U.S. Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Telecommunication Services — 1.9%
		Diversified Telecommunication Services — 1.4%
	3,946	AT&T, Inc.		170,487
		Wireless Telecommunication Services — 0.5%
	1,634	T-Mobile US, Inc. (a)		70,690
		Total Telecommunication Services		241,177
		Utilities — 2.7%
		Electric Utilities — 1.8%
	759	Edison International		58,989
	820	NextEra Energy, Inc.		106,971
	33	PG&E Corp.		2,125
	1,351	Xcel Energy, Inc.		60,503
				228,588
		Multi-Utilities — 0.9%
	948	CMS Energy Corp.		43,453
	369	Public Service Enterprise Group, Inc.		17,222
	397	Sempra Energy		45,307
				105,982
		Total Utilities		334,570
		Total Common Stocks (Cost $9,289,259)		12,211,370

NUMBER OF WARRANTS		SECURITY DESCRIPTION	VALUE($)
	Warrant — 0.0%
		Financials — 0.0%
		Consumer Finance — 0.0%
	24	Emergent Capital, Inc., expiring 10/01/19 (Strike Price $10.75) (a) (Cost $—)		—
SHARES
	Short-Term Investment — 1.1%
		Investment Company — 1.1%
	134,343	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $134,343)		134,343
		Total Investments — 99.7% (Cost $9,423,602)		12,345,713
		Other Assets in Excess of Liabilities — 0.3%		36,774
		NET ASSETS — 100.0%	$	12,382,487

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	628	E-mini S&P 500		09/16/16		USD	$	65,632	$	1,108

SEE NOTES TO FINANCIAL STATEMENTS.

48 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

J.P. Morgan Large Cap Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

ADR	—  American Depositary Receipt
USD	—  United States Dollar
(a)	—  Non-income producing security.
(b)	—  Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(g)	—  Amount rounds to less than 0.05%.

(h)	—  Amount rounds to less than 500 (shares or dollars).
(k)	—  All or a portion of this security is deposited with the broker as initial margin for futures contracts.
(l)	—  The rate shown is the current yield as of June 30, 2016.
(n)	—  The rate shown is the effective yield at the date of purchase.
(o)	—  All or a portion of the security is segregated for options written.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 49

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016

(Amounts in thousands, except per share amounts)

	Disciplined Equity Fund		Dynamic Growth Fund		Equity Focus Fund
ASSETS:
Investments in non-affiliates, at value	$	8,123,728	$	317,865	$	134,699
Investments in affiliates, at value		174,657		11,878		6,771
Total investment securities, at value		8,298,385		329,743		141,470
Cash		10		—		—
Receivables:
Investment securities sold		258,126		—		2,282
Fund shares sold		62,653		264		423
Dividends from non-affiliates		7,816		87		52
Dividends from affiliates		40		2		2
Variation margin on futures contracts		2,052		—		—
Total Assets		8,629,082		330,096		144,229
LIABILITIES:
Payables:
Investment securities purchased		400,039		—		4,339
Fund shares redeemed		4,382		398		268
Accrued liabilities:
Investment advisory fees		1,597		155		66
Administration fees		540		16		5
Distribution fees		103		19		1
Shareholder servicing fees		32		20		28
Custodian and accounting fees		38		5		8
Trustees’ and Chief Compliance Officer’s fees		21		—		—
Sub-transfer agency fees		511		36		3
Other		241		40		22
Total Liabilities		407,504		689		4,740
Net Assets	$	8,221,578	$	329,407	$	139,489

SEE NOTES TO FINANCIAL STATEMENTS.

50 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Disciplined Equity Fund			Dynamic Growth Fund			Equity Focus Fund
NET ASSETS:
Paid-in-Capital	$	8,087,518		$	273,600		$	130,228
Accumulated undistributed (distributions in excess of) net investment income		14,017			(147	)		185
Accumulated net realized gains (losses)		(648,336	)		(13,764	)		(1,116	)
Net unrealized appreciation (depreciation)		768,379			69,718			10,192
Total Net Assets	$	8,221,578		$	329,407		$	139,489
Net Assets:
Class A	$	497,934		$	53,334		$	1,937
Class C		—			12,077			1,268
Class R5		—			226,600			—
Class R6		6,638,591			—			—
Institutional Class		824,559			—			—
Select Class		260,494			37,396			136,284
Total	$	8,221,578		$	329,407		$	139,489
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		22,902			2,210			82
Class C		—			523			55
Class R5		—			9,030			—
Class R6		303,161			—			—
Institutional Class		37,663			—			—
Select Class		11,882			1,516			5,697
Net Asset Value (a):
Class A — Redemption price per share	$	21.74		$	24.13		$	23.73
Class C — Offering price per share (b)		—			23.10			23.18
Class R5 — Offering and redemption price per share		—			25.09			—
Class R6 — Offering and redemption price per share		21.90			—			—
Institutional Class — Offering and redemption price per share		21.89			—			—
Select Class — Offering and redemption price per share		21.92			24.66			23.92
Class A maximum sales charge		5.25	%		5.25	%		5.25	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	22.94		$	25.47		$	25.04
Cost of investments in non-affiliates	$	7,356,801		$	248,147		$	124,507
Cost of investments in affiliates		174,657			11,878			6,771

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 51

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except per share amounts)

	Equity Income Fund		Growth and Income Fund			Hedged Equity Fund
ASSETS:
Investments in non-affiliates, at value	$	11,517,849	$	478,689		$	241,395
Investments in affiliates, at value		533,390		7,673			1,122
Total investment securities, at value		12,051,239		486,362			242,517
Cash		—		—			13
Deposits at broker for futures contracts		—		—			225
Receivables:
Investment securities sold		11,541		3,648			4,459
Fund shares sold		34,878		175			1,641
Dividends from non-affiliates		23,439		814			264
Dividends from affiliates		125		1			1
Variation margin on futures contracts		—		—			20
Due from Adviser		—		—			1
Total Assets		12,121,222		491,000			249,141
LIABILITIES:
Payables:
Investment securities purchased		28,998		1,582			4,196
Fund shares redeemed		15,628		1,024			675
Outstanding options written, at fair value		—		—			3,874
Accrued liabilities:
Investment advisory fees		3,825		144			—
Administration fees		783		23			—
Distribution fees		1,498		103			21
Shareholder servicing fees		1,668		89			35
Custodian and accounting fees		34		6			13
Trustees’ and Chief Compliance Officer’s fees		13		—	(a)		—	(a)
Sub-transfer agency fees		1,895		58			55
Other		559		151			69
Total Liabilities		54,901		3,180			8,938
Net Assets	$	12,066,321	$	487,820		$	240,203

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

52 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Equity Income Fund			Growth and Income Fund			Hedged Equity Fund
NET ASSETS:
Paid-in-Capital	$	10,072,586		$	346,213		$	236,464
Accumulated undistributed (distributions in excess of) net investment income		1,930			251			476
Accumulated net realized gains (losses)		(18,026	)		11,411			(19,120	)
Net unrealized appreciation (depreciation)		2,009,831			129,945			22,383
Total Net Assets	$	12,066,321		$	487,820		$	240,203
Net Assets:
Class A	$	3,370,383		$	422,151		$	71,417
Class C		1,304,007			25,541			9,867
Class R2		77,230			20			—
Class R5		722,424			20			25
Class R6		1,913,077			20			74
Select Class		4,679,200			40,068			158,820
Total	$	12,066,321		$	487,820		$	240,203
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		240,539			9,875			4,401
Class C		94,520			654			610
Class R2		5,528			1			—
Class R5		50,761			—	(a)		1
Class R6		134,498			—	(a)		5
Select Class		328,898			895			9,767
Net Asset Value (b):
Class A — Redemption price per share	$	14.01		$	42.75		$	16.23
Class C — Offering price per share (c)		13.80			39.07			16.17
Class R2 — Offering and redemption price per share		13.97			42.94			—
Class R5 — Offering and redemption price per share		14.23			45.01			16.28
Class R6 — Offering and redemption price per share		14.22			45.01			16.28
Select Class — Offering and redemption price per share		14.23			44.77			16.26
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)]	$	14.79		$	45.12		$	17.13
Cost of investments in non-affiliates	$	9,508,018		$	348,744		$	218,998
Cost of investments in affiliates		533,390			7,673			1,122
Premiums received from options written		—			—			3,838

(a) Amount rounds to less than 500 shares.

(b) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(c) Redemption price for Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 53

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except per share amounts)

	Large Cap Growth Fund		Large Cap Value Fund		U.S. Equity Fund
ASSETS:
Investments in non-affiliates, at value	$	13,499,315	$	690,863	$	12,211,370
Investments in affiliates, at value		247,515		48,090		134,343
Total investment securities, at value		13,746,830		738,953		12,345,713
Deposits at broker for futures contracts		—		—		2,215
Receivables:
Investment securities sold		92,404		4,829		105,840
Fund shares sold		63,528		185		56,523
Dividends from non-affiliates		4,946		399		11,473
Dividends from affiliates		85		5		39
Variation margin on futures contracts		—		—		755
Total Assets		13,907,793		744,371		12,522,558
LIABILITIES:
Payables:
Due to custodian		—		—		93
Investment securities purchased		97,646		33,844		109,248
Fund shares redeemed		92,615		116		22,782
Accrued liabilities:
Investment advisory fees		5,591		233		3,695
Administration fees		926		48		823
Distribution fees		1,315		32		568
Shareholder servicing fees		999		22		133
Custodian and accounting fees		90		9		69
Trustees’ and Chief Compliance Officer’s fees		17		—		25
Sub-transfer agency fees		3,621		20		2,042
Other		837		101		593
Total Liabilities		203,657		34,425		140,071
Net Assets	$	13,704,136	$	709,946	$	12,382,487

SEE NOTES TO FINANCIAL STATEMENTS.

54 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Large Cap Growth Fund			Large Cap Value Fund			U.S. Equity Fund
NET ASSETS:
Paid-in-Capital	$	9,053,437		$	656,092		$	9,771,684
Accumulated undistributed (distributions in excess of) net investment income		(159	)		258			7,505
Accumulated net realized gains (losses)		531,863			9,961			(319,921	)
Net unrealized appreciation (depreciation)		4,118,995			43,635			2,923,219
Total Net Assets	$	13,704,136		$	709,946		$	12,382,487
Net Assets:
Class A	$	4,251,242		$	96,373		$	1,446,878
Class C		559,238			17,041			294,744
Class R2		192,560			3,462			205,224
Class R5		1,209,521			4,155			910,033
Class R6		3,330,565			565,542			4,755,359
Institutional Class		—			—			3,704,104
Select Class		4,161,010			23,373			1,066,145
Total	$	13,704,136		$	709,946		$	12,382,487
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		129,086			7,581			105,151
Class C		19,870			1,386			21,977
Class R2		5,959			274			15,019
Class R5		36,152			329			65,921
Class R6		99,194			45,040			344,017
Institutional Class		—			—			268,424
Select Class		125,795			1,865			77,323
Net Asset Value (a):
Class A — Redemption price per share	$	32.93		$	12.71		$	13.76
Class C — Offering price per share (b)		28.15			12.30			13.41
Class R2 — Offering and redemption price per share		32.31			12.64			13.66
Class R5 — Offering and redemption price per share		33.46			12.63			13.81
Class R6 — Offering and redemption price per share		33.58			12.56			13.82
Institutional Class — Offering and redemption price per share		—			—			13.80
Select Class — Offering and redemption price per share		33.08			12.53			13.79
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)]	$	34.75		$	13.41		$	14.52
Cost of investments in non-affiliates	$	9,380,320		$	647,228		$	9,289,259
Cost of investments in affiliates		247,515			48,090			134,343

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 55

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2016

(Amounts in thousands)

	Disciplined Equity Fund			Dynamic Growth Fund			Equity Focus Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	30		$	—		$	—
Dividend income from non-affiliates		163,062			2,350			1,300
Dividend income from affiliates		292			27			14
Total investment income		163,384			2,377			1,314
EXPENSES:
Investment advisory fees		20,084			2,099			694
Administration fees		6,586			287			88
Distribution fees:
Class A		1,322			127			4
Class C		—			84			8
Shareholder servicing fees:
Class A		1,322			127			4
Class C		—			28			3
Class R5		—			75			—
Institutional Class		799			—			—
Select Class		695			341			260
Custodian and accounting fees		249			29			30
Interest expense to affiliates		—			—	(a)		—	(a)
Professional fees		126			43			47
Trustees’ and Chief Compliance Officer’s fees		75			9			7
Printing and mailing costs		273			19			3
Registration and filing fees		310			63			36
Transfer agency fees (See Note 2.E.)		118			20			6
Sub-transfer agency fees (See Note 2.E.)		1,586			125			5
Other		62			8			6
Total expenses		33,607			3,484			1,201
Less fees waived		(1,829	)		(286	)		(129	)
Less expense reimbursements		(70	)		—			—	(a)
Net expenses		31,708			3,198			1,072
Net investment income (loss)		131,676			(821	)		242
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		(587,619	)		(9,188	)		(650	)
Futures		(4,402	)		—			—
Net realized gain (loss)		(592,021	)		(9,188	)		(650	)
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		149,794			(1,272	)		2,777
Futures		1,896			—			—
Change in net unrealized appreciation/depreciation		151,690			(1,272	)		2,777
Net realized/unrealized gains (losses)		(440,331	)		(10,460	)		2,127
Change in net assets resulting from operations	$	(308,655	)	$	(11,281	)	$	2,369

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

56 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Equity Income Fund			Growth and Income Fund			Hedged Equity Fund
INVESTMENT INCOME:
Interest income from non-affiliates	$	—		$	—		$	1
Dividend income from non-affiliates		304,888			11,803			5,210
Dividend income from affiliates		686			20			9
Total investment income		305,574			11,823			5,220
EXPENSES:
Investment advisory fees		42,662			1,942			613
Administration fees		8,744			398			201
Distribution fees:
Class A		7,712			1,063			196
Class C		8,842			186			58
Class R2		323			—	(a)		—
Shareholder servicing fees:
Class A		7,712			1,063			196
Class C		2,947			62			19
Class R2		161			—	(a)		—
Class R5		285			—	(a)		—	(a)
Select Class		11,137			89			398
Custodian and accounting fees		267			35			68
Professional fees		162			50			79
Trustees’ and Chief Compliance Officer’s fees		80			9			7
Printing and mailing costs		776			52			23
Registration and filing fees		751			59			84
Transfer agency fees (See Note 2.E.)		344			218			17
Sub-transfer agency fees (See Note 2.E.)		7,118			263			185
Other		123			10			7
Total expenses		100,146			5,499			2,151
Less fees waived		(4,334	)		(331	)		(435	)
Less expense reimbursements		(135	)		(1	)		(1	)
Net expenses		95,677			5,167			1,715
Net investment income (loss)		209,897			6,656			3,505
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		15,204			20,039			(26,352	)
Futures		—			—			(180	)
Options written		—			—			9,810
Net realized gain (loss)		15,204			20,039			(16,722	)
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		316,575			(21,834	)		14,819
Futures		—			—			42
Options Written		—			—			(79	)
Change in net unrealized appreciation/depreciation		316,575			(21,834	)		14,782
Net realized/unrealized gains (losses)		331,779			(1,795	)		(1,940	)
Change in net assets resulting from operations	$	541,676		$	4,861		$	1,565

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 57

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2016 (continued)

(Amounts in thousands)

	Large Cap Growth Fund			Large Cap Value Fund			U.S. Equity Fund
INVESTMENT INCOME:
Dividend income from non-affiliates	$	128,229		$	15,783		$	224,979
Dividend income from affiliates		1,443			40			298
Total investment income		129,672			15,823			225,277
EXPENSES:
Investment advisory fees		74,845			2,886			50,345
Administration fees		12,271			591			10,318
Distribution fees:
Class A		11,278			230			3,540
Class C		4,512			114			2,053
Class R2		1,097			12			960
Shareholder servicing fees:
Class A		11,278			230			3,540
Class C		1,504			38			684
Class R2		549			6			480
Class R5		673			2			392
Institutional Class		—			—			4,407
Select Class		12,206			571			3,817
Custodian and accounting fees		355			45			389
Professional fees		184			48			177
Trustees’ and Chief Compliance Officer’s fees		117			7			118
Printing and mailing costs		1,204			25			905
Registration and filing fees		703			85			357
Transfer agency fees (See Note 2.E.)		593			75			380
Sub-transfer agency fees (See Note 2.E.)		12,766			72			7,203
Other		173			15			147
Total expenses		146,308			5,052			90,212
Less fees waived		(13,955	)		(237	)		(7,754	)
Less expense reimbursements		(113	)		(3	)		(413	)
Net expenses		132,240			4,812			82,045
Net investment income (loss)		(2,568	)		11,011			143,232
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		607,808			38,789			88,598
Futures		—			116			(4,959	)
Net realized gain (loss)		607,808			38,905			83,639
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(1,558,068	)		(67,018	)		(351,265	)
Futures		—			—			1,811
Change in net unrealized appreciation/depreciation		(1,558,068	)		(67,018	)		(349,454	)
Net realized/unrealized gains (losses)		(950,260	)		(28,113	)		(265,815	)
Change in net assets resulting from operations	$	(952,828	)	$	(17,102	)	$	(122,583	)

SEE NOTES TO FINANCIAL STATEMENTS.

58 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Disciplined Equity Fund						Dynamic Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	131,676		$	73,373		$	(821	)	$	(1,191	)
Net realized gain (loss)		(592,021	)		463,028			(9,188	)		211
Change in net unrealized appreciation/depreciation		151,690			(65,993	)		(1,272	)		25,578
Change in net assets resulting from operations		(308,655	)		470,408			(11,281	)		24,598
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(5,440	)		(2,861	)		—			—
From net realized gains		(25,328	)		(19,848	)		(551	)		(413	)
Class C
From net realized gains		—			—			(123	)		(111	)
Class R5
From net realized gains		—			—			(2,408	)		(1	)
Class R6
From net investment income		(97,120	)		(59,604	)		—			—
From net realized gains		(271,746	)		(266,822	)		—			—
Institutional Class
From net investment income		(11,148	)		(6,739	)		—			—
From net realized gains		(34,112	)		(32,068	)		—			—
Select Class
From net investment income		(3,481	)		(2,632	)		—			—
From net realized gains		(12,537	)		(15,846	)		(615	)		(4,260	)
Total distributions to shareholders		(460,912	)		(406,420	)		(3,697	)		(4,785	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		1,244,730			3,404,441			7,189			34,618
NET ASSETS:
Change in net assets		475,163			3,468,429			(7,789	)		54,431
Beginning of period		7,746,415			4,277,986			337,196			282,765
End of period	$	8,221,578		$	7,746,415		$	329,407		$	337,196
Accumulated undistributed (distributions in excess of) net investment income	$	14,017		$	975		$	(147	)	$	(603	)

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 59

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Equity Focus Fund						Equity Income Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	242		$	116		$	209,897		$	175,624
Net realized gain (loss)		(650	)		2,395			15,204			136,057
Change in net unrealized appreciation/depreciation		2,777			2,264			316,575			75,086
Change in net assets resulting from operations		2,369			4,775			541,676			386,767
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		—	(a)		(1	)		(56,754	)		(50,416	)
From net realized gains		(47	)		(5	)		(23,970	)		(53,724	)
Class B (b)
From net investment income		—			—			—			(41	)
From net realized gains		—			—			—			(67	)
Class C
From net investment income		—			—			(17,909	)		(14,285	)
From net realized gains		(26	)		(4	)		(9,204	)		(18,697	)
Class R2
From net investment income		—			—			(1,091	)		(708	)
From net realized gains		—			—			(494	)		(817	)
Class R5
From net investment income		—			—			(12,835	)		(9,307	)
From net realized gains		—			—			(4,311	)		(7,581	)
Class R6
From net investment income		—			—			(31,307	)		(16,393	)
From net realized gains		—			—			(9,593	)		(13,082	)
Select Class
From net investment income		(122	)		(112	)		(89,550	)		(84,500	)
From net realized gains		(2,128	)		(492	)		(33,863	)		(77,081	)
Total distributions to shareholders		(2,323	)		(614	)		(290,881	)		(346,699	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		55,939			6,723			1,562,346			2,687,583
NET ASSETS:
Change in net assets		55,985			10,884			1,813,141			2,727,651
Beginning of period		83,504			72,620			10,253,180			7,525,529
End of period	$	139,489		$	83,504		$	12,066,321		$	10,253,180
Accumulated undistributed (distributions in excess of) net investment income	$	185		$	65		$	1,930		$	1,513

(a) Amount rounds to less than $500.

(b) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Equity Income Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

60 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Growth and Income Fund						Hedged Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	6,656		$	6,236		$	3,505		$	1,504
Net realized gain (loss)		20,039			32,555			(16,722	)		(2,468	)
Change in net unrealized appreciation/depreciation		(21,834	)		(14,988	)		14,782			7,302
Change in net assets resulting from operations		4,861			23,803			1,565			6,338
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(5,532	)		(5,313	)		(801	)		(594	)
From net realized gains		(23,586	)		(9,151	)		—			—
Class B (a)
From net investment income		—			(13	)		—			—
From net realized gains		—			(53	)		—			—
Class C
From net investment income		(248	)		(193	)		(53	)		(11	)
From net realized gains		(1,528	)		(427	)		—			—
Class R2 (b)
From net investment income		—	(c)		—			—			—
From net realized gains		(1	)		—			—			—
Class R5 (b)
From net investment income		—	(c)		—			—	(c)		(5	)
From net realized gains		(1	)		—			—			—
Class R6 (b)
From net investment income		—	(c)		—			(1	)		(5	)
From net realized gains		(1	)		—			—			—
Select Class
From net investment income		(547	)		(463	)		(2,096	)		(772	)
From net realized gains		(1,738	)		(660	)		—			—
Total distributions to shareholders		(33,182	)		(16,273	)		(2,951	)		(1,387	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		20,822			23,921			38,895			192,708
NET ASSETS:
Change in net assets		(7,499	)		31,451			37,509			197,659
Beginning of period		495,319			463,868			202,694			5,035
End of period	$	487,820		$	495,319		$	240,203		$	202,694
Accumulated undistributed (distributions in excess of) net investment income	$	251		$	(33	)	$	476		$	46

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth and Income Fund.

(b) Commencement of offering of class of shares effective November 2, 2015 for Growth and Income Fund.

(c) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 61

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Large Cap Growth Fund						Large Cap Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	(2,568	)	$	(19,868	)	$	11,011		$	9,696
Net realized gain (loss)		607,808			827,611			38,905			102,268
Change in net unrealized appreciation/depreciation		(1,558,068	)		1,414,740			(67,018	)		(49,217	)
Change in net assets resulting from operations		(952,828	)		2,222,483			(17,102	)		62,747
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		—			—			(1,101	)		(1,005	)
From net realized gains		(204,092	)		(85,875	)		(10,979	)		(13,856	)
Class B (a)
From net investment income		—			—			—			(6	)
From net realized gains		—			(133	)		—			(230	)
Class C
From net investment income		—			—			(116	)		(88	)
From net realized gains		(31,708	)		(11,256	)		(1,856	)		(2,003	)
Class R2
From net investment income		—			—			(29	)		(7	)
From net realized gains		(9,889	)		(3,964	)		(358	)		(87	)
Class R5
From net investment income		—			—			(36	)		(61	)
From net realized gains		(55,775	)		(24,104	)		(267	)		(646	)
Class R6
From net investment income		—			—			(7,550	)		(341	)
From net realized gains		(163,685	)		(50,817	)		(71,699	)		(6,003	)
Select Class
From net investment income		—			—			(1,784	)		(8,298	)
From net realized gains		(220,849	)		(97,149	)		(2,301	)		(102,872	)
Total distributions to shareholders		(685,998	)		(273,298	)		(98,076	)		(135,503	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		(300,688	)		(1,251,267	)		73,776			(343	)
NET ASSETS:
Change in net assets		(1,939,514	)		697,918			(41,402	)		(73,099	)
Beginning of period		15,643,650			14,945,732			751,348			824,447
End of period	$	13,704,136		$	15,643,650		$	709,946		$	751,348
Accumulated undistributed (distributions in excess of) net investment income	$	(159	)	$	(366	)	$	258		$	(27	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

62 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	U.S. Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	143,232		$	142,361
Net realized gain (loss)		83,639			943,140
Change in net unrealized appreciation/depreciation		(349,454	)		(31,749	)
Change in net assets resulting from operations		(122,583	)		1,053,752
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(10,975	)		(11,732	)
From net realized gains		(69,017	)		(101,441	)
Class B (a)
From net investment income		—			(15	)
From net realized gains		—			(335	)
Class C
From net investment income		(885	)		(1,049	)
From net realized gains		(13,589	)		(16,831	)
Class R2
From net investment income		(1,056	)		(1,082	)
From net realized gains		(9,319	)		(12,128	)
Class R5
From net investment income		(9,323	)		(6,071	)
From net realized gains		(44,668	)		(39,025	)
Class R6
From net investment income		(50,265	)		(35,475	)
From net realized gains		(215,169	)		(207,916	)
Institutional Class
From net investment income		(46,200	)		(57,166	)
From net realized gains		(229,612	)		(373,132	)
Select Class
From net investment income		(12,647	)		(27,032	)
From net realized gains		(52,720	)		(194,871	)
Total distributions to shareholders		(765,445	)		(1,085,301	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		658,512			1,863,908
NET ASSETS:
Change in net assets		(229,516	)		1,832,359
Beginning of period		12,612,003			10,779,644
End of period	$	12,382,487		$	12,612,003
Accumulated undistributed (distributions in excess of) net investment income	$	7,505		$	1,266

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 63

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Disciplined Equity Fund						Dynamic Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	313,069		$	358,585		$	28,692		$	26,887
Distributions reinvested		30,719			22,668			538			402
Cost of shares redeemed		(274,502	)		(108,252	)		(12,209	)		(6,767	)
Change in net assets resulting from Class A capital transactions	$	69,286		$	273,001		$	17,021		$	20,522
Class C
Proceeds from shares issued	$	—		$	—		$	7,392		$	5,474
Distributions reinvested		—			—			101			84
Cost of shares redeemed		—			—			(3,617	)		(1,468	)
Change in net assets resulting from Class C capital transactions	$	—		$	—		$	3,876		$	4,090
Class R5
Proceeds from shares issued	$	—		$	—		$	258,080		$	—
Distributions reinvested		—			—			2,408			1
Cost of shares redeemed		—			—			(12,547	)		—
Change in net assets resulting from Class R5 capital transactions	$	—		$	—		$	247,941		$	1
Class R6
Proceeds from shares issued	$	2,058,427		$	2,411,314		$	—		$	—
Distributions reinvested		368,866			326,426			—			—
Cost of shares redeemed		(1,381,896	)		(180,826	)		—			—
Change in net assets resulting from Class R6 capital transactions	$	1,045,397		$	2,556,914		$	—		$	—
Institutional Class
Proceeds from shares issued	$	276,620		$	529,705		$	—		$	—
Distributions reinvested		34,689			35,134			—			—
Cost of shares redeemed		(208,445	)		(160,633	)		—			—
Change in net assets resulting from Institutional Class capital transactions	$	102,864		$	404,206		$	—		$	—
Select Class
Proceeds from shares issued	$	117,175		$	374,608		$	41,622		$	50,453
Distributions reinvested		15,046			7,520			177			3,771
Cost of shares redeemed		(105,038	)		(211,808	)		(303,448	)		(44,219	)
Change in net assets resulting from Select Class capital transactions	$	27,183		$	170,320		$	(261,649	)	$	10,005
Total change in net assets resulting from capital transactions	$	1,244,730		$	3,404,441		$	7,189		$	34,618

SEE NOTES TO FINANCIAL STATEMENTS.

64 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Disciplined Equity Fund						Dynamic Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		13,968			14,944			1,144			1,094
Reinvested		1,433			985			21			17
Redeemed		(12,641	)		(4,497	)		(500	)		(276	)
Change in Class A Shares		2,760			11,432			665			835
Class C
Issued		—			—			309			232
Reinvested		—			—			4			4
Redeemed		—			—			(155	)		(61	)
Change in Class C Shares		—			—			158			175
Class R5
Issued		—			—			9,397			—
Reinvested		—			—			91			—	(a)
Redeemed		—			—			(460	)		—
Change in Class R5 Shares		—			—			9,028			—	(a)
Class R6
Issued		92,272			99,461			—			—
Reinvested		17,086			14,056			—			—
Redeemed		(63,085	)		(7,497	)		—			—
Change in Class R6 Shares		46,273			106,020			—			—
Institutional Class
Issued		12,447			21,787			—			—
Reinvested		1,607			1,514			—			—
Redeemed		(9,387	)		(6,635	)		—			—
Change in Institutional Class Shares		4,667			16,666			—			—
Select Class
Issued		5,191			15,608			1,705			2,071
Reinvested		696			323			7			156
Redeemed		(4,782	)		(8,625	)		(11,388	)		(1,772	)
Change in Select Class Shares		1,105			7,306			(9,676	)		455

(a) Amount rounds to less than 500 shares.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 65

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Equity Focus Fund						Equity Income Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	1,283		$	1,181		$	1,145,689		$	1,420,165
Distributions reinvested		47			6			76,806			99,766
Cost of shares redeemed		(756	)		(194	)		(929,480	)		(887,735	)
Conversion from Class B Shares		—			—			—			2,543
Change in net assets resulting from Class A capital transactions	$	574		$	993		$	293,015		$	634,739
Class B (a)
Proceeds from shares issued	$	—		$	—		$	—		$	255
Distributions reinvested		—			—			—			101
Cost of shares redeemed		—			—			—			(1,842	)
Conversion to Class A Shares		—			—			—			(2,543	)
Change in net assets resulting from Class B capital transactions	$	—		$	—		$	—		$	(4,029	)
Class C
Proceeds from shares issued	$	770		$	782		$	342,449		$	469,144
Distributions reinvested		26			4			22,526			27,318
Cost of shares redeemed		(358	)		(62	)		(243,691	)		(142,759	)
Change in net assets resulting from Class C capital transactions	$	438		$	724		$	121,284		$	353,703
Class R2
Proceeds from shares issued	$	—		$	—		$	33,036		$	38,187
Distributions reinvested		—			—			1,417			1,483
Cost of shares redeemed		—			—			(15,534	)		(11,830	)
Change in net assets resulting from Class R2 capital transactions	$	—		$	—		$	18,919		$	27,840
Class R5
Proceeds from shares issued	$	—		$	—		$	412,223		$	289,715
Distributions reinvested		—			—			13,452			14,261
Cost of shares redeemed		—			—			(240,758	)		(90,072	)
Change in net assets resulting from Class R5 capital transactions	$	—		$	—		$	184,917		$	213,904
Class R6
Proceeds from shares issued	$	—		$	—		$	1,204,396		$	427,210
Distributions reinvested		—			—			37,570			26,378
Cost of shares redeemed		—			—			(245,859	)		(143,972	)
Change in net assets resulting from Class R6 capital transactions	$	—		$	—		$	996,107		$	309,616
Select Class
Proceeds from shares issued	$	84,242		$	19,248		$	1,604,186		$	1,995,707
Distributions reinvested		118			41			80,801			97,011
Cost of shares redeemed		(29,433	)		(14,283	)		(1,736,883	)		(940,908	)
Change in net assets resulting from Select Class capital transactions	$	54,927		$	5,006		$	(51,896	)	$	1,151,810
Total change in net assets resulting from capital transactions	$	55,939		$	6,723		$	1,562,346		$	2,687,583

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Equity Income Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

66 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Equity Focus Fund						Equity Income Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		53			49			85,185			102,541
Reinvested		2			—	(b)		5,747			7,191
Redeemed		(32	)		(8	)		(69,349	)		(63,788	)
Conversion from Class B Shares		—			—			—			181
Change in Class A Shares		23			41			21,583			46,125
Class B (a)
Issued		—			—			—			19
Reinvested		—			—			—			7
Redeemed		—			—			—			(134	)
Conversion to Class A Shares		—			—			—			(182	)
Change in Class B Shares		—			—			—			(290	)
Class C
Issued		33			33			25,820			34,111
Reinvested		1			—	(b)		1,712			1,997
Redeemed		(15	)		(3	)		(18,409	)		(10,411	)
Change in Class C Shares		19			30			9,123			25,697
Class R2
Issued		—			—			2,472			2,750
Reinvested		—			—			106			107
Redeemed		—			—			(1,164	)		(850	)
Change in Class R2 Shares		—			—			1,414			2,007
Class R5
Issued		—			—			30,176			20,388
Reinvested		—			—			990			1,012
Redeemed		—			—			(17,661	)		(6,358	)
Change in Class R5 Shares		—			—			13,505			15,042
Class R6
Issued		—			—			88,149			30,221
Reinvested		—			—			2,760			1,872
Redeemed		—			—			(18,113	)		(10,221	)
Change in Class R6 Shares		—			—			72,796			21,872
Select Class
Issued		3,648			792			117,769			141,421
Reinvested		5			2			5,955			6,888
Redeemed		(1,210	)		(584	)		(126,901	)		(66,629	)
Change in Select Class Shares		2,443			210			(3,177	)		81,680

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Equity Income Fund.

(b) Amount rounds to less than 500 shares.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 67

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Growth and Income Fund						Hedged Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	60,769		$	47,842		$	53,101		$	107,013
Distributions reinvested		28,009			13,884			801			594
Cost of shares redeemed		(76,067	)		(55,510	)		(74,383	)		(17,993	)
Conversion from Class B Shares		—			2,102			—			—
Change in net assets resulting from Class A capital transactions	$	12,711		$	8,318		$	(20,481	)	$	89,614
Class B (a)
Proceeds from shares issued	$	—		$	130		$	—		$	—
Distributions reinvested		—			65			—			—
Cost of shares redeemed		—			(847	)		—			—
Conversion to Class A Shares		—			(2,102	)		—			—
Change in net assets resulting from Class B capital transactions	$	—		$	(2,754	)	$	—		$	—
Class C
Proceeds from shares issued	$	6,659		$	12,911		$	7,643		$	3,979
Distributions reinvested		1,582			554			52			10
Cost of shares redeemed		(5,693	)		(3,566	)		(1,302	)		(621	)
Change in net assets resulting from Class C capital transactions	$	2,548		$	9,899		$	6,393		$	3,368
Class R2 (b)
Proceeds from shares issued	$	20		$	—		$	—		$	—
Distributions reinvested		1			—			—			—
Change in net assets resulting from Class R2 capital transactions	$	21		$	—		$	—		$	—
Class R5 (b)
Proceeds from shares issued	$	20		$	—		$	7		$	374
Distributions reinvested		1			—			—	(c)		5
Cost of shares redeemed		—			—			(426	)		—
Change in net assets resulting from Class R5 capital transactions	$	21		$	—		$	(419	)	$	379
Class R6 (b)
Proceeds from shares issued	$	20		$	—		$	53		$	374
Distributions reinvested		1			—			1			5
Cost of shares redeemed		—			—			(424	)		—
Change in net assets resulting from Class R6 capital transactions	$	21		$	—		$	(370	)	$	379
Select Class
Proceeds from shares issued	$	15,091		$	11,721		$	166,370		$	125,592
Distributions reinvested		1,957			962			2,047			755
Cost of shares redeemed		(11,548	)		(4,225	)		(114,645	)		(27,379	)
Change in net assets resulting from Select Class capital transactions	$	5,500		$	8,458		$	53,772		$	98,968
Total change in net assets resulting from capital transactions	$	20,822		$	23,921		$	38,895		$	192,708

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Growth and Income Fund.

(b) Commencement of offering of class of shares effective November 2, 2015 for Growth and Income Fund.

(c) Amount rounds to less than 500.

SEE NOTES TO FINANCIAL STATEMENTS.

68 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Growth and Income Fund						Hedged Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		1,429			1,044			3,349			6,659
Reinvested		676			308			51			36
Redeemed		(1,790	)		(1,222	)		(4,647	)		(1,083	)
Conversion from Class B Shares		—			45			—			—
Change in Class A Shares		315			175			(1,247	)		5,612
Class B (a)
Issued		—			3			—			—
Reinvested		—			2			—			—
Redeemed		—			(20	)		—			—
Conversion to Class A Shares		—			(46	)		—			—
Change in Class B Shares		—			(61	)		—			—
Class C
Issued		170			307			482			241
Reinvested		42			13			3			1
Redeemed		(147	)		(85	)		(82	)		(38	)
Change in Class C Shares		65			235			403			204
Class R2 (b)
Issued		1			—			—			—
Reinvested		—	(c)		—			—			—
Change in Class R2 Shares		1			—			—			—
Class R5 (b)
Issued		—	(c)		—			—	(c)		24
Reinvested		—	(c)		—			—	(c)		—	(c)
Redeemed		—			—			(26	)		—
Change in Class R5 Shares		—	(c)		—			(26	)		24
Class R6 (b)
Issued		—	(c)		—			4			24
Reinvested		—	(c)		—			—	(c)		—	(c)
Redeemed		—			—			(26	)		—
Change in Class R6 Shares		—	(c)		—			(22	)		24
Select Class
Issued		345			248			10,436			7,719
Reinvested		45			20			130			46
Redeemed		(256	)		(89	)		(7,186	)		(1,651	)
Change in Select Class Shares		134			179			3,380			6,114

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

(b) Commencement of offering of class of shares effective November 2, 2015 for Growth and Income Fund.

(c) Amount rounds to less than 500 shares.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 69

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Large Cap Growth Fund						Large Cap Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	1,281,024		$	1,015,188		$	24,457		$	12,794
Distributions reinvested		190,608			80,373			11,625			14,323
Cost of shares redeemed		(1,392,513	)		(2,084,770	)		(17,824	)		(19,005	)
Conversion from Class B Shares		—			6,138			—			1,111
Change in net assets resulting from Class A capital transactions	$	79,119		$	(983,071	)	$	18,258		$	9,223
Class B (a)
Proceeds from shares issued	$	—		$	125		$	—		$	31
Distributions reinvested		—			131			—			226
Cost of shares redeemed		—			(2,472	)		—			(923	)
Conversion to Class A Shares		—			(6,138	)		—			(1,111	)
Change in net assets resulting from Class B capital transactions	$	—		$	(8,354	)	$	—		$	(1,777	)
Class C
Proceeds from shares issued	$	142,471		$	110,881		$	7,145		$	4,828
Distributions reinvested		22,387			7,502			1,705			1,882
Cost of shares redeemed		(130,104	)		(107,204	)		(3,753	)		(2,807	)
Change in net assets resulting from Class C capital transactions	$	34,754		$	11,179		$	5,097		$	3,903
Class R2
Proceeds from shares issued	$	67,268		$	78,590		$	3,183		$	669
Distributions reinvested		7,704			3,119			237			64
Cost of shares redeemed		(100,569	)		(89,755	)		(608	)		(60	)
Change in net assets resulting from Class R2 capital transactions	$	(25,597	)	$	(8,046	)	$	2,812		$	673
Class R5
Proceeds from shares issued	$	514,798		$	337,438		$	3,673		$	717
Distributions reinvested		52,449			22,865			160			515
Cost of shares redeemed		(607,179	)		(549,243	)		(3,493	)		(843	)
Change in net assets resulting from Class R5 capital transactions	$	(39,932	)	$	(188,940	)	$	340		$	389
Class R6
Proceeds from shares issued	$	1,387,654		$	723,964		$	617,794		$	5,285
Distributions reinvested		156,166			48,411			79,246			6,344
Cost of shares redeemed		(1,046,538	)		(639,517	)		(41,590	)		(55,097	)
Change in net assets resulting from Class R6 capital transactions	$	497,282		$	132,858		$	655,450		$	(43,468	)
Select Class
Proceeds from shares issued	$	1,153,454		$	1,342,590		$	24,717		$	35,937
Distributions reinvested		160,552			69,462			3,536			110,461
Cost of shares redeemed		(2,160,320	)		(1,618,945	)		(636,434	)		(115,684	)
Change in net assets resulting from Select Class capital transactions	$	(846,314	)	$	(206,893	)	$	(608,181	)	$	30,714
Total change in net assets resulting from capital transactions	$	(300,688	)	$	(1,251,267	)	$	73,776		$	(343	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

70 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Large Cap Growth Fund						Large Cap Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		37,172			29,011			1,832			805
Reinvested		5,482			2,374			924			989
Redeemed		(40,416	)		(59,974	)		(1,372	)		(1,211	)
Conversion from Class B Shares		—			165			—			72
Change in Class A Shares		2,238			(28,424	)		1,384			655
Class B (a)
Issued		—			4			—			2
Reinvested		—			4			—			16
Redeemed		—			(80	)		—			(60	)
Conversion to Class A Shares		—			(189	)		—			(74	)
Change in Class B Shares		—			(261	)		—			(116	)
Class C
Issued		4,722			3,633			563			319
Reinvested		751			255			140			134
Redeemed		(4,450	)		(3,539	)		(297	)		(190	)
Change in Class C Shares		1,023			349			406			263
Class R2
Issued		1,959			2,288			228			44
Reinvested		226			94			19			5
Redeemed		(2,918	)		(2,626	)		(45	)		(4	)
Change in Class R2 Shares		(733	)		(244	)		202			45
Class R5
Issued		14,389			9,542			285			46
Reinvested		1,488			669			13			36
Redeemed		(17,156	)		(15,538	)		(267	)		(52	)
Change in Class R5 Shares		(1,279	)		(5,327	)		31			30
Class R6
Issued		38,341			20,459			41,745			338
Reinvested		4,416			1,413			6,381			442
Redeemed		(29,799	)		(18,258	)		(3,365	)		(3,591	)
Change in Class R6 Shares		12,958			3,614			44,761			(2,811	)
Select Class
Issued		33,270			38,845			1,852			2,280
Reinvested		4,602			2,047			277			7,737
Redeemed		(61,477	)		(46,403	)		(43,139	)		(7,526	)
Change in Select Class Shares		(23,605	)		(5,511	)		(41,010	)		2,491

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 71

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	U.S. Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	469,469		$	467,436
Distributions reinvested		70,720			100,057
Cost of shares redeemed		(397,193	)		(335,025	)
Conversion from Class B Shares		—			3,680
Change in net assets resulting from Class A capital transactions	$	142,996		$	236,148
Class B (a)
Proceeds from shares issued	$	—		$	94
Distributions reinvested		—			331
Cost of shares redeemed		—			(1,044	)
Conversion to Class A Shares		—			(3,680	)
Change in net assets resulting from Class B capital transactions	$	—		$	(4,299	)
Class C
Proceeds from shares issued	$	102,150		$	100,381
Distributions reinvested		13,355			16,229
Cost of shares redeemed		(56,529	)		(35,992	)
Change in net assets resulting from Class C capital transactions	$	58,976		$	80,618
Class R2
Proceeds from shares issued	$	72,587		$	73,014
Distributions reinvested		9,669			12,101
Cost of shares redeemed		(42,951	)		(31,851	)
Change in net assets resulting from Class R2 capital transactions	$	39,305		$	53,264
Class R5
Proceeds from shares issued	$	610,125		$	154,746
Distributions reinvested		48,938			37,556
Cost of shares redeemed		(195,954	)		(134,896	)
Change in net assets resulting from Class R5 capital transactions	$	463,109		$	57,406
Class R6
Proceeds from shares issued	$	2,370,357		$	798,670
Distributions reinvested		263,145			239,312
Cost of shares redeemed		(553,912	)		(439,022	)
Change in net assets resulting from Class R6 capital transactions	$	2,079,590		$	598,960
Institutional Class
Proceeds from shares issued	$	985,884		$	1,523,300
Distributions reinvested		243,871			381,848
Cost of shares redeemed		(2,103,943	)		(1,111,795	)
Change in net assets resulting from Institutional Class capital transactions	$	(874,188	)	$	793,353
Select Class
Proceeds from shares issued	$	368,200		$	1,285,405
Distributions reinvested		57,766			209,185
Cost of shares redeemed		(1,677,242	)		(434,850	)
Redemptions in-kind (See Note 8)		—			(1,011,282	)
Change in net assets resulting from Select Class capital transactions	$	(1,251,276	)	$	48,458
Total change in net assets resulting from capital transactions	$	658,512		$	1,863,908

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

72 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	U.S. Equity Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		33,923			31,429
Reinvested		5,214			7,040
Redeemed		(28,824	)		(22,457	)
Conversion from Class B Shares		—			244
Change in Class A Shares		10,313			16,256
Class B (a)
Issued		—			6
Reinvested		—			24
Redeemed		—			(71	)
Conversion to Class A Shares		—			(248	)
Change in Class B Shares		—			(289	)
Class C
Issued		7,574			6,915
Reinvested		1,010			1,173
Redeemed		(4,215	)		(2,474	)
Change in Class C Shares		4,369			5,614
Class R2
Issued		5,242			4,931
Reinvested		718			858
Redeemed		(3,104	)		(2,153	)
Change in Class R2 Shares		2,856			3,636
Class R5
Issued		42,836			10,375
Reinvested		3,593			2,629
Redeemed		(14,029	)		(9,000	)
Change in Class R5 Shares		32,400			4,004
Class R6
Issued		164,015			53,558
Reinvested		19,299			16,724
Redeemed		(40,193	)		(29,144	)
Change in Class R6 Shares		143,121			41,138
Institutional Class
Issued		71,431			101,695
Reinvested		17,924			26,755
Redeemed		(154,416	)		(74,335	)
Change in Institutional Class Shares		(65,061	)		54,115
Select Class
Issued		26,575			88,739
Reinvested		4,256			14,687
Redeemed		(114,285	)		(29,025	)
Redemptions in-kind (See Note 8)		—			(66,840	)
Change in Select Class Shares		(83,454	)		7,561

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 73

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Disciplined Equity Fund
Class A
Year Ended June 30, 2016	$	23.99	$	0.26	$	(1.32	)	$	(1.06	)	$	(0.22	)	$	(0.97	)	$	(1.19	)
Year Ended June 30, 2015		23.73		0.20		1.85			2.05			(0.19	)		(1.60	)		(1.79	)
Year Ended June 30, 2014		20.27		0.23		4.79			5.02			(0.21	)		(1.35	)		(1.56	)
Year Ended June 30, 2013		17.42		0.20		3.56			3.76			(0.23	)		(0.68	)		(0.91	)
Year Ended June 30, 2012		16.80		0.21		0.61			0.82			(0.20	)		—			(0.20	)
Class R6
Year Ended June 30, 2016		24.16		0.37		(1.33	)		(0.96	)		(0.33	)		(0.97	)		(1.30	)
Year Ended June 30, 2015		23.85		0.32		1.89			2.21			(0.30	)		(1.60	)		(1.90	)
Year Ended June 30, 2014		20.36		0.34		4.81			5.15			(0.31	)		(1.35	)		(1.66	)
Year Ended June 30, 2013		17.48		0.32		3.55			3.87			(0.31	)		(0.68	)		(0.99	)
Year Ended June 30, 2012		16.83		0.29		0.63			0.92			(0.27	)		—			(0.27	)
Institutional Class
Year Ended June 30, 2016		24.15		0.35		(1.33	)		(0.98	)		(0.31	)		(0.97	)		(1.28	)
Year Ended June 30, 2015		23.85		0.29		1.89			2.18			(0.28	)		(1.60	)		(1.88	)
Year Ended June 30, 2014		20.36		0.32		4.81			5.13			(0.29	)		(1.35	)		(1.64	)
Year Ended June 30, 2013		17.48		0.30		3.55			3.85			(0.29	)		(0.68	)		(0.97	)
Year Ended June 30, 2012		16.83		0.27		0.63			0.90			(0.25	)		—			(0.25	)
Select Class
Year Ended June 30, 2016		24.18		0.32		(1.34	)		(1.02	)		(0.27	)		(0.97	)		(1.24	)
Year Ended June 30, 2015		23.88		0.26		1.87			2.13			(0.23	)		(1.60	)		(1.83	)
Year Ended June 30, 2014		20.39		0.28		4.82			5.10			(0.26	)		(1.35	)		(1.61	)
Year Ended June 30, 2013		17.51		0.27		3.56			3.83			(0.27	)		(0.68	)		(0.95	)
Year Ended June 30, 2012		16.86		0.25		0.63			0.88			(0.23	)		—			(0.23	)

(a) Calculated based upon average shares outstanding.

(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

SEE NOTES TO FINANCIAL STATEMENTS.

74 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	21.74		(4.30	)%	$	497,934		0.85	%		1.20	%		1.02	%		122	%
	23.99		9.04			483,296		0.85			0.84			0.97			144
	23.73		25.73			206,635		0.85			1.02			0.86			113
	20.27		22.33			103,755		0.85			1.04			0.87			178
	17.42		4.98			20,831		0.85			1.21			0.88			198
	21.90		(3.83	)		6,638,591		0.34			1.69			0.35			122
	24.16		9.67			6,205,582		0.35			1.33			0.36			144
	23.85		26.31			3,598,945		0.35			1.52			0.36			113
	20.36		22.90			1,460,937		0.35			1.67			0.37			178
	17.48		5.57			1,024,228		0.35			1.76			0.38			198
	21.89		(3.94	)		824,559		0.45			1.59			0.50			122
	24.15		9.53			796,919		0.45			1.21			0.51			144
	23.85		26.20			389,507		0.45			1.42			0.46			113
	20.36		22.79			221,638		0.45			1.57			0.47			178
	17.48		5.47			171,872		0.45			1.66			0.49			198
	21.92		(4.08	)		260,494		0.60			1.45			0.69			122
	24.18		9.34			260,618		0.60			1.09			0.64			144
	23.88		26.00			82,899		0.59			1.28			0.61			113
	20.39		22.61			40,522		0.60			1.40			0.62			178
	17.51		5.31			15,979		0.60			1.50			0.64			198

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 75

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net realized gain
Dynamic Growth Fund
Class A
Year Ended June 30, 2016	$	25.34	$	(0.12	)(d)	$	(0.82	)	$	(0.94	)	$	(0.27	)
Year Ended June 30, 2015		23.95		(0.14	)(d)		1.90			1.76			(0.37	)
Year Ended June 30, 2014		18.94		(0.07	)(d)(e)(f)		5.08			5.01			—
Year Ended June 30, 2013		15.89		(0.05	)(d)(g)		3.10			3.05			—
Year Ended June 30, 2012		15.47		(0.12	)		0.54			0.42			—
Class C
Year Ended June 30, 2016		24.39		(0.24	)(d)		(0.78	)		(1.02	)		(0.27	)
Year Ended June 30, 2015		23.19		(0.26	)(d)		1.83			1.57			(0.37	)
Year Ended June 30, 2014		18.43		(0.20	)(d)(e)(f)		4.96			4.76			—
Year Ended June 30, 2013		15.54		(0.14	)(d)(g)		3.03			2.89			—
Year Ended June 30, 2012		15.21		(0.19	)		0.52			0.33			—
Class R5
Year Ended June 30, 2016		26.22		0.01	(d)		(0.87	)		(0.86	)		(0.27	)
Year Ended June 30, 2015		24.65		(0.04	)(d)		1.98			1.94			(0.37	)
Year Ended June 30, 2014		19.42		(0.04	)(d)(e)(f)		5.27			5.23			—
Year Ended June 30, 2013		16.22		0.03	(d)(g)		3.17			3.20			—
Year Ended June 30, 2012		15.72		(0.06	)		0.56			0.50			—
Select Class
Year Ended June 30, 2016		25.83		(0.10	)(d)		(0.80	)		(0.90	)		(0.27	)
Year Ended June 30, 2015		24.34		(0.08	)(d)		1.94			1.86			(0.37	)
Year Ended June 30, 2014		19.20		(0.08	)(d)(e)(f)		5.22			5.14			—
Year Ended June 30, 2013		16.07		(0.03	)(d)(g)		3.16			3.13			—
Year Ended June 30, 2012		15.61		(0.09	)		0.55			0.46			—

(a) 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.

(b) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(c) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(d) Calculated based upon average shares outstanding.

(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 $(0.08), $(0.21), $(0.05) and $(0.09) for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.35)%, (0.92)%, (0.23)% and (0.40)% for Class A, Class C, Class R5 and Select Class Shares, respectively. These amounts have been revised to correct a calculation error in the previously issued June 30, 2014 financial highlights’ footnote disclosure. These revisions are not considered material to the previously issued financial statements.

(f) Net investment income (loss) may appear disproportionate among classes due to the timing of recognition of income and changes in the relative size of the classes.

(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.10), $(0.19), $(0.03) and $(0.08) for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.60)%, (1.10)%, (0.15)% and (0.45)% for Class A, Class C, Class R5 and Select Class Shares, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

76 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)
$	24.13		(3.77	)%	$	53,334		1.19	%		(0.50	)%		1.43	%		61	%
	25.34		7.46			39,153		1.20			(0.57	)		1.43			74
	23.95		26.45			16,996		1.24			(0.30	)(e)(f)		1.25			55
	18.94		19.19			126		1.25			(0.30	)(g)		1.42			82
	15.89		2.71			106		1.24			(0.81	)		1.44			99
	23.10		(4.24	)		12,077		1.69			(0.99	)		1.86			61
	24.39		6.88			8,894		1.71			(1.08	)		1.88			74
	23.19		25.83			4,416		1.74			(0.86	)(e)(f)		1.75			55
	18.43		18.60			123		1.74			(0.80	)(g)		1.92			82
	15.54		2.17			104		1.74			(1.31	)		1.94			99
	25.09		(3.33	)		226,600		0.74			0.03			0.79			61
	26.22		7.99			49		0.76			(0.14	)		0.90			74
	24.65		26.93			45		0.80			(0.17	)(e)(f)		0.84			55
	19.42		19.73			32		0.80			0.15	(g)		0.97			82
	16.22		3.18			27		0.79			(0.36	)		0.99			99
	24.66		(3.54	)		37,396		0.94			(0.37	)		1.00			61
	25.83		7.76			289,100		0.96			(0.34	)		1.01			74
	24.34		26.77			261,308		1.00			(0.35	)(e)(f)		1.04			55
	19.20		19.48			101,999		1.00			(0.16	)(g)		1.14			82
	16.07		2.95			38,953		0.99			(0.56	)		1.19			99

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 77

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Equity Focus Fund
Class A
Year Ended June 30, 2016	$	24.78	$	(0.01	)(f)	$	(0.38	)(g)	$	(0.39	)	$	—	(h)	$	(0.66	)	$	(0.66	)
Year Ended June 30, 2015		23.56		(0.02	)(f)		1.42			1.40			(0.02	)		(0.16	)		(0.18	)
Year Ended June 30, 2014		19.18		(0.02	)(f)		4.86			4.84			—			(0.46	)		(0.46	)
Year Ended June 30, 2013		15.79		(0.02	)		3.41			3.39			—			—			—
July 29, 2011 (j) through June 30, 2012		15.00		0.01			0.79			0.80			(0.01	)		—			(0.01	)
Class C
Year Ended June 30, 2016		24.34		(0.13	)(f)		(0.37	)(g)		(0.50	)		—			(0.66	)		(0.66	)
Year Ended June 30, 2015		23.24		(0.13	)(f)		1.39			1.26			—			(0.16	)		(0.16	)
Year Ended June 30, 2014		19.01		(0.15	)(f)		4.84			4.69			—			(0.46	)		(0.46	)
Year Ended June 30, 2013		15.73		(0.11	)		3.39			3.28			—			—			—
July 29, 2011 (j) through June 30, 2012		15.00		(0.06	)		0.79			0.73			—	(h)		—			—
Select Class
Year Ended June 30, 2016		24.95		0.06	(f)		(0.39	)(g)		(0.33	)		(0.04	)		(0.66	)		(0.70	)
Year Ended June 30, 2015		23.67		0.04	(f)		1.44			1.48			(0.04	)		(0.16	)		(0.20	)
Year Ended June 30, 2014		19.22		0.04	(f)		4.87			4.91			—	(h)		(0.46	)		(0.46	)
Year Ended June 30, 2013		15.81		0.02			3.42			3.44			(0.03	)		—			(0.03	)
July 29, 2011 (j) through June 30, 2012		15.00		0.04			0.80			0.84			(0.03	)		—			(0.03	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(f) Calculated based upon average shares outstanding.

(g) Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments.

(h) Amount rounds to less than $0.005.

(i) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended June 30, 2013 and for the period ended June 30, 2012.

(j) Commencement of operations.

SEE NOTES TO FINANCIAL STATEMENTS.

78 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b) (c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss) (e)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b) (e)
$	23.73		(1.60	)%	$	1,937		1.24	%		(0.03	)%		1.55	%		45	%
	24.78		5.98			1,452		1.24			(0.07	)		1.42			52
	23.56		25.43			423		1.24			(0.10	)		2.11			76
	19.18		21.47			64		1.25	(i)		(0.13	)		3.75	(i)		61
	15.79		5.37			53		1.25	(i)		0.04			5.09	(i)		71
	23.18		(2.10	)		1,268		1.74			(0.54	)		1.96			45
	24.34		5.44			873		1.74			(0.54	)		1.93			52
	23.24		24.86			133		1.74			(0.67	)		2.82			76
	19.01		20.85			63		1.75	(i)		(0.63	)		4.25	(i)		61
	15.73		4.87			52		1.75	(i)		(0.46	)		5.58	(i)		71
	23.92		(1.37	)		136,284		0.99			0.24			1.11			45
	24.95		6.26			81,179		0.99			0.15			1.12			52
	23.67		25.75			72,064		0.99			0.19			1.51			76
	19.22		21.77			3,730		1.00	(i)		0.12			3.51	(i)		61
	15.81		5.61			3,063		1.00	(i)		0.29			4.84	(i)		71

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 79

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized  gains (losses) on investments		Total from investment operations		Net investment income			Net realized gain			Total distributions
Equity Income Fund
Class A
Year Ended June 30, 2016	$	13.77	$	0.25	(f)	$	0.35	$	0.60	$	(0.25	)	$	(0.11	)	$	(0.36	)
Year Ended June 30, 2015		13.66		0.25			0.39		0.64		(0.25	)		(0.28	)		(0.53	)
Year Ended June 30, 2014		11.62		0.21	(f)		2.26		2.47		(0.21	)		(0.22	)		(0.43	)
Year Ended June 30, 2013		9.84		0.24	(f)(g)		1.84		2.08		(0.23	)		(0.07	)		(0.30	)
Year Ended June 30, 2012		9.38		0.21	(f)		0.46		0.67		(0.17	)		(0.04	)		(0.21	)
Class C
Year Ended June 30, 2016		13.58		0.18	(f)		0.35		0.53		(0.20	)		(0.11	)		(0.31	)
Year Ended June 30, 2015		13.49		0.18			0.38		0.56		(0.19	)		(0.28	)		(0.47	)
Year Ended June 30, 2014		11.49		0.15	(f)		2.23		2.38		(0.16	)		(0.22	)		(0.38	)
Year Ended June 30, 2013		9.74		0.18	(f)(g)		1.83		2.01		(0.19	)		(0.07	)		(0.26	)
Year Ended June 30, 2012		9.30		0.16	(f)		0.45		0.61		(0.13	)		(0.04	)		(0.17	)
Class R2
Year Ended June 30, 2016		13.74		0.21	(f)		0.35		0.56		(0.22	)		(0.11	)		(0.33	)
Year Ended June 30, 2015		13.64		0.22			0.39		0.61		(0.23	)		(0.28	)		(0.51	)
Year Ended June 30, 2014		11.61		0.18	(f)		2.25		2.43		(0.18	)		(0.22	)		(0.40	)
Year Ended June 30, 2013		9.84		0.21	(f)(g)		1.84		2.05		(0.21	)		(0.07	)		(0.28	)
Year Ended June 30, 2012		9.38		0.19	(f)		0.46		0.65		(0.15	)		(0.04	)		(0.19	)
Class R5
Year Ended June 30, 2016		13.98		0.31	(f)		0.35		0.66		(0.30	)		(0.11	)		(0.41	)
Year Ended June 30, 2015		13.85		0.31			0.41		0.72		(0.31	)		(0.28	)		(0.59	)
Year Ended June 30, 2014		11.78		0.27	(f)		2.29		2.56		(0.27	)		(0.22	)		(0.49	)
Year Ended June 30, 2013		9.96		0.29	(f)(g)		1.87		2.16		(0.27	)		(0.07	)		(0.34	)
Year Ended June 30, 2012		9.49		0.26	(f)		0.46		0.72		(0.21	)		(0.04	)		(0.25	)
Class R6
Year Ended June 30, 2016		13.97		0.33	(f)		0.34		0.67		(0.31	)		(0.11	)		(0.42	)
Year Ended June 30, 2015		13.84		0.33			0.40		0.73		(0.32	)		(0.28	)		(0.60	)
Year Ended June 30, 2014		11.77		0.28	(f)		2.28		2.56		(0.27	)		(0.22	)		(0.49	)
Year Ended June 30, 2013		9.96		0.29	(f)(g)		1.87		2.16		(0.28	)		(0.07	)		(0.35	)
January 31, 2012 (h) through June 30, 2012		9.64		0.13	(f)		0.30		0.43		(0.11	)		—			(0.11	)
Select Class
Year Ended June 30, 2016		13.97		0.28	(f)		0.37		0.65		(0.28	)		(0.11	)		(0.39	)
Year Ended June 30, 2015		13.85		0.29			0.40		0.69		(0.29	)		(0.28	)		(0.57	)
Year Ended June 30, 2014		11.77		0.25	(f)		2.29		2.54		(0.24	)		(0.22	)		(0.46	)
Year Ended June 30, 2013		9.96		0.27	(f)(g)		1.86		2.13		(0.25	)		(0.07	)		(0.32	)
Year Ended June 30, 2012		9.50		0.24	(f)		0.45		0.69		(0.19	)		(0.04	)		(0.23	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(f) Calculated based upon average shares outstanding.

(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 $0.21, $0.16, $0.18, $0.27, $0.26 and $0.24 for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 1.97%, 1.46%, 1.67%, 2.44%, 2.38% and 2.23% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

(h) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

80 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (b)(e)
$	14.01		4.45	%	$	3,370,383		1.04	%		1.83	%		1.11	%		20	%
	13.77		4.71			3,014,937		1.04			1.83			1.09			22
	13.66		21.60			2,360,750		1.04			1.68			1.06			20
	11.62		21.53			1,285,400		1.03			2.22	(g)		1.08			34
	9.84		7.30			580,848		1.04			2.22			1.08			44
	13.80		4.01			1,304,007		1.54			1.33			1.58			20
	13.58		4.18			1,160,002		1.54			1.32			1.56			22
	13.49		20.95			805,494		1.54			1.19			1.56			20
	11.49		20.94			407,911		1.53			1.71	(g)		1.58			34
	9.74		6.72			130,366		1.54			1.74			1.58			44
	13.97		4.20			77,230		1.29			1.59			1.45			20
	13.74		4.44			56,522		1.29			1.59			1.39			22
	13.64		21.27			28,733		1.29			1.44			1.31			20
	11.61		21.21			13,347		1.28			1.92	(g)		1.34			34
	9.84		7.13			1,682		1.29			1.94			1.32			44
	14.23		4.89			722,424		0.59			2.28			0.64			20
	13.98		5.23			520,660		0.59			2.27			0.63			22
	13.85		22.06			307,700		0.59			2.11			0.61			20
	11.78		22.17			227,442		0.58			2.69	(g)		0.63			34
	9.96		7.78			111,647		0.58			2.77			0.63			44
	14.22		4.98			1,913,077		0.50			2.43			0.50			20
	13.97		5.31			861,809		0.51			2.35			0.51			22
	13.84		22.14			551,378		0.54			2.20			0.56			20
	11.77		22.12			233,034		0.53			2.63	(g)		0.59			34
	9.96		4.47			70,589		0.53			3.28			0.58			44
	14.23		4.75			4,679,200		0.79			2.07			0.81			20
	13.97		4.96			4,639,250		0.79			2.08			0.80			22
	13.85		21.94			3,467,542		0.79			1.92			0.81			20
	11.77		21.84			2,337,565		0.78			2.48	(g)		0.83			34
	9.96		7.48			1,313,214		0.78			2.48			0.83			44

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 81

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Growth and Income Fund
Class A
Year Ended June 30, 2016	$	45.46	$	0.59	$	(0.27	)	$	0.32		$	(0.55	)	$	(2.48	)	$	(3.03	)
Year Ended June 30, 2015		44.70		0.59		1.72			2.31			(0.56	)		(0.99	)		(1.55	)
Year Ended June 30, 2014		36.53		0.47		8.17			8.64			(0.47	)		—			(0.47	)
Year Ended June 30, 2013		29.43		0.40		7.11			7.51			(0.41	)		—			(0.41	)
Year Ended June 30, 2012		28.26		0.35		1.16			1.51			(0.34	)		—			(0.34	)
Class C
Year Ended June 30, 2016		41.83		0.35		(0.25	)		0.10			(0.38	)		(2.48	)		(2.86	)
Year Ended June 30, 2015		41.31		0.32		1.59			1.91			(0.40	)		(0.99	)		(1.39	)
Year Ended June 30, 2014		33.83		0.25		7.55			7.80			(0.32	)		—			(0.32	)
Year Ended June 30, 2013		27.32		0.22		6.59			6.81			(0.30	)		—			(0.30	)
Year Ended June 30, 2012		26.27		0.20		1.08			1.28			(0.23	)		—			(0.23	)
Class R2
November 2, 2015 (g) through June 30, 2016		45.92		0.40		(0.70	)		(0.30	)		(0.20	)		(2.48	)		(2.68	)
Class R5
November 2, 2015 (g) through June 30, 2016		47.95		0.62		(0.73	)		(0.11	)		(0.35	)		(2.48	)		(2.83	)
Class R6
November 2, 2015 (g) through June 30, 2016		47.95		0.63		(0.72	)		(0.09	)		(0.37	)		(2.48	)		(2.85	)
Select Class
Year Ended June 30, 2016		47.45		0.73		(0.27	)		0.46			(0.66	)		(2.48	)		(3.14	)
Year Ended June 30, 2015		46.58		0.73		1.79			2.52			(0.66	)		(0.99	)		(1.65	)
Year Ended June 30, 2014		38.03		0.58		8.52			9.10			(0.55	)		—			(0.55	)
Year Ended June 30, 2013		30.63		0.51		7.40			7.91			(0.51	)		—			(0.51	)
Year Ended June 30, 2012		29.39		0.45		1.21			1.66			(0.42	)		—			(0.42	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Calculated based upon average shares outstanding.

(c) Not annualized for periods less than one year.

(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

82 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)(f)
$	42.75		1.02	%	$	422,151		1.06	%		1.38	%		1.13	%		39	%
	45.46		5.24			434,573		1.10			1.30			1.10			39
	44.70		23.74			419,465		1.13			1.16			1.15			42
	36.53		25.65			356,127		1.15			1.23			1.16			35
	29.43		5.45			293,520		1.19			1.28			1.19			28
	39.07		0.54			25,541		1.56			0.89			1.62			39
	41.83		4.68			24,647		1.62			0.77			1.63			39
	41.31		23.12			14,619		1.64			0.66			1.65			42
	33.83		25.02			7,769		1.65			0.72			1.65			35
	27.32		4.94			4,137		1.69			0.79			1.69			28
	42.94		(0.40	)		20		1.28			1.44			3.72			39
	45.01		0.05			20		0.59			2.14			3.02			39
	45.01		0.08			20		0.53			2.19			2.96			39
	44.77		1.28			40,068		0.81			1.64			0.86			39
	47.45		5.48			36,099		0.88			1.53			0.88			39
	46.58		24.05			27,124		0.89			1.39			0.90			42
	38.03		25.97			28,339		0.88			1.45			0.90			35
	30.63		5.78			7,474		0.89			1.58			0.94			28

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 83

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Return of capital			Total distributions
Hedged Equity Fund
Class A
Year Ended June 30, 2016	$	16.47	$	0.20	(g)	$	(0.28	)	$	(0.08	)	$	(0.16	)	$	—		$	(0.16	)
Year Ended June 30, 2015		15.74		0.19	(g)		0.67			0.86			(0.13	)		—			(0.13	)
December 13, 2013 (h) through June 30, 2014		15.00		0.07			0.84			0.91			(0.07	)		(0.10	)		(0.17	)
Class C
Year Ended June 30, 2016		16.43		0.13	(g)		(0.29	)		(0.16	)		(0.10	)		—			(0.10	)
Year Ended June 30, 2015		15.76		0.10	(g)		0.67			0.77			(0.10	)		—			(0.10	)
December 13, 2013 (h) through June 30, 2014		15.00		0.05			0.83			0.88			(0.02	)		(0.10	)		(0.12	)
Class R5
Year Ended June 30, 2016		16.51		0.24	(g)		(0.24	)		—	(i)		(0.23	)		—			(0.23	)
Year Ended June 30, 2015		15.76		0.26	(g)		0.66			0.92			(0.17	)		—			(0.17	)
December 13, 2013 (h) through June 30, 2014		15.00		0.13			0.82			0.95			(0.09	)		(0.10	)		(0.19	)
Class R6
Year Ended June 30, 2016		16.52		0.27	(g)		(0.27	)		—	(i)		(0.24	)		—			(0.24	)
Year Ended June 30, 2015		15.76		0.27	(g)		0.67			0.94			(0.18	)		—			(0.18	)
December 13, 2013 (h) through June 30, 2014		15.00		0.13			0.83			0.96			(0.10	)		(0.10	)		(0.20	)
Select Class
Year Ended June 30, 2016		16.50		0.25	(g)		(0.28	)		(0.03	)		(0.21	)		—			(0.21	)
Year Ended June 30, 2015		15.76		0.23	(g)		0.66			0.89			(0.15	)		—			(0.15	)
December 13, 2013 (h) through June 30, 2014		15.00		0.10			0.84			0.94			(0.08	)		(0.10	)		(0.18	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Not annualized for periods less than one year.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(e) Certain non-recurring expenses incurred by the Fund were not annualized for the year ended June 30, 2015 and for the period ended June 30, 2014.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Calculated based upon average shares outstanding.

(h) Commencement of operations.

(i) Amount rounds to less than $0.005.

SEE NOTES TO FINANCIAL STATEMENTS.

84 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (b)(c)			Net assets, end of period (000’s)		Net expenses (d)(e)			Net investment income (loss) (e)			Expenses without waivers, reimbursements and earnings credits (e)			Portfolio turnover rate (b)(f)
$	16.23		(0.43	)%	$	71,417		0.85	%		1.27	%		1.11	%		57	%
	16.47		5.45			93,007		0.85			1.14			1.21			42
	15.74		6.11			569		0.85			0.96			16.65			36
	16.17		(0.95	)		9,867		1.35			0.80			1.52			57
	16.43		4.85			3,405		1.35			0.59			1.65			42
	15.76		5.87			53		1.35			0.56			10.04			36
	16.28		0.07			25		0.40			1.49			2.16			57
	16.51		5.86			442		0.40			1.58			0.82			42
	15.76		6.37			53		0.40			1.51			9.10			36
	16.28		0.07			74		0.35			1.66			1.40			57
	16.52		5.96			443		0.35			1.63			0.77			42
	15.76		6.39			53		0.35			1.56			9.05			36
	16.26		(0.17	)		158,820		0.60			1.54			0.74			57
	16.50		5.66			105,397		0.60			1.39			0.91			42
	15.76		6.28			4,307		0.60			1.30			9.91			36

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 85

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized  gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Large Cap Growth Fund
Class A
Year Ended June 30, 2016	$	36.82	$	(0.06	)	$	(2.23	)	$	(2.29	)	$	—		$	(1.60	)	$	(1.60	)
Year Ended June 30, 2015		32.49		(0.10	)		5.05			4.95			—			(0.62	)		(0.62	)
Year Ended June 30, 2014		26.01		(0.10	)		6.58			6.48			—			—			—
Year Ended June 30, 2013		23.64		0.08	(e)		2.37			2.45			(0.08	)		—			(0.08	)
Year Ended June 30, 2012		22.38		(0.06	)		1.32			1.26			—			—			—
Class C
Year Ended June 30, 2016		31.86		(0.20	)		(1.91	)		(2.11	)		—			(1.60	)		(1.60	)
Year Ended June 30, 2015		28.33		(0.24	)		4.39			4.15			—			(0.62	)		(0.62	)
Year Ended June 30, 2014		22.79		(0.22	)		5.76			5.54			—			—			—
Year Ended June 30, 2013		20.79		(0.04	)(e)		2.07			2.03			(0.03	)		—			(0.03	)
Year Ended June 30, 2012		19.77		(0.15	)		1.17			1.02			—			—			—
Class R2
Year Ended June 30, 2016		36.24		(0.15	)		(2.18	)		(2.33	)		—			(1.60	)		(1.60	)
Year Ended June 30, 2015		32.07		(0.18	)		4.97			4.79			—			(0.62	)		(0.62	)
Year Ended June 30, 2014		25.74		(0.18	)		6.51			6.33			—			—			—
Year Ended June 30, 2013		23.44		0.01	(e)		2.36			2.37			(0.07	)		—			(0.07	)
Year Ended June 30, 2012		22.24		(0.12	)		1.32			1.20			—	(f)		—			—	(f)
Class R5
Year Ended June 30, 2016		37.25		0.06			(2.25	)		(2.19	)		—			(1.60	)		(1.60	)
Year Ended June 30, 2015		32.75		0.03			5.09			5.12			—			(0.62	)		(0.62	)
Year Ended June 30, 2014		26.12		0.01			6.62			6.63			—			—			—
Year Ended June 30, 2013		23.74		0.17	(e)		2.38			2.55			(0.17	)		—			(0.17	)
Year Ended June 30, 2012		22.39		0.04			1.32			1.36			(0.01	)		—			(0.01	)
Class R6
Year Ended June 30, 2016		37.34		0.10			(2.26	)		(2.16	)		—			(1.60	)		(1.60	)
Year Ended June 30, 2015		32.80		0.06			5.10			5.16			—			(0.62	)		(0.62	)
Year Ended June 30, 2014		26.15		0.02			6.63			6.65			—			—			—
Year Ended June 30, 2013		23.76		0.18	(e)		2.39			2.57			(0.18	)		—			(0.18	)
Year Ended June 30, 2012		22.40		0.05			1.33			1.38			(0.02	)		—			(0.02	)
Select Class
Year Ended June 30, 2016		36.92		(0.01	)		(2.23	)		(2.24	)		—			(1.60	)		(1.60	)
Year Ended June 30, 2015		32.52		(0.04	)		5.06			5.02			—			(0.62	)		(0.62	)
Year Ended June 30, 2014		25.99		(0.05	)		6.58			6.53			—			—			—
Year Ended June 30, 2013		23.61		0.12	(e)		2.37			2.49			(0.11	)		—			(0.11	)
Year Ended June 30, 2012		22.31		(0.01	)		1.31			1.30			—	(f)		—			—	(f)

(a) Calculated based upon average shares outstanding.

(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(e) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.02, $(0.09), $(0.04), $0.12, $0.13 and $0.07 for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.08%, (0.42)%, (0.17)%, 0.47%, 0.50% and 0.28% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

(f) Amount rounds to less than $0.005.

SEE NOTES TO FINANCIAL STATEMENTS.

86 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	32.93		(6.45	)%	$	4,251,242		1.04	%		(0.17	)%		1.27	%		43	%
	36.82		15.40			4,670,460		1.06			(0.28	)		1.21			19
	32.49		24.91			5,044,428		1.10			(0.34	)		1.19			39
	26.01		10.40			2,824,115		1.09			0.30	(e)		1.19			47
	23.64		5.63			1,660,335		1.09			(0.25	)		1.15			28
	28.15		(6.90	)		559,238		1.55			(0.67	)		1.69			43
	31.86		14.83			600,404		1.56			(0.78	)		1.68			19
	28.33		24.31			523,972		1.59			(0.85	)		1.69			39
	22.79		9.80			396,862		1.59			(0.20	)(e)		1.69			47
	20.79		5.16			205,723		1.59			(0.75	)		1.65			28
	32.31		(6.67	)		192,560		1.30			(0.43	)		1.55			43
	36.24		15.10			242,550		1.31			(0.53	)		1.49			19
	32.07		24.59			222,421		1.35			(0.60	)		1.44			39
	25.74		10.12			191,876		1.34			0.05	(e)		1.45			47
	23.44		5.41			85,913		1.34			(0.50	)		1.39			28
	33.46		(6.10	)		1,209,521		0.69			0.17			0.73			43
	37.25		15.80			1,394,419		0.70			0.08			0.74			19
	32.75		25.38			1,400,112		0.73			0.02			0.74			39
	26.12		10.78			1,158,856		0.71			0.69	(e)		0.75			47
	23.74		6.10			584,866		0.69			0.16			0.70			28
	33.58		(6.00	)		3,330,565		0.60			0.28			0.60			43
	37.34		15.90			3,220,191		0.62			0.17			0.62			19
	32.80		25.43			2,709,590		0.68			0.07			0.69			39
	26.15		10.87			2,170,011		0.67			0.72	(e)		0.70			47
	23.76		6.15			1,047,184		0.63			0.20			0.64			28
	33.08		(6.29	)		4,161,010		0.89			(0.04	)		0.93			43
	36.92		15.60			5,515,626		0.90			(0.12	)		0.92			19
	32.52		25.13			5,037,737		0.93			(0.18	)		0.94			39
	25.99		10.58			4,811,907		0.91			0.50	(e)		0.94			47
	23.61		5.85			3,320,683		0.89			(0.04	)		0.90			28

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 87

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Large Cap Value Fund
Class A
Year Ended June 30, 2016	$	15.02	$	0.17	$	(0.59	)	$	(0.42	)	$	(0.16	)	$	(1.73	)	$	(1.89	)
Year Ended June 30, 2015		16.63		0.17		0.94			1.11			(0.17	)		(2.55	)		(2.72	)
Year Ended June 30, 2014		13.99		0.17		3.16			3.33			(0.18	)		(0.51	)		(0.69	)
Year Ended June 30, 2013		11.02		0.14		2.97			3.11			(0.14	)		—			(0.14	)
Year Ended June 30, 2012		11.45		0.11		(0.43	)		(0.32	)		(0.11	)		—			(0.11	)
Class C
Year Ended June 30, 2016		14.60		0.10		(0.58	)		(0.48	)		(0.09	)		(1.73	)		(1.82	)
Year Ended June 30, 2015		16.25		0.08		0.92			1.00			(0.10	)		(2.55	)		(2.65	)
Year Ended June 30, 2014		13.70		0.09		3.08			3.17			(0.11	)		(0.51	)		(0.62	)
Year Ended June 30, 2013		10.80		0.08		2.91			2.99			(0.09	)		—			(0.09	)
Year Ended June 30, 2012		11.22		0.05		(0.41	)		(0.36	)		(0.06	)		—			(0.06	)
Class R2
Year Ended June 30, 2016		14.96		0.14		(0.60	)		(0.46	)		(0.13	)		(1.73	)		(1.86	)
Year Ended June 30, 2015		16.58		0.13		0.94			1.07			(0.14	)		(2.55	)		(2.69	)
Year Ended June 30, 2014		13.95		0.13		3.14			3.27			(0.13	)		(0.51	)		(0.64	)
Year Ended June 30, 2013		10.99		0.11		2.96			3.07			(0.11	)		—			(0.11	)
Year Ended June 30, 2012		11.42		0.08		(0.42	)		(0.34	)		(0.09	)		—			(0.09	)
Class R5
Year Ended June 30, 2016		14.93		0.21		(0.58	)		(0.37	)		(0.20	)		(1.73	)		(1.93	)
Year Ended June 30, 2015		16.54		0.22		0.94			1.16			(0.22	)		(2.55	)		(2.77	)
Year Ended June 30, 2014		13.92		0.19		3.16			3.35			(0.22	)		(0.51	)		(0.73	)
Year Ended June 30, 2013		10.92		0.17		2.98			3.15			(0.15	)		—			(0.15	)
Year Ended June 30, 2012		11.34		0.14		(0.41	)		(0.27	)		(0.15	)		—			(0.15	)
Class R6
Year Ended June 30, 2016		14.86		0.24		(0.60	)		(0.36	)		(0.21	)		(1.73	)		(1.94	)
Year Ended June 30, 2015		16.48		0.25		0.91			1.16			(0.23	)		(2.55	)		(2.78	)
Year Ended June 30, 2014		13.87		0.22		3.13			3.35			(0.23	)		(0.51	)		(0.74	)
Year Ended June 30, 2013		10.92		0.20		2.94			3.14			(0.19	)		—			(0.19	)
Year Ended June 30, 2012		11.34		0.15		(0.42	)		(0.27	)		(0.15	)		—			(0.15	)
Select Class
Year Ended June 30, 2016		14.79		0.15		(0.54	)		(0.39	)		(0.14	)		(1.73	)		(1.87	)
Year Ended June 30, 2015		16.42		0.19		0.92			1.11			(0.19	)		(2.55	)		(2.74	)
Year Ended June 30, 2014		13.82		0.19		3.11			3.30			(0.19	)		(0.51	)		(0.70	)
Year Ended June 30, 2013		10.88		0.16		2.94			3.10			(0.16	)		—			(0.16	)
Year Ended June 30, 2012		11.30		0.12		(0.41	)		(0.29	)		(0.13	)		—			(0.13	)

(a) Calculated based upon average shares outstanding.

(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

SEE NOTES TO FINANCIAL STATEMENTS.

88 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	12.71		(2.51	)%	$	96,373		0.93	%		1.27	%		1.12	%		219	%
	15.02		7.44			93,078		0.93			1.07			1.05			143
	16.63		24.46			92,161		0.93			1.11			1.06			168
	13.99		28.38			35,030		0.94			1.11			1.04			119
	11.02		(2.75	)		25,789		0.95			1.00			1.06			144
	12.30		(2.98	)		17,041		1.45			0.75			1.62			219
	14.60		6.88			14,307		1.45			0.55			1.55			143
	16.25		23.78			11,646		1.44			0.59			1.56			168
	13.70		27.77			4,890		1.44			0.62			1.54			119
	10.80		(3.17	)		3,215		1.45			0.50			1.56			144
	12.64		(2.78	)		3,462		1.20			1.05			1.57			219
	14.96		7.21			1,074		1.20			0.82			1.40			143
	16.58		24.07			455		1.20			0.83			1.30			168
	13.95		28.10			378		1.20			0.87			1.29			119
	10.99		(2.97	)		142		1.20			0.76			1.31			144
	12.63		(2.15	)		4,155		0.59			1.52			0.60			219
	14.93		7.83			4,443		0.58			1.41			0.59			143
	16.54		24.81			4,433		0.57			1.30			0.59			168
	13.92		28.96			19,410		0.59			1.48			0.60			119
	10.92		(2.34	)		25,965		0.59			1.36			0.61			144
	12.56		(2.06	)		565,542		0.51			1.90			0.52			219
	14.86		7.85			4,145		0.53			1.54			0.53			143
	16.48		24.89			50,923		0.54			1.48			0.55			168
	13.87		28.94			43,781		0.53			1.52			0.54			119
	10.92		(2.30	)		11,269		0.54			1.41			0.56			144
	12.53		(2.34	)		23,373		0.77			1.07			0.77			219
	14.79		7.56			634,301		0.77			1.22			0.77			143
	16.42		24.62			662,936		0.79			1.24			0.80			168
	13.82		28.65			591,749		0.78			1.27			0.79			119
	10.88		(2.54	)		567,551		0.79			1.16			0.81			144

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 89

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
U.S. Equity Fund
Class A
Year Ended June 30, 2016	$	14.75	$	0.12	(d)	$	(0.30	)	$	(0.18	)	$	(0.11	)	$	(0.70	)	$	(0.81	)
Year Ended June 30, 2015		14.92		0.13			1.10			1.23			(0.13	)		(1.27	)		(1.40	)
Year Ended June 30, 2014		12.80		0.11	(d)		3.09			3.20			(0.11	)		(0.97	)		(1.08	)
Year Ended June 30, 2013		10.73		0.13	(d)		2.31			2.44			(0.13	)		(0.24	)		(0.37	)
Year Ended June 30, 2012		10.65		0.10	(d)		0.13			0.23			(0.09	)		(0.06	)		(0.15	)
Class C
Year Ended June 30, 2016		14.40		0.05	(d)		(0.30	)		(0.25	)		(0.04	)		(0.70	)		(0.74	)
Year Ended June 30, 2015		14.61		0.07			1.06			1.13			(0.07	)		(1.27	)		(1.34	)
Year Ended June 30, 2014		12.56		0.04	(d)		3.03			3.07			(0.05	)		(0.97	)		(1.02	)
Year Ended June 30, 2013		10.55		0.06	(d)		2.26			2.32			(0.07	)		(0.24	)		(0.31	)
Year Ended June 30, 2012		10.47		0.04	(d)		0.15			0.19			(0.05	)		(0.06	)		(0.11	)
Class R2
Year Ended June 30, 2016		14.66		0.08	(d)		(0.31	)		(0.23	)		(0.07	)		(0.70	)		(0.77	)
Year Ended June 30, 2015		14.84		0.10			1.09			1.19			(0.10	)		(1.27	)		(1.37	)
Year Ended June 30, 2014		12.74		0.07	(d)		3.08			3.15			(0.08	)		(0.97	)		(1.05	)
Year Ended June 30, 2013		10.69		0.10	(d)		2.29			2.39			(0.10	)		(0.24	)		(0.34	)
Year Ended June 30, 2012		10.62		0.07	(d)		0.13			0.20			(0.07	)		(0.06	)		(0.13	)
Class R5
Year Ended June 30, 2016		14.80		0.18	(d)		(0.31	)		(0.13	)		(0.16	)		(0.70	)		(0.86	)
Year Ended June 30, 2015		14.96		0.19			1.11			1.30			(0.19	)		(1.27	)		(1.46	)
Year Ended June 30, 2014		12.82		0.16	(d)		3.11			3.27			(0.16	)		(0.97	)		(1.13	)
Year Ended June 30, 2013		10.75		0.17	(d)		2.31			2.48			(0.17	)		(0.24	)		(0.41	)
Year Ended June 30, 2012		10.66		0.14	(d)		0.14			0.28			(0.13	)		(0.06	)		(0.19	)
Class R6
Year Ended June 30, 2016		14.82		0.18	(d)		(0.31	)		(0.13	)		(0.17	)		(0.70	)		(0.87	)
Year Ended June 30, 2015		14.98		0.20			1.10			1.30			(0.19	)		(1.27	)		(1.46	)
Year Ended June 30, 2014		12.83		0.17	(d)		3.11			3.28			(0.16	)		(0.97	)		(1.13	)
Year Ended June 30, 2013		10.76		0.17	(d)		2.31			2.48			(0.17	)		(0.24	)		(0.41	)
Year Ended June 30, 2012		10.67		0.14	(d)		0.14			0.28			(0.13	)		(0.06	)		(0.19	)
Institutional Class
Year Ended June 30, 2016		14.79		0.16	(d)		(0.30	)		(0.14	)		(0.15	)		(0.70	)		(0.85	)
Year Ended June 30, 2015		14.96		0.19			1.09			1.28			(0.18	)		(1.27	)		(1.45	)
Year Ended June 30, 2014		12.82		0.16	(d)		3.10			3.26			(0.15	)		(0.97	)		(1.12	)
Year Ended June 30, 2013		10.75		0.16	(d)		2.31			2.47			(0.16	)		(0.24	)		(0.40	)
Year Ended June 30, 2012		10.66		0.13	(d)		0.14			0.27			(0.12	)		(0.06	)		(0.18	)
Select Class
Year Ended June 30, 2016		14.78		0.13	(d)		(0.29	)		(0.16	)		(0.13	)		(0.70	)		(0.83	)
Year Ended June 30, 2015		14.94		0.16			1.11			1.27			(0.16	)		(1.27	)		(1.43	)
Year Ended June 30, 2014		12.80		0.13	(d)		3.10			3.23			(0.12	)		(0.97	)		(1.09	)
Year Ended June 30, 2013		10.74		0.15	(d)		2.30			2.45			(0.15	)		(0.24	)		(0.39	)
Year Ended June 30, 2012		10.65		0.12	(d)		0.14			0.26			(0.11	)		(0.06	)		(0.17	)

(a) 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.

(b) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(c) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(d) Calculated based upon average shares outstanding.

SEE NOTES TO FINANCIAL STATEMENTS.

90 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)
$	13.76		(1.15	)%	$	1,446,878		0.94	%		0.85	%		1.14	%		83	%
	14.75		8.70			1,399,208		0.95			0.92			1.10			79
	14.92		25.90			1,172,752		0.97			0.77			1.05			73
	12.80		23.14			874,571		0.97			1.06			1.06			88
	10.73		2.27			662,367		0.97			0.93			1.08			83
	13.41		(1.66	)		294,744		1.44			0.35			1.59			83
	14.40		8.15			253,608		1.45			0.41			1.57			79
	14.61		25.30			175,265		1.47			0.28			1.55			73
	12.56		22.43			110,837		1.46			0.56			1.56			88
	10.55		1.83			75,962		1.47			0.43			1.58			83
	13.66		(1.47	)		205,224		1.19			0.60			1.48			83
	14.66		8.45			178,272		1.20			0.67			1.41			79
	14.84		25.61			126,549		1.22			0.53			1.30			73
	12.74		22.81			72,664		1.22			0.81			1.31			88
	10.69		2.00			31,686		1.22			0.68			1.32			83
	13.81		(0.77	)		910,033		0.56			1.27			0.63			83
	14.80		9.13			496,102		0.57			1.30			0.62			79
	14.96		26.45			441,628		0.59			1.16			0.60			73
	12.82		23.52			455,939		0.59			1.45			0.61			88
	10.75		2.72			335,220		0.59			1.32			0.63			83
	13.82		(0.78	)		4,755,359		0.50			1.33			0.50			83
	14.82		9.17			2,976,379		0.51			1.35			0.52			79
	14.98		26.57			2,392,416		0.54			1.21			0.55			73
	12.83		23.56			1,379,173		0.54			1.47			0.56			88
	10.76		2.76			1,114,492		0.54			1.38			0.57			83
	13.80		(0.83	)		3,704,104		0.61			1.18			0.68			83
	14.79		9.01			4,932,896		0.62			1.25			0.66			79
	14.96		26.41			4,178,050		0.64			1.12			0.65			73
	12.82		23.48			1,214,707		0.64			1.36			0.67			88
	10.75		2.67			610,670		0.64			1.25			0.68			83
	13.79		(1.00	)		1,066,145		0.76			0.94			0.81			83
	14.78		8.92			2,375,538		0.77			1.08			0.79			79
	14.94		26.21			2,288,734		0.79			0.94			0.80			73
	12.80		23.22			3,874,926		0.79			1.24			0.81			88
	10.74		2.52			3,617,633		0.79			1.12			0.83			83

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 91

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (collectively, the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 9 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

	Classes Offered	Trust	Diversified/Non-Diversified
Disciplined Equity Fund	Class A, Class R6, Institutional Class and Select Class	JPM I	Diversified
Dynamic Growth Fund	Class A, Class C, Class R5 and Select Class	JPM I	Non-Diversified
Equity Focus Fund	Class A, Class C and Select Class	JPM I	Non-Diversified
Equity Income Fund	Class A, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
Growth and Income Fund	Class A, Class C, Class R2*, Class R5*, Class R6* and Select Class	JPM I	Diversified
Hedged Equity Fund	Class A, Class C, Class R5, Class R6 and Select Class	JPM I	Diversified
Large Cap Growth Fund	Class A, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
Large Cap Value Fund	Class A, Class C, Class R2, Class R5, Class R6 and Select Class	JPM II	Diversified
U.S. Equity Fund	Class A, Class C, Class R2, Class R5, Class R6, Institutional Class and Select Class	JPM I	Diversified

* Class R2, Class R5 and Class R6 Shares commenced operation on November 2, 2015 for Growth and Income Fund.

The investment objective of Disciplined Equity Fund is to seek to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the Standard and Poor’s 500 Composite Stock Price Index.

The investment objective of Dynamic Growth Fund is to seek long-term capital growth.

The investment objective of Equity Focus Fund and Large Cap Growth Fund is to seek long-term capital appreciation.

The investment objective of Equity Income Fund is to seek capital appreciation and current income.

The investment objective of Growth and Income Fund is to seek to provide capital growth over the long-term and to earn income from dividends.

The investment objective of Hedged Equity Fund is to seek to provide capital appreciation.

The investment objective of Large Cap Value Fund is to seek capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.

The investment objective of U.S. Equity Fund is to seek to provide high total return from a portfolio of selected equity securities.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

92 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Futures and options are generally valued on the basis of available market quotations.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

• Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

• Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

• Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

Disciplined Equity Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	8,290,363	$	8,022	$	—	$	8,298,385
Appreciation in Other Financial Instruments
Futures Contracts	$	1,452	$	—	$	—	$	1,452

Dynamic Growth Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (b)	$	329,743	$	—	$	—	$	329,743

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 93

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

Equity Focus Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (b)	$	141,470		$	—	$	—		$	141,470
Equity Income Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (b)	$	12,051,239		$	—	$	—		$	12,051,239
Growth and Income Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (b)	$	486,362		$	—	$	—		$	486,362
Hedged Equity Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (a)	$	242,457		$	60	$	—		$	242,517
Appreciation in Other Financial Instruments
Futures Contracts	$	22		$	—	$	—		$	22
Depreciation in Other Financial Instruments
Options Written
Call Option Written	$	(3,201	)	$	—	$	—		$	(3,201	)
Put Option Written		(673	)		—		—			(673	)
Total Depreciation in Other Financial Instruments	$	(3,874	)	$	—	$	—		$	(3,874	)
Large Cap Growth Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (b)	$	13,746,830		$	—	$	—		$	13,746,830
Large Cap Value Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (c)	$	738,953		$	—	$	—	(d)	$	738,953
U.S. Equity Fund
	Level 1 Quoted prices			Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (c)	$	12,345,713		$	—	$	—	(d)	$	12,345,713
Appreciation in Other Financial Instruments
Futures Contracts	$	1,108		$	—	$	—		$	1,108

(a) All portfolio holdings designated as Level 1 and Level 2 are disclosed individually on the SOIs. Level 2 consists of a U.S. Treasury Bill that is held as initial margin for futures contracts. Please refer to the SOIs for industry specifics of portfolio holdings.

94 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

(b) All portfolio holdings designated as Level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings.

(c) All portfolio holdings designated as Level 1 and Level 3 are disclosed individually on the SOIs. Level 3 consists of a warrant. Please refer to the SOIs for industry specifics of portfolio holdings.

(d) Value is zero.

There were no transfers among any levels during the year ended June 30, 2016.

B. Futures Contracts — Disciplined Equity Fund, Hedged Equity Fund, Large Cap Value Fund and U.S. Equity Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2016 (amounts in thousands):

	Disciplined Equity Fund		Hedged Equity Fund		Large Cap Value Fund			U.S. Equity Fund
Futures Contracts:
Average Notional Balance Long	$	117,326	$	2,799	$	4,103	(a)	$	59,445
Ending Notional Balance Long		102,524		1,777		—			65,632

(a) Average for the period March 1, 2016 through March 31, 2016.

The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

C. Options — Hedged Equity Fund purchased and sold (“wrote”) put and call options on indices to manage and hedge equity risk within its portfolio. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.

Options Purchased — Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation of Investments in non-affiliates on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.

Options Written — Premiums received by the Fund for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as change in net unrealized appreciation/depreciation. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 95

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

The Fund pledges collateral to the counterparty in the form of securities for options written. Securities designated as collateral are denoted on the SOI.

Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.

The Fund is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.

Transactions in options written during the year ended June 30, 2016 were as follows (amounts in thousands except for number of contracts):

	Options
	Number of Contracts			Premiums Received
Options outstanding at June 30, 2015		1,956		$	3,319
Options written		10,975			18,259
Options expired		(8,496	)		(11,971	)
Options closed		(2,153	)		(5,769	)
Options outstanding at June 30, 2016		2,282		$	3,838

The Fund’s exchange traded options contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

The table below discloses the volume of the Fund’s options contracts activity during the year ended June 30, 2016:

Exchange-Traded Options:
Average Number of Contracts Purchased	1,202
Average Number of Contracts Written	2,404
Ending Number of Contracts Purchased	1,141
Ending Number of Contracts Written	2,282

D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

E. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):

	Class A		Class C			Class R2		Class R5		Class R6		Institutional Class		Select Class		Total
Disciplined Equity Fund
Transfer agency fees	$	35		n/a			n/a		n/a	$	57	$	15	$	11	$	118
Sub-transfer agency fees		904		n/a			n/a		n/a		—		429		253		1,586
Dynamic Growth Fund
Transfer agency fees		8	$	2			n/a	$	4		n/a		n/a		6		20
Sub-transfer agency fees		91		12			n/a		2		n/a		n/a		20		125
Equity Focus Fund
Transfer agency fees		2		1			n/a		n/a		n/a		n/a		3		6
Sub-transfer agency fees		1		—	(a)		n/a		n/a		n/a		n/a		4		5

96 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Class A		Class C		Class R2			Class R5			Class R6			Institutional Class		Select Class		Total
Equity Income Fund
Transfer agency fees	$	171	$	69	$	12		$	12		$	18			n/a	$	62	$	344
Sub-transfer agency fees		3,070		829		113			455			—			n/a		2,651		7,118
Growth and Income Fund
Transfer agency fees		207		5		—	(a)		—	(a)		—	(a)		n/a		6		218
Sub-transfer agency fees		221		18		—			—			—			n/a		24		263
Hedged Equity Fund
Transfer agency fees		5		2		n/a			—	(a)		—	(a)		n/a		10		17
Sub-transfer agency fees		123		4		n/a			—	(a)		—			n/a		58		185
Large Cap Growth Fund
Transfer agency fees		402		36		16			22			47			n/a		70		593
Sub-transfer agency fees		7,301		508		409			991			—			n/a		3,557		12,766
Large Cap Value Fund
Transfer agency fees		55		4		1			1			9			n/a		5		75
Sub-transfer agency fees		39		12		6			—	(a)		—			n/a		15		72
U.S. Equity Fund
Transfer agency fees		117		17		7			12			36		$	155		36		380
Sub-transfer agency fees		1,817		217		440			609			—			3,174		946		7,203

(a) Amount rounds to less than $500.

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.

G. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

H. Distributions to Shareholders — Distributions from net investment income are generally declared and paid quarterly, except for Dynamic Growth Fund and Equity Focus Fund, for which distributions are generally declared and paid annually, and Equity Income Fund, for which distributions are generally declared and paid monthly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts:

	Paid-in-Capital			Accumulated undistributed (distributions in excess of) net investment income			Accumulated net realized gains (losses)
Disciplined Equity Fund	$	—		$	(1,445	)	$	1,445
Dynamic Growth Fund		(1,339	)		1,277			62
Equity Focus Fund		—	(a)		—	(a)		—	(a)
Equity Income Fund		—			(34	)		34
Growth and Income Fund		—	(a)		(45	)		45
Hedged Equity Fund		—	(a)		(124	)		124
Large Cap Growth Fund		(2,775	)		2,775			—	(a)
Large Cap Value Fund		—	(a)		(110	)		110
U.S. Equity Fund		106			(5,642	)		5,536

(a) Amount rounds to less than $500.

The reclassifications for the Funds relate primarily to investments in real estate investment trusts, net operating losses and non-taxable dividends.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 97

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreements, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s average daily net assets. The annual rate for each Fund is as follows:

Disciplined Equity Fund	0.25	%
Dynamic Growth Fund	0.60
Equity Focus Fund	0.65
Equity Income Fund	0.40
Growth and Income Fund	0.40
Hedged Equity Fund	0.25
Large Cap Growth Fund	0.50
Large Cap Value Fund	0.40
U.S. Equity Fund	0.40

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an 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 Agreements (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2016, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

Effective April 1, 2016, the Administrator merged into JPMIM, and JPMIM became the Funds’ administrator under the Administration Agreement.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

	Class A			Class C			Class R2
Disciplined Equity Fund		0.25	%		n/a			n/a
Dynamic Growth Fund		0.25			0.75	%		n/a
Equity Focus Fund		0.25			0.75			n/a
Equity Income Fund		0.25			0.75			0.50	%
Growth and Income Fund		0.25			0.75			0.50
Hedged Equity Fund		0.25			0.75			n/a
Large Cap Growth Fund		0.25			0.75			0.50
Large Cap Value Fund		0.25			0.75			0.50
U.S. Equity Fund		0.25			0.75			0.50

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following amounts (in thousands):

	Front-End Sales Charge		CDSC
Disciplined Equity Fund	$	13	$	—
Dynamic Growth Fund		80		1
Equity Focus Fund		2		—
Equity Income Fund		1,093		7
Growth and Income Fund		31		—	(a)
Hedged Equity Fund		5		1
Large Cap Growth Fund		365		5
Large Cap Value Fund		18		—	(a)
U.S. Equity Fund		176		1

(a) Amount rounds to less than $500.

98 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

	Class A			Class C			Class R2			Class R5			Institutional Class			Select Class
Disciplined Equity Fund		0.25	%		n/a			n/a			n/a			0.10	%		0.25	%
Dynamic Growth Fund		0.25			0.25	%		n/a			0.05	%		n/a			0.25
Equity Focus Fund		0.25			0.25			n/a			n/a			n/a			0.25
Equity Income Fund		0.25			0.25			0.25	%		0.05			n/a			0.25
Growth and Income Fund		0.25			0.25			0.25			0.05			n/a			0.25
Hedged Equity Fund		0.25			0.25			n/a			0.05			n/a			0.25
Large Cap Growth Fund		0.25			0.25			0.25			0.05			n/a			0.25
Large Cap Value Fund		0.25			0.25			0.25			0.05			n/a			0.25
U.S. Equity Fund		0.25			0.25			0.25			0.05			0.10			0.25

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	Class A			Class C			Class R2			Class R5			Class R6			Institutional Class			Select Class
Disciplined Equity Fund		0.85	%		n/a			n/a			n/a			0.35	%		0.45	%		0.60	%
Dynamic Growth Fund		1.19			1.69	%		n/a			0.74	%		n/a			n/a			0.94
Equity Focus Fund		1.25			1.75			n/a			n/a			n/a			n/a			1.00
Equity Income Fund		1.04			1.54			1.29	%		0.59			0.54			n/a			0.79
Growth and Income Fund		1.04	*		1.54	*		1.29			0.59			0.54			n/a			0.79	*
Hedged Equity Fund		0.85			1.35			n/a			0.40			0.35			n/a			0.60
Large Cap Growth Fund		1.05			1.55			1.30			0.70			0.65			n/a			0.90
Large Cap Value Fund		0.93			1.45			1.20			0.60			0.55			n/a			0.80
U.S. Equity Fund		0.94			1.44			1.19			0.56			0.51			0.61			0.76

* Prior to November 1, 2015, the contractual expense limitation for Growth and Income Fund was 1.30%, 1.80%, and 0.90% for Class A, Class C and Select Class Shares respectively.

Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2016. The contractual expense limitation percentages in the table above are in place until at least October 31, 2016.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 99

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

For the year ended June 30, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

	Contractual Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total		Contractual Reimbursements
Disciplined Equity Fund	$	32	$	21	$	1,496	$	1,549	$	70
Dynamic Growth Fund		99		66		121		286		n/a
Equity Focus Fund		70		47		3		120		—	(a)
Equity Income Fund		33		—		3,764		3,797		135
Growth and Income Fund		27		18		267		312		1
Hedged Equity Fund		186		107		134		427		1
Large Cap Growth Fund		51		—		12,840		12,891		113
Large Cap Value Fund		2		—		202		204		3
U.S. Equity Fund		41		—		7,428		7,469		413

(a) Amount rounds to less than $500.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.

The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2016 were as follows (amounts in thousands):

Disciplined Equity Fund	$	280
Dynamic Growth Fund		—	(a)
Equity Focus Fund		9
Equity Income Fund		537
Growth and Income Fund		19
Hedged Equity Fund		8
Large Cap Growth Fund		1,064
Large Cap Value Fund		33
U.S. Equity Fund		285

(a) Amount rounds to less than $500.

G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended June 30, 2016, Disciplined Equity Fund, Hedged Equity Fund, Large Cap Value Fund and U.S. Equity Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended June 30, 2016, the Funds incurred brokerage commissions with broker dealers affiliated with the Adviser as follows (amounts in thousands):

Disciplined Equity Fund	$	3
Equity Income Fund		1
Large Cap Growth Fund		3
Large Cap Value Fund		2
U.S. Equity Fund		10

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.

100 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

4. Investment Transactions

During the year ended June 30, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)
Disciplined Equity Fund	$	10,430,558	$	9,581,262
Dynamic Growth Fund		210,473		205,974
Equity Focus Fund		98,500		46,441
Equity Income Fund		3,308,983		2,035,011
Growth and Income Fund		188,389		197,507
Hedged Equity Fund		169,588		137,694
Large Cap Growth Fund		6,170,668		6,955,105
Large Cap Value Fund		1,543,637		1,561,487
U.S. Equity Fund		10,356,146		10,384,818

During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):

	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Disciplined Equity Fund	$	7,663,769	$	870,707	$	236,091	$	634,616
Dynamic Growth Fund		263,330		75,350		8,937		66,413
Equity Focus Fund		132,109		15,034		5,673		9,361
Equity Income Fund		10,065,937		2,281,338		296,036		1,985,302
Growth and Income Fund		358,371		140,546		12,555		127,991
Hedged Equity Fund		225,917		27,172		10,572		16,600
Large Cap Growth Fund		9,641,448		4,267,477		162,095		4,105,382
Large Cap Value Fund		707,404		56,619		25,070		31,549
U.S. Equity Fund		9,819,736		2,801,756		275,779		2,525,977

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, non-taxable dividends and mark to market of options.

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
Disciplined Equity Fund	$	306,286	$	154,626	$	460,912
Dynamic Growth Fund		—		3,697		3,697
Equity Focus Fund		772		1,551		2,323
Equity Income Fund		209,446		81,435		290,881
Growth and Income Fund		8,227		24,955		33,182
Hedged Equity Fund		2,951		—		2,951
Large Cap Growth Fund		—		685,998		685,998
Large Cap Value Fund		32,026		66,050		98,076
U.S. Equity Fund		216,055		549,390		765,445

* Short-term gains are treated as ordinary income for income tax purposes.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 101

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

The tax character of distributions paid during the year ended June 30, 2015 was as follows (amounts in thousands):

	Ordinary Income*		Net Long Term Capital Gains		Total Distributions Paid
Disciplined Equity Fund	$	293,140	$	113,280	$	406,420
Dynamic Growth Fund		—		4,785		4,785
Equity Focus Fund		350		264		614
Equity Income Fund		191,946		154,753		346,699
Growth and Income Fund		5,982		10,291		16,273
Hedged Equity Fund		1,387		—		1,387
Large Cap Growth Fund		—		273,298		273,298
Large Cap Value Fund		68,008		67,495		135,503
U.S. Equity Fund		419,265		666,036		1,085,301

* Short-term gains are treated as ordinary income for income tax purposes.

As of June 30, 2016, the components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain		Tax Basis Capital Loss Carryover			Unrealized Appreciation (Depreciation)
Disciplined Equity Fund	$	14,073	$	—	$	(130,031	)	$	634,616
Dynamic Growth Fund		—		62		—			66,413
Equity Focus Fund		186		4		—			9,361
Equity Income Fund		2,004		6,503		—			1,985,302
Growth and Income Fund		284		13,368		—			127,991
Hedged Equity Fund		476		—		(13,305	)		16,600
Large Cap Growth Fund		—		545,478		—			4,105,382
Large Cap Value Fund		285		23,684		(1,637	)		31,549
U.S. Equity Fund		7,656		77,322		—			2,525,977

For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals, wash sale loss deferrals, non-taxable dividends and mark to market of options.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of June 30, 2016, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

	2017		Total
Large Cap Value Fund	$	1,637	$	1,637

As of June 30, 2016, the following Fund had post-enactment net capital loss carryforwards (amounts in thousands):

	Post-enactment net capital loss
	Short-Term		Long-Term
Disciplined Equity Fund	$	130,031	$	—
Hedged Equity Fund		5,312		7,993

During the year ended June 30, 2016, the following Funds utilized pre-enactment capital loss carryforwards as follows (amounts in thousands):

Large Cap Value Fund $ 1,637

102 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

Late year ordinary losses incurred after December 31 as well as net capital losses after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2016, the following Funds deferred to July 1, 2016 net capital losses and other late year loss of (amounts in thousands):

	Net Capital Loss
	Short-Term			Long-Term			Other late year loss
Disciplined Equity Fund	$	277,217		$	107,328		$	—
Dynamic Growth Fund		13,604			(3,082	)		144
Equity Focus Fund		830			(543	)		—
Hedged Equity Fund		(82	)		112			—

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 7, 2016.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016 or at any time during the year then ended. Average borrowings from the Facility for the year ended June 30, 2016, were as follows (amounts in thousands).

	Average Borrowings		Average Interest Rate Paid			Number of Days Outstanding		Interest Paid
Dynamic Growth Fund	$	9,300		0.31	%		1	$	—	(a)

(a) Amount rounds to less than $500.

Interest expense paid as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on the Statements of Operations.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of June 30, 2016, the Funds had omnibus accounts which represented the following percentage of each Fund's net assets:

	Number of Affiliated Omnibus Accounts		% of the Fund			Number of Non-Affiliated Omnibus Accounts		% of the Fund
Dynamic Growth Fund		—		n/a			2		12.4	%
Equity Focus Fund		4		64.4	%		—		n/a
Equity Income Fund		1		10.7			—		n/a
Growth and Income Fund		2		23.2			—		n/a
Hedged Equity Fund		—		n/a			5		59.6
Large Cap Growth Fund		—		n/a			4		21.2
U.S. Equity Fund		3		16.2			—		n/a

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 103

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

As of June 30, 2016, J.P. Morgan Access Funds, Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate shares representing more than 10% of the net assets of the Funds as follows:

	J.P. Morgan Access Funds			J.P. Morgan Investor Funds			JPMorgan SmartRetirement Funds
Disciplined Equity Fund		n/a			n/a			68.7	%
Dynamic Growth Fund		n/a			68.8	%		n/a
Equity Focus Fund		32.4	%		n/a			n/a
Large Cap Value Fund		n/a			79.0			n/a
U.S. Equity Fund		n/a			n/a			16.8

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

8. Redemptions in-kind

During the year ended June 30, 2015, a Select Class shareholder sold its shares of U.S. Equity 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 close of business on the date and at the market value listed below (amounts in thousands):

March 23, 2015	Value			Realized Gains (Losses)		Type
Select Class	$	1,011,282	*	$	54,362		Redemptions in-kind

* This amount includes cash of approximately $15,300,000 associated with the redemption in-kind.

9. Subsequent Event

Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.

104 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Disciplined Equity Fund, JPMorgan Dynamic Growth Fund, JPMorgan Equity Focus Fund, JPMorgan Equity Income Fund, JPMorgan Growth and Income Fund, JPMorgan Hedged Equity Fund, JPMorgan Large Cap Growth Fund, JPMorgan Large Cap Value Fund and JPMorgan U.S. Equity 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 Disciplined Equity Fund, JPMorgan Dynamic Growth Fund, JPMorgan Equity Focus Fund, JPMorgan Growth and Income Fund, JPMorgan Hedged Equity Fund and JPMorgan U.S. Equity Fund (each a separate fund of JPMorgan Trust I) and JPMorgan Equity Income Fund, JPMorgan Large Cap Growth Fund and JPMorgan Large Cap Value Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

August 25, 2016

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 105

TRUSTEES

(Unaudited)

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	152	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	152	Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	152	None
Frankie D. Hughes (1952); Trustee of Trusts since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	152	Trustee, The Victory Portfolios (2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	152	None
Mary E. Martinez (1960); Trustee of Trusts since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	152	None
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	152	None
Mitchell M. Merin (1953); Trustee of Trusts since 2013.	Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	152	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	152	Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

106 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)
Marian U. Pardo** (1946); Trustee of Trusts since 2013.	Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).	152	Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	152	None
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	152	None

(1) The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees.

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 107

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trust (Since)	Principal Occupations During Past 5 Years
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)	Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980), Assistant Secretary (2011)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980), Assistant Secretary (2010)	Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971), Assistant Secretary (2012)**	Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973), Assistant Treasurer (2014)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.
Julie A. Roach (1971), Assistant Treasurer (2012)*	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.
Gillian I. Sands (1969), Assistant Treasurer (2012)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

  ** The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004.

108 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2016 and continued to hold your shares at the end of the reporting period, June 30, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Disciplined Equity Fund
Class A
Actual	$	1,000.00	$	1,005.10	$	4.24		0.85	%
Hypothetical		1,000.00		1,020.64		4.27		0.85
Class R6
Actual		1,000.00		1,008.00		1.75		0.35
Hypothetical		1,000.00		1,023.12		1.76		0.35
Institutional Class
Actual		1,000.00		1,007.10		2.25		0.45
Hypothetical		1,000.00		1,022.63		2.26		0.45
Select Class
Actual		1,000.00		1,006.30		2.99		0.60
Hypothetical		1,000.00		1,021.88		3.02		0.60
Dynamic Growth Fund
Class A
Actual		1,000.00		930.60		5.71		1.19
Hypothetical		1,000.00		1,018.95		5.97		1.19
Class C
Actual		1,000.00		928.10		8.10		1.69
Hypothetical		1,000.00		1,016.46		8.47		1.69
Class R5
Actual		1,000.00		932.70		3.56		0.74
Hypothetical		1,000.00		1,021.18		3.72		0.74
Select Class
Actual		1,000.00		931.60		4.56		0.95
Hypothetical		1,000.00		1,020.14		4.77		0.95

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 109

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Equity Focus Fund
Class A
Actual	$	1,000.00	$	966.20	$	6.06		1.24	%
Hypothetical		1,000.00		1,018.70		6.22		1.24
Class C
Actual		1,000.00		963.40		8.49		1.74
Hypothetical		1,000.00		1,016.21		8.72		1.74
Select Class
Actual		1,000.00		967.20		4.84		0.99
Hypothetical		1,000.00		1,019.94		4.97		0.99
Equity Income Fund
Class A
Actual		1,000.00		1,056.60		5.32		1.04
Hypothetical		1,000.00		1,019.69		5.22		1.04
Class C
Actual		1,000.00		1,055.00		7.87		1.54
Hypothetical		1,000.00		1,017.21		7.72		1.54
Class R2
Actual		1,000.00		1,055.90		6.59		1.29
Hypothetical		1,000.00		1,018.45		6.47		1.29
Class R5
Actual		1,000.00		1,059.20		3.02		0.59
Hypothetical		1,000.00		1,021.93		2.97		0.59
Class R6
Actual		1,000.00		1,059.60		2.56		0.50
Hypothetical		1,000.00		1,022.38		2.51		0.50
Select Class
Actual		1,000.00		1,058.90		3.99		0.78
Hypothetical		1,000.00		1,020.98		3.92		0.78
Growth and Income Fund
Class A
Actual		1,000.00		1,027.30		5.19		1.03
Hypothetical		1,000.00		1,019.74		5.17		1.03
Class C
Actual		1,000.00		1,025.00		7.70		1.53
Hypothetical		1,000.00		1,017.26		7.67		1.53
Class R2
Actual		1,000.00		1,026.30		6.45		1.28
Hypothetical		1,000.00		1,018.50		6.42		1.28
Class R5
Actual		1,000.00		1,029.60		2.98		0.59
Hypothetical		1,000.00		1,021.93		2.97		0.59
Class R6
Actual		1,000.00		1,029.90		2.67		0.53
Hypothetical		1,000.00		1,022.23		2.66		0.53
Select Class
Actual		1,000.00		1,028.90		3.93		0.78
Hypothetical		1,000.00		1,020.98		3.92		0.78
Hedged Equity Fund
Class A
Actual		1,000.00		1,019.20		4.27		0.85
Hypothetical		1,000.00		1,020.64		4.27		0.85
Class C
Actual		1,000.00		1,016.50		6.77		1.35
Hypothetical		1,000.00		1,018.15		6.77		1.35

110 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Hedged Equity Fund (continued)
Class R5
Actual	$	1,000.00	$	1,021.50	$	2.01		0.40	%
Hypothetical		1,000.00		1,022.87		2.01		0.40
Class R6
Actual		1,000.00		1,021.80		1.76		0.35
Hypothetical		1,000.00		1,023.12		1.76		0.35
Select Class
Actual		1,000.00		1,020.50		3.01		0.60
Hypothetical		1,000.00		1,021.88		3.02		0.60
Large Cap Growth Fund
Class A
Actual		1,000.00		928.40		4.99		1.04
Hypothetical		1,000.00		1,019.69		5.22		1.04
Class C
Actual		1,000.00		926.30		7.38		1.54
Hypothetical		1,000.00		1,017.21		7.72		1.54
Class R2
Actual		1,000.00		927.10		6.18		1.29
Hypothetical		1,000.00		1,018.45		6.47		1.29
Class R5
Actual		1,000.00		930.00		3.31		0.69
Hypothetical		1,000.00		1,021.43		3.47		0.69
Class R6
Actual		1,000.00		930.50		2.88		0.60
Hypothetical		1,000.00		1,021.88		3.02		0.60
Select Class
Actual		1,000.00		929.20		4.27		0.89
Hypothetical		1,000.00		1,020.44		4.47		0.89
Large Cap Value Fund
Class A
Actual		1,000.00		1,006.50		4.64		0.93
Hypothetical		1,000.00		1,020.24		4.67		0.93
Class C
Actual		1,000.00		1,004.30		7.23		1.45
Hypothetical		1,000.00		1,017.65		7.27		1.45
Class R2
Actual		1,000.00		1,005.20		5.98		1.20
Hypothetical		1,000.00		1,018.90		6.02		1.20
Class R5
Actual		1,000.00		1,008.10		2.90		0.58
Hypothetical		1,000.00		1,021.98		2.92		0.58
Class R6
Actual		1,000.00		1,008.60		2.55		0.51
Hypothetical		1,000.00		1,022.33		2.56		0.51
Select Class
Actual		1,000.00		1,007.20		4.39		0.88
Hypothetical		1,000.00		1,020.49		4.42		0.88
U.S. Equity Fund
Class A
Actual		1,000.00		1,003.50		4.68		0.94
Hypothetical		1,000.00		1,020.19		4.72		0.94
Class C
Actual		1,000.00		1,000.50		7.16		1.44
Hypothetical		1,000.00		1,017.70		7.22		1.44

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 111

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
U.S. Equity Fund (continued)
Class R2
Actual	$	1,000.00	$	1,001.70	$	5.92		1.19	%
Hypothetical		1,000.00		1,018.95		5.97		1.19
Class R5
Actual		1,000.00		1,005.40		2.79		0.56
Hypothetical		1,000.00		1,022.08		2.82		0.56
Class R6
Actual		1,000.00		1,005.00		2.49		0.50
Hypothetical		1,000.00		1,022.38		2.51		0.50
Institutional Class
Actual		1,000.00		1,005.10		3.04		0.61
Hypothetical		1,000.00		1,021.83		3.07		0.61
Select Class
Actual		1,000.00		1,004.50		3.79		0.76
Hypothetical		1,000.00		1,021.08		3.82		0.76

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

112 J.P. MORGAN LARGE CAP FUNDS JUNE 30, 2016

TAX LETTER

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2016:

	Dividends Received Deduction
Disciplined Equity Fund		45.62	%
Equity Focus Fund		100.00
Equity Income Fund		100.00
Growth and Income Fund		100.00
Hedged Equity Fund		100.00
Large Cap Value Fund		43.51
U.S. Equity Fund		95.20

Long Term Capital Gain

Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Long-Term Capital Gain Distribution
Disciplined Equity Fund	$	154,626
Dynamic Growth Fund		3,697
Equity Focus Fund		1,551
Equity Income Fund		81,435
Growth and Income Fund		24,955
Large Cap Growth Fund		685,998
Large Cap Value Fund		66,050
U.S. Equity Fund		549,390

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Qualified Dividend Income
Disciplined Equity Fund	$	163,274
Equity Focus Fund		772
Equity Income Fund		209,446
Growth and Income Fund		8,227
Hedged Equity Fund		2,951
Large Cap Value Fund		15,990
U.S. Equity Fund		216,055

JUNE 30, 2016 J.P. MORGAN LARGE CAP FUNDS 113

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡   Social Security number and account balances   ¡   transaction history and account transactions   ¡   checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡   open an account or provide contact information ¡   give us your account information or pay us by check ¡   make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡   sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡   affiliates from using your information to market to you ¡   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡   J.P. Morgan Funds doesn’t jointly market.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2016. All rights reserved. June 2016. AN-LCE-616

Annual Report

J.P. Morgan Equity Funds

June 30, 2016

JPMorgan Equity Index Fund

JPMorgan Market Expansion Enhanced Index Fund

CONTENTS

CEO’s Letter	1
Market Overview	2
Fund Commentaries:
JPMorgan Equity Index Fund	3
JPMorgan Market Expansion Enhanced Index Fund	5
Schedules of Portfolio Investments	8
Financial Statements	26
Financial Highlights	32
Notes to Financial Statements	36
Report of Independent Registered Public Accounting Firm	43
Trustees	44
Officers	46
Schedule of Shareholder Expenses	47
Tax Letter	48
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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

July 15, 2016 (Unaudited)

Dear Shareholder,

The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.

  “The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.”

Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).

The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.

Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.

Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.

A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.

U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.

By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.

Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.

Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 1

J.P. Morgan Index Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the S&P 500 down 3.94% in one day. In October, U.S. stocks came roaring back and turned in their best monthly performance since late 2011.

In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the Fed decided against raising interest rates. In June, the U.K. vote to leave the EU sparked the worst single day in global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.

However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices.

2 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

JPMorgan Equity Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	3.81%
S&P 500 Index**	3.99%
Net Assets as of 6/30/2016 (In Thousands)	$1,507,382

INVESTMENT OBJECTIVE***

The JPMorgan Equity Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500”) (the “Benchmark”).

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares performed largely in line with the Benchmark for the twelve months ended June 30, 2016, before considering the effect of Fund fees and expenses. This was consistent with its indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.

Despite three sharp sell-offs in global equity markets in August, January and June, U.S. equities overall turned in a positive performance for the twelve month reporting period. The consumer staples, information technology and utilities sectors were the largest contributors to performance of both the Fund and the Benchmark, while the financials, health care and energy sectors were the larges detractors from performance.

HOW WAS THE FUND POSITIONED?

Regardless of the market outlook, the Fund was managed in strict conformity with a full index replication strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO****
	1.	Apple, Inc.	2.9	%
	2.	Microsoft Corp.	2.2
	3.	Exxon Mobil Corp.	2.1
	4.	Johnson & Johnson	1.8
	5.	General Electric Co.	1.6
	6.	Amazon.com, Inc.	1.5
	7.	Berkshire Hathaway, Inc., Class B	1.5
	8.	AT&T, Inc.	1.5
	9.	Facebook, Inc., Class A	1.4
	10.	Verizon Communications, Inc.	1.2

PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	19.6	%
Financials	15.6
Health Care	14.6
Consumer Discretionary	12.2
Consumer Staples	10.5
Industrials	10.1
Energy	7.3
Utilities	3.6
Telecommunication Services	2.9
Materials	2.8
Short-Term Investment	0.8

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** “S&P 500 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor and is in no way affiliated with the Fund.

*** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 3

JPMorgan Equity Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	February 18, 1992
With Sales Charge*			(1.91	)%		10.39	%		6.39	%
Without Sales Charge			3.53			11.59			6.97
CLASS C SHARES	November 4, 1997
With CDSC**			1.76			10.75			6.17
Without CDSC			2.76			10.75			6.17
SELECT CLASS SHARES	July 2, 1991		3.81			11.86			7.23

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Equity Index Fund, the S&P 500 Index and the Lipper S&P 500 Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper S&P 500 Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the

expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper S&P 500 Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

4 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

JPMorgan Market Expansion Enhanced Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	0.47%
S&P 1000 Index**	0.93%
Net Assets as of 6/30/2016 (In Thousands)	$935,358

INVESTMENT OBJECTIVE***

The JPMorgan Market Expansion Enhanced Index Fund (the “Fund”) seeks to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- and mid-capitalization equity markets.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Standard & Poor’s 1000 Index (S&P 1000 Index) (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health services & systems sector and the real estate investment trust sector was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the software & services sector and the consumer staples sector was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Community Health Systems Inc., Jones Lang LaSalle Inc. and DiamondRock Hospitality Co. Shares of Community Health Systems, an operator of acute care hospitals, fell after the company reported lower than expected quarterly revenue and earnings. Shares of Jones Lang LaSalle, a real estate investment company, fell amid investor concerns that a strong U.S. dollar, an increase in interest rates and capital controls in China could hurt the company’s earnings. Shares of DiamondRock Hospitality, a lodging real estate investment trust, declined as investors expected the continued strength of the U.S. dollar would reduce foreign tourist traffic in the U.S.

Leading individual contributors to relative performance included the Fund’s overweight positions in Huntington Ingalls Industries Inc., Computer Sciences Co. and Insperity Inc. Shares of Huntington Ingalls, a maker and repairer of military ships, rose on growth in earnings and contracts. Shares of Computer Sciences, a provider of business computing services, rose on news of its merger with Hewlett-Packard Enterprise Co. Shares of Insperity, a provider of human resources services, rose after the company increased its quarterly dividend and reported better than expected quarterly earnings.

HOW WAS THE FUND POSITIONED?

The Fund seeks to closely track the sector and industry weights within the Benchmark. Because the Fund uses an enhanced index strategy, not all of the stocks in the Benchmark are held by the Fund, and the Fund’s position in an individual stock may be overweight or underweight as compared to the Benchmark. Looking at valuation and momentum, the Fund’s portfolio managers overweighted what they believed were attractively priced stocks with improving momentum and underweighted what they believed were expensive stocks with deteriorating momentum, based on their bottom-up approach to stock selection. In addition, the Fund may modestly overweight or underweight the sectors and industries within the Benchmark.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO****
	1.	Ingredion, Inc.	0.9	%
	2.	UGI Corp.	0.8
	3.	Atmos Energy Corp.	0.8
	4.	Synopsys, Inc.	0.8
	5.	Huntington Ingalls Industries, Inc.	0.8
	6.	Computer Sciences Corp.	0.7
	7.	Mid-America Apartment Communities, Inc.	0.7
	8.	Broadridge Financial Solutions, Inc.	0.7
	9.	Arrow Electronics, Inc.	0.7
	10.	Everest Re Group Ltd., (Bermuda)	0.6

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 5

JPMorgan Market Expansion Enhanced Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

PORTFOLIO COMPOSITION BY SECTOR****
Financials	24.5	%
Information Technology	16.8
Industrials	15.3
Consumer Discretionary	10.6
Health Care	10.2
Materials	7.1
Utilities	5.8
Consumer Staples	3.7
Energy	3.3
Telecommunication Services	0.7
Short-Term Investment	2.0

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** “S&P 1000 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor and is in no way affiliated with the Fund.

*** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

**** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

6 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	July 31, 1998
With Sales Charge*			(5.05	)%		9.32	%		7.12	%
Without Sales Charge			0.22			10.51			7.70
CLASS C SHARES	March 22, 1999
With CDSC**			(1.43	)		9.78			6.94
Without CDSC			(0.43	)		9.78			6.94
CLASS R2 SHARES	November 3, 2008		(0.05	)		10.23			7.37
SELECT CLASS SHARES	July 31, 1998		0.47			10.81			7.98

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to its inception date are based on the performance of Select Class Shares. All prior class performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Market Expansion Enhanced Index Fund, the S&P 1000 Index, the Lipper Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 1000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Core Funds

Index and the Lipper Mid-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 1000 Index is an unmanaged index generally representative of the performance of the small and mid-size companies in the U.S. stock market. The Lipper Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index are indices based on total returns of certain mutual funds within the small cap and mid cap categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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, 2016 J.P. MORGAN EQUITY FUNDS 7

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 99.5%
		Consumer Discretionary — 12.2%
		Auto Components — 0.3%
	18	BorgWarner, Inc.		530
	22	Delphi Automotive plc, (United Kingdom)		1,408
	22	Goodyear Tire & Rubber Co. (The)		563
	53	Johnson Controls, Inc.		2,365
				4,866
		Automobiles — 0.5%
	322	Ford Motor Co.		4,043
	115	General Motors Co.		3,268
	15	Harley-Davidson, Inc.		676
				7,987
		Distributors — 0.2%
	12	Genuine Parts Co.		1,249
	25	LKQ Corp. (a)		801
				2,050
		Diversified Consumer Services — 0.0% (g)
	18	H&R Block, Inc.		425
		Hotels, Restaurants & Leisure — 1.7%
	36	Carnival Corp.		1,597
	2	Chipotle Mexican Grill, Inc. (a)		970
	9	Darden Restaurants, Inc.		595
	16	Marriott International, Inc., Class A		1,045
	72	McDonald’s Corp.		8,707
	14	Royal Caribbean Cruises Ltd.		929
	121	Starbucks Corp.		6,897
	14	Starwood Hotels & Resorts Worldwide, Inc.		1,027
	9	Wyndham Worldwide Corp.		657
	7	Wynn Resorts Ltd.		608
	34	Yum! Brands, Inc.		2,785
				25,817
		Household Durables — 0.5%
	27	D.R. Horton, Inc.		856
	10	Garmin Ltd., (Switzerland)		410
	6	Harman International Industries, Inc.		418
	11	Leggett & Platt, Inc.		566
	15	Lennar Corp., Class A		697
	5	Mohawk Industries, Inc. (a)		997
	38	Newell Brands, Inc.		1,828
	26	PulteGroup, Inc.		506
	6	Whirlpool Corp.		1,043
				7,321
		Internet & Catalog Retail — 2.2%
	32	Amazon.com, Inc. (a)		22,821
	10	Expedia, Inc.		1,027

SHARES		SECURITY DESCRIPTION	VALUE($)
		Internet & Catalog Retail — continued
	35	Netflix, Inc. (a)		3,229
	4	Priceline Group, Inc. (The) (a)		5,107
	9	TripAdvisor, Inc. (a)		606
				32,790
		Leisure Products — 0.1%
	9	Hasbro, Inc.		777
	28	Mattel, Inc.		878
				1,655
		Media — 2.7%
	34	CBS Corp. (Non-Voting), Class B		1,864
	199	Comcast Corp., Class A		12,991
	12	Discovery Communications, Inc., Class A (a)		313
	20	Discovery Communications, Inc., Class C (a)		469
	33	Interpublic Group of Cos., Inc. (The)		766
	31	News Corp., Class A		356
	9	News Corp., Class B		104
	20	Omnicom Group, Inc.		1,597
	8	Scripps Networks Interactive, Inc., Class A		488
	18	TEGNA, Inc.		415
	65	Time Warner, Inc.		4,767
	90	Twenty-First Century Fox, Inc., Class A		2,443
	36	Twenty-First Century Fox, Inc., Class B		968
	29	Viacom, Inc., Class B		1,185
	123	Walt Disney Co. (The)		12,034
				40,760
		Multiline Retail — 0.6%
	23	Dollar General Corp.		2,199
	19	Dollar Tree, Inc. (a)		1,830
	15	Kohl’s Corp.		574
	25	Macy’s, Inc.		854
	11	Nordstrom, Inc.		402
	49	Target Corp.		3,391
				9,250
		Specialty Retail — 2.6%
	6	Advance Auto Parts, Inc.		980
	6	AutoNation, Inc. (a)		276
	2	AutoZone, Inc. (a)		1,954
	13	Bed Bath & Beyond, Inc.		550
	23	Best Buy Co., Inc.		711
	16	CarMax, Inc. (a)		783
	11	Foot Locker, Inc.		615
	19	Gap, Inc. (The)		397
	103	Home Depot, Inc. (The)		13,093
	21	L Brands, Inc.		1,400

SEE NOTES TO FINANCIAL STATEMENTS.

8 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Specialty Retail — continued
	73	Lowe’s Cos., Inc.		5,782
	8	O’Reilly Automotive, Inc. (a)		2,155
	33	Ross Stores, Inc.		1,877
	6	Signet Jewelers Ltd.		530
	53	Staples, Inc.		459
	9	Tiffany & Co.		548
	54	TJX Cos., Inc. (The)		4,208
	11	Tractor Supply Co.		1,003
	5	Ulta Salon Cosmetics & Fragrance, Inc. (a)		1,254
	7	Urban Outfitters, Inc. (a)		196
				38,771
		Textiles, Apparel & Luxury Goods — 0.8%
	23	Coach, Inc.		933
	31	Hanesbrands, Inc.		782
	15	Michael Kors Holdings Ltd., (United Kingdom) (a)		720
	110	NIKE, Inc., Class B		6,058
	7	PVH Corp.		629
	5	Ralph Lauren Corp.		421
	15	Under Armour, Inc., Class A (a)		606
	15	Under Armour, Inc., Class C (a)		552
	27	V.F. Corp.		1,691
				12,392
		Total Consumer Discretionary		184,084
		Consumer Staples — 10.5%
		Beverages — 2.3%
	8	Brown-Forman Corp., Class B		826
	321	Coca-Cola Co. (The)		14,547
	15	Constellation Brands, Inc., Class A		2,405
	15	Dr. Pepper Snapple Group, Inc.		1,480
	15	Molson Coors Brewing Co., Class B		1,535
	12	Monster Beverage Corp. (a)		1,865
	119	PepsiCo, Inc.		12,612
				35,270
		Food & Staples Retailing — 2.3%
	36	Costco Wholesale Corp.		5,670
	89	CVS Health Corp.		8,475
	79	Kroger Co. (The)		2,892
	43	Sysco Corp.		2,192
	71	Walgreens Boots Alliance, Inc.		5,931
	126	Wal-Mart Stores, Inc.		9,191
	26	Whole Foods Market, Inc.		848
				35,199

SHARES		SECURITY DESCRIPTION	VALUE($)
		Food Products — 1.9%
	48	Archer-Daniels-Midland Co.		2,077
	15	Campbell Soup Co.		983
	36	ConAgra Foods, Inc.		1,720
	49	General Mills, Inc.		3,494
	12	Hershey Co. (The)		1,315
	22	Hormel Foods Corp.		815
	10	JM Smucker Co. (The)		1,503
	21	Kellogg Co.		1,696
	49	Kraft Heinz Co. (The)		4,345
	10	McCormick & Co., Inc. (Non-Voting)		1,014
	15	Mead Johnson Nutrition Co.		1,396
	128	Mondelez International, Inc., Class A		5,822
	25	Tyson Foods, Inc., Class A		1,654
				27,834
		Household Products — 2.0%
	11	Church & Dwight Co., Inc.		1,088
	11	Clorox Co. (The)		1,475
	74	Colgate-Palmolive Co.		5,388
	30	Kimberly-Clark Corp.		4,081
	219	Procter & Gamble Co. (The)		18,576
				30,608
		Personal Products — 0.1%
	18	Estee Lauder Cos., Inc. (The), Class A		1,670
		Tobacco — 1.9%
	161	Altria Group, Inc.		11,120
	128	Philip Morris International, Inc.		13,005
	68	Reynolds American, Inc.		3,680
				27,805
		Total Consumer Staples		158,386
		Energy — 7.3%
		Energy Equipment & Services — 1.1%
	36	Baker Hughes, Inc.		1,629
	5	Diamond Offshore Drilling, Inc.		129
	19	FMC Technologies, Inc. (a)		498
	71	Halliburton Co.		3,207
	9	Helmerich & Payne, Inc.		598
	31	National Oilwell Varco, Inc.		1,046
	115	Schlumberger Ltd.		9,057
	28	Transocean Ltd., (Switzerland)		336
				16,500
		Oil, Gas & Consumable Fuels — 6.2%
	42	Anadarko Petroleum Corp.		2,240
	31	Apache Corp.		1,737

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 9

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Oil, Gas & Consumable Fuels — continued
	38	Cabot Oil & Gas Corp.		987
	48	Chesapeake Energy Corp. (a)		206
	155	Chevron Corp.		16,284
	8	Cimarex Energy Co.		932
	33	Columbia Pipeline Group, Inc.		840
	11	Concho Resources, Inc. (a)		1,281
	102	ConocoPhillips		4,450
	43	Devon Energy Corp.		1,566
	45	EOG Resources, Inc.		3,784
	14	EQT Corp.		1,102
	342	Exxon Mobil Corp.		32,037
	22	Hess Corp.		1,306
	151	Kinder Morgan, Inc.		2,823
	70	Marathon Oil Corp.		1,049
	44	Marathon Petroleum Corp.		1,658
	13	Murphy Oil Corp.		424
	16	Newfield Exploration Co. (a)		716
	35	Noble Energy, Inc.		1,267
	63	Occidental Petroleum Corp.		4,756
	17	ONEOK, Inc.		822
	39	Phillips 66		3,059
	13	Pioneer Natural Resources Co.		2,038
	14	Range Resources Corp.		604
	39	Southwestern Energy Co. (a)		491
	56	Spectra Energy Corp.		2,066
	10	Tesoro Corp.		741
	39	Valero Energy Corp.		1,975
	56	Williams Cos., Inc. (The)		1,218
				94,459
		Total Energy		110,959
		Financials — 15.7%
		Banks — 5.2%
	847	Bank of America Corp.		11,235
	68	BB&T Corp.		2,409
	242	Citigroup, Inc.		10,254
	43	Citizens Financial Group, Inc.		866
	14	Comerica, Inc.		594
	63	Fifth Third Bancorp		1,113
	66	Huntington Bancshares, Inc.		589
	301	JPMorgan Chase & Co. (q)		18,728
	69	KeyCorp		767
	13	M&T Bank Corp.		1,544
	26	People’s United Financial, Inc.		376
	41	PNC Financial Services Group, Inc. (The)		3,349
	104	Regions Financial Corp.		888

SHARES		SECURITY DESCRIPTION	VALUE($)
		Banks — continued
	41	SunTrust Banks, Inc.		1,697
	134	U.S. Bancorp		5,394
	381	Wells Fargo & Co.		18,023
	17	Zions Bancorporation		424
				78,250
		Capital Markets — 1.8%
	4	Affiliated Managers Group, Inc. (a)		624
	14	Ameriprise Financial, Inc.		1,228
	89	Bank of New York Mellon Corp. (The)		3,449
	10	BlackRock, Inc.		3,551
	99	Charles Schwab Corp. (The)		2,509
	23	E*TRADE Financial Corp. (a)		540
	30	Franklin Resources, Inc.		1,014
	32	Goldman Sachs Group, Inc. (The)		4,731
	34	Invesco Ltd.		878
	9	Legg Mason, Inc.		256
	125	Morgan Stanley		3,235
	18	Northern Trust Corp.		1,171
	33	State Street Corp.		1,760
	20	T. Rowe Price Group, Inc.		1,493
				26,439
		Consumer Finance — 0.7%
	67	American Express Co.		4,048
	42	Capital One Financial Corp.		2,681
	34	Discover Financial Services		1,821
	27	Navient Corp.		325
	69	Synchrony Financial (a)		1,738
				10,613
		Diversified Financial Services — 2.1%
	154	Berkshire Hathaway, Inc., Class B (a)		22,362
	28	CME Group, Inc.		2,719
	10	Intercontinental Exchange, Inc.		2,511
	27	Leucadia National Corp.		476
	14	Moody’s Corp.		1,306
	9	Nasdaq, Inc.		614
	22	S&P Global, Inc.		2,339
				32,327
		Insurance — 2.7%
	34	Aflac, Inc.		2,462
	31	Allstate Corp. (The)		2,158
	92	American International Group, Inc.		4,878
	22	Aon plc, (United Kingdom)		2,385
	15	Arthur J. Gallagher & Co.		695
	5	Assurant, Inc.		441

SEE NOTES TO FINANCIAL STATEMENTS.

10 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Insurance — continued
	38	Chubb Ltd., (Switzerland)		5,004
	12	Cincinnati Financial Corp.		913
	32	Hartford Financial Services Group, Inc. (The)		1,439
	20	Lincoln National Corp.		764
	22	Loews Corp.		907
	43	Marsh & McLennan Cos., Inc.		2,941
	91	MetLife, Inc.		3,607
	22	Principal Financial Group, Inc.		913
	48	Progressive Corp. (The)		1,610
	36	Prudential Financial, Inc.		2,599
	9	Torchmark Corp.		572
	24	Travelers Cos., Inc. (The)		2,869
	20	Unum Group		623
	11	Willis Towers Watson plc, (United Kingdom)		1,418
	23	XL Group plc, (Ireland)		781
				39,979
		Real Estate Investment Trusts (REITs) — 3.2%
	35	American Tower Corp.		3,976
	13	Apartment Investment & Management Co., Class A		570
	11	AvalonBay Communities, Inc.		2,039
	13	Boston Properties, Inc.		1,670
	28	Crown Castle International Corp.		2,816
	12	Digital Realty Trust, Inc.		1,319
	6	Equinix, Inc.		2,219
	30	Equity Residential		2,075
	5	Essex Property Trust, Inc.		1,230
	10	Extra Space Storage, Inc.		955
	6	Federal Realty Investment Trust		968
	48	General Growth Properties, Inc.		1,433
	38	HCP, Inc.		1,362
	62	Host Hotels & Resorts, Inc.		998
	20	Iron Mountain, Inc.		785
	35	Kimco Realty Corp.		1,085
	10	Macerich Co. (The)		888
	43	Prologis, Inc.		2,124
	12	Public Storage		3,105
	21	Realty Income Corp.		1,473
	26	Simon Property Group, Inc.		5,531
	8	SL Green Realty Corp.		880
	22	UDR, Inc.		813
	28	Ventas, Inc.		2,029
	15	Vornado Realty Trust		1,464
	29	Welltower, Inc.		2,241
	62	Weyerhaeuser Co.		1,833
				47,881

SHARES		SECURITY DESCRIPTION	VALUE($)
		Real Estate Management & Development — 0.0% (g)
	24	CBRE Group, Inc., Class A (a)		637
		Total Financials		236,126
		Health Care — 14.6%
		Biotechnology — 2.3%
	18	Alexion Pharmaceuticals, Inc. (a)		2,156
	62	Amgen, Inc.		9,420
	18	Biogen, Inc. (a)		4,366
	64	Celgene Corp. (a)		6,297
	110	Gilead Sciences, Inc.		9,157
	6	Regeneron Pharmaceuticals, Inc. (a)		2,245
	20	Vertex Pharmaceuticals, Inc. (a)		1,754
				35,395
		Health Care Equipment & Supplies — 2.5%
	121	Abbott Laboratories		4,760
	46	Baxter International, Inc.		2,058
	17	Becton, Dickinson and Co.		2,966
	112	Boston Scientific Corp. (a)		2,614
	6	C.R. Bard, Inc.		1,421
	19	Dentsply Sirona, Inc.		1,198
	17	Edwards Lifesciences Corp. (a)		1,741
	20	Hologic, Inc. (a)		692
	3	Intuitive Surgical, Inc. (a)		2,075
	116	Medtronic plc, (Ireland)		10,056
	23	St. Jude Medical, Inc.		1,828
	26	Stryker Corp.		3,103
	8	Varian Medical Systems, Inc. (a)		645
	16	Zimmer Biomet Holdings, Inc.		1,976
				37,133
		Health Care Providers & Services — 2.8%
	29	Aetna, Inc.		3,529
	15	AmerisourceBergen Corp.		1,199
	22	Anthem, Inc.		2,847
	27	Cardinal Health, Inc.		2,095
	14	Centene Corp. (a)		1,003
	21	Cigna Corp.		2,706
	13	DaVita HealthCare Partners, Inc. (a)		1,040
	52	Express Scripts Holding Co. (a)		3,953
	25	HCA Holdings, Inc. (a)		1,911
	7	Henry Schein, Inc. (a)		1,196
	12	Humana, Inc.		2,210
	8	Laboratory Corp. of America Holdings (a)		1,099
	19	McKesson Corp.		3,462
	7	Patterson Cos., Inc.		329
	12	Quest Diagnostics, Inc.		949

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 11

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Health Care Providers & Services — continued
	78	UnitedHealth Group, Inc.		11,065
	7	Universal Health Services, Inc., Class B		992
				41,585
		Health Care Technology — 0.1%
	25	Cerner Corp. (a)		1,453
		Life Sciences Tools & Services — 0.6%
	27	Agilent Technologies, Inc.		1,198
	12	Illumina, Inc. (a)		1,703
	9	PerkinElmer, Inc.		471
	32	Thermo Fisher Scientific, Inc.		4,793
	7	Waters Corp. (a)		938
				9,103
		Pharmaceuticals — 6.3%
	133	AbbVie, Inc.		8,253
	33	Allergan plc (a)		7,534
	138	Bristol-Myers Squibb Co.		10,119
	80	Eli Lilly & Co.		6,305
	17	Endo International plc, (Ireland) (a)		263
	227	Johnson & Johnson		27,500
	9	Mallinckrodt plc (a)		548
	228	Merck & Co., Inc.		13,143
	35	Mylan N.V. (a)		1,522
	12	Perrigo Co. plc, (Ireland)		1,070
	500	Pfizer, Inc.		17,601
	38	Zoetis, Inc.		1,786
				95,644
		Total Health Care		220,313
		Industrials — 10.1%
		Aerospace & Defense — 2.6%
	49	Boeing Co. (The)		6,409
	24	General Dynamics Corp.		3,297
	63	Honeywell International, Inc.		7,307
	6	L-3 Communications Holdings, Inc.		930
	22	Lockheed Martin Corp.		5,355
	15	Northrop Grumman Corp.		3,306
	24	Raytheon Co.		3,328
	11	Rockwell Collins, Inc.		914
	22	Textron, Inc.		810
	4	TransDigm Group, Inc. (a)		1,152
	64	United Technologies Corp.		6,578
				39,386
		Air Freight & Logistics — 0.7%
	12	C.H. Robinson Worldwide, Inc.		874

SHARES		SECURITY DESCRIPTION	VALUE($)
		Air Freight & Logistics — continued
	15	Expeditors International of Washington, Inc.		736
	21	FedEx Corp.		3,123
	57	United Parcel Service, Inc., Class B		6,130
				10,863
		Airlines — 0.5%
	10	Alaska Air Group, Inc.		592
	48	American Airlines Group, Inc.		1,349
	64	Delta Air Lines, Inc.		2,317
	53	Southwest Airlines Co.		2,064
	28	United Continental Holdings, Inc. (a)		1,136
				7,458
		Building Products — 0.1%
	8	Allegion plc, (Ireland)		548
	13	Fortune Brands Home & Security, Inc.		733
	27	Masco Corp.		848
				2,129
		Commercial Services & Supplies — 0.4%
	7	Cintas Corp.		701
	16	Pitney Bowes, Inc.		277
	20	Republic Services, Inc.		1,003
	7	Stericycle, Inc. (a)		729
	35	Tyco International plc		1,494
	34	Waste Management, Inc.		2,257
				6,461
		Construction & Engineering — 0.1%
	11	Fluor Corp.		565
	10	Jacobs Engineering Group, Inc. (a)		501
	12	Quanta Services, Inc. (a)		288
				1,354
		Electrical Equipment — 0.5%
	4	Acuity Brands, Inc.		896
	19	AMETEK, Inc.		889
	38	Eaton Corp. plc		2,255
	53	Emerson Electric Co.		2,766
	11	Rockwell Automation, Inc.		1,232
				8,038
		Industrial Conglomerates — 2.6%
	50	3M Co.		8,754
	49	Danaher Corp.		4,988
	758	General Electric Co. (k)		23,859
	8	Roper Technologies, Inc.		1,423
				39,024

SEE NOTES TO FINANCIAL STATEMENTS.

12 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Machinery — 1.3%
	48	Caterpillar, Inc.		3,648
	13	Cummins, Inc.		1,468
	25	Deere & Co.		1,994
	13	Dover Corp.		887
	11	Flowserve Corp.		485
	27	Illinois Tool Works, Inc.		2,777
	21	Ingersoll-Rand plc		1,351
	29	PACCAR, Inc.		1,498
	11	Parker-Hannifin Corp.		1,200
	15	Pentair plc, (United Kingdom)		868
	5	Snap-on, Inc.		756
	12	Stanley Black & Decker, Inc.		1,376
	15	Xylem, Inc.		659
				18,967
		Professional Services — 0.3%
	3	Dun & Bradstreet Corp. (The)		364
	10	Equifax, Inc.		1,259
	30	Nielsen Holdings plc		1,546
	11	Robert Half International, Inc.		413
	13	Verisk Analytics, Inc. (a)		1,034
				4,616
		Road & Rail — 0.8%
	79	CSX Corp.		2,055
	7	J.B. Hunt Transport Services, Inc.		594
	9	Kansas City Southern		802
	24	Norfolk Southern Corp.		2,075
	4	Ryder System, Inc.		270
	69	Union Pacific Corp.		6,048
				11,844
		Trading Companies & Distributors — 0.2%
	24	Fastenal Co.		1,057
	7	United Rentals, Inc. (a)		489
	5	W.W. Grainger, Inc.		1,057
				2,603
		Total Industrials		152,743
		Information Technology — 19.7%
		Communications Equipment — 1.0%
	415	Cisco Systems, Inc.		11,894
	6	F5 Networks, Inc. (a)		628
	10	Harris Corp.		858
	29	Juniper Networks, Inc.		655
	13	Motorola Solutions, Inc.		864
				14,899

SHARES		SECURITY DESCRIPTION	VALUE($)
		Electronic Equipment, Instruments & Components — 0.3%
	25	Amphenol Corp., Class A		1,455
	89	Corning, Inc.		1,815
	11	FLIR Systems, Inc.		351
	29	TE Connectivity Ltd., (Switzerland)		1,684
				5,305
		Internet Software & Services — 4.1%
	14	Akamai Technologies, Inc. (a)		810
	24	Alphabet, Inc., Class A (a)		17,029
	24	Alphabet, Inc., Class C (a)		16,849
	87	eBay, Inc. (a)		2,039
	191	Facebook, Inc., Class A (a)		21,776
	8	VeriSign, Inc. (a)		680
	72	Yahoo!, Inc. (a)		2,705
				61,888
		IT Services — 3.7%
	51	Accenture plc, (Ireland), Class A		5,825
	5	Alliance Data Systems Corp. (a)		952
	38	Automatic Data Processing, Inc.		3,449
	50	Cognizant Technology Solutions Corp., Class A (a)		2,858
	11	CSRA, Inc.		265
	23	Fidelity National Information Services, Inc.		1,685
	18	Fiserv, Inc. (a)		1,993
	13	Global Payments, Inc.		906
	73	International Business Machines Corp.		11,048
	80	MasterCard, Inc., Class A		7,046
	26	Paychex, Inc.		1,572
	91	PayPal Holdings, Inc. (a)		3,319
	11	Teradata Corp. (a)		269
	14	Total System Services, Inc.		739
	157	Visa, Inc., Class A		11,644
	40	Western Union Co. (The)		776
	78	Xerox Corp.		745
				55,091
		Semiconductors & Semiconductor Equipment — 2.8%
	25	Analog Devices, Inc.		1,435
	90	Applied Materials, Inc.		2,152
	31	Broadcom Ltd., (Singapore)		4,751
	6	First Solar, Inc. (a)		306
	389	Intel Corp.		12,765
	13	KLA-Tencor Corp.		940
	13	Lam Research Corp.		1,106
	20	Linear Technology Corp.		917
	18	Microchip Technology, Inc.		899

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 13

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	85	Micron Technology, Inc. (a)		1,176
	42	NVIDIA Corp.		1,966
	11	Qorvo, Inc. (a)		581
	121	QUALCOMM, Inc.		6,486
	16	Skyworks Solutions, Inc.		992
	83	Texas Instruments, Inc.		5,185
	21	Xilinx, Inc.		965
				42,622
		Software — 4.2%
	42	Activision Blizzard, Inc.		1,664
	41	Adobe Systems, Inc. (a)		3,949
	19	Autodesk, Inc. (a)		1,002
	24	CA, Inc.		801
	13	Citrix Systems, Inc. (a)		1,024
	25	Electronic Arts, Inc. (a)		1,883
	21	Intuit, Inc.		2,354
	648	Microsoft Corp.		33,151
	257	Oracle Corp.		10,500
	15	Red Hat, Inc. (a)		1,086
	52	salesforce.com, Inc. (a)		4,168
	50	Symantec Corp.		1,036
				62,618
		Technology Hardware, Storage & Peripherals — 3.6%
	451	Apple, Inc.		43,159
	161	EMC Corp.		4,374
	137	Hewlett Packard Enterprise Co.		2,502
	141	HP, Inc.		1,770
	24	NetApp, Inc.		586
	25	Seagate Technology plc		599
	23	Western Digital Corp.		1,096
				54,086
		Total Information Technology		296,509
		Materials — 2.9%
		Chemicals — 2.1%
	16	Air Products & Chemicals, Inc.		2,277
	9	Albemarle Corp.		734
	19	CF Industries Holdings, Inc.		463
	93	Dow Chemical Co. (The)		4,600
	72	E.I. du Pont de Nemours & Co.		4,665
	12	Eastman Chemical Co.		832
	22	Ecolab, Inc.		2,580
	11	FMC Corp.		511
	7	International Flavors & Fragrances, Inc.		828
	28	LyondellBasell Industries N.V., Class A		2,094

SHARES		SECURITY DESCRIPTION	VALUE($)
		Chemicals — continued
	36	Monsanto Co.		3,723
	29	Mosaic Co. (The)		755
	22	PPG Industries, Inc.		2,284
	24	Praxair, Inc.		2,643
	6	Sherwin-Williams Co. (The)		1,903
				30,892
		Construction Materials — 0.2%
	5	Martin Marietta Materials, Inc.		1,005
	11	Vulcan Materials Co.		1,322
				2,327
		Containers & Packaging — 0.3%
	7	Avery Dennison Corp.		550
	14	Ball Corp.		1,037
	34	International Paper Co.		1,436
	13	Owens-Illinois, Inc. (a)		240
	16	Sealed Air Corp.		747
	21	WestRock Co.		809
				4,819
		Metals & Mining — 0.3%
	108	Alcoa, Inc.		1,005
	103	Freeport-McMoRan, Inc.		1,150
	44	Newmont Mining Corp.		1,710
	26	Nucor Corp.		1,295
				5,160
		Total Materials		43,198
		Telecommunication Services — 2.9%
		Diversified Telecommunication Services — 2.9%
	507	AT&T, Inc.		21,924
	45	CenturyLink, Inc.		1,305
	97	Frontier Communications Corp.		478
	24	Level 3 Communications, Inc. (a)		1,230
	336	Verizon Communications, Inc.		18,761
		Total Telecommunication Services		43,698
		Utilities — 3.6%
		Electric Utilities — 2.2%
	40	American Electric Power Co., Inc.		2,838
	57	Duke Energy Corp.		4,871
	27	Edison International		2,086
	15	Entergy Corp.		1,198
	26	Eversource Energy		1,566
	76	Exelon Corp.		2,762
	35	FirstEnergy Corp.		1,222
	38	NextEra Energy, Inc.		4,960

SEE NOTES TO FINANCIAL STATEMENTS.

14 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Electric Utilities — continued
	41	PG&E Corp.		2,613
	9	Pinnacle West Capital Corp.		743
	56	PPL Corp.		2,106
	77	Southern Co. (The)		4,149
	42	Xcel Energy, Inc.		1,875
				32,989
		Gas Utilities — 0.0% (g)
	10	AGL Resources, Inc.		656
		Independent Power & Renewable Electricity Producers — 0.1%
	54	AES Corp.		678
	26	NRG Energy, Inc.		389
				1,067
		Multi-Utilities — 1.2%
	20	Ameren Corp.		1,071
	35	CenterPoint Energy, Inc.		852
	23	CMS Energy Corp.		1,055
	25	Consolidated Edison, Inc.		2,017
	51	Dominion Resources, Inc.		3,958
	15	DTE Energy Co.		1,466
	27	NiSource, Inc.		703
	42	Public Service Enterprise Group, Inc.		1,944
	12	SCANA Corp.		891
	20	Sempra Energy		2,227
	19	TECO Energy, Inc.		537
	26	WEC Energy Group, Inc.		1,699
				18,420

SHARES		SECURITY DESCRIPTION	VALUE($)
		Water Utilities — 0.1%
	15	American Water Works Co., Inc.		1,238
		Total Utilities		54,370
		Total Common Stocks (Cost $485,912)		1,500,386
NUMBER OF RIGHTS
	Rights — 0.0% (g)
		Consumer Staples — 0.0% (g)
		Food & Staples Retailing — 0.0% (g)
	25	Safeway, Inc., PDC CVR, expiring 01/30/17 (a)		1
	25	Safeway, Inc., PDC CVR, expiring 01/30/18 (a)		2
		Total Rights (Cost $—)		3
SHARES
	Short-Term Investment — 0.8%
		Investment Company — 0.8%
	11,729	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $11,729)		11,729
		Total Investments — 100.3% (Cost $497,641)		1,512,118
		Liabilities in Excess of Other Assets — (0.3)%		(4,736	)
		NET ASSETS — 100.0%	$	1,507,382

Percentages indicated are based on net assets.

Futures Contracts
	NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	103	E-mini S&P 500		09/16/16		USD	$	10,765	$	99

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 15

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.8%
		Consumer Discretionary — 10.5%
		Auto Components — 0.4%
	218	Dana Holding Corp.		2,302
	11	Drew Industries, Inc.		916
	9	Gentherm, Inc. (a)		302
	12	Standard Motor Products, Inc.		485
				4,005
		Automobiles — 0.2%
	19	Thor Industries, Inc.		1,233
	14	Winnebago Industries, Inc.		309
				1,542
		Distributors — 0.5%
	7	Core-Mark Holding Co., Inc.		338
	132	LKQ Corp. (a)		4,181
				4,519
		Diversified Consumer Services — 0.2%
	7	Capella Education Co.		345
	2	Graham Holdings Co., Class B		979
	5	Strayer Education, Inc. (a)		241
				1,565
		Hotels, Restaurants & Leisure — 1.9%
	10	BJ’s Restaurants, Inc. (a)		421
	38	Boyd Gaming Corp. (a)		692
	69	Brinker International, Inc.		3,145
	6	Buffalo Wild Wings, Inc. (a)		834
	38	Cheesecake Factory, Inc. (The)		1,805
	13	Cracker Barrel Old Country Store, Inc.		2,233
	3	Domino’s Pizza, Inc.		355
	16	Jack in the Box, Inc.		1,357
	12	Marriott Vacations Worldwide Corp.		838
	21	Panera Bread Co., Class A (a)		4,387
	6	Red Robin Gourmet Burgers, Inc. (a)		275
	27	Ruby Tuesday, Inc. (a)		98
	26	Texas Roadhouse, Inc.		1,202
				17,642
		Household Durables — 1.6%
	14	Helen of Troy Ltd. (a)		1,407
	22	La-Z-Boy, Inc.		617
	16	Meritage Homes Corp. (a)		601
	3	NVR, Inc. (a)		5,144
	26	Tempur Sealy International, Inc. (a)		1,416
	66	Toll Brothers, Inc. (a)		1,784
	77	TopBuild Corp. (a)		2,798
	22	Tupperware Brands Corp.		1,264
				15,031

SHARES		SECURITY DESCRIPTION	VALUE($)
		Internet & Catalog Retail — 0.1%
	6	Blue Nile, Inc.		160
	13	HSN, Inc.		656
	10	Nutrisystem, Inc.		261
				1,077
		Leisure Products — 0.7%
	41	Brunswick Corp.		1,840
	259	Callaway Golf Co.		2,649
	9	Polaris Industries, Inc.		750
	7	Sturm Ruger & Co., Inc.		467
	27	Vista Outdoor, Inc. (a)		1,275
				6,981
		Media — 0.8%
	37	AMC Networks, Inc., Class A (a)		2,260
	1	Cable One, Inc.		409
	47	Cinemark Holdings, Inc.		1,695
	62	Live Nation Entertainment, Inc. (a)		1,468
	16	Meredith Corp.		818
	46	Time, Inc.		760
				7,410
		Multiline Retail — 0.2%
	25	Big Lots, Inc.		1,259
	116	J.C. Penney Co., Inc. (a)		1,032
				2,291
		Specialty Retail — 2.7%
	123	Aaron’s, Inc.		2,685
	39	Abercrombie & Fitch Co., Class A		696
	73	American Eagle Outfitters, Inc.		1,166
	57	Ascena Retail Group, Inc. (a)		397
	53	Caleres, Inc.		1,271
	74	Cato Corp. (The), Class A		2,809
	69	Chico’s FAS, Inc.		739
	40	Children’s Place, Inc. (The)		3,178
	30	CST Brands, Inc.		1,301
	41	Dick’s Sporting Goods, Inc.		1,835
	33	Express, Inc. (a)		472
	22	Finish Line, Inc. (The), Class A		446
	10	Group 1 Automotive, Inc.		501
	123	Guess?, Inc.		1,847
	8	Haverty Furniture Cos., Inc.		136
	14	Kirkland’s, Inc. (a)		205
	25	Lithia Motors, Inc., Class A		1,785
	30	Murphy USA, Inc. (a)		2,232
	359	Office Depot, Inc. (a)		1,189
	7	Outerwall, Inc.		294

SEE NOTES TO FINANCIAL STATEMENTS.

16 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Specialty Retail — continued
	22	Select Comfort Corp. (a)		475
				25,659
		Textiles, Apparel & Luxury Goods — 1.2%
	31	Carter’s, Inc.		3,301
	31	Crocs, Inc. (a)		354
	12	Deckers Outdoor Corp. (a)		696
	17	Fossil Group, Inc. (a)		471
	57	Kate Spade & Co. (a)		1,171
	8	Movado Group, Inc.		163
	6	Oxford Industries, Inc.		334
	44	Perry Ellis International, Inc. (a)		887
	61	Skechers U.S.A., Inc., Class A (a)		1,823
	25	Steven Madden Ltd. (a)		849
	39	Wolverine World Wide, Inc.		786
				10,835
		Total Consumer Discretionary		98,557
		Consumer Staples — 3.7%
		Food & Staples Retailing — 0.6%
	17	Casey’s General Stores, Inc.		2,270
	75	SpartanNash Co.		2,283
	9	Sprouts Farmers Market, Inc. (a)		208
	201	SUPERVALU, Inc. (a)		950
				5,711
		Food Products — 2.5%
	26	B&G Foods, Inc.		1,232
	71	Darling Ingredients, Inc. (a)		1,053
	154	Dean Foods Co.		2,777
	80	Flowers Foods, Inc.		1,508
	31	Hain Celestial Group, Inc. (The) (a)		1,526
	62	Ingredion, Inc.		8,032
	6	J&J Snack Foods Corp.		715
	51	Post Holdings, Inc. (a)		4,184
	9	Sanderson Farms, Inc.		747
	13	Seneca Foods Corp., Class A (a)		487
	19	WhiteWave Foods Co. (The) (a)		887
				23,148
		Household Products — 0.5%
	57	Central Garden & Pet Co. (a)		1,308
	91	Central Garden & Pet Co., Class A (a)		1,965
	28	Energizer Holdings, Inc.		1,418
				4,691

SHARES		SECURITY DESCRIPTION	VALUE($)
		Personal Products — 0.1%
	174	Avon Products, Inc.		658
	6	Medifast, Inc.		194
				852
		Tobacco — 0.0% (g)
	10	Universal Corp.		554
		Total Consumer Staples		34,956
		Energy — 3.3%
		Energy Equipment & Services — 1.5%
	179	Archrock, Inc.		1,684
	24	Atwood Oceanics, Inc.		296
	46	Bristow Group, Inc.		523
	17	Dril-Quip, Inc. (a)		994
	123	Ensco plc, (United Kingdom), Class A		1,193
	14	Exterran Corp. (a)		175
	49	Gulf Island Fabrication, Inc.		341
	173	Helix Energy Solutions Group, Inc. (a)		1,172
	120	Nabors Industries Ltd.		1,208
	105	Noble Corp. plc, (United Kingdom)		864
	20	Oil States International, Inc. (a)		670
	65	Patterson-UTI Energy, Inc.		1,391
	25	Pioneer Energy Services Corp. (a)		115
	54	Rowan Cos. plc, Class A		945
	135	Superior Energy Services, Inc.		2,483
	13	Tesco Corp.		86
				14,140
		Oil, Gas & Consumable Fuels — 1.8%
	19	Bill Barrett Corp. (a)		124
	6	Contango Oil & Gas Co. (a)		71
	162	Denbury Resources, Inc.		583
	42	Energen Corp.		2,035
	17	Green Plains, Inc.		325
	53	Gulfport Energy Corp. (a)		1,663
	139	HollyFrontier Corp.		3,308
	5	PDC Energy, Inc. (a)		311
	108	QEP Resources, Inc.		1,895
	3	REX American Resources Corp. (a)		191
	29	SM Energy Co.		786
	78	Synergy Resources Corp. (a)		520
	29	Western Refining, Inc.		594
	37	World Fuel Services Corp.		1,765
	234	WPX Energy, Inc. (a)		2,182
				16,353
		Total Energy		30,493

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 17

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Financials — 24.5%
		Banks — 6.3%
	142	Associated Banc-Corp.		2,438
	19	Banc of California, Inc.		338
	48	BancorpSouth, Inc.		1,085
	29	Bank of Hawaii Corp.		1,991
	24	Bank of the Ozarks, Inc.		913
	7	Banner Corp.		316
	34	BBCN Bancorp, Inc.		503
	34	Boston Private Financial Holdings, Inc.		402
	32	Brookline Bancorp, Inc.		356
	35	Cathay General Bancorp		994
	28	Columbia Banking System, Inc.		781
	2	Commerce Bancshares, Inc.		96
	18	Community Bank System, Inc.		755
	38	CVB Financial Corp.		617
	138	East West Bancorp, Inc.		4,722
	49	First BanCorp, (Puerto Rico) (a)		196
	23	First Financial Bancorp		438
	55	First Horizon National Corp.		761
	164	First Midwest Bancorp, Inc.		2,876
	8	First NBC Bank Holding Co. (a)		131
	91	Fulton Financial Corp.		1,232
	35	Hancock Holding Co.		911
	62	Hanmi Financial Corp.		1,460
	37	Home BancShares, Inc.		734
	13	Independent Bank Corp.		593
	17	LegacyTexas Financial Group, Inc.		447
	24	MB Financial, Inc.		873
	15	NBT Bancorp, Inc.		439
	103	PacWest Bancorp		4,098
	15	Pinnacle Financial Partners, Inc.		730
	28	PrivateBancorp, Inc.		1,241
	20	Signature Bank (a)		2,448
	16	Simmons First National Corp., Class A		744
	187	Sterling Bancorp		2,936
	26	SVB Financial Group (a)		2,484
	136	Synovus Financial Corp.		3,949
	263	TCF Financial Corp.		3,324
	19	Texas Capital Bancshares, Inc. (a)		870
	35	Trustmark Corp.		865
	17	UMB Financial Corp.		878
	133	Umpqua Holdings Corp.		2,052
	152	United Community Banks, Inc.		2,778
	38	Webster Financial Corp.		1,275
	24	Wilshire Bancorp, Inc.		252
	20	Wintrust Financial Corp.		1,026
				59,348

SHARES		SECURITY DESCRIPTION	VALUE($)
		Capital Markets — 1.9%
	22	Eaton Vance Corp.		784
	61	Evercore Partners, Inc., Class A		2,704
	21	Federated Investors, Inc., Class B		607
	8	INTL. FCStone, Inc. (a)		205
	59	Janus Capital Group, Inc.		827
	6	Piper Jaffray Cos. (a)		242
	101	Raymond James Financial, Inc.		5,003
	116	SEI Investments Co.		5,578
	26	Stifel Financial Corp. (a)		803
	36	Waddell & Reed Financial, Inc., Class A		615
				17,368
		Consumer Finance — 0.3%
	24	Cash America International, Inc.		1,021
	9	Encore Capital Group, Inc. (a)		216
	18	Green Dot Corp., Class A (a)		414
	174	SLM Corp. (a)		1,073
				2,724
		Diversified Financial Services — 0.9%
	3	CBOE Holdings, Inc.		177
	18	FactSet Research Systems, Inc.		2,889
	16	MarketAxess Holdings, Inc.		2,268
	39	MSCI, Inc.		2,969
				8,303
		Insurance — 4.6%
	7	Alleghany Corp. (a)		3,717
	63	American Financial Group, Inc.		4,626
	8	AMERISAFE, Inc.		472
	70	Aspen Insurance Holdings Ltd., (Bermuda)		3,262
	39	Brown & Brown, Inc.		1,459
	6	eHealth, Inc. (a)		88
	31	Everest Re Group Ltd., (Bermuda)		5,748
	114	First American Financial Corp.		4,565
	59	Hanover Insurance Group, Inc. (The)		4,970
	3	Navigators Group, Inc. (The)		298
	225	Old Republic International Corp.		4,336
	55	Reinsurance Group of America, Inc.		5,364
	24	Selective Insurance Group, Inc.		912
	12	Stewart Information Services Corp.		478
	17	United Fire Group, Inc.		700
	39	W.R. Berkley Corp.		2,347
				43,342
		Real Estate Investment Trusts (REITs) — 9.4%
	19	Acadia Realty Trust		676
	27	Alexandria Real Estate Equities, Inc.		2,789

SEE NOTES TO FINANCIAL STATEMENTS.

18 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Real Estate Investment Trusts (REITs) — continued
	16	American Assets Trust, Inc.		658
	56	American Campus Communities, Inc.		2,953
	10	Camden Property Trust		916
	64	Care Capital Properties, Inc.		1,672
	30	Cedar Realty Trust, Inc.		226
	23	Chesapeake Lodging Trust		528
	54	Communications Sales & Leasing, Inc.		1,558
	16	CoreSite Realty Corp.		1,384
	121	Corporate Office Properties Trust		3,573
	56	Corrections Corp. of America		1,955
	106	Cousins Properties, Inc.		1,107
	299	DiamondRock Hospitality Co.		2,696
	80	Douglas Emmett, Inc.		2,838
	136	Duke Realty Corp.		3,623
	4	EastGroup Properties, Inc.		279
	20	EPR Properties		1,631
	11	Equity One, Inc.		347
	31	Franklin Street Properties Corp.		381
	29	GEO Group, Inc. (The)		1,002
	11	Getty Realty Corp.		246
	17	Government Properties Income Trust		384
	57	Highwoods Properties, Inc.		2,984
	62	Hospitality Properties Trust		1,790
	41	Kilroy Realty Corp.		2,708
	129	Kite Realty Group Trust		3,628
	49	Liberty Property Trust		1,954
	38	Mack-Cali Realty Corp.		1,020
	104	Medical Properties Trust, Inc.		1,588
	64	Mid-America Apartment Communities, Inc.		6,802
	9	Parkway Properties, Inc.		155
	47	Post Properties, Inc.		2,887
	15	PS Business Parks, Inc.		1,640
	142	Rayonier, Inc.		3,731
	39	Regency Centers Corp.		3,244
	42	Retail Opportunity Investments Corp.		917
	5	Saul Centers, Inc.		314
	158	Senior Housing Properties Trust		3,285
	13	Sovran Self Storage, Inc.		1,393
	248	Summit Hotel Properties, Inc.		3,282
	40	Tanger Factory Outlet Centers, Inc.		1,619
	58	Taubman Centers, Inc.		4,273
	10	Urstadt Biddle Properties, Inc., Class A		248
	52	Weingarten Realty Investors		2,138
	217	WP Glimcher, Inc.		2,425
				87,447

SHARES		SECURITY DESCRIPTION	VALUE($)
		Real Estate Management & Development — 0.7%
	21	Alexander & Baldwin, Inc.		742
	14	Forestar Group, Inc. (a)		163
	49	HFF, Inc., Class A		1,408
	40	Jones Lang LaSalle, Inc.		3,902
	8	RE/MAX Holdings, Inc., Class A		306
				6,521
		Thrifts & Mortgage Finance — 0.4%
	30	BofI Holding, Inc. (a)		528
	101	Dime Community Bancshares, Inc.		1,709
	37	New York Community Bancorp, Inc.		551
	23	Provident Financial Services, Inc.		451
	39	TrustCo Bank Corp.		249
	13	Walker & Dunlop, Inc. (a)		294
				3,782
		Total Financials		228,835
		Health Care — 10.2%
		Biotechnology — 0.9%
	62	Acorda Therapeutics, Inc. (a)		1,576
	8	Emergent BioSolutions, Inc. (a)		236
	243	Momenta Pharmaceuticals, Inc. (a)		2,620
	37	United Therapeutics Corp. (a)		3,885
				8,317
		Health Care Equipment & Supplies — 3.6%
	16	ABIOMED, Inc. (a)		1,781
	34	Align Technology, Inc. (a)		2,739
	47	AngioDynamics, Inc. (a)		680
	12	CONMED Corp.		578
	22	Cooper Cos., Inc. (The)		3,757
	9	Cynosure, Inc., Class A (a)		423
	22	Haemonetics Corp. (a)		626
	72	Hill-Rom Holdings, Inc.		3,612
	6	ICU Medical, Inc. (a)		710
	20	IDEXX Laboratories, Inc. (a)		1,839
	12	LivaNova plc, (United Kingdom) (a)		598
	66	Masimo Corp. (a)		3,482
	61	Natus Medical, Inc. (a)		2,313
	22	NuVasive, Inc. (a)		1,302
	62	ResMed, Inc.		3,889
	38	STERIS plc, (United Kingdom)		2,585
	12	Teleflex, Inc.		2,146
	4	West Pharmaceutical Services, Inc.		273
				33,333

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 19

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Health Care Providers & Services — 3.5%
	7	Amedisys, Inc. (a)		353
	17	AMN Healthcare Services, Inc. (a)		674
	23	Amsurg Corp. (a)		1,802
	86	Community Health Systems, Inc. (a)		1,041
	33	Cross Country Healthcare, Inc. (a)		465
	14	Ensign Group, Inc. (The)		287
	18	Healthways, Inc. (a)		202
	61	Kindred Healthcare, Inc.		689
	51	LifePoint Health, Inc. (a)		3,314
	43	Magellan Health, Inc. (a)		2,859
	40	MEDNAX, Inc. (a)		2,918
	52	Molina Healthcare, Inc. (a)		2,584
	84	Owens & Minor, Inc.		3,144
	67	PharMerica Corp. (a)		1,655
	4	Providence Service Corp. (The) (a)		180
	22	Quorum Health Corp. (a)		231
	42	Tenet Healthcare Corp. (a)		1,166
	85	VCA, Inc. (a)		5,724
	33	WellCare Health Plans, Inc. (a)		3,519
				32,807
		Health Care Technology — 0.4%
	186	Allscripts Healthcare Solutions, Inc. (a)		2,356
	40	HMS Holdings Corp. (a)		703
	14	Omnicell, Inc. (a)		489
	19	Quality Systems, Inc.		220
				3,768
		Life Sciences Tools & Services — 1.1%
	12	Albany Molecular Research, Inc. (a)		165
	9	Bio-Rad Laboratories, Inc., Class A (a)		1,287
	14	Cambrex Corp. (a)		719
	25	Charles River Laboratories International, Inc. (a)		2,020
	9	Luminex Corp. (a)		184
	12	Mettler-Toledo International, Inc. (a)		4,452
	25	PAREXEL International Corp. (a)		1,562
				10,389
		Pharmaceuticals — 0.7%
	81	Akorn, Inc. (a)		2,313
	11	Catalent, Inc. (a)		246
	21	Depomed, Inc. (a)		414
	21	Impax Laboratories, Inc. (a)		596
	65	Medicines Co. (The) (a)		2,176
	22	Prestige Brands Holdings, Inc. (a)		1,201
				6,946
		Total Health Care		95,560

SHARES		SECURITY DESCRIPTION	VALUE($)
		Industrials — 15.3%
		Aerospace & Defense — 1.4%
	13	AAR Corp.		294
	28	Aerojet Rocketdyne Holdings, Inc. (a)		503
	3	B/E Aerospace, Inc.		145
	19	Curtiss-Wright Corp.		1,634
	9	Engility Holdings, Inc. (a)		181
	42	Huntington Ingalls Industries, Inc.		7,050
	26	Moog, Inc., Class A (a)		1,379
	26	Orbital ATK, Inc.		2,180
				13,366
		Air Freight & Logistics — 0.6%
	58	Atlas Air Worldwide Holdings, Inc. (a)		2,402
	85	Hub Group, Inc., Class A (a)		3,256
				5,658
		Airlines — 0.7%
	67	Hawaiian Holdings, Inc. (a)		2,547
	189	JetBlue Airways Corp. (a)		3,133
	31	SkyWest, Inc.		813
				6,493
		Building Products — 1.7%
	56	A.O. Smith Corp.		4,891
	31	American Woodmark Corp. (a)		2,031
	36	Fortune Brands Home & Security, Inc.		2,081
	14	Gibraltar Industries, Inc. (a)		442
	23	Lennox International, Inc.		3,274
	30	Universal Forest Products, Inc.		2,751
				15,470
		Commercial Services & Supplies — 2.2%
	25	ABM Industries, Inc.		900
	81	Brink’s Co. (The)		2,299
	91	Essendant, Inc.		2,777
	26	Herman Miller, Inc.		767
	18	HNI Corp.		849
	65	Interface, Inc.		990
	12	Matthews International Corp., Class A		688
	257	R.R. Donnelley & Sons Co.		4,349
	116	Tetra Tech, Inc.		3,554
	10	US Ecology, Inc.		464
	83	Viad Corp.		2,587
				20,224
		Construction & Engineering — 1.4%
	134	AECOM (a)		4,266
	99	Aegion Corp. (a)		1,923

SEE NOTES TO FINANCIAL STATEMENTS.

20 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Construction & Engineering — continued
	16	Comfort Systems USA, Inc.		509
	61	EMCOR Group, Inc.		2,993
	176	KBR, Inc.		2,329
	10	Valmont Industries, Inc.		1,312
				13,332
		Electrical Equipment — 1.3%
	11	AZZ, Inc.		636
	63	EnerSys		3,748
	131	General Cable Corp.		1,667
	23	Hubbell, Inc.		2,434
	5	Powell Industries, Inc.		201
	60	Regal Beloit Corp.		3,278
				11,964
		Industrial Conglomerates — 0.6%
	53	Carlisle Cos., Inc.		5,551
		Machinery — 3.0%
	36	AGCO Corp.		1,684
	12	Albany International Corp., Class A		475
	80	Barnes Group, Inc.		2,657
	18	Briggs & Stratton Corp.		385
	69	Crane Co.		3,892
	26	Federal Signal Corp.		339
	64	Greenbrier Cos., Inc. (The)		1,858
	27	IDEX Corp.		2,258
	90	ITT, Inc.		2,888
	44	Joy Global, Inc.		934
	34	Kennametal, Inc.		741
	12	Lincoln Electric Holdings, Inc.		721
	7	Lydall, Inc. (a)		263
	25	Mueller Industries, Inc.		794
	4	Oshkosh Corp.		191
	17	SPX Corp. (a)		246
	87	SPX FLOW, Inc. (a)		2,263
	6	Standex International Corp.		463
	81	Terex Corp.		1,645
	34	Timken Co. (The)		1,053
	8	Toro Co. (The)		661
	67	Trinity Industries, Inc.		1,240
	9	Wabtec Corp.		627
	5	Watts Water Technologies, Inc., Class A		280
				28,558
		Marine — 0.1%
	20	Matson, Inc.		643

SHARES		SECURITY DESCRIPTION	VALUE($)
		Professional Services — 1.3%
	13	CEB, Inc.		831
	16	FTI Consulting, Inc. (a)		637
	46	Insperity, Inc.		3,568
	60	Korn/Ferry International		1,247
	62	ManpowerGroup, Inc.		3,975
	18	On Assignment, Inc. (a)		661
	53	Resources Connection, Inc.		781
	18	TrueBlue, Inc. (a)		349
	7	WageWorks, Inc. (a)		389
				12,438
		Road & Rail — 0.4%
	134	ArcBest Corp.		2,171
	19	Landstar System, Inc.		1,302
	10	Saia, Inc. (a)		247
				3,720
		Trading Companies & Distributors — 0.6%
	18	Applied Industrial Technologies, Inc.		808
	21	MSC Industrial Direct Co., Inc., Class A		1,468
	47	NOW, Inc. (a)		860
	31	Veritiv Corp. (a)		1,161
	11	Watsco, Inc.		1,576
				5,873
		Total Industrials		143,290
		Information Technology — 16.7%
		Communications Equipment — 0.8%
	76	ARRIS International plc (a)		1,601
	23	Bel Fuse, Inc., Class B		404
	14	Black Box Corp.		188
	51	Ciena Corp. (a)		960
	6	Comtech Telecommunications Corp.		76
	61	Digi International, Inc. (a)		657
	15	InterDigital, Inc.		807
	21	Ixia (a)		203
	19	Lumentum Holdings, Inc. (a)		450
	15	NETGEAR, Inc. (a)		715
	99	Polycom, Inc. (a)		1,109
	108	Viavi Solutions, Inc. (a)		717
				7,887
		Electronic Equipment, Instruments & Components — 4.7%
	12	Anixter International, Inc. (a)		629
	103	Arrow Electronics, Inc. (a)		6,385
	128	Avnet, Inc.		5,195
	18	Belden, Inc.		1,064

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 21

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Electronic Equipment, Instruments & Components — continued
	23	Benchmark Electronics, Inc. (a)		485
	10	Coherent, Inc. (a)		945
	6	DTS, Inc. (a)		156
	105	Electro Scientific Industries, Inc. (a)		612
	61	Fabrinet, (Thailand) (a)		2,249
	8	FARO Technologies, Inc. (a)		274
	6	II-VI, Inc. (a)		119
	67	Ingram Micro, Inc., Class A		2,343
	87	Insight Enterprises, Inc. (a)		2,254
	17	Itron, Inc. (a)		737
	83	Jabil Circuit, Inc.		1,531
	122	Keysight Technologies, Inc. (a)		3,549
	9	Littelfuse, Inc.		1,112
	74	Methode Electronics, Inc.		2,527
	9	Park Electrochemical Corp.		131
	14	Plexus Corp. (a)		587
	35	QLogic Corp. (a)		511
	12	Rofin-Sinar Technologies, Inc. (a)		391
	7	Rogers Corp. (a)		422
	67	Sanmina Corp. (a)		1,807
	19	SYNNEX Corp.		1,773
	44	Tech Data Corp. (a)		3,190
	90	Trimble Navigation Ltd. (a)		2,201
	24	VeriFone Systems, Inc. (a)		438
	61	Vishay Intertechnology, Inc.		752
				44,369
		Internet Software & Services — 0.7%
	18	Blucora, Inc. (a)		188
	52	comScore, Inc. (a)		1,237
	12	j2 Global, Inc.		752
	102	Liquidity Services, Inc. (a)		803
	11	LogMeIn, Inc. (a)		679
	32	Monster Worldwide, Inc. (a)		75
	25	NIC, Inc.		540
	35	Rackspace Hosting, Inc. (a)		738
	7	Stamps.com, Inc. (a)		586
	17	WebMD Health Corp. (a)		965
				6,563
		IT Services — 3.9%
	99	Broadridge Financial Solutions, Inc.		6,442
	32	CACI International, Inc., Class A (a)		2,903
	16	Cardtronics, Inc. (a)		640
	139	Computer Sciences Corp.		6,901
	42	Convergys Corp.		1,042

SHARES		SECURITY DESCRIPTION	VALUE($)
		IT Services — continued
	98	CoreLogic, Inc. (a)		3,760
	13	DST Systems, Inc.		1,560
	42	ExlService Holdings, Inc. (a)		2,199
	71	Leidos Holdings, Inc.		3,394
	10	ManTech International Corp., Class A		393
	10	MAXIMUS, Inc.		577
	23	NeuStar, Inc., Class A (a)		548
	13	Perficient, Inc. (a)		272
	19	Science Applications International Corp.		1,080
	91	Sykes Enterprises, Inc. (a)		2,631
	7	TeleTech Holdings, Inc.		182
	17	WEX, Inc. (a)		1,463
				35,987
		Semiconductors & Semiconductor Equipment — 2.0%
	19	Advanced Energy Industries, Inc. (a)		714
	269	Advanced Micro Devices, Inc. (a)		1,381
	10	Cabot Microelectronics Corp.		425
	28	Cirrus Logic, Inc. (a)		1,068
	75	Cohu, Inc.		809
	61	Integrated Device Technology, Inc. (a)		1,226
	220	Kulicke & Soffa Industries, Inc., (Singapore) (a)		2,673
	59	Microsemi Corp. (a)		1,915
	27	MKS Instruments, Inc.		1,157
	50	Nanometrics, Inc. (a)		1,032
	15	Rudolph Technologies, Inc. (a)		228
	42	Semtech Corp. (a)		1,002
	16	Synaptics, Inc. (a)		844
	197	Teradyne, Inc.		3,881
	11	Ultratech, Inc. (a)		264
				18,619
		Software — 3.9%
	54	ACI Worldwide, Inc. (a)		1,050
	13	ANSYS, Inc. (a)		1,207
	14	Bottomline Technologies de, Inc. (a)		297
	145	Cadence Design Systems, Inc. (a)		3,534
	21	CDK Global, Inc.		1,176
	18	CommVault Systems, Inc. (a)		773
	16	Fair Isaac Corp.		1,769
	74	Fortinet, Inc. (a)		2,347
	84	Mentor Graphics Corp.		1,796
	4	MicroStrategy, Inc., Class A (a)		745
	90	Progress Software Corp. (a)		2,471
	115	PTC, Inc. (a)		4,311
	10	Qualys, Inc. (a)		307
	85	Rovi Corp. (a)		1,331

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Software — continued
	29	Synchronoss Technologies, Inc. (a)		927
	134	Synopsys, Inc. (a)		7,259
	100	Take-Two Interactive Software, Inc. (a)		3,787
	8	Tyler Technologies, Inc. (a)		1,400
	11	VASCO Data Security International, Inc. (a)		177
				36,664
		Technology Hardware, Storage & Peripherals — 0.7%
	48	3D Systems Corp. (a)		663
	48	Lexmark International, Inc., Class A		1,806
	148	NCR Corp. (a)		4,110
				6,579
		Total Information Technology		156,668
		Materials — 7.1%
		Chemicals — 3.5%
	16	Albemarle Corp.		1,238
	13	American Vanguard Corp.		198
	29	Ashland, Inc.		3,326
	77	Cabot Corp.		3,495
	48	FutureFuel Corp.		519
	22	H.B. Fuller Co.		985
	65	Innophos Holdings, Inc.		2,756
	55	Innospec, Inc.		2,516
	50	Koppers Holdings, Inc. (a)		1,543
	17	Minerals Technologies, Inc.		962
	8	Olin Corp.		210
	38	PolyOne Corp.		1,325
	6	Quaker Chemical Corp.		492
	18	Rayonier Advanced Materials, Inc.		241
	97	RPM International, Inc.		4,840
	58	Scotts Miracle-Gro Co. (The), Class A		4,083
	39	Stepan Co.		2,326
	15	Valspar Corp. (The)		1,594
				32,649
		Construction Materials — 0.3%
	21	Eagle Materials, Inc.		1,636
	31	Headwaters, Inc. (a)		563
	6	U.S. Concrete, Inc. (a)		341
				2,540
		Containers & Packaging — 0.8%
	27	AptarGroup, Inc.		2,097
	23	Bemis Co., Inc.		1,174
	42	Packaging Corp. of America		2,828
	27	Sonoco Products Co.		1,335
				7,434

SHARES		SECURITY DESCRIPTION	VALUE($)
		Metals & Mining — 1.9%
	111	AK Steel Holding Corp. (a)		515
	182	Commercial Metals Co.		3,084
	36	Kaiser Aluminum Corp.		3,251
	9	Olympic Steel, Inc.		238
	47	Reliance Steel & Aluminum Co.		3,613
	14	Royal Gold, Inc.		994
	222	Steel Dynamics, Inc.		5,435
	21	Worthington Industries, Inc.		881
				18,011
		Paper & Forest Products — 0.6%
	54	Boise Cascade Co. (a)		1,240
	27	Domtar Corp.		958
	20	KapStone Paper & Packaging Corp.		259
	8	Neenah Paper, Inc.		579
	18	PH Glatfelter Co.		360
	68	Schweitzer-Mauduit International, Inc.		2,411
				5,807
		Total Materials		66,441
		Telecommunication Services — 0.7%
		Diversified Telecommunication Services — 0.2%
	37	8x8, Inc. (a)		533
	5	ATN International, Inc.		366
	77	General Communication, Inc., Class A (a)		1,220
				2,119
		Wireless Telecommunication Services — 0.5%
	39	Spok Holdings, Inc.		755
	117	Telephone & Data Systems, Inc.		3,473
				4,228
		Total Telecommunication Services		6,347
		Utilities — 5.8%
		Electric Utilities — 2.5%
	141	Alliant Energy Corp.		5,602
	37	El Paso Electric Co.		1,730
	130	Great Plains Energy, Inc.		3,948
	85	Hawaiian Electric Industries, Inc.		2,794
	38	IDACORP, Inc.		3,129
	167	OGE Energy Corp.		5,470
	12	Westar Energy, Inc.		662
				23,335
		Gas Utilities — 2.1%
	89	Atmos Energy Corp.		7,275
	19	National Fuel Gas Co.		1,083
	38	New Jersey Resources Corp.		1,462

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 23

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
Common Stocks — continued
		Gas Utilities — continued
	22	Southwest Gas Corp.		1,744
	3	Spire, Inc.		191
	163	UGI Corp.		7,388
	4	WGL Holdings, Inc.		276
				19,419
		Independent Power & Renewable Electricity Producers — 0.2%
	145	Talen Energy Corp. (a)		1,970
		Multi-Utilities — 0.9%
	39	Avista Corp.		1,748
	58	MDU Resources Group, Inc.		1,390
	20	NorthWestern Corp.		1,232
	82	Vectren Corp.		4,339
				8,709
		Water Utilities — 0.1%
	17	American States Water Co.		734
		Total Utilities		54,167
		Total Common Stocks (Cost $688,897)		915,314

NUMBER OF RIGHTS			VALUE($)
	Right — 0.0% (g)
		Information Technology — 0.0% (g)
		Electronic Equipment, Instruments & Components — 0.0% (g)
	18	Gerber Scientific, Inc. (a) (Cost $—)		—	(h)
SHARES
	Short-Term Investment — 2.0%
		Investment Company — 2.0%
	18,310	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $18,310)		18,310
		Total Investments — 99.8% (Cost $707,207)		933,624
		Other Assets in Excess of Liabilities — 0.2%		1,734
		NET ASSETS — 100.0%	$	935,358

Futures Contracts
	NUMBER OF CONTRACTS	DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	45	E-mini Russell 2000		09/16/16		USD	$	5,163	$	16
	103	S&P Mid Cap 400		09/16/16		USD		15,378		193
									$	209

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

J.P. Morgan Equity Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

CVR	—  Contingent Value Rights
PDC	—  Property Development Center
USD	—  United States Dollar
(a)	—  Non-income producing security.
(b)	—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(g)	—  Amount rounds to less than 0.05%.
(h)	—  Amount rounds to less than five hundred dollars.
(k)	—  All or a portion of this security is deposited with the broker as initial margin for future contracts.
(l)	—  The rate shown is the current yield as of June 30, 2016.
(q)	—  Investment in affiliate which is a security in the Fund’s index.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 25

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016

(Amounts in thousands, except per share amounts)

	Equity Index Fund		Market Expansion Enhanced Index Fund
ASSETS:
Investments in non-affiliates, at value	$	1,481,661	$	915,314
Investments in affiliates, at value		30,457		18,310
Total investment securities, at value		1,512,118		933,624
Cash		5		—
Deposits at broker for futures contracts		—		1,117
Receivables:
Fund shares sold		1,630		467
Dividends from non-affiliates		1,695		848
Dividends from affiliates		3		7
Variation margin on futures contracts		111		376
Total Assets		1,515,562		936,439
LIABILITIES:
Payables:
Due to custodian		—		—	(a)
Investment securities purchased		1,019		—
Fund shares redeemed		6,420		594
Accrued liabilities:
Investment advisory fees		141		138
Administration fees		—		30
Distribution fees		176		40
Shareholder servicing fees		43		93
Custodian and accounting fees		17		37
Sub-transfer agency fees		208		59
Other		156		90
Total Liabilities		8,180		1,081
Net Assets	$	1,507,382	$	935,358

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

	Equity Index Fund			Market Expansion Enhanced Index Fund
NET ASSETS:
Paid-in-Capital	$	419,586		$	641,664
Accumulated undistributed (distributions in excess of) net investment income		1,108			462
Accumulated net realized gains (losses)		72,112			66,606
Net unrealized appreciation (depreciation)		1,014,576			226,626
Total Net Assets	$	1,507,382		$	935,358
Net Assets:
Class A	$	598,815		$	99,397
Class C		89,104			24,343
Class R2		—			11,536
Select Class		819,463			800,082
Total	$	1,507,382		$	935,358
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class A		16,935			9,338
Class C		2,540			2,627
Class R2		—			1,096
Select Class		23,156			74,437
Net Asset Value (a):
Class A — Redemption price per share	$	35.36		$	10.64
Class C — Offering price per share (b)		35.09			9.27
Class R2 — Offering and redemption price per share		—			10.52
Select Class — Offering and redemption price per share		35.39			10.75
Class A maximum sales charge		5.25	%		5.25	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	37.32		$	11.23
Cost of investments in non-affiliates	$	479,327		$	688,897
Cost of investments in affiliates		18,314			18,310

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 27

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2016

(Amounts in thousands)

	Equity Index Fund			Market Expansion Enhanced Index Fund
INVESTMENT INCOME:
Dividend income from non-affiliates	$	37,663		$	16,283
Dividend income from affiliates		619			52
Interest income from non-affiliates		—			1
Total investment income		38,282			16,336
EXPENSES:
Investment advisory fees		4,035			2,760
Administration fees		1,323			905
Distribution fees:
Class A		1,515			250
Class C		665			174
Class R2		—			50
Shareholder servicing fees:
Class A		1,515			250
Class C		222			58
Class R2		—			25
Select Class		2,298			2,427
Custodian and accounting fees		83			108
Interest expense to affiliates		—	(a)		—
Professional fees		60			60
Trustees’ and Chief Compliance Officer’s fees		17			14
Printing and mailing costs		120			38
Registration and filing fees		76			71
Transfer agency fees (See Note 2.E)		257			55
Sub-transfer agency fees (See Note 2.E)		866			265
Other		27			24
Total expenses		13,079			7,534
Less fees waived		(7,337	)		(2,195	)
Less expense reimbursements		(129	)		(10	)
Net expenses		5,613			5,329
Net investment income (loss)		32,669			11,007
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		260,553			102,390
Investments in affiliates		3,080			—
Futures		854			(3,669	)
Net realized gain (loss)		264,487			98,721
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(247,607	)		(140,783	)
Investments in affiliates		(5,145	)		—
Futures		238			1,169
Change in net unrealized appreciation/depreciation		(252,514	)		(139,614	)
Net realized/unrealized gains (losses)		11,973			(40,893	)
Change in net assets resulting from operations	$	44,642		$	(29,886	)

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Equity Index Fund						Market Expansion Enhanced Index Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	32,669		$	33,964		$	11,007		$	14,127
Net realized gain (loss)		264,487			110,392			98,721			242,784
Change in net unrealized appreciation/depreciation		(252,514	)		(9,524	)		(139,614	)		(155,127	)
Change in net assets resulting from operations		44,642			134,832			(29,886	)		101,784
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(11,254	)		(11,348	)		(779	)		(844	)
From net realized gains		(93,301	)		(50,028	)		(17,264	)		(12,480	)
Class B (a)
From net investment income		—			(49	)		—			(2	)
From net realized gains		—			(558	)		—			(117	)
Class C
From net investment income		(998	)		(769	)		(66	)		(56	)
From net realized gains		(13,966	)		(5,873	)		(4,521	)		(2,944	)
Class R2
From net investment income		—			—			(62	)		(52	)
From net realized gains		—			—			(1,808	)		(1,023	)
Select Class
From net investment income		(18,999	)		(20,780	)		(9,512	)		(12,714	)
From net realized gains		(137,624	)		(78,050	)		(180,035	)		(154,236	)
Total distributions to shareholders		(276,142	)		(167,455	)		(214,047	)		(184,468	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		(154,024	)		22,791			(168,034	)		(134,019	)
NET ASSETS:
Change in net assets		(385,524	)		(9,832	)		(411,967	)		(216,703	)
Beginning of period		1,892,906			1,902,738			1,347,325			1,564,028
End of period	$	1,507,382		$	1,892,906		$	935,358		$	1,347,325
Accumulated undistributed (distributions in excess of) net investment income	$	1,109		$	704		$	462		$	145

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 29

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Equity Index Fund						Market Expansion Enhanced Index Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	104,909		$	158,207		$	22,263		$	25,488
Distributions reinvested		103,545			60,975			14,941			11,511
Cost of shares redeemed		(214,499	)		(219,378	)		(29,714	)		(38,207	)
Conversion from Class B Shares		—			6,841			—			777
Change in net assets resulting from Class A capital transactions	$	(6,045	)	$	6,645		$	7,490		$	(431	)
Class B (a)
Proceeds from shares issued	$	—		$	17		$	—		$	7
Distributions reinvested		—			596			—			112
Cost of shares redeemed		—			(3,758	)		—			(588	)
Conversion to Class A Shares		—			(6,841	)		—			(777	)
Change in net assets resulting from Class B capital transactions	$	—		$	(9,986	)	$	—		$	(1,246	)
Class C
Proceeds from shares issued	$	29,257		$	24,847		$	7,199		$	4,923
Distributions reinvested		11,459			4,994			3,945			2,477
Cost of shares redeemed		(28,073	)		(17,097	)		(5,823	)		(5,356	)
Change in net assets resulting from Class C capital transactions	$	12,643		$	12,744		$	5,321		$	2,044
Class R2
Proceeds from shares issued	$	—		$	—		$	5,044		$	3,758
Distributions reinvested		—			—			1,499			811
Cost of shares redeemed		—			—			(3,100	)		(2,943	)
Change in net assets resulting from Class R2 capital transactions	$	—		$	—		$	3,443		$	1,626
Select Class
Proceeds from shares issued	$	185,825		$	251,960		$	104,489		$	132,492
Distributions reinvested		127,967			81,977			122,247			85,971
Cost of shares redeemed		(474,414	)		(320,549	)		(411,024	)		(354,475	)
Change in net assets resulting from Select Class capital transactions	$	(160,622	)	$	13,388		$	(184,288	)	$	(136,012	)
Total change in net assets resulting from capital transactions	$	(154,024	)	$	22,791		$	(168,034	)	$	(134,019	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

	Equity Index Fund						Market Expansion Enhanced Index Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		2,869			3,776			2,064			1,951
Reinvested		3,030			1,513			1,486			951
Redeemed		(5,724	)		(5,261	)		(2,695	)		(2,908	)
Conversion from Class B Shares		—			162			—			58
Change in Class A Shares		175			190			855			52
Class B (a)
Issued		—			—	(b)		—			1
Reinvested		—			15			—			9
Redeemed		—			(90	)		—			(46	)
Conversion to Class A Shares		—			(163	)		—			(62	)
Change in Class B Shares		—			(238	)		—			(98	)
Class C
Issued		809			599			746			419
Reinvested		339			125			451			229
Redeemed		(782	)		(411	)		(610	)		(456	)
Change in Class C Shares		366			313			587			192
Class R2
Issued		—			—			457			289
Reinvested		—			—			151			68
Redeemed		—			—			(285	)		(226	)
Change in Class R2 Shares		—			—			323			131
Select Class
Issued		5,129			6,036			9,599			10,188
Reinvested		3,737			2,029			12,030			7,034
Redeemed		(12,808	)		(7,663	)		(39,168	)		(26,696	)
Change in Select Class Shares		(3,942	)		402			(17,539	)		(9,474	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

(b) Amount rounds to less than 500 shares.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 31

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

			Per share operating performance
			Investment operations						Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)		Net realized and unrealized gains (losses) on investments		Total from investment operations		Net investment income			Net realized gain			Total distributions
Equity Index Fund
Class A
Year Ended June 30, 2016	$	41.12	$	0.71	$	0.38	$	1.09	$	(0.67	)	$	(6.18	)	$	(6.85	)
Year Ended June 30, 2015		41.94		0.68		2.11		2.79		(0.66	)		(2.95	)		(3.61	)
Year Ended June 30, 2014		36.43		0.64		7.78		8.42		(0.63	)		(2.28	)		(2.91	)
Year Ended June 30, 2013		30.92		0.63		5.52		6.15		(0.64	)		—			(0.64	)
Year Ended June 30, 2012		29.96		0.51		0.96		1.47		(0.51	)		—			(0.51	)
Class C
Year Ended June 30, 2016		40.86		0.43		0.38		0.81		(0.40	)		(6.18	)		(6.58	)
Year Ended June 30, 2015		41.72		0.37		2.09		2.46		(0.37	)		(2.95	)		(3.32	)
Year Ended June 30, 2014		36.28		0.35		7.73		8.08		(0.36	)		(2.28	)		(2.64	)
Year Ended June 30, 2013		30.81		0.37		5.50		5.87		(0.40	)		—			(0.40	)
Year Ended June 30, 2012		29.87		0.29		0.94		1.23		(0.29	)		—			(0.29	)
Select Class
Year Ended June 30, 2016		41.14		0.81		0.38		1.19		(0.76	)		(6.18	)		(6.94	)
Year Ended June 30, 2015		41.96		0.79		2.10		2.89		(0.76	)		(2.95	)		(3.71	)
Year Ended June 30, 2014		36.44		0.74		7.79		8.53		(0.73	)		(2.28	)		(3.01	)
Year Ended June 30, 2013		30.92		0.71		5.53		6.24		(0.72	)		—			(0.72	)
Year Ended June 30, 2012		29.97		0.58		0.95		1.53		(0.58	)		—			(0.58	)

(a) Calculated based upon average shares outstanding.

(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	35.36		3.53	%	$	598,815		0.45	%		1.93	%		0.94	%		4	%
	41.12		6.94			689,107		0.45			1.63			0.92			5
	41.94		23.95			694,974		0.45			1.63			0.91			5
	36.43		20.04			585,946		0.45			1.86			0.94			4
	30.92		5.03			520,294		0.45			1.74			0.94			7
	35.09		2.76			89,104		1.20			1.19			1.43			4
	40.86		6.15			88,842		1.20			0.88			1.41			5
	41.72		23.01			77,644		1.20			0.88			1.41			5
	36.28		19.16			58,831		1.20			1.10			1.45			4
	30.81		4.21			45,854		1.20			0.99			1.44			7
	35.39		3.81			819,463		0.20			2.17			0.67			4
	41.14		7.19			1,114,957		0.20			1.88			0.66			5
	41.96		24.27			1,120,177		0.20			1.89			0.66			5
	36.44		20.35			1,087,877		0.20			2.11			0.69			4
	30.92		5.26			1,188,683		0.20			1.99			0.69			7

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 33

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Market Expansion Enhanced Index Fund
Class A
Year Ended June 30, 2016	$	12.98	$	0.09		$	(0.21	)	$	(0.12	)	$	(0.08	)	$	(2.14	)	$	(2.22	)
Year Ended June 30, 2015		13.85		0.10			0.72			0.82			(0.10	)		(1.59	)		(1.69	)
Year Ended June 30, 2014		12.17		0.09	(e)		2.81			2.90			(0.08	)		(1.14	)		(1.22	)
Year Ended June 30, 2013		10.32		0.11	(f)		2.45			2.56			(0.11	)		(0.60	)		(0.71	)
Year Ended June 30, 2012		11.52		0.07			(0.42	)		(0.35	)		(0.07	)		(0.78	)		(0.85	)
Class C
Year Ended June 30, 2016		11.62		0.01			(0.19	)		(0.18	)		(0.03	)		(2.14	)		(2.17	)
Year Ended June 30, 2015		12.58		0.01			0.65			0.66			(0.03	)		(1.59	)		(1.62	)
Year Ended June 30, 2014		11.18		—	(e)(g)		2.56			2.56			(0.02	)		(1.14	)		(1.16	)
Year Ended June 30, 2013		9.55		0.03	(f)		2.25			2.28			(0.05	)		(0.60	)		(0.65	)
Year Ended June 30, 2012		10.74		(0.01	)		(0.39	)		(0.40	)		(0.01	)		(0.78	)		(0.79	)
Class R2
Year Ended June 30, 2016		12.87		0.07			(0.22	)		(0.15	)		(0.06	)		(2.14	)		(2.20	)
Year Ended June 30, 2015		13.74		0.07			0.72			0.79			(0.07	)		(1.59	)		(1.66	)
Year Ended June 30, 2014		12.09		0.06	(e)		2.78			2.84			(0.05	)		(1.14	)		(1.19	)
Year Ended June 30, 2013		10.25		0.08	(f)		2.44			2.52			(0.08	)		(0.60	)		(0.68	)
Year Ended June 30, 2012		11.46		0.03			(0.42	)		(0.39	)		(0.04	)		(0.78	)		(0.82	)
Select Class
Year Ended June 30, 2016		13.09		0.12			(0.21	)		(0.09	)		(0.11	)		(2.14	)		(2.25	)
Year Ended June 30, 2015		13.94		0.13			0.74			0.87			(0.13	)		(1.59	)		(1.72	)
Year Ended June 30, 2014		12.24		0.12	(e)		2.83			2.95			(0.11	)		(1.14	)		(1.25	)
Year Ended June 30, 2013		10.37		0.14	(f)		2.46			2.60			(0.13	)		(0.60	)		(0.73	)
Year Ended June 30, 2012		11.57		0.09			(0.42	)		(0.33	)		(0.09	)		(0.78	)		(0.87	)

(a) Calculated based upon average shares outstanding.

(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(e) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share remained the same for Class A, Class C, Class R2 and Select Class Shares and the net investment income (loss) ratio would have been 0.65%, (0.03)%, 0.42% and 0.90% for Class A, Class C, Class R2 and Select Class Shares, respectively.

(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.09, $0.01, $0.06 and $0.12 for Class A, Class C, Class R2 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.82%, 0.13%, 0.58% and 1.07% for Class A, Class C, Class R2 and Select Class Shares, respectively.

(g) Amount rounds to less than $0.005.

(h) Amount rounds to less than 0.005%.

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	10.64		0.22	%	$	99,397		0.69	%		0.81	%		0.98	%		39	%
	12.98		6.90			110,138		0.68			0.75			0.92			39
	13.85		24.96			116,727		0.69			0.68	(e)		0.87			25
	12.17		25.91			84,296		0.69			0.95	(f)		0.88			51
	10.32		(2.22	)		62,820		0.69			0.64			0.89			77
	9.27		(0.43	)		24,343		1.39			0.12			1.52			39
	11.62		6.25			23,705		1.38			0.06			1.44			39
	12.58		24.03			23,248		1.37			0.00	(e)(h)		1.37			25
	11.18		25.07			16,636		1.37			0.27	(f)		1.38			51
	9.55		(2.85	)		12,330		1.39			(0.07	)		1.39			77
	10.52		(0.05	)		11,536		0.92			0.60			1.40			39
	12.87		6.75			9,946		0.91			0.53			1.26			39
	13.74		24.60			8,821		0.92			0.45	(e)		1.12			25
	12.09		25.72			6,985		0.93			0.72	(f)		1.13			51
	10.25		(2.64	)		4,477		1.07			0.27			1.14			77
	10.75		0.47			800,082		0.44			1.04			0.63			39
	13.09		7.26			1,203,536		0.43			1.00			0.62			39
	13.94		25.26			1,413,937		0.44			0.92	(e)		0.62			25
	12.24		26.26			1,296,602		0.44			1.21	(f)		0.63			51
	10.37		(1.96	)		1,100,332		0.44			0.89			0.64			77

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 35

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016

1. Organization

JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 2 separate funds of the Trust (collectively, the “Funds”) covered by this report:

	Classes Offered	Diversified/Non-Diversified
Equity Index Fund	Class A, Class C, Class R6* and Select Class	Diversified
Market Expansion Enhanced Index Fund	Class A, Class C, Class R2 and Select Class	Diversified

  * Class R6 is expected to commence operations on September 1, 2016 for the Equity Index Fund.

The investment objective of the Equity Index Fund is to seek investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 Index”).

The investment objective of the Market Expansion Enhanced Index Fund is to seek to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- and mid-capitalization equity markets.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R2 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946—Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

36 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

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):

Equity Index Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (a)	$	1,512,115	$	—	$	3		$	1,512,118
Appreciation in Other Financial Instruments
Futures Contracts	$	99	$	—	$	—		$	99
Market Expansion Enhanced Index Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs			Total
Total Investments in Securities (a)	$	933,624	$	—	$	—	(b)	$	933,624
Appreciation in Other Financial Instruments
Futures Contracts	$	209	$	—	$	—		$	209

(a) All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of portfolio holdings.

(b) Value is zero.

There were no transfers among any levels during the year ended June 30, 2016.

B. Futures Contracts — The Funds used index futures contracts to gain or reduce exposure to their respective indices, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 37

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2016 (amounts in thousands):

	Equity Index Fund		Market Expansion Enhanced Index Fund
Futures Contracts:
Average Notional Balance Long	$	9,108	$	30,107
Ending Notional Balance Long		10,765		20,541

The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

C. Investment Transactions with Affiliates — An issuer which is under common control with a fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below (amounts in thousands).

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain (Loss)		Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Equity Index Fund
JPMorgan Chase & Co. (common stock)*	$	25,944	$	72	$	5,223	$	3,080	$	597		301	$	18,728
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		9,361		197,060		194,692		—		22		11,729		11,729
Total	$	35,305					$	3,080	$	619			$	30,457
			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain (Loss)		Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Market Expansion Enhanced Index Fund
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	42,800	$	291,749	$	316,239	$	—	$	52		18,310	$	18,310
Total	$	42,800					$	—	$	52			$	18,310

* Investment in affiliate which is a security in the Fund’s Index.

D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

E. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):

	Class A		Class C		Class R2		Select Class		Total
Equity Index Fund
Transfer agency fees	$	229	$	8		n/a	$	20	$	257
Sub-transfer agency fees		292		54		n/a		520		866
Market Expansion Enhanced Index Fund
Transfer agency fees		27		7	$	4		17		55
Sub-transfer agency fees		93		29		24		119		265

38 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

G. Distributions to Shareholders — Distributions from net investment income are generally declared and paid quarterly and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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)
Equity Index Fund	$	—		$	(1,014	)	$	1,014
Market Expansion Enhanced Index Fund		(1	)		(271	)		272

The reclassifications for the Funds relate primarily to investments in real estate investment trusts and redesignation of distributions.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate of 0.25% of each Fund’s average daily net assets.

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

Effective September 1, 2016, the fee for JPMorgan Equity Index Fund will change to 0.04% of the Fund’s respective average daily net assets.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2016, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

	Class A			Class C			Class R2
Equity Index Fund		0.25	%		0.75	%		n/a
Market Expansion Enhanced Index Fund		0.25			0.75			0.50	%

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 39

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following amounts (amounts in thousands):

	Front-End Sales Charge		CDSC
Equity Index Fund	$	38	$	—	(a)
Market Expansion Enhanced Index Fund		15		—	(a)

(a) Amount rounds to less than $500.

D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to an annual rate of 0.25% of the average daily net assets of each share class.

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	Class A			Class C			Class R2		Select Class
Equity Index Fund		0.45	%		1.20	%		n/a		0.20	%
Market Expansion Enhanced Index Fund		0.69			1.39			0.92		0.44

The expense limitation agreements were in effect for the year ended June 30, 2016 and are in place until at least October 31, 2016.

For the year ended June 30, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

	Contractual Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total		Contractual Reimbursements
Equity Index Fund	$	2,314	$	1,323	$	3,683	$	7,320	$	129
Market Expansion Enhanced Index Fund		822		545		781		2,148		10

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or the 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 respective Funds’ investment in such affiliated money market fund. Prior to March 1, 2016, a portion of the waiver was voluntary.

The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2016 was as follows (amounts in thousands):

Equity Index Fund	$	17
Market Expansion Enhanced Index Fund		47

G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

40 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J. P. Morgan Funds until distribution in accordance with the Plan.

The Funds may use related party broker-dealers. For the year ended June 30, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands).

Equity Index Fund	$	—
Market Expansion Enhanced Index Fund		—	(a)

(a) Amount rounds to less than $500.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the year ended June 30, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)
Equity Index Fund	$	70,278	$	460,320
Market Expansion Enhanced Index Fund		418,869		766,131

During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):

	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Equity Index Fund	$	533,609	$	997,900	$	19,391	$	978,509
Market Expansion Enhanced Index Fund		713,620		267,109		47,105		220,004

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to non-taxable dividends and wash sale loss deferrals.

The tax character of distributions paid during the fiscal year ended June 30, 2016 was as follows (amounts in thousands):

	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Equity Index Fund	$	31,553	$	244,589	$	276,142
Market Expansion Enhanced Index Fund		10,904		203,143		214,047

* Short-term gains are treated as ordinary income for income tax purposes.

The tax character of distributions paid during the fiscal year ended June 30, 2015 was as follows (amounts in thousands):

	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Equity Index Fund	$	35,570	$	131,885	$	167,455
Market Expansion Enhanced Index Fund		24,253		160,215		184,468

* Short-term gains are treated as ordinary income for income tax purposes.

As of June 30, 2016, the components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover)		Unrealized Appreciation (Depreciation)
Equity Index Fund	$	1,608	$	107,743	$	978,509
Market Expansion Enhanced Index Fund		494		73,227		220,004

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 41

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

For the Funds, the cumulative timing differences primarily consist of non-taxable dividends and wash sale loss deferrals.

As of June 30, 2016, the Funds did not have any net capital loss carryforwards.

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 7, 2016.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016. Average borrowings from the Facility for the year ended June 30, 2016, were as follows (amounts in thousands):

	Average Borrowings		Average Interest Rate Paid			Number of Days Outstanding		Interest Paid
Equity Index Fund	$	14,450		0.31	%		2	$	—	(a)

(a) Amount rounds to less than $500.

Interest expense paid as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates on the Statements of Operations.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of June 30, 2016, the Equity Index Fund had two affiliated omnibus accounts, which represent 13.0% of the Fund’s net assets.

As of June 30, 2016, the J.P. Morgan Investor Funds, which are affiliated funds of funds, owned in the aggregate shares representing 58.0% of the net assets of Market Expansion Enhanced Index Fund.

Significant shareholder transactions by these shareholders may impact each Fund’s performance.

Because the Funds may invest a portion of their assets in REITs, the Funds may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.

Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.

8. Subsequent Event

Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.

42 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Trust II and the Shareholders of JPMorgan Equity Index Fund and JPMorgan Market Expansion Enhanced Index 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 Equity Index Fund and JPMorgan Market Expansion Enhanced Index Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

August 25, 2016

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 43

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 Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	152	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	152	Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	152	None
Frankie D. Hughes (1952); Trustee of Trust since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	152	Trustee, The Victory Portfolios (2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	152	None
Mary E. Martinez (1960); Trustee of Trust since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	152	None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	152	None
Mitchell M. Merin (1953); Trustee of Trust since 2013.	Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	152	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	152	Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

44 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)
Marian U. Pardo** (1946); Trustee of Trust since 2013.	Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).	152	Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	152	None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	152	None

⁽¹⁾  The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

⁽²⁾  A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 45

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trust (Since)	Principal Occupations During Past 5 Years
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)	Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980), Assistant Secretary (2011)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980), Assistant Secretary (2010)	Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971), Assistant Secretary (2012)**	Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973), Assistant Treasurer (2014)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.
Julie A. Roach (1971), Assistant Treasurer (2012)*	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.
Gillian I. Sands (1969), Assistant Treasurer (2012)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

  ** The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004.

46 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2016, and continued to hold your shares at the end of the reporting period, June 30, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Equity Index Fund
Class A
Actual	$	1,000.00	$	1,036.10	$	2.28		0.45	%
Hypothetical		1,000.00		1,022.63		2.26		0.45
Class C
Actual		1,000.00		1,032.20		6.06		1.20
Hypothetical		1,000.00		1,018.90		6.02		1.20
Select Class
Actual		1,000.00		1,037.30		1.01		0.20
Hypothetical		1,000.00		1,023.87		1.01		0.20
Market Expansion Enhanced Index Fund
Class A
Actual	$	1,000.00	$	1,057.00	$	3.53		0.69	%
Hypothetical		1,000.00		1,021.43		3.47		0.69
Class C
Actual		1,000.00		1,054.30		7.10		1.39
Hypothetical		1,000.00		1,017.95		6.97		1.39
Class R2
Actual		1,000.00		1,056.70		4.70		0.92
Hypothetical		1,000.00		1,020.29		4.62		0.92
Select Class
Actual		1,000.00		1,059.70		2.25		0.44
Hypothetical		1,000.00		1,022.68		2.21		0.44

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

JUNE 30, 2016 J.P. MORGAN EQUITY FUNDS 47

TAX LETTER

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2016:

	Dividends Received Deduction
Equity Index Fund		100.00	%
Market Expansion Enhanced Fund		100.00	%

Long Term Capital Gain

Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Long-Term Capital Gain Distribution
Equity Index Fund	$	244,589
Market Expansion Enhanced Index Fund		203,143

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Qualified Dividend Income
Equity Index Fund	$	31,553
Market Expansion Enhanced Index Fund		10,904

48 J.P. MORGAN EQUITY FUNDS JUNE 30, 2016

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡   Social Security number and account balances   ¡   transaction history and account transactions   ¡   checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡   open an account or provide contact information ¡   give us your account information or pay us by check ¡   make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡   sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡   affiliates from using your information to market to you ¡   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡   J.P. Morgan Funds doesn’t jointly market.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2016. All rights reserved. June 2016. AN-INDEX-616

Annual Report

J.P. Morgan Investor Funds

June 30, 2016

JPMorgan Investor Balanced Fund

JPMorgan Investor Conservative Growth Fund

JPMorgan Investor Growth Fund

JPMorgan Investor Growth & Income Fund

CONTENTS

CEO’s Letter	1
Fund Facts	2
Funds Commentary	3
Schedules of Portfolio Investments	9
Financial Statements	14
Financial Highlights	24
Notes to Financial Statements	32
Report of Independent Registered Public Accounting Firm	46
Trustees	47
Officers	49
Schedule of Shareholder Expenses	50
Tax Letter	52
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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

July 15, 2016 (Unaudited)

Dear Shareholder,

The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.

[PHOTO]

“The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.”

Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).

The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.

Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.

Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.

A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.

U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by the end of January and slumping by 10% by mid-February. By the end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.

By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.

Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.

Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 1

J.P. Morgan Investor Funds

FUND FACTS

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

Fund	Fund Return (With sale charge)*			Fund Return (Without sale charge)*			Barclays U.S. Intermediate Aggregate Index Return (Broad-Based Fixed Income Benchmark)			Russell 3000 Index Return (Broad- Based Equity Benchmark)			Composite Benchmark Return			Fund Net Assets as of June 30, 2016 (in thousands)
JPMorgan Investor Balanced Fund, Class A		(4.87	)%		(0.40	)%		4.36	%		2.14	%		3.51	%**	$	5,400,935
JPMorgan Investor Conservative Growth Fund, Class A		(3.56	)%		0.97	%		4.36	%		2.14	%		3.92	%***	$	4,288,056
JPMorgan Investor Growth Fund, Class A		(7.89	)%		(3.54	)%		4.36	%		2.14	%		2.45	%****	$	2,446,931
JPMorgan Investor Growth & Income Fund, Class A		(6.45	)%		(2.06	)%		4.36	%		2.14	%		3.03	%*****	$	3,141,963

Portfolio Composition by Asset Class******

Investor Balanced Fund
Fixed Income	44.6	%
U.S. Equity	36.0
International Equity	14.0
Alternative Assets	4.6
Money Market	0.8
Investor Conservative Growth Fund
Fixed Income	64.2	%
U.S. Equity	21.9
International Equity	8.0
Alternative Assets	5.0
Money Market	0.9
Investor Growth Fund
U.S. Equity	66.6	%
International Equity	20.8
Fixed Income	10.0
Alternative Assets	1.6
Money Market	1.0
Investor Growth & Income Fund
U.S. Equity	49.3	%
Fixed Income	28.4
International Equity	17.4
Alternative Assets	4.0
Money Market	0.9

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Balanced Fund’s model allocation and consists of the Barclays U.S. Intermediate Aggregate Index (50%) and the Russell 3000 Index (50%).

*** The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Conservative Growth Fund’s model allocation and consists of the Barclays U.S. Intermediate Aggregate Index (70%) and the Russell 3000 Index (30%).

**** The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Growth Fund’s model allocation and consists of the Russell 3000 Index (90%) and the Barclays U.S. Intermediate Aggregate Index (10%).

***** The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Growth & Income Fund’s model allocation and consists of the Russell 3000 Index (70%) and the Barclays U.S. Intermediate Aggregate Index (30%).

****** Percentages indicated are based on total investments as of June 30, 2016. The Funds’ portfolio composition is subject to change.

2 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

J.P. Morgan Investor Funds

FUNDS COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

INVESTMENT OBJECTIVES*

The JPMorgan Investor Balanced Fund seeks high total return consistent with the preservation of capital by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity and fixed income securities.

The JPMorgan Investor Conservative Growth Fund seeks income and capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in fixed income and equity securities.

The JPMorgan Investor Growth Fund seeks long-term capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.

The JPMorgan Investor Growth & Income Fund seeks long-term capital appreciation and growth of income by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.

HOW DID THE MARKET PERFORM?

Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.94% in one day. In October, U. S. stocks came roaring back and turned in their best monthly performance since late 2011.

In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the U.S. Federal Reserve decided against raising interest rates. In June, the U.K. vote to leave the European Union sparked the worst single day in recent global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.

However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period and closed just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as

investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices.

WHAT WERE THE MAIN DRIVERS OF THE FUNDS’ PERFORMANCE?

In accordance with their model allocations, each of the JPMorgan Investor Funds (the “Investor Funds”) allocated its assets among fixed income, equity and alternative investments. For the twelve months ended June 30, 2016, each of the Investor Funds underperformed the Barclays U.S. Intermediate Aggregate Index, the Investor Funds’ broad based fixed income benchmark. Each of the Investor Funds also underperformed the Russell 3000 Index, the Investor Funds’ broad based equity benchmark, mainly due to the Investor Funds’ positions in non-U.S. developed market equity, emerging market equity and U.S. high yield (also known as “junk bonds”) and leveraged loan credit, none of which were held in the Benchmark and generally underperformed other asset classes.

Each Investor Fund’s performance is also compared to composite benchmarks, which are constructed of different percentages of the Investor Funds’ broad based fixed income and equity benchmarks. These composite benchmarks correspond to each Investor Fund’s target allocation. All four Investor Funds underperformed their respective composite benchmarks, mainly due to the Funds’ exposure to both developed market and emerging market equities, and U.S. high yield and leveraged loan credit that were not held in the composite benchmarks.

HOW WERE THE FUNDS POSITIONED?

Each Investor Fund invested in underlying JPMorgan Funds (“underlying funds”). The underlying funds invest in fixed income securities, equities and other alternative fixed income and equity strategies, such as below investment-grade, high-yield bonds, commodities, equity long/short and market-neutral strategies. Among equities, the underlying funds in which the Investor Funds invested were allocated among large-cap, mid-cap, small-cap, and international stocks. The Investor Funds’ portfolio managers made investments for each Investor Fund based on an evaluation of three components: underlying fund selection, tactical asset allocation and strategic asset allocation. The portfolio managers determined the strategic weight for each asset class in the Investor Funds by making investments that they believed would perform well over the long term, and maintained a level of volatility similar to that of each Investor Fund’s composite benchmark, fixed income benchmark and equity benchmark.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 3

J.P. Morgan Investor Funds

FUNDS COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

During the reporting period, the Investor Funds’ portfolio managers — through their investments in underlying funds — slightly increased their allocation to high yield debt and reduced their allocation to U.S. equity, particularly large

capitalization stocks, amid rising equity prices. The managers also maintained their overweight position in international equity.

* The adviser seeks to achieve each Fund’s objective. There can be no guarantee it will be achieved.

4 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

JPMorgan Investor Balanced Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	December 10, 1996
With Sales Charge*			(4.87	)%		4.61	%		4.89	%
Without Sales Charge			(0.40	)		5.57			5.37
CLASS C SHARES	July 1, 1997
With CDSC**			(1.95	)		5.02			4.81
Without CDSC			(0.95	)		5.02			4.81
SELECT CLASS SHARES	December 10, 1996		(0.15	)		5.82			5.64

* Sales Charge for Class A Shares is 4.50%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Balanced Fund, the Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the Investor Balanced Composite Benchmark and the Lipper Mixed-Asset Target Allocation Moderate Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the broad-based securities indices and the Investor Balanced Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mixed-Asset Target Allocation Moderate Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Russell

3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Investor Balanced Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Barclays U.S. Intermediate Aggregate Index (50%) and the Russell 3000 Index (50%). The Lipper Mixed-Asset Target Allocation Moderate Funds Index consists of funds that by portfolio practice maintain a mix of between 40% to 60% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.

Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 5

JPMorgan Investor Conservative Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	December 10, 1996
With Sales Charge*			(3.56	)%		3.44	%		4.35	%
Without Sales Charge			0.97			4.40			4.83
CLASS C SHARES	July 1, 1997
With CDSC**			(0.66	)		3.86			4.26
Without CDSC			0.34			3.86			4.26
SELECT CLASS SHARES	December 10, 1996		1.22			4.66			5.09

* Sales Charge for Class A Shares is 4.50%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Conservative Growth Fund, the Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the Investor Conservative Growth Composite Benchmark, and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the broad-based securities indices and the Investor Conservative Growth Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mixed-Asset Target Allocation Conservative Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years.

The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Investor Conservative Growth Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Barclays U.S. Intermediate Aggregate Index (70%) and the Russell 3000 Index (30%). The Lipper Mixed-Asset Target Allocation Conservative Funds Index consists of funds that by portfolio practice maintain a mix of between 20% to 40% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.

Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

6 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

JPMorgan Investor Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	December 10, 1996
With Sales Charge*			(7.89	)%		6.76	%		5.23	%
Without Sales Charge			(3.54	)		7.76			5.72
CLASS C SHARES	July 1, 1997
With CDSC**			(5.05	)		7.19			5.13
Without CDSC			(4.05	)		7.19			5.13
SELECT CLASS SHARES	December 10, 1996		(3.28	)		8.05			5.99

* Sales Charge for Class A Shares is 4.50%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth Fund, the Russell 3000 Index, the Barclays U.S. Intermediate Aggregate Index, the Investor Growth Composite Benchmark and the Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the broad-based securities indices and the Investor Growth Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which

represents approximately 98% of the investable U.S. equity market. The Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Investor Growth Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Russell 3000 Index (90%) and the Barclays U.S. Intermediate Aggregate Index (10%). The Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index consists of funds that invest in a variety of market capitalization ranges without concentrating 75% of their equity assets in any one market capitalization range over an extended period of time. Investors cannot invest directly in an index.

Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 7

JPMorgan Investor Growth & Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		December 10, 1996
With Sales Charge*				(6.45	)%		5.48	%		4.99	%
Without Sales Charge				(2.06	)		6.46			5.48
CLASS C SHARES		July 1, 1997
With CDSC**				(3.63	)		5.89			4.90
Without CDSC				(2.63	)		5.89			4.90
SELECT CLASS SHARES		December 10, 1996		(1.82	)		6.73			5.75

* Sales Charge for Class A Shares is 4.50%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth & Income Fund, the Russell 3000 Index, the Barclays U.S. Intermediate Aggregate Index, the Investor Growth & Income Composite Benchmark and the Lipper Mixed-Asset Target Allocation Growth Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the broad-based securities indices and the Investor Growth & Income Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mixed-Asset Target Allocation Growth Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately

98% of the investable U.S. equity market. The Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Investor Growth & Income Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Russell 3000 Index (70%) and the Barclays U.S. Intermediate Aggregate Index (30%). The Lipper Mixed-Asset Target Allocation Growth Funds Index consists of funds that by portfolio practice maintain a mix of between 60% to 80% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.

Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

8 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

JPMorgan Investor Balanced Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Investment Companies — 100.0% (b)
		Alternative Assets — 4.6%
	667	JPMorgan Commodities Strategy Fund, Class R6 Shares (a)		6,200
	6,738	JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a)		68,256
	5,951	JPMorgan Research Market Neutral Fund, Institutional Class Shares (a)		85,390
	5,958	JPMorgan Systematic Alpha Fund, Class R6 Shares		89,078
		Total Alternative Assets		248,924
		Fixed Income — 44.6%
	78,172	JPMorgan Core Bond Fund, Class R6 Shares		938,847
	65,097	JPMorgan Core Plus Bond Fund, Class R6 Shares		546,164
	6,911	JPMorgan Emerging Markets Debt Fund, Class R6 Shares		56,669
	19,543	JPMorgan Floating Rate Income Fund, Class R6 Shares		180,386
	1,147	JPMorgan Government Bond Fund, Select Class Shares		12,611
	38,094	JPMorgan High Yield Fund, Class R6 Shares		271,608
	7,681	JPMorgan Inflation Managed Bond Fund, Class R6 Shares		79,493
	21,592	JPMorgan Limited Duration Bond Fund, Class R6 Shares		216,563
	7,778	JPMorgan Strategic Income Opportunities Fund, Class R5 Shares		88,278
	1,919	JPMorgan Unconstrained Debt Fund, Class R6 Shares		19,002
		Total Fixed Income		2,409,621
		International Equity — 14.0%
	5,110	JPMorgan Emerging Economies Fund, Class R6 Shares		54,574
	2,701	JPMorgan Emerging Markets Equity Fund, Class R6 Shares		55,746
	9,910	JPMorgan Global Research Enhanced Index Fund, Select Class Shares		176,802
	6,706	JPMorgan International Equity Fund, Class R6 Shares		91,267
	17,322	JPMorgan International Research Enhanced Equity Fund, Select Class Shares		259,490
	4,602	JPMorgan Intrepid European Fund, Institutional Class Shares		100,729
	1,377	JPMorgan Latin America Fund, Class R6 Shares		17,757
		Total International Equity		756,365
		Money Market — 0.8%
	43,539	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (l)		43,539

SHARES		SECURITY DESCRIPTION	VALUE($)
		U.S. Equity — 36.0%
	4,405	JPMorgan Dynamic Growth Fund, Class R5 Shares (a)		110,509
	6,180	JPMorgan Equity Income Fund, Class R6 Shares		87,879
	8,841	JPMorgan Intrepid America Fund, Class R6 Shares		309,701
	3,958	JPMorgan Intrepid Growth Fund, Class R6 Shares		160,300
	5,980	JPMorgan Intrepid Mid Cap Fund, Class R6 Shares		122,104
	1,720	JPMorgan Large Cap Growth Fund, Class R6 Shares (a)		57,760
	10,602	JPMorgan Large Cap Value Fund, Class R6 Shares		133,167
	19,263	JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares		207,074
	172	JPMorgan Mid Cap Growth Fund, Class R6 Shares (a)		4,612
	722	JPMorgan Small Cap Value Fund, Class R6 Shares		18,771
	2,462	JPMorgan U.S. Dynamic Plus Fund, Select Class Shares		41,714
	31,318	JPMorgan U.S. Equity Fund, Class R6 Shares		432,819
	6,247	JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares		165,163
	3,241	JPMorgan Value Advantage Fund, Institutional Class Shares		93,526
		Total U.S. Equity		1,945,099
		Total Investments — 100.0% (Cost $4,794,694)		5,403,548
		Liabilities in Excess of Other Assets — 0.0% (g)		(2,613	)
		NET ASSETS — 100.0%	$	5,400,935

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 9

JPMorgan Investor Conservative Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Investment Companies — 100.0% (b)
		Alternative Assets — 5.0%
	555	JPMorgan Commodities Strategy Fund, Class R6 Shares (a)		5,157
	5,936	JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a)		60,135
	4,703	JPMorgan Research Market Neutral Fund, Institutional Class Shares (a)		67,488
	5,551	JPMorgan Systematic Alpha Fund, Class R6 Shares		82,983
		Total Alternative Assets		215,763
		Fixed Income — 64.2%
	96,083	JPMorgan Core Bond Fund, Class R6 Shares		1,153,962
	67,025	JPMorgan Core Plus Bond Fund, Class R6 Shares		562,340
	4,990	JPMorgan Emerging Markets Debt Fund, Class R6 Shares		40,915
	17,842	JPMorgan Floating Rate Income Fund, Class R6 Shares		164,685
	3,178	JPMorgan Government Bond Fund, Select Class Shares		34,923
	33,169	JPMorgan High Yield Fund, Class R6 Shares		236,495
	9,600	JPMorgan Inflation Managed Bond Fund, Class R6 Shares		99,359
	34,406	JPMorgan Limited Duration Bond Fund, Class R6 Shares		345,089
	8,560	JPMorgan Strategic Income Opportunities Fund, Class R5 Shares		97,157
	1,775	JPMorgan Unconstrained Debt Fund, Class R6 Shares		17,575
		Total Fixed Income		2,752,500
		International Equity — 8.0%
	2,333	JPMorgan Emerging Economies Fund, Class R6 Shares		24,918
	1,267	JPMorgan Emerging Markets Equity Fund, Class R6 Shares		26,155
	2,717	JPMorgan Global Research Enhanced Index Fund, Select Class Shares		48,469
	3,095	JPMorgan International Equity Fund, Class R6 Shares		42,123
	9,735	JPMorgan International Research Enhanced Equity Fund, Select Class Shares		145,828
	2,106	JPMorgan Intrepid European Fund, Institutional Class Shares		46,091
	886	JPMorgan Latin America Fund, Class R6 Shares		11,426
		Total International Equity		345,010
		Money Market — 0.9%
	38,258	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (l)		38,258

SHARES		SECURITY DESCRIPTION	VALUE($)
		U.S. Equity — 21.9%
	1,868	JPMorgan Dynamic Growth Fund, Class R5 Shares (a)		46,874
	4,938	JPMorgan Equity Income Fund, Class R6 Shares		70,211
	5,211	JPMorgan Intrepid America Fund, Class R6 Shares		182,553
	2,518	JPMorgan Intrepid Growth Fund, Class R6 Shares		101,993
	2,475	JPMorgan Intrepid Mid Cap Fund, Class R6 Shares		50,538
	1,541	JPMorgan Large Cap Value Fund, Class R6 Shares		19,358
	5,599	JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares		60,194
	1,435	JPMorgan Mid Cap Growth Fund, Class R6 Shares (a)		38,493
	1,250	JPMorgan Small Cap Value Fund, Class R6 Shares		32,495
	1,222	JPMorgan U.S. Dynamic Plus Fund, Select Class Shares		20,696
	12,950	JPMorgan U.S. Equity Fund, Class R6 Shares		178,973
	2,611	JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares		69,024
	2,330	JPMorgan Value Advantage Fund, Institutional Class Shares		67,250
		Total U.S. Equity		938,652
		Total Investments — 100.0% (Cost $3,946,593)		4,290,183
		Liabilities in Excess of Other Assets — 0.0% (g)		(2,127	)
		NET ASSETS — 100.0%	$	4,288,056

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

10 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

JPMorgan Investor Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Investment Companies — 100.1% (b)
		Alternative Assets — 1.6%
	771	JPMorgan Commodities Strategy Fund, Class R6 Shares (a)		7,169
	582	JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a)		5,895
	431	JPMorgan Research Market Neutral Fund, Institutional Class Shares (a)		6,185
	1,420	JPMorgan Systematic Alpha Fund, Class R6 Shares		21,225
		Total Alternative Assets		40,474
		Fixed Income — 10.0%
	6,781	JPMorgan Core Bond Fund, Class R6 Shares		81,438
	3,405	JPMorgan Core Plus Bond Fund, Class R6 Shares		28,568
	1,356	JPMorgan Emerging Markets Debt Fund, Class R6 Shares		11,118
	2,335	JPMorgan Floating Rate Income Fund, Class R6 Shares		21,553
	11,354	JPMorgan High Yield Fund, Class R6 Shares		80,953
	1,103	JPMorgan Inflation Managed Bond Fund, Class R6 Shares		11,421
	420	JPMorgan Strategic Income Opportunities Fund, Class R5 Shares		4,771
	405	JPMorgan Unconstrained Debt Fund, Class R6 Shares		4,006
		Total Fixed Income		243,828
		International Equity — 20.8%
	4,010	JPMorgan Emerging Economies Fund, Class R6 Shares		42,824
	2,174	JPMorgan Emerging Markets Equity Fund, Class R6 Shares		44,876
	3,617	JPMorgan Global Research Enhanced Index Fund, Select Class Shares		64,521
	7,257	JPMorgan International Equity Fund, Class R6 Shares		98,774
	8,628	JPMorgan International Research Enhanced Equity Fund, Select Class Shares		129,244
	3,097	JPMorgan International Unconstrained Equity Fund, Class R6 Shares		51,818
	2,998	JPMorgan Intrepid European Fund, Institutional Class Shares		65,631
	826	JPMorgan Latin America Fund, Class R6 Shares		10,654
		Total International Equity		508,342
		Money Market — 1.0%
	24,355	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (l)		24,355

SHARES		SECURITY DESCRIPTION	VALUE($)
		U.S. Equity — 66.7%
	982	JPMorgan Dynamic Growth Fund, Class R5 Shares (a)		24,640
	2,644	JPMorgan Equity Income Fund, Class R6 Shares		37,598
	7,605	JPMorgan Intrepid America Fund, Class R6 Shares		266,407
	3,074	JPMorgan Intrepid Growth Fund, Class R6 Shares		124,488
	4,058	JPMorgan Intrepid Mid Cap Fund, Class R6 Shares		82,866
	5,425	JPMorgan Large Cap Growth Fund, Class R6 Shares (a)		182,188
	18,625	JPMorgan Large Cap Value Fund, Class R6 Shares		233,933
	13,461	JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares		144,700
	1,153	JPMorgan Mid Cap Growth Fund, Class R6 Shares (a)		30,919
	1,757	JPMorgan Small Cap Value Fund, Class R6 Shares		45,661
	1,295	JPMorgan U.S. Dynamic Plus Fund, Select Class Shares		21,943
	22,296	JPMorgan U.S. Equity Fund, Class R6 Shares		308,126
	3,295	JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares		87,118
	1,439	JPMorgan Value Advantage Fund, Institutional Class Shares		41,521
		Total U.S. Equity		1,632,108
		Total Investments — 100.1% (Cost $1,988,108)		2,449,107
		Liabilities in Excess of Other Assets — (0.1)%		(2,176	)
		NET ASSETS — 100.0%	$	2,446,931

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 11

JPMorgan Investor Growth & Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Investment Companies — 100.1% (b)
		Alternative Assets — 4.0%
	1,126	JPMorgan Commodities Strategy Fund, Class R6 Shares (a)		10,475
	3,170	JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a)		32,110
	2,579	JPMorgan Research Market Neutral Fund, Institutional Class Shares (a)		37,009
	3,059	JPMorgan Systematic Alpha Fund, Class R6 Shares		45,731
		Total Alternative Assets		125,325
		Fixed Income — 28.4%
	24,367	JPMorgan Core Bond Fund, Class R6 Shares		292,649
	23,988	JPMorgan Core Plus Bond Fund, Class R6 Shares		201,262
	2,240	JPMorgan Emerging Markets Debt Fund, Class R6 Shares		18,372
	12,646	JPMorgan Floating Rate Income Fund, Class R6 Shares		116,720
	1,058	JPMorgan Government Bond Fund, Select Class Shares		11,627
	21,576	JPMorgan High Yield Fund, Class R6 Shares		153,834
	3,891	JPMorgan Inflation Managed Bond Fund, Class R6 Shares		40,274
	2,371	JPMorgan Limited Duration Bond Fund, Class R6 Shares		23,785
	2,000	JPMorgan Strategic Income Opportunities Fund, Class R5 Shares		22,696
	1,121	JPMorgan Unconstrained Debt Fund, Class R6 Shares		11,095
		Total Fixed Income		892,314
		International Equity — 17.5%
	4,332	JPMorgan Emerging Economies Fund, Class R6 Shares		46,267
	2,127	JPMorgan Emerging Markets Equity Fund, Class R6 Shares		43,901
	6,386	JPMorgan Global Research Enhanced Index Fund, Select Class Shares		113,931
	7,583	JPMorgan International Equity Fund, Class R6 Shares		103,204
	9,622	JPMorgan International Research Enhanced Equity Fund, Select Class Shares		144,143
	645	JPMorgan International Unconstrained Equity Fund, Class R6 Shares		10,786
	3,557	JPMorgan Intrepid European Fund, Institutional Class Shares		77,853
	677	JPMorgan Latin America Fund, Class R6 Shares		8,737
		Total International Equity		548,822

SHARES		SECURITY DESCRIPTION	VALUE($)
		Money Market — 0.9%
	27,170	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (l)		27,170
		U.S. Equity — 49.3%
	1,775	JPMorgan Dynamic Growth Fund, Class R5 Shares (a)		44,525
	3,597	JPMorgan Equity Income Fund, Class R6 Shares		51,155
	8,519	JPMorgan Intrepid America Fund, Class R6 Shares		298,418
	2,330	JPMorgan Intrepid Growth Fund, Class R6 Shares		94,346
	2,405	JPMorgan Intrepid Mid Cap Fund, Class R6 Shares		49,102
	4,880	JPMorgan Large Cap Growth Fund, Class R6 Shares (a)		163,865
	13,913	JPMorgan Large Cap Value Fund, Class R6 Shares		174,743
	12,172	JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares		130,847
	1,019	JPMorgan Mid Cap Growth Fund, Class R6 Shares (a)		27,325
	1,739	JPMorgan Small Cap Value Fund, Class R6 Shares		45,192
	1,744	JPMorgan U.S. Dynamic Plus Fund, Select Class Shares		29,546
	21,338	JPMorgan U.S. Equity Fund, Class R6 Shares		294,894
	3,475	JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares		91,877
	1,905	JPMorgan Value Advantage Fund, Institutional Class Shares		54,967
		Total U.S. Equity		1,550,802
		Total Investments — 100.1% (Cost $2,659,204)		3,144,433
		Liabilities in Excess of Other Assets — (0.1)%		(2,470	)
		NET ASSETS — 100.0%	$	3,141,963

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

12 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

J.P. Morgan Investor Funds

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(a)	—  Non-income producing security.
(b)	—  Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(g)	—  Amount rounds to less than 0.05%.
(l)	—  The rate shown is the current yield as of June 30, 2016.

Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in certified portfolio holdings filed quarterly on Form N-Q, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 13

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016

(Amounts in thousands)

	Investor Balanced Fund		Investor Conservative Growth Fund		Investor Growth Fund			Investor Growth & Income Fund
ASSETS:
Investments in affiliates, at value	$	5,403,548	$	4,290,183	$	2,449,107		$	3,144,433
Receivables:
Fund shares sold		7,489		5,316		1,763			2,309
Dividends from affiliates		16		13		9			10
Total Assets		5,411,053		4,295,512		2,450,879			3,146,752
LIABILITIES:
Payables:
Distributions		1,167		121		431			505
Fund shares redeemed		5,562		4,264		1,926			2,303
Accrued liabilities:
Investment advisory fees		157		118		6			53
Administration fees		226		180		79			118
Distribution fees		1,506		1,568		558			771
Shareholder servicing fees		657		621		340			419
Custodian and accounting fees		3		10		6			5
Trustees’ and Chief Compliance Officer’s fees		3		1		—	(a)		—	(a)
Sub-transfer agency fees		462		315		286			308
Other		375		258		316			307
Total Liabilities		10,118		7,456		3,948			4,789
Net Assets	$	5,400,935	$	4,288,056	$	2,446,931		$	3,141,963

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

14 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

	Investor Balanced Fund			Investor Conservative Growth Fund			Investor Growth Fund			Investor Growth & Income Fund
NET ASSETS:
Paid-in-Capital	$	4,784,336		$	3,923,650		$	1,953,201		$	2,675,119
Accumulated undistributed (distributions in excess of) net investment income		298			(143	)		64			126
Accumulated net realized gains (losses)		7,447			20,959			32,667			(18,511	)
Net unrealized appreciation (depreciation)		608,854			343,590			460,999			485,229
Total Net Assets	$	5,400,935		$	4,288,056		$	2,446,931		$	3,141,963
Net Assets:
Class A	$	3,836,242		$	2,411,763		$	1,893,308		$	2,489,097
Class C		1,155,896			1,740,461			270,007			414,439
Select Class		408,797			135,832			283,616			238,427
Total	$	5,400,935		$	4,288,056		$	2,446,931		$	3,141,963
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		267,771			195,141			104,923			157,644
Class C		81,830			141,450			15,787			26,927
Select Class		28,488			10,935			15,435			15,315
Net Asset Value (a):
Class A — Redemption price per share	$	14.33		$	12.36		$	18.04		$	15.79
Class C — Offering price per share (b)		14.13			12.30			17.10			15.39
Select Class — Offering and redemption price per share		14.35			12.42			18.37			15.57
Class A maximum sales charge		4.50	%		4.50	%		4.50	%		4.50	%
Class A maximum public offering price per share [net asset value per share/(100% — maximum sales charge)]	$	15.01		$	12.94		$	18.89		$	16.53
Cost of investments in affiliates		4,794,694			3,946,593			1,988,108			2,659,204

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 15

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2016

(Amounts in thousands)

	Investor Balanced Fund			Investor Conservative Growth Fund			Investor Growth Fund			Investor Growth & Income Fund
INVESTMENT INCOME:
Dividend income from affiliates	$	109,620		$	96,154		$	34,397		$	57,330
EXPENSES:
Investment advisory fees		2,722			2,164			1,225			1,595
Administration fees		3,104			2,543			1,603			1,964
Distribution fees:
Class A		9,649			6,060			4,741			6,316
Class C		8,890			13,320			2,033			3,188
Shareholder servicing fees:
Class A		9,649			6,060			4,741			6,316
Class C		2,963			4,440			678			1,063
Select Class		1,000			320			708			597
Custodian and accounting fees		9			29			24			30
Professional fees		90			80			57			64
Trustees’ and Chief Compliance Officer’s fees		42			34			21			26
Printing and mailing costs		433			326			282			304
Registration and filing fees		291			203			151			179
Transfer agency fees (See Note 2.D.)		420			246			608			485
Sub-transfer agency fees (See Note 2.D.)		1,690			1,255			1,106			1,176
Other		62			50			30			36
Total expenses		41,014			37,130			18,008			23,339
Less fees waived		(10,383	)		(7,671	)		(5,757	)		(6,822	)
Net expenses		30,631			29,459			12,251			16,517
Net investment income (loss)		78,989			66,695			22,146			40,813
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on investments in affiliates		(34,987	)		(4,763	)		(3,929	)		(15,996	)
Distributions of capital gains received from investment company affiliates		138,678			59,009			113,224			108,419
Change in net unrealized appreciation/depreciation on investments in affiliates		(220,812	)		(94,409	)		(223,185	)		(207,721	)
Net realized/unrealized gains (losses)		(117,121	)		(40,163	)		(113,890	)		(115,298	)
Change in net assets resulting from operations	$	(38,132	)	$	26,532		$	(91,744	)	$	(74,485	)

SEE NOTES TO FINANCIAL STATEMENTS.

16 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Investor Balanced Fund						Investor Conservative Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	78,989		$	63,224		$	66,695		$	57,076
Net realized gain (loss) on investments in affiliates		(34,987	)		23,374			(4,763	)		24,012
Distributions of capital gains received from investment company affiliates		138,678			184,349			59,009			97,101
Change in net unrealized appreciation/depreciation on investments in affiliates		(220,812	)		(123,577	)		(94,409	)		(104,466	)
Change in net assets resulting from operations		(38,132	)		147,370			26,532			73,723
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(66,366	)		(72,271	)		(44,516	)		(44,383	)
From net realized gains		(121,890	)		(69,634	)		(58,389	)		(46,254	)
Class B (a)
From net investment income		—			(982	)		—			(478	)
From net realized gains		—			(1,403	)		—			(733	)
Class C
From net investment income		(14,208	)		(15,495	)		(23,185	)		(22,098	)
From net realized gains		(38,413	)		(19,719	)		(43,262	)		(31,039	)
Select Class
From net investment income		(7,936	)		(6,916	)		(2,667	)		(2,449	)
From net realized gains		(12,696	)		(5,776	)		(3,008	)		(2,228	)
Total distributions to shareholders		(261,509	)		(192,196	)		(175,027	)		(149,662	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		133,100			447,233			(79,747	)		329,699
NET ASSETS:
Change in net assets		(166,541	)		402,407			(228,242	)		253,760
Beginning of period		5,567,476			5,165,069			4,516,298			4,262,538
End of period	$	5,400,935		$	5,567,476		$	4,288,056		$	4,516,298
Accumulated undistributed (distributions in excess of) net investment income	$	298		$	(404	)	$	(143	)	$	(87	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 17

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Investor Growth Fund						Investor Growth & Income Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	22,146		$	16,763		$	40,813		$	34,157
Net realized gain (loss) on investments in affiliates		(3,929	)		15,831			(15,996	)		12,333
Distributions of capital gains received from investment company affiliates		113,224			139,253			108,419			136,056
Change in net unrealized appreciation/depreciation on investments in affiliates		(223,185	)		(45,878	)		(207,721	)		(63,849	)
Change in net assets resulting from operations		(91,744	)		125,969			(74,485	)		118,697
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(24,859	)		(36,765	)		(39,844	)		(48,758	)
From net realized gains		(94,493	)		(28,153	)		(94,772	)		(56,378	)
Class B (a)
From net investment income		—			(1,355	)		—			(1,146	)
From net realized gains		—			(1,177	)		—			(1,807	)
Class C
From net investment income		(2,839	)		(4,447	)		(4,619	)		(6,023	)
From net realized gains		(14,281	)		(3,829	)		(16,453	)		(8,812	)
Select Class
From net investment income		(4,447	)		(4,648	)		(4,452	)		(5,072	)
From net realized gains		(14,030	)		(3,065	)		(9,016	)		(5,055	)
Total distributions to shareholders		(154,949	)		(83,439	)		(169,156	)		(133,051	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		170,465			192,247			51,972			253,188
NET ASSETS:
Change in net assets		(76,228	)		234,777			(191,669	)		238,834
Beginning of period		2,523,159			2,288,382			3,333,632			3,094,798
End of period	$	2,446,931		$	2,523,159		$	3,141,963		$	3,333,632
Accumulated undistributed (distributions in excess of) net investment income	$	64		$	(175	)	$	126		$	(245	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

18 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

	Investor Balanced Fund						Investor Conservative Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	521,159		$	761,516		$	334,682		$	477,274
Distributions reinvested		187,721			141,568			102,662			90,426
Cost of shares redeemed		(679,873	)		(663,757	)		(496,753	)		(517,879	)
Conversion from Class B Shares		—			61,738			—			31,590
Change in net assets resulting from Class A capital transactions	$	29,007		$	301,065		$	(59,409	)	$	81,411
Class B (a)
Proceeds from shares issued	$	—		$	1,320		$	—		$	547
Distributions reinvested		—			2,376			—			1,206
Cost of shares redeemed		—			(32,334	)		—			(16,017	)
Conversion to Class A Shares		—			(61,738	)		—			(31,590	)
Change in net assets resulting from Class B capital transactions	$	—		$	(90,376	)	$	—		$	(45,854	)
Class C
Proceeds from shares issued	$	265,536		$	377,453		$	376,818		$	557,723
Distributions reinvested		52,283			34,950			66,197			52,950
Cost of shares redeemed		(291,673	)		(202,286	)		(472,504	)		(329,481	)
Change in net assets resulting from Class C capital transactions	$	26,146		$	210,117		$	(29,489	)	$	281,192
Select Class
Proceeds from shares issued	$	153,889		$	105,111		$	43,901		$	36,634
Distributions reinvested		4,656			3,676			2,793			2,086
Cost of shares redeemed		(80,598	)		(82,360	)		(37,543	)		(25,770	)
Change in net assets resulting from Select Class capital transactions	$	77,947		$	26,427		$	9,151		$	12,950
Total change in net assets resulting from capital transactions	$	133,100		$	447,233		$	(79,747	)	$	329,699

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 19

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Investor Balanced Fund						Investor Conservative Growth Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		36,108			49,957			27,128			36,878
Reinvested		13,251			9,426			8,416			7,072
Redeemed		(47,331	)		(43,567	)		(40,276	)		(40,057	)
Conversion from Class B Shares		—			4,026			—			2,449
Change in Class A Shares		2,028			19,842			(4,732	)		6,342
Class B (a)
Issued		—			86			—			43
Reinvested		—			159			—			94
Redeemed		—			(2,125	)		—			(1,239	)
Conversion to Class A Shares		—			(4,029	)		—			(2,447	)
Change in Class B Shares		—			(5,909	)		—			(3,549	)
Class C
Issued		18,572			25,100			30,610			43,317
Reinvested		3,748			2,362			5,462			4,164
Redeemed		(20,642	)		(13,486	)		(38,552	)		(25,614	)
Change in Class C Shares		1,678			13,976			(2,480	)		21,867
Select Class
Issued		10,448			6,901			3,548			2,824
Reinvested		328			244			228			162
Redeemed		(5,624	)		(5,390	)		(3,004	)		(1,986	)
Change in Select Class Shares		5,152			1,755			772			1,000

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

20 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

	Investor Growth Fund						Investor Growth & Income Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	209,821		$	288,677		$	250,438		$	441,133
Distributions reinvested		118,749			64,605			134,109			104,781
Cost of shares redeemed		(240,399	)		(243,613	)		(362,157	)		(369,117	)
Conversion from Class B Shares		—			61,221			—			62,193
Change in net assets resulting from Class A capital transactions	$	88,171		$	170,890		$	22,390		$	238,990
Class B (a)
Proceeds from shares issued	$	—		$	289		$	—		$	664
Distributions reinvested		—			2,519			—			2,945
Cost of shares redeemed		—			(32,144	)		—			(37,395	)
Conversion to Class A Shares		—			(61,221	)		—			(62,193	)
Change in net assets resulting from Class B capital transactions	$	—		$	(90,557	)	$	—		$	(95,979	)
Class C
Proceeds from shares issued	$	69,494		$	71,520		$	94,978		$	128,515
Distributions reinvested		16,602			7,842			20,410			14,248
Cost of shares redeemed		(56,521	)		(40,872	)		(98,007	)		(68,902	)
Change in net assets resulting from Class C capital transactions	$	29,575		$	38,490		$	17,381		$	73,861
Select Class
Proceeds from shares issued	$	111,442		$	101,289		$	55,582		$	74,597
Distributions reinvested		3,969			2,044			4,742			4,325
Cost of shares redeemed		(62,692	)		(29,909	)		(48,123	)		(42,606	)
Change in net assets resulting from Select Class capital transactions	$	52,719		$	73,424		$	12,201		$	36,316
Total change in net assets resulting from capital transactions	$	170,465		$	192,247		$	51,972		$	253,188

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 21

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Investor Growth Fund						Investor Growth & Income Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		11,358			14,546			15,592			25,797
Reinvested		6,595			3,310			8,537			6,245
Redeemed		(13,034	)		(12,286	)		(22,696	)		(21,582	)
Conversion from Class B Shares		—			3,017			—			3,594
Change in Class A Shares		4,919			8,587			1,433			14,054
Class B (a)
Issued		—			15			—			40
Reinvested		—			133			—			176
Redeemed		—			(1,666	)		—			(2,198	)
Conversion to Class A Shares		—			(3,109	)		—			(3,617	)
Change in Class B Shares		—			(4,627	)		—			(5,599	)
Class C
Issued		3,961			3,770			6,045			7,695
Reinvested		972			421			1,335			870
Redeemed		(3,257	)		(2,156	)		(6,328	)		(4,129	)
Change in Class C Shares		1,676			2,035			1,052			4,436
Select Class
Issued		5,783			5,035			3,529			4,439
Reinvested		217			103			306			261
Redeemed		(3,386	)		(1,477	)		(3,063	)		(2,521	)
Change in Select Class Shares		2,614			3,661			772			2,179

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

THIS PAGE IS INTENTIONALLY LEFT BLANK

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 23

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Investor Balanced Fund
Class A
Year Ended June 30, 2016	$	15.12	$	0.22	(f)	$	(0.29	)	$	(0.07	)	$	(0.25	)	$	(0.47	)	$	(0.72	)
Year Ended June 30, 2015		15.25		0.19			0.24			0.43			(0.28	)		(0.28	)		(0.56	)
Year Ended June 30, 2014		13.61		0.17	(f)		1.74			1.91			(0.23	)		(0.04	)		(0.27	)
Year Ended June 30, 2013		12.53		0.20	(f)		1.11			1.31			(0.23	)		—			(0.23	)
Year Ended June 30, 2012		12.58		0.22	(f)		(0.05	)		0.17			(0.22	)		—			(0.22	)
Class C
Year Ended June 30, 2016		14.92		0.14	(f)		(0.29	)		(0.15	)		(0.17	)		(0.47	)		(0.64	)
Year Ended June 30, 2015		15.05		0.13			0.23			0.36			(0.21	)		(0.28	)		(0.49	)
Year Ended June 30, 2014		13.44		0.09	(f)		1.71			1.80			(0.15	)		(0.04	)		(0.19	)
Year Ended June 30, 2013		12.39		0.13	(f)		1.09			1.22			(0.17	)		—			(0.17	)
Year Ended June 30, 2012		12.44		0.15	(f)		(0.04	)		0.11			(0.16	)		—			(0.16	)
Select Class
Year Ended June 30, 2016		15.14		0.26	(f)		(0.30	)		(0.04	)		(0.28	)		(0.47	)		(0.75	)
Year Ended June 30, 2015		15.27		0.24			0.23			0.47			(0.32	)		(0.28	)		(0.60	)
Year Ended June 30, 2014		13.62		0.20	(f)		1.75			1.95			(0.26	)		(0.04	)		(0.30	)
Year Ended June 30, 2013		12.55		0.23	(f)		1.10			1.33			(0.26	)		—			(0.26	)
Year Ended June 30, 2012		12.60		0.25	(f)		(0.05	)		0.20			(0.25	)		—			(0.25	)

(a) Net investment income (loss) is affected by timing of distributions from Underlying Funds.

(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) Does not include expenses of Underlying Funds.

(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(f) Calculated based upon average shares outstanding.

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)(d)			Net investment income (loss) (a)			Expenses without waivers, reimbursements and earnings credits (c)			Portfolio turnover rate (e)
$	14.33		(0.40	)%	$	3,836,242		0.46	%		1.55	%		0.67	%		12	%
	15.12		2.89			4,018,244		0.34			1.26			0.66			10
	15.25		14.12			3,749,519		0.41			1.16			0.67			12
	13.61		10.54			2,797,749		0.50			1.51			0.69			19
	12.53		1.45			2,287,495		0.50			1.79			0.69			9
	14.13		(0.95	)		1,155,896		1.01			1.00			1.16			12
	14.92		2.45			1,195,830		0.80			0.81			1.16			10
	15.05		13.50			995,919		0.97			0.61			1.17			12
	13.44		9.89			564,358		1.01			0.99			1.19			19
	12.39		0.94			413,805		1.02			1.27			1.19			9
	14.35		(0.15	)		408,797		0.20			1.83			0.39			12
	15.14		3.15			353,402		0.08			1.51			0.40			10
	15.27		14.45			329,525		0.16			1.39			0.42			12
	13.62		10.71			293,756		0.25			1.75			0.44			19
	12.55		1.70			250,089		0.25			2.03			0.44			9

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 25

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
Investor Conservative Growth Fund
Class A
Year Ended June 30, 2016	$	12.78	$	0.22	(f)	$	(0.11	)	$	0.11	$	(0.23	)	$	(0.30	)	$	(0.53	)
Year Ended June 30, 2015		13.00		0.19			0.05			0.24		(0.22	)		(0.24	)		(0.46	)
Year Ended June 30, 2014		12.01		0.18	(f)		1.02			1.20		(0.21	)		—			(0.21	)
Year Ended June 30, 2013		11.46		0.19	(f)		0.58			0.77		(0.22	)		—			(0.22	)
Year Ended June 30, 2012		11.40		0.23	(f)		0.06			0.29		(0.23	)		—			(0.23	)
Class C
Year Ended June 30, 2016		12.73		0.15	(f)		(0.12	)		0.03		(0.16	)		(0.30	)		(0.46	)
Year Ended June 30, 2015		12.95		0.13			0.06			0.19		(0.17	)		(0.24	)		(0.41	)
Year Ended June 30, 2014		11.97		0.11	(f)		1.01			1.12		(0.14	)		—			(0.14	)
Year Ended June 30, 2013		11.42		0.13	(f)		0.58			0.71		(0.16	)		—			(0.16	)
Year Ended June 30, 2012		11.36		0.17	(f)		0.06			0.23		(0.17	)		—			(0.17	)
Select Class
Year Ended June 30, 2016		12.84		0.25	(f)		(0.11	)		0.14		(0.26	)		(0.30	)		(0.56	)
Year Ended June 30, 2015		13.06		0.22			0.06			0.28		(0.26	)		(0.24	)		(0.50	)
Year Ended June 30, 2014		12.06		0.21	(f)		1.03			1.24		(0.24	)		—			(0.24	)
Year Ended June 30, 2013		11.51		0.22	(f)		0.58			0.80		(0.25	)		—			(0.25	)
Year Ended June 30, 2012		11.44		0.26	(f)		0.07			0.33		(0.26	)		—			(0.26	)

(a) Net investment income (loss) is affected by timing of distributions from Underlying Funds.

(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) Does not include expenses of Underlying Funds.

(d) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(e) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(f) Calculated based upon average shares outstanding.

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)(d)			Net investment income (loss) (a)			Expenses without waivers, reimbursements and earnings credits (c)			Portfolio turnover rate (e)
$	12.36		0.97	%	$	2,411,763		0.46	%		1.76	%		0.66	%		12	%
	12.78		1.89			2,554,155		0.34			1.46			0.66			11
	13.00		10.05			2,516,247		0.41			1.41			0.66			20
	12.01		6.76			2,220,725		0.50			1.63			0.68			14
	11.46		2.60			1,847,352		0.50			2.03			0.68			9
	12.30		0.34			1,740,461		1.01			1.21			1.16			12
	12.73		1.44			1,831,636		0.79			1.02			1.16			11
	12.95		9.42			1,580,447		0.97			0.87			1.16			20
	11.97		6.27			1,142,903		1.01			1.12			1.18			14
	11.42		2.09			841,332		1.01			1.50			1.18			9
	12.42		1.22			135,832		0.21			2.02			0.41			12
	12.84		2.13			130,507		0.09			1.71			0.40			11
	13.06		10.35			119,664		0.16			1.66			0.41			20
	12.06		6.97			112,843		0.25			1.87			0.43			14
	11.51		2.92			95,175		0.25			2.27			0.43			9

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 27

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)(b)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Investor Growth Fund
Class A
Year Ended June 30, 2016	$	19.95	$	0.17	$	(0.89	)	$	(0.72	)	$	(0.24	)	$	(0.95	)	$	(1.19	)
Year Ended June 30, 2015		19.59		0.15		0.91			1.06			(0.39	)		(0.31	)		(0.70	)
Year Ended June 30, 2014		16.25		0.11		3.45			3.56			(0.22	)		—			(0.22	)
Year Ended June 30, 2013		13.88		0.14		2.38			2.52			(0.15	)		—			(0.15	)
Year Ended June 30, 2012		14.14		0.10		(0.25	)		(0.15	)		(0.11	)		—			(0.11	)
Class C
Year Ended June 30, 2016		19.01		0.07		(0.85	)		(0.78	)		(0.18	)		(0.95	)		(1.13	)
Year Ended June 30, 2015		18.75		0.05		0.87			0.92			(0.35	)		(0.31	)		(0.66	)
Year Ended June 30, 2014		15.60		0.01		3.30			3.31			(0.16	)		—			(0.16	)
Year Ended June 30, 2013		13.34		0.05		2.30			2.35			(0.09	)		—			(0.09	)
Year Ended June 30, 2012		13.61		0.02		(0.24	)		(0.22	)		(0.05	)		—			(0.05	)
Select Class
Year Ended June 30, 2016		20.29		0.23		(0.91	)		(0.68	)		(0.29	)		(0.95	)		(1.24	)
Year Ended June 30, 2015		19.91		0.20		0.93			1.13			(0.44	)		(0.31	)		(0.75	)
Year Ended June 30, 2014		16.51		0.16		3.50			3.66			(0.26	)		—			(0.26	)
Year Ended June 30, 2013		14.09		0.17		2.44			2.61			(0.19	)		—			(0.19	)
Year Ended June 30, 2012		14.35		0.14		(0.26	)		(0.12	)		(0.14	)		—			(0.14	)

(a) Net investment income (loss) is affected by timing of distributions from Underlying Funds.

(b) Calculated based upon average shares outstanding.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(d) Does not include expenses of Underlying Funds.

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (c)			Net assets, end of period (000’s)		Net expenses (d)(e)			Net investment income (loss) (a)			Expenses without waivers, reimbursements and earnings credits (d)			Portfolio turnover rate (f)
$	18.04		(3.54	)%	$	1,893,308		0.47	%		0.93	%		0.72	%		8	%
	19.95		5.51			1,994,792		0.38			0.74			0.71			10
	19.59		21.95			1,791,194		0.41			0.59			0.71			8
	16.25		18.28			1,344,928		0.49			0.89			0.76			15
	13.88		(1.03	)		1,100,639		0.50			0.72			0.75			6
	17.10		(4.05	)		270,007		1.02			0.39			1.21			8
	19.01		4.97			268,270		0.85			0.26			1.21			10
	18.75		21.30			226,430		0.95			0.05			1.21			8
	15.60		17.69			157,546		1.04			0.34			1.25			15
	13.34		(1.57	)		125,391		1.05			0.17			1.25			6
	18.37		(3.28	)		283,616		0.20			1.21			0.40			8
	20.29		5.80			260,097		0.10			1.01			0.42			10
	19.91		22.25			182,413		0.16			0.85			0.46			8
	16.51		18.64			123,906		0.24			1.13			0.51			15
	14.09		(0.77	)		108,189		0.25			0.99			0.50			6

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 29

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

			Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)(b)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Investor Growth & Income Fund
Class A
Year Ended June 30, 2016	$	17.02	$	0.21	$	(0.58	)	$	(0.37	)	$	(0.25	)	$	(0.61	)	$	(0.86	)
Year Ended June 30, 2015		17.11		0.19		0.44			0.63			(0.33	)		(0.39	)		(0.72	)
Year Ended June 30, 2014		14.78		0.16		2.40			2.56			(0.23	)		—			(0.23	)
Year Ended June 30, 2013		13.17		0.18		1.64			1.82			(0.21	)		—			(0.21	)
Year Ended June 30, 2012		13.28		0.17		(0.10	)		0.07			(0.18	)		—			(0.18	)
Class C
Year Ended June 30, 2016		16.62		0.12		(0.57	)		(0.45	)		(0.17	)		(0.61	)		(0.78	)
Year Ended June 30, 2015		16.72		0.11		0.44			0.55			(0.26	)		(0.39	)		(0.65	)
Year Ended June 30, 2014		14.46		0.07		2.34			2.41			(0.15	)		—			(0.15	)
Year Ended June 30, 2013		12.89		0.10		1.61			1.71			(0.14	)		—			(0.14	)
Year Ended June 30, 2012		13.01		0.10		(0.11	)		(0.01	)		(0.11	)		—			(0.11	)
Select Class
Year Ended June 30, 2016		16.80		0.25		(0.58	)		(0.33	)		(0.29	)		(0.61	)		(0.90	)
Year Ended June 30, 2015		16.89		0.23		0.44			0.67			(0.37	)		(0.39	)		(0.76	)
Year Ended June 30, 2014		14.59		0.19		2.38			2.57			(0.27	)		—			(0.27	)
Year Ended June 30, 2013		13.00		0.21		1.63			1.84			(0.25	)		—			(0.25	)
Year Ended June 30, 2012		13.12		0.20		(0.11	)		0.09			(0.21	)		—			(0.21	)

(a) Net investment income (loss) is affected by timing of distributions from Underlying Funds.

(b) Calculated based upon average shares outstanding.

(c) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(d) Does not include expenses of Underlying Funds.

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Amount rounds to less than 0.005%

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (c)			Net assets, end of period (000’s)		Net expenses (d)(e)			Net investment income (loss) (a)			Expenses without waivers, reimbursements and earnings credits (d)			Portfolio turnover rate (f)
$	15.79		(2.06	)%	$	2,489,097		0.46	%		1.33	%		0.69	%		13	%
	17.02		3.78			2,659,305		0.36			1.11			0.69			9
	17.11		17.40			2,432,024		0.41			0.96			0.68			10
	14.78		13.91			1,812,603		0.49			1.29			0.72			20
	13.17		0.60			1,485,151		0.50			1.33			0.71			11
	15.39		(2.63	)		414,439		1.02			0.79			1.19			13
	16.62		3.37			430,037		0.82			0.65			1.19			9
	16.72		16.72			358,544		0.96			0.42			1.18			10
	14.46		13.34			225,157		1.02			0.76			1.21			20
	12.89		0.00	(g)		179,336		1.03			0.80			1.21			11
	15.57		(1.82	)		238,427		0.20			1.60			0.40			13
	16.80		4.11			244,290		0.09			1.38			0.41			9
	16.89		17.71			208,836		0.16			1.21			0.44			10
	14.59		14.22			156,714		0.24			1.53			0.47			20
	13.00		0.79			127,295		0.25			1.59			0.46			11

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 31

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016

1. Organization

JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The following are 4 separate funds of the Trust (collectively, the “Funds”) covered by this report:

	Classes Offered	Diversified/Non-Diversified
Investor Balanced Fund	Class A, Class C and Select Class	Diversified
Investor Conservative Growth Fund	Class A, Class C and Select Class	Diversified
Investor Growth Fund	Class A, Class C and Select Class	Diversified
Investor Growth & Income Fund	Class A, Class C and Select Class	Diversified

The investment objective of the Investor Balanced Fund is to seek high total return consistent with the preservation of capital by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity and fixed income securities.

The investment objective of the Investor Conservative Growth Fund is to seek income and capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in fixed income and equity securities.

The investment objective of the Investor Growth Fund is to seek long-term capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.

The investment objective of the Investor Growth & Income Fund is to seek long-term capital appreciation and growth of income by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.

Class A 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 Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s net asset value per share (“NAV”) as of the report date.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.

32 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

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 table represents each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investor Balanced Fund Total Investments in Securities (a)	$	5,403,548	$	—	$	—	$	5,403,548
Investor Conservative Growth Fund
Total Investments in Securities (a)	$	4,290,183	$	—	$	—	$	4,290,183
Investor Growth
Total Investments in Securities (a)	$	2,449,107	$	—	$	—	$	2,449,107
Investor Growth & Income Fund
Total Investments in Securities (a)	$	3,144,433	$	—	$	—	$	3,144,433

(a) All portfolio holdings designated as level 1 are disclosed individually on the SOIs. Please refer to the SOIs for asset class specifics of portfolio holdings.

There were no transfers among any levels during the year ended June 30, 2016.

B. Investment Transactions with Affiliates — The Funds invest in Underlying Funds advised by Adviser or its affiliates pursuant to Section 12(d)(1)(G) of the 1940 Act. An issuer which is under common control with a fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below. Included in the purchases and sales amounts in the table below are exchanges between certain share classes of the Underlying Funds. Such exchanges are not treated as purchases and sales for the purpose of recognizing realized gains (losses) or portfolio turnover. Included in the realized gain (loss) amounts in the tables below are distributions of realized capital gains, if any, received from the Underlying Funds (amounts in thousands).

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Balanced Fund
JPMorgan Commodities Strategy Fund, Class R6 Shares	$	—	$	9,055	$	—	$	—		$	—		667	$	6,200
JPMorgan Commodities Strategy Fund, Select Class Shares		20,437		—		20,255		(6,045	)		—		—		—
JPMorgan Core Bond Fund, Class R6 Shares		—		909,460		18,116		1,444			15,158		78,172		938,847
JPMorgan Core Bond Fund, Select Class Shares		848,868		54,012		881,895		(349	)		7,112		—		—
JPMorgan Core Plus Bond Fund, Class R6 Shares		—		518,319		—		1,105			10,602		65,097		546,164
JPMorgan Core Plus Bond Fund, Select Class Shares		510,890		5,429		499,627		—			5,429		—		—
JPMorgan Dynamic Growth Fund, Class R5 Shares		—		93,364		8,323		1,972			—		4,405		110,509
JPMorgan Dynamic Growth Fund, Select Class Shares		117,968		4,200		92,191		—			—		—		—
JPMorgan Emerging Economies Fund, Class R6 Shares		—		73,333		7,005		(2,113	)		769		5,110		54,574
JPMorgan Emerging Economies Fund, Select Class Shares		61,699		4,900		68,643		—			—		—		—
JPMorgan Emerging Markets Debt Fund, Class R6 Shares		—		54,509		—		—			1,779		6,911		56,669
JPMorgan Emerging Markets Debt Fund, Select Class Shares		47,064		767		47,256		—			767		—		—
JPMorgan Emerging Markets Equity Fund, Class R6 Shares		—		68,282		9,132		(1,685	)		646		2,701		55,746
JPMorgan Emerging Markets Equity Fund, Select Class Shares		57,728		4,900		61,715		—			—		—		—
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares		—		8,673		6,840		(1,833	)		—		—		—

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 33

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Balanced Fund (continued)
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares	$	33,969	$	—	$	32,923	$	(8,774	)	$	—		—	$	—
JPMorgan Equity Income Fund, Class R6 Shares		—		75,173		6,830		491			1,454		6,180		87,879
JPMorgan Equity Income Fund, Select Class Shares		83,514		4,531		70,409		—			431		—		—
JPMorgan Floating Rate Income Fund, Class R6 Shares		—		197,578		5,539		(449	)		5,384		19,543		180,386
JPMorgan Floating Rate Income Fund, Select Class Shares		176,664		10,986		190,407		(1,346	)		2,484		—		—
JPMorgan Global Natural Resources Fund, Class R6 Shares		—		18,022		6,880		(11,143	)		—		—		—
JPMorgan Global Natural Resources Fund, Select Class Shares		9,449		—		18,022		—			—		—		—
JPMorgan Global Research Enhanced Index Fund, Select Class Shares		182,476		12,105		7,992		(576	)		3,505		9,910		176,802
JPMorgan Government Bond Fund, Select Class Shares		11,991		468		—		166			302		1,147		12,611
JPMorgan High Yield Fund, Class R6 Shares		—		273,719		—		98			9,070		38,094		271,608
JPMorgan High Yield Fund, Select Class Shares		122,230		50,766		172,608		—			2,866		—		—
JPMorgan Inflation Managed Bond Fund, Class R6 Shares		—		115,392		32,993		(2,515	)		923		7,681		79,493
JPMorgan Inflation Managed Bond Fund, Select Class Shares		121,509		772		125,069		(841	)		772		—		—
JPMorgan International Equity Fund, Class R6 Shares		—		115,966		11,914		(1,851	)		1,735		6,706		91,267
JPMorgan International Equity Fund, Select Class Shares		106,311		9,042		112,910		—			142		—		—
JPMorgan International Research Enhanced Equity Fund, Select Class Shares		232,315		59,329		—		2,264			6,202		17,322		259,490
JPMorgan Intrepid America Fund, Class R6 Shares		—		225,220		39,517		20,912			5,002		8,841		309,701
JPMorgan Intrepid America Fund, Select Class Shares		343,433		17,000		205,812		328			—		—		—
JPMorgan Intrepid European Fund, Institutional Class Shares		—		118,393		—		—			1,700		4,602		100,729
JPMorgan Intrepid European Fund, Select Class Shares		90,836		15,200		108,725		—			—		—		—
JPMorgan Intrepid Growth Fund, Class R6 Shares		—		98,926		34,406		8,480			2,190		3,958		160,300
JPMorgan Intrepid Growth Fund, Select Class Shares		186,225		11,600		98,737		(63	)		—		—		—
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares		—		75,499		—		7,274			931		5,980		122,104
JPMorgan Intrepid Mid Cap Fund, Select Class Shares		90,360		5,398		43,309		—			98		—		—
JPMorgan Large Cap Growth Fund, Class R6 Shares		—		29,247		2,774		2,778			—		1,720		57,760
JPMorgan Large Cap Growth Fund, Select Class Shares		58,384		5,100		27,081		386			—		—		—
JPMorgan Large Cap Value Fund, Class R6 Shares		—		128,276		24,440		18,581			1,880		10,602		133,167
JPMorgan Large Cap Value Fund, Select Class Shares		159,695		5,209		110,458		27			409		—		—
JPMorgan Latin America Fund, Class R6 Shares		—		24,655		—		—			294		1,377		17,757
JPMorgan Latin America Fund, Select Class Shares		18,875		—		24,361		—			—		—		—
JPMorgan Limited Duration Bond Fund, Class R6 Shares		—		222,791		14,441		(102	)		1,646		21,592		216,563
JPMorgan Limited Duration Bond Fund, Select Class Shares		196,792		4,661		193,332		(42	)		661		—		—
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		143,943		347,878		448,282		—			141		43,539		43,539
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares		206,199		49,148		12,598		33,526			2,102		19,263		207,074
JPMorgan Mid Cap Growth Fund, Class R6 Shares		—		4,000		—		—			—		172		4,612
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares		113,477		—		47,616		2,391			—		6,738		68,256
JPMorgan Research Market Neutral Fund, Institutional Class Shares		—		99,373		7,702		(481	)		—		5,951		85,390
JPMorgan Research Market Neutral Fund, Select Class Shares		106,855		—		107,375		(325	)		—		—		—
JPMorgan Small Cap Value Fund, Class R6 Shares		—		52,281		29,163		(2,566	)		269		722		18,771
JPMorgan Small Cap Value Fund, Select Class Shares		39,042		10,790		50,020		—			90		—		—
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares		—		109,857		16,144		(1,399	)		2,747		7,778		88,278
JPMorgan Strategic Income Opportunities Fund, Select Class Shares		109,188		1,216		112,407		(313	)		1,216		—		—
JPMorgan Systematic Alpha Fund, Class R6 Shares		—		100,519		9,212		(124	)		2,400		5,958		89,078
JPMorgan Systematic Alpha Fund, Select Class Shares		95,123		—		96,556		(58	)		—		—		—
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares		55,760		4,945		14,839		3,076			494		2,462		41,714
JPMorgan U.S. Equity Fund, Class R6 Shares		—		333,695		41,782		21,845			4,123		31,318		432,819

34 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Balanced Fund (continued)
JPMorgan U.S. Equity Fund, Select Class Shares	$	463,592	$	20,191	$	311,871	$	(159	)	$	991		—	$	—
JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares		—		160,734		56,202		21,077			1,127		6,247		165,163
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares		228,534		7,900		146,088		48			—		—		—
JPMorgan Unconstrained Debt Fund, Class R6 Shares		—		24,987		4,764		(350	)		377		1,919		19,002
JPMorgan Unconstrained Debt Fund, Select Class Shares		23,233		175		24,610		—			175		—		—
JPMorgan Value Advantage Fund, Institutional Class Shares		—		76,885		—		924			1,025		3,241		93,526
JPMorgan Value Advantage Fund, Select Class Shares		89,672		5,300		74,936		—			—		—		—
Total	$	5,564,300					$	103,691		$	109,620			$	5,403,548
			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Conservative Growth Fund
JPMorgan Commodities Strategy Fund, Class R6 Shares	$	—	$	7,524	$	—	$	—		$	—		555	$	5,157
JPMorgan Commodities Strategy Fund, Select Class Shares		18,048		—		17,724		(5,476	)		—		—		—
JPMorgan Core Bond Fund, Class R6 Shares		—		1,140,335		33,614		1,497			18,966		96,083		1,153,962
JPMorgan Core Bond Fund, Select Class Shares		1,135,187		9,081		1,129,644		(361	)		9,081		—		—
JPMorgan Core Plus Bond Fund, Class R6 Shares		—		540,331		5,000		981			10,910		67,025		562,340
JPMorgan Core Plus Bond Fund, Select Class Shares		546,496		5,694		536,592		(399	)		5,694		—		—
JPMorgan Dynamic Growth Fund, Class R5 Shares		—		39,585		500		482			—		1,868		46,874
JPMorgan Dynamic Growth Fund, Select Class Shares		40,717		6,500		38,006		86			—		—		—
JPMorgan Emerging Economies Fund, Class R6 Shares		—		35,324		5,065		(1,632	)		370		2,333		24,918
JPMorgan Emerging Economies Fund, Select Class Shares		28,744		4,400		33,904		—			—		—		—
JPMorgan Emerging Markets Debt Fund, Class R6 Shares		—		39,272		—		—			1,240		4,990		40,915
JPMorgan Emerging Markets Debt Fund, Select Class Shares		31,012		1,518		32,018		—			518		—		—
JPMorgan Emerging Markets Equity Fund, Class R6 Shares		—		32,514		5,065		(996	)		307		1,267		26,155
JPMorgan Emerging Markets Equity Fund, Select Class Shares		27,055		4,750		31,157		—			—		—		—
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares		—		15,282		12,164		(3,119	)		—		—		—
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares		48,540		—		47,982		(10,789	)		—		—		—
JPMorgan Equity Income Fund, Class R6 Shares		—		61,751		12,845		1,015			1,227		4,938		70,211
JPMorgan Equity Income Fund, Select Class Shares		78,142		2,197		59,916		—			397		—		—
JPMorgan Floating Rate Income Fund, Class R6 Shares		—		181,532		4,391		(370	)		4,906		17,842		164,685
JPMorgan Floating Rate Income Fund, Select Class Shares		168,704		2,388		174,861		(1,124	)		2,388		—		—
JPMorgan Global Natural Resources Fund, Class R6 Shares		—		14,341		5,847		(8,494	)		—		—		—
JPMorgan Global Natural Resources Fund, Select Class Shares		8,027		—		14,341		—			—		—		—
JPMorgan Global Research Enhanced Index Fund, Select Class Shares		51,745		3,700		4,205		(215	)		1,000		2,717		48,469

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 35

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Conservative Growth Fund (continued)
JPMorgan Government Bond Fund, Select Class Shares	$	33,206	$	1,295	$	—	$	459		$	835		3,178	$	34,923
JPMorgan High Yield Fund, Class R6 Shares		—		235,829		—		81			7,736		33,169		236,495
JPMorgan High Yield Fund, Select Class Shares		91,838		37,829		128,618		—			1,929		—		—
JPMorgan Inflation Managed Bond Fund, Class R6 Shares		—		135,140		33,247		(1,958	)		1,143		9,600		99,359
JPMorgan Inflation Managed Bond Fund, Select Class Shares		153,503		936		156,897		(1,708	)		936		—		—
JPMorgan International Equity Fund, Class R6 Shares		—		48,303		860		(108	)		786		3,095		42,123
JPMorgan International Equity Fund, Select Class Shares		44,402		4,259		47,517		—			59		—		—
JPMorgan International Research Enhanced Equity Fund, Select Class Shares		136,484		28,093		—		1,309			3,586		9,735		145,828
JPMorgan Intrepid America Fund, Class R6 Shares		—		140,045		38,708		19,672			3,162		5,211		182,553
JPMorgan Intrepid America Fund, Select Class Shares		230,157		7,500		137,017		3,394			—		—		—
JPMorgan Intrepid European Fund, Institutional Class Shares		—		55,061		—		—			848		2,106		46,091
JPMorgan Intrepid European Fund, Select Class Shares		47,345		5,200		54,213		—			—		—		—
JPMorgan Intrepid Growth Fund, Class R6 Shares		—		66,532		21,813		3,123			1,390		2,518		101,993
JPMorgan Intrepid Growth Fund, Select Class Shares		118,273		8,700		67,643		65			—		—		—
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares		—		34,934		—		2,310			340		2,475		50,538
JPMorgan Intrepid Mid Cap Fund, Select Class Shares		29,871		632		13,935		—			32		—		—
JPMorgan Large Cap Value Fund, Class R6 Shares		—		14,416		1,681		2,272			248		1,541		19,358
JPMorgan Large Cap Value Fund, Select Class Shares		28,567		766		19,831		3,075			66		—		—
JPMorgan Latin America Fund, Class R6 Shares		—		16,137		—		—			189		886		11,426
JPMorgan Latin America Fund, Select Class Shares		12,146		—		15,948		—			—		—		—
JPMorgan Limited Duration Bond Fund, Class R6 Shares		—		364,107		31,301		(214	)		2,845		34,406		345,089
JPMorgan Limited Duration Bond Fund, Select Class Shares		360,360		9,917		357,919		(36	)		1,217		—		—
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		58,323		265,894		285,959		—			100		38,258		38,258
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares		55,930		13,477		—		9,403			575		5,599		60,194
JPMorgan Mid Cap Growth Fund, Class R6 Shares		—		30,266		—		1,356			—		1,435		38,493
JPMorgan Mid Cap Growth Fund, Select Class Shares		28,340		700		17,561		—			—		—		—
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares		86,207		—		27,427		1,504			—		5,936		60,135
JPMorgan Research Market Neutral Fund, Institutional Class Shares		—		96,093		22,708		(1,358	)		—		4,703		67,488
JPMorgan Research Market Neutral Fund, Select Class Shares		107,173		—		107,993		(446	)		—		—		—
JPMorgan Small Cap Value Fund, Class R6 Shares		—		38,487		4,257		916			256		1,250		32,495
JPMorgan Small Cap Value Fund, Select Class Shares		27,478		9,163		36,758		—			63		—		—
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares		—		112,726		10,273		(926	)		2,913		8,560		97,157
JPMorgan Strategic Income Opportunities Fund, Select Class Shares		116,893		1,259		120,013		(438	)		1,261		—		—
JPMorgan Systematic Alpha Fund, Class R6 Shares		—		91,403		6,173		(80	)		2,212		5,551		82,983
JPMorgan Systematic Alpha Fund, Select Class Shares		87,376		—		88,868		(47	)		—		—		—
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares		38,183		2,970		17,907		5,169			292		1,222		20,696
JPMorgan U.S. Equity Fund, Class R6 Shares		—		154,222		44,771		14,966			1,843		12,950		178,973
JPMorgan U.S. Equity Fund, Select Class Shares		229,981		9,486		155,016		1,059			486		—		—
JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares		—		82,822		50,036		19,194			604		2,611		69,024
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares		130,423		3,300		80,710		665			—		—		—
JPMorgan Unconstrained Debt Fund, Class R6 Shares		—		20,647		2,073		(177	)		317		1,775		17,575
JPMorgan Unconstrained Debt Fund, Select Class Shares		19,186		144		20,330		—			144		—		—
JPMorgan Value Advantage Fund, Institutional Class Shares		—		44,765		—		664			737		2,330		67,250
JPMorgan Value Advantage Fund, Select Class Shares		62,004		6,000		43,362		—			—		—		—
Total	$	4,516,066					$	54,246		$	96,154			$	4,290,183

36 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Growth Fund
JPMorgan Commodities Strategy Fund, Class R6 Shares	$	—	$	10,641	$	—	$	—		$	—		771	$	7,169
JPMorgan Commodities Strategy Fund, Select Class Shares		9,702		—		11,841		(659	)		—		—		—
JPMorgan Core Bond Fund, Class R6 Shares		—		85,741		6,637		169			1,333		6,781		81,438
JPMorgan Core Bond Fund, Select Class Shares		92,120		2,785		95,009		(32	)		685		—		—
JPMorgan Core Plus Bond Fund, Class R6 Shares		—		27,769		—		50			512		3,405		28,568
JPMorgan Core Plus Bond Fund, Select Class Shares		23,016		245		23,042		—			245		—		—
JPMorgan Dynamic Growth Fund, Class R5 Shares		—		19,670		497		255			—		982		24,640
JPMorgan Dynamic Growth Fund, Select Class Shares		25,610		400		19,403		—			—		—		—
JPMorgan Emerging Economies Fund, Class R6 Shares		—		56,078		3,139		(1,351	)		580		4,010		42,824
JPMorgan Emerging Economies Fund, Select Class Shares		50,587		2,150		54,918		—			—		—		—
JPMorgan Emerging Markets Debt Fund, Class R6 Shares		—		10,268		—		—			318		1,356		11,118
JPMorgan Emerging Markets Debt Fund, Select Class Shares		7,883		128		7,459		—			128		—		—
JPMorgan Emerging Markets Equity Fund, Class R6 Shares		—		52,706		3,636		(848	)		487		2,174		44,876
JPMorgan Emerging Markets Equity Fund, Select Class Shares		47,124		2,050		49,839		—			—		—		—
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares		—		87		63		(23	)		—		—		—
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares		7,757		—		7,137		(2,764	)		—		—		—
JPMorgan Equity Income Fund, Class R6 Shares		—		29,631		—		272			606		2,644		37,598
JPMorgan Equity Income Fund, Select Class Shares		35,304		678		28,753		—			178		—		—
JPMorgan Floating Rate Income Fund, Class R6 Shares		—		24,417		2,520		(165	)		487		2,335		21,553
JPMorgan Floating Rate Income Fund, Select Class Shares		14,650		2,083		16,605		(335	)		183		—		—
JPMorgan Global Natural Resources Fund, Class R6 Shares		—		8,896		3,460		(5,436	)		—		—		—
JPMorgan Global Natural Resources Fund, Select Class Shares		4,753		—		8,896		—			—		—		—
JPMorgan Global Research Enhanced Index Fund, Select Class Shares		66,386		3,972		2,393		(173	)		1,233		3,617		64,521
JPMorgan High Yield Fund, Class R6 Shares		—		76,714		—		14			2,319		11,354		80,953
JPMorgan High Yield Fund, Select Class Shares		12,066		11,608		21,578		—			308		—		—
JPMorgan Inflation Managed Bond Fund, Class R6 Shares		—		25,972		13,937		(831	)		151		1,103		11,421
JPMorgan Inflation Managed Bond Fund, Select Class Shares		25,168		162		25,821		—			162		—		—
JPMorgan International Equity Fund, Class R6 Shares		—		105,753		—		—			1,835		7,257		98,774
JPMorgan International Equity Fund, Select Class Shares		111,510		1,743		103,918		—			143		—		—
JPMorgan International Research Enhanced Equity Fund, Select Class Shares		138,496		9,922		—		1,236			3,386		8,628		129,244
JPMorgan International Unconstrained Equity Fund, Class R6 Shares		—		56,969		—		—			229		3,097		51,818
JPMorgan International Unconstrained Equity Fund, Select Class Shares		44,071		9,000		53,300		—			—		—		—
JPMorgan Intrepid America Fund, Class R6 Shares		—		179,723		16,495		16,528			4,059		7,605		266,407
JPMorgan Intrepid America Fund, Select Class Shares		282,867		4,700		159,123		(65	)		—		—		—
JPMorgan Intrepid European Fund, Institutional Class Shares		—		76,855		—		—			1,208		2,998		65,631
JPMorgan Intrepid European Fund, Select Class Shares		73,857		1,500		75,647		—			—		—		—
JPMorgan Intrepid Growth Fund, Class R6 Shares		—		69,351		20,055		8,204			1,610		3,074		124,488
JPMorgan Intrepid Growth Fund, Select Class Shares		144,786		2,100		68,980		163			—		—		—
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares		—		58,922		—		5,904			694		4,058		82,866
JPMorgan Intrepid Mid Cap Fund, Select Class Shares		76,863		1,181		47,130		—			81		—		—
JPMorgan Large Cap Growth Fund, Class R6 Shares		—		79,100		1,989		8,303			—		5,425		182,188
JPMorgan Large Cap Growth Fund, Select Class Shares		194,481		2,800		72,043		(14	)		—		—		—
JPMorgan Large Cap Value Fund, Class R6 Shares		—		215,654		1,200		27,820			3,030		18,625		233,933
JPMorgan Large Cap Value Fund, Select Class Shares		238,900		3,901		186,893		(32	)		601		—		—
JPMorgan Latin America Fund, Class R6 Shares		—		14,143		—		—			176		826		10,654
JPMorgan Latin America Fund, Select Class Shares		11,324		—		13,967		—			—		—		—
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		16,895		133,965		126,505		—			68		24,355		24,355

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 37

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Growth Fund (continued)
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares	$	140,566	$	27,909	$	—	$	23,344		$	1,404		13,461	$	144,700
JPMorgan Mid Cap Growth Fund, Class R6 Shares		—		25,287		—		843			—		1,153		30,919
JPMorgan Mid Cap Growth Fund, Select Class Shares		17,886		200		11,418		—			—		—		—
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares		11,402		—		5,739		394			—		582		5,895
JPMorgan Research Market Neutral Fund, Institutional Class Shares		—		11,006		4,439		(173	)		—		431		6,185
JPMorgan Research Market Neutral Fund, Select Class Shares		12,368		—		12,206		(39	)		—		—		—
JPMorgan Small Cap Value Fund, Class R6 Shares		—		41,412		20,943		4,103			420		1,757		45,661
JPMorgan Small Cap Value Fund, Select Class Shares		66,522		1,134		37,192		—			134		—		—
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares		—		6,178		1,139		(88	)		152		420		4,771
JPMorgan Strategic Income Opportunities Fund, Select Class Shares		5,891		66		6,026		—			66		—		—
JPMorgan Systematic Alpha Fund, Class R6 Shares		—		21,672		—		—			336		1,420		21,225
JPMorgan Systematic Alpha Fund, Select Class Shares		14,135		—		14,341		(26	)		—		—		—
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares		26,225		1,953		4,223		1,370			237		1,295		21,943
JPMorgan U.S. Equity Fund, Class R6 Shares		—		238,772		15,988		14,777			2,873		22,296		308,126
JPMorgan U.S. Equity Fund, Select Class Shares		323,001		5,982		221,789		(114	)		682		—		—
JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares		—		73,335		12,428		8,458			507		3,295		87,118
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares		103,797		1,500		65,494		(38	)		—		—		—
JPMorgan Unconstrained Debt Fund, Class R6 Shares		—		5,430		1,139		(97	)		80		405		4,006
JPMorgan Unconstrained Debt Fund, Select Class Shares		5,046		38		5,350		—			38		—		—
JPMorgan Value Advantage Fund, Institutional Class Shares		—		30,550		—		391			433		1,439		41,521
JPMorgan Value Advantage Fund, Select Class Shares		39,717		600		27,986		—			—		—		—
Total	$	2,522,732					$	109,295		$	34,397			$	2,449,107
			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Growth & Income Fund
JPMorgan Commodities Strategy Fund, Class R6 Shares	$	—	$	15,526	$	—	$	—		$	—		1,126	$	10,475
JPMorgan Commodities Strategy Fund, Select Class Shares		13,994		—		17,126		(874	)		—		—		—
JPMorgan Core Bond Fund, Class R6 Shares		—		289,671		12,894		462			4,596		24,367		292,649
JPMorgan Core Bond Fund, Select Class Shares		298,881		2,235		293,589		(81	)		2,235		—		—
JPMorgan Core Plus Bond Fund, Class R6 Shares		—		187,550		—		396			3,855		23,988		201,262
JPMorgan Core Plus Bond Fund, Select Class Shares		183,111		1,946		175,475		—			1,946		—		—
JPMorgan Dynamic Growth Fund, Class R5 Shares		—		38,311		3,232		755			—		1,775		44,525
JPMorgan Dynamic Growth Fund, Select Class Shares		48,399		800		37,822		—			—		—		—
JPMorgan Emerging Economies Fund, Class R6 Shares		—		60,587		4,105		(1,487	)		622		4,332		46,267
JPMorgan Emerging Economies Fund, Select Class Shares		52,496		2,300		56,940		—			—		—		—
JPMorgan Emerging Markets Debt Fund, Class R6 Shares		—		17,139		—		—			615		2,240		18,372
JPMorgan Emerging Markets Debt Fund, Select Class Shares		16,950		276		16,524		—			276		—		—
JPMorgan Emerging Markets Equity Fund, Class R6 Shares		—		56,647		8,685		(2,150	)		523		2,127		43,901
JPMorgan Emerging Markets Equity Fund, Select Class Shares		50,815		2,400		53,100		—			—		—		—
JPMorgan Emerging Markets Local Currency Debt Fund, Class R6 Shares		—		2,284		1,807		(477	)		—		—		—
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares		16,453		—		15,484		(5,028	)		—		—		—

38 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Growth & Income Fund (continued)
JPMorgan Equity Income Fund, Class R6 Shares	$	—	$	46,084	$	7,685	$	430		$	876		3,597	$	51,155
JPMorgan Equity Income Fund, Select Class Shares		54,488		2,176		44,778		—			276		—		—
JPMorgan Floating Rate Income Fund, Class R6 Shares		—		127,664		3,275		(265	)		3,388		12,646		116,720
JPMorgan Floating Rate Income Fund, Select Class Shares		115,806		1,637		119,170		(782	)		1,637		—		—
JPMorgan Global Natural Resources Fund, Class R6 Shares		—		13,188		5,078		(8,111	)		—		—		—
JPMorgan Global Natural Resources Fund, Select Class Shares		6,944		—		13,188		—			—		—		—
JPMorgan Global Research Enhanced Index Fund, Select Class Shares		118,075		6,642		4,646		(276	)		2,217		6,386		113,931
JPMorgan Government Bond Fund, Select Class Shares		11,055		431		—		153			278		1,058		11,627
JPMorgan High Yield Fund, Class R6 Shares		—		152,840		—		54			5,090		21,576		153,834
JPMorgan High Yield Fund, Select Class Shares		72,038		22,395		92,561		—			1,495		—		—
JPMorgan Inflation Managed Bond Fund, Class R6 Shares		—		54,760		13,627		(1,007	)		460		3,891		40,274
JPMorgan Inflation Managed Bond Fund, Select Class Shares		59,072		374		60,300		(469	)		374		—		—
JPMorgan International Equity Fund, Class R6 Shares		—		125,267		11,286		(3,228	)		1,956		7,583		103,204
JPMorgan International Equity Fund, Select Class Shares		125,157		6,062		123,312		—			162		—		—
JPMorgan International Research Enhanced Equity Fund, Select Class Shares		147,399		17,057		—		1,352			3,705		9,622		144,143
JPMorgan International Unconstrained Equity Fund, Class R6 Shares		—		10,000		—		—			—		645		10,786
JPMorgan Intrepid America Fund, Class R6 Shares		—		212,931		37,402		19,305			4,754		8,519		298,418
JPMorgan Intrepid America Fund, Select Class Shares		332,983		10,500		191,683		101			—		—		—
JPMorgan Intrepid European Fund, Institutional Class Shares		—		94,337		—		—			1,433		3,557		77,853
JPMorgan Intrepid European Fund, Select Class Shares		85,684		3,500		92,905		—			—		—		—
JPMorgan Intrepid Growth Fund, Class R6 Shares		—		53,630		18,764		8,207			1,274		2,330		94,346
JPMorgan Intrepid Growth Fund, Select Class Shares		114,267		1,900		54,356		81			—		—		—
JPMorgan Intrepid Mid Cap Fund, Class R6 Shares		—		34,132		—		2,158			323		2,405		49,102
JPMorgan Intrepid Mid Cap Fund, Select Class Shares		28,192		330		12,598		—			30		—		—
JPMorgan Large Cap Growth Fund, Class R6 Shares		—		73,353		1,640		7,514			—		4,880		163,865
JPMorgan Large Cap Growth Fund, Select Class Shares		171,992		4,800		67,479		384			—		—		—
JPMorgan Large Cap Value Fund, Class R6 Shares		—		163,357		13,096		20,076			2,324		13,913		174,743
JPMorgan Large Cap Value Fund, Select Class Shares		190,271		3,480		140,585		37			480		—		—
JPMorgan Latin America Fund, Class R6 Shares		—		11,965		—		—			145		677		8,737
JPMorgan Latin America Fund, Select Class Shares		9,287		—		11,821		—			—		—		—
JPMorgan Limited Duration Bond Fund, Class R6 Shares		—		32,714		8,971		(54	)		142		2,371		23,785
JPMorgan Limited Duration Bond Fund, Select Class Shares		20,432		65		20,499		(18	)		65		—		—
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		22,603		160,910		156,343		—			74		27,170		27,170
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares		126,369		25,711		—		21,018			1,268		12,172		130,847
JPMorgan Mid Cap Growth Fund, Class R6 Shares		—		21,002		—		1,005			—		1,019		27,325
JPMorgan Mid Cap Growth Fund, Select Class Shares		21,257		300		12,647		—			—		—		—
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares		50,135		—		18,955		1,002			—		3,170		32,110
JPMorgan Research Market Neutral Fund, Institutional Class Shares		—		44,682		5,391		(306	)		—		2,579		37,009
JPMorgan Research Market Neutral Fund, Select Class Shares		49,573		—		49,282		(157	)		—		—		—
JPMorgan Small Cap Value Fund, Class R6 Shares		—		45,206		17,571		1,042			407		1,739		45,192
JPMorgan Small Cap Value Fund, Select Class Shares		59,054		5,324		42,264		—			124		—		—
JPMorgan Strategic Income Opportunities Fund, Class R5 Shares		—		36,479		11,804		(949	)		821		2,000		22,696
JPMorgan Strategic Income Opportunities Fund, Select Class Shares		37,564		415		38,658		(177	)		415		—		—
JPMorgan Systematic Alpha Fund, Class R6 Shares		—		50,726		3,818		(50	)		1,171		3,059		45,731
JPMorgan Systematic Alpha Fund, Select Class Shares		46,681		—		47,439		(34	)		—		—		—
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares		45,923		3,459		16,436		2,234			405		1,744		29,546
JPMorgan U.S. Equity Fund, Class R6 Shares		—		239,842		34,037		15,045			2,837		21,338		294,894

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 39

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

			For the year ended June 30, 2016
Affiliate	Value at June 30, 2015		Purchase Cost		Sales Proceeds		Realized Gain/(Loss)			Dividend Income		Shares at June 30, 2016		Value at June 30, 2016
Investor Growth & Income Fund (continued)
JPMorgan U.S. Equity Fund, Select Class Shares	$	326,604	$	11,888	$	227,890	$	86		$	688		—	$	—
JPMorgan U.S. Large Cap Core Plus Fund, Class R5 Shares		—		96,825		39,423		15,216			668		3,475		91,877
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares		137,761		2,300		88,088		21			—		—		—
JPMorgan Unconstrained Debt Fund, Class R6 Shares		—		15,216		3,387		(240	)		228		1,121		11,095
JPMorgan Unconstrained Debt Fund, Select Class Shares		14,160		107		14,987		—			107		—		—
JPMorgan Value Advantage Fund, Institutional Class Shares		—		39,985		—		509			565		1,905		54,967
JPMorgan Value Advantage Fund, Select Class Shares		50,575		1,800		35,862		—			—		—		—
Total	$	3,332,500					$	92,423		$	57,330			$	3,144,433

C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Distributions of net investment income and realized capital gains from the Underlying Funds are recorded on the ex-dividend date.

D. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):

	Class A		Class C		Select Class		Total
Investor Balanced Fund
Transfer agency fees	$	352	$	54	$	14	$	420
Sub-transfer agency fees		1,275		384		31		1,690
Investor Conservative Growth Fund
Transfer agency fees		184		48		14		246
Sub-transfer agency fees		738		490		27		1,255
Investor Growth Fund
Transfer agency fees		540		46		22		608
Sub-transfer agency fees		943		144		19		1,106
Investor Growth & Income Fund
Transfer agency fees		432		42		11		485
Sub-transfer agency fees		969		179		28		1,176

The Funds invest in other J.P. Morgan Funds and, as a result, bear a portion of the expenses incurred by the Underlying Funds. These expenses are not reflected in the expenses shown on the Statements of Operations and are not included in the ratios to average net assets shown on the Financial Highlights. Certain expenses of Underlying Funds are waived as described in Note 3.F.

E. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid quarterly, except for distributions from the Investor Conservative Growth Fund, for which distributions are generally declared and paid monthly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

40 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

The following amounts were reclassified within the capital accounts:

	Paid-in-Capital		Accumulated undistributed (distributions in excess of) net investment income		Accumulated net realized gains (losses)
Investor Balanced Fund	$	—	$	10,223	$	(10,223	)
Investor Conservative Growth Fund		—		3,617		(3,617	)
Investor Growth Fund		—		10,238		(10,238	)
Investor Growth & Income Fund		—		8,473		(8,473	)

The reclassifications for the Funds relate primarily to investments in regulated investment companies.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate of 0.05% of each Fund’s average daily net assets.

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.10% of the first $500 million of the average daily net assets, 0.075% of the average daily net assets between $500 million and $1 billion of such funds and 0.05% of the average daily net assets in excess of $1 billion of such funds. For the year ended June 30, 2016, the effective rate was 0.06% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive 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 and Class C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

Class A	Class C
0.25%		0.75	%

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following amounts (in thousands):

	Front-End Sales Charge		CDSC
Investor Balanced Fund	$	1,469	$	6
Investor Conservative Growth Fund		816		6
Investor Growth Fund		627		1
Investor Growth & Income Fund		807		1

D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly at an annual rate of 0.25% of the Funds’ average daily net assets.

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 41

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

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 Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	Class A			Class C			Select Class
Investor Balanced Fund*		0.52	%		1.10	%		0.27	%
Investor Conservative Growth Fund*		0.52			1.10			0.27
Investor Growth Fund*		0.52			1.10			0.27
Investor Growth & Income Fund*		0.52			1.10			0.27

* Prior to November 1, 2015, the contractual expense limitations for the Funds were 0.39%, 1.14% and 0.14% for Class A, Class C and Select Class Shares, respectively.

The contractual expense limitation percentages are in place until at least October 31, 2016.

The Underlying Funds may impose separate advisory and shareholder servicing fees. To avoid charging a shareholder servicing fee at an effective rate above 0.25% of the Funds’ net assets, the Funds’ Distributor will waive shareholder servicing fees with respect to the Funds in an amount equal to the weighted average pro-rata amount of shareholder servicing fees charged by the Underlying Funds. This waiver may be in addition to any waivers required to meet the Funds’ contractual expense limitations, but will not exceed the Funds’ shareholder servicing fees.

For the year ended June 30, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

	Contractual Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total
Investor Balanced Fund	$	1,325	$	1,312	$	6,264	$	8,901
Investor Conservative Growth Fund		1,228		1,184		3,686		6,098
Investor Growth Fund		1,109		958		3,314		5,381
Investor Growth & Income Fund		1,102		1,021		4,047		6,170

	Voluntary Waivers
	Shareholder Servicing
JPMorgan Investor Balanced Fund	$	1,439
JPMorgan Investor Conservative Growth Fund		1,540
JPMorgan Investor Growth Fund		353
JPMorgan Investor Growth & Income Fund		628

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.

The amounts of these waivers resulting from investments in these money market funds for the year ended June 30, 2016 were as follows (amounts in thousands):

JPMorgan Investor Balanced Fund	$	43
JPMorgan Investor Conservative Growth Fund		33
JPMorgan Investor Growth Fund		23
JPMorgan Investor Growth & Income Fund		24

G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

42 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

4. Investment Transactions

During the year ended June 30, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)
Investor Balanced Fund	$	833,765	$	638,314
Investor Conservative Growth Fund		515,085		621,732
Investor Growth Fund		332,739		186,710
Investor Growth & Income Fund		448,497		417,414

During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):

	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Investor Balanced Fund	$	4,882,309	$	666,598	$	145,359	$	521,239
Investor Conservative Growth Fund		3,975,863		404,408		90,088		314,320
Investor Growth Fund		2,054,801		480,988		86,682		394,306
Investor Growth & Income Fund		2,762,551		487,989		106,107		381,882

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.

The tax character of distributions paid during the year ended June 30, 2016 was as follows (amounts in thousands):

	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Investor Balanced Fund	$	96,760	$	164,749	$	261,509
Investor Conservative Growth Fund		74,620		100,407		175,027
Investor Growth Fund		34,112		120,837		154,949
Investor Growth & Income Fund		53,000		116,156		169,156

* Short-term gains are treated as ordinary income for income tax purposes.

The tax character of distributions paid during the year ended June 30, 2015 was as follows (amounts in thousands):

	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Investor Balanced Fund	$	101,470	$	90,726	$	192,196
Investor Conservative Growth Fund		70,845		78,817		149,662
Investor Growth Fund		47,324		36,115		83,439
Investor Growth & Income Fund		61,387		71,664		133,051

* Short-term gains are treated as ordinary income for income tax purposes.

As of June 30, 2016, the components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover)		Unrealized Appreciation (Depreciation)
Investor Balanced Fund	$	2,312	$	101,548	$	521,239
Investor Conservative Growth Fund		1,308		51,447		314,320
Investor Growth Fund		543		99,876		394,306
Investor Growth & Income Fund		1,386		84,836		381,882

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 43

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals and wash sale loss deferrals.

As of June 30, 2016, the Funds did not have any net capital loss carryforwards.

Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2016, the Funds deferred to July 1, 2016 the following net capital losses of (amounts in thousands):

	Net Capital Losses
	Short-Term
Investor Balanced Fund	$	7,243
Investor Conservative Growth Fund		2,485
Investor Growth Fund		514
Investor Growth & Income Fund		685

6. Borrowings

The Funds rely upon an exemptive order granted by the Securities and Exchange Commission (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

In addition, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 7, 2016.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016, or at any time during the year then ended.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of June 30, 2016, the Funds each had two affiliated omnibus accounts, which represented the following percentage of each Fund’s net assets:

	% of the Fund
Investor Balanced Fund		79.8	%
Investor Conservative Growth Fund		87.1
Investor Growth Fund		63.9
Investor Growth & Income Fund		72.6

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

44 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

As of June 30, 2016, the Funds owned, in the aggregate, shares representing more than 10% of the net assets of the following Underlying Funds:

	% of Net Assets
JPMorgan Multi-Cap Market Neutral Fund		88.5	%
JPMorgan Large Cap Value Fund		79.0
JPMorgan Systematic Alpha Fund		72.6
JPMorgan Dynamic Growth Fund		68.8
JPMorgan International Unconstrained Equity Fund		66.0
JPMorgan Market Expansion Enhanced Index Fund		58.0
JPMorgan International Research Enhanced Equity Fund		57.7
JPMorgan Latin America Fund		53.9
JPMorgan Research Market Neutral Fund		50.1
JPMorgan Intrepid Growth Fund		48.7
JPMorgan Limited Duration Bond Fund		45.3
JPMorgan Intrepid European Fund		33.5
JPMorgan Intrepid Mid Cap Fund		31.6
JPMorgan Commodities Strategy Fund		31.2
JPMorgan Intrepid America Fund		28.8
JPMorgan U.S. Dynamic Plus Fund		27.6
JPMorgan Floating Rate Income Fund		26.9
JPMorgan Core Plus Bond Fund		21.7
JPMorgan Inflation Managed Bond Fund		15.6
JPMorgan Emerging Markets Debt Fund		13.2
JPMorgan Emerging Economies Fund		13.1
JPMorgan International Equity Fund		10.3

Because of the Funds’ investments in Underlying Funds, the Funds indirectly pay a portion of the expenses incurred by the Underlying Funds. As a result, the cost of investing in the Funds may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Funds are also subject to certain risks related to the Underlying Funds’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities, equity securities, foreign and emerging markets securities, commodities and real estate securities. These securities are subject to risks specific to their structure, sector or market.

In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities. Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.

8. Subsequent Event

Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 45

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Trust II and the Shareholders of JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth Fund and JPMorgan Investor Growth & Income 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 Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth Fund and JPMorgan Investor Growth & Income Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the transfer agent and custodian, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

August 25, 2016

46 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

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 Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	152	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	152	Trustee, Museum of Jewish Heritage (2011-present) Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	152	None
Frankie D. Hughes (1952); Trustee of Trust since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	152	Trustee, The Victory Portfolios (2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	152	None
Mary E. Martinez (1960); Trustee of Trust since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	152	None
Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	152	None
Mitchell M. Merin (1953); Trustee of Trust since 2013.	Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	152	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 47

TRUSTEES

(Unaudited) (continued)

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)
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	152	Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).
Marian U. Pardo** (1946); Trustee of Trust since 2013.	Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).	152	Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	152	None
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	152	None

⁽¹⁾  The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees.

⁽²⁾  A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

48 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trust (Since)	Principal Occupations During Past 5 Years
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)	Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014-present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980), Assistant Secretary (2011)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980), Assistant Secretary (2010)	Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971), Assistant Secretary (2012)**	Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973), Assistant Treasurer (2014)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.
Julie A. Roach (1971), Assistant Treasurer (2012)*	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.
Gillian I. Sands (1969), Assistant Treasurer (2012)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

  ** The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004.

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 49

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2016 and continued to hold your shares at the end of the reporting period, June 30, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees, and expenses of the Underlying Funds. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Investor Balanced Fund
Class A
Actual	$	1,000.00	$	1,019.60	$	2.61		0.52	%
Hypothetical		1,000.00		1,022.28		2.61		0.52
Class C
Actual		1,000.00		1,016.20		5.51		1.10
Hypothetical		1,000.00		1,019.39		5.52		1.10
Select Class
Actual		1,000.00		1,020.10		1.36		0.27
Hypothetical		1,000.00		1,023.52		1.36		0.27
Investor Conservative Growth Fund
Class A
Actual		1,000.00		1,027.10		2.62		0.52
Hypothetical		1,000.00		1,022.28		2.61		0.52
Class C
Actual		1,000.00		1,023.60		5.53		1.10
Hypothetical		1,000.00		1,019.39		5.52		1.10
Select Class
Actual		1,000.00		1,028.30		1.36		0.27
Hypothetical		1,000.00		1,023.52		1.36		0.27

50 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Investor Growth Fund
Class A
Actual	$	1,000.00	$	1,000.60	$	2.59		0.52	%
Hypothetical		1,000.00		1,022.28		2.61		0.52
Class C
Actual		1,000.00		997.70		5.46		1.10
Hypothetical		1,000.00		1,019.39		5.52		1.10
Select Class
Actual		1,000.00		1,001.80		1.34		0.27
Hypothetical		1,000.00		1,023.52		1.36		0.27
Investor Growth & Income Fund
Class A
Actual		1,000.00		1,008.40		2.60		0.52
Hypothetical		1,000.00		1,022.28		2.61		0.52
Class C
Actual		1,000.00		1,005.70		5.49		1.10
Hypothetical		1,000.00		1,019.39		5.52		1.10
Select Class
Actual		1,000.00		1,009.80		1.35		0.27
Hypothetical		1,000.00		1,023.52		1.36		0.27

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

JUNE 30, 2016 J.P. MORGAN INVESTOR FUNDS 51

TAX LETTER

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2016:

	Dividends Received Deductions
Investor Balanced Fund		28.78	%
Investor Conservative Growth Fund		19.20
Investor Growth Fund		58.60
Investor Growth & Income Fund		38.26

Long-Term Capital Gain

Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Long-Term Capital Gain Distribution
Investor Balanced Fund	$	164,749
Investor Conservative Growth Fund		100,407
Investor Growth Fund		120,837
Investor Growth & Income Fund		116,156

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Qualified Dividend Income
Investor Balanced Fund	$	64,665
Investor Conservative Growth Fund		39,312
Investor Growth Fund		34,111
Investor Growth & Income Fund		44,581

Foreign Source Income and Foreign Tax Credit Pass Through

For the fiscal year ended June 30, 2016, the Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses cannot be quantified until Underlying Funds complete reporting for the calendar year in progress. Amounts for the fiscal year ended June 30, 2016 will be disclosed in the semi-annual report for the period ended December 31, 2016.

52 J.P. MORGAN INVESTOR FUNDS JUNE 30, 2016

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡   Social Security number and account balances   ¡   transaction history and account transactions   ¡   checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡   open an account or provide contact information ¡   give us your account information or pay us by check ¡   make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡   sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡   affiliates from using your information to market to you ¡   sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡   J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡   J.P. Morgan Funds doesn’t jointly market.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2016.  All rights reserved. June 2016. AN-INV-616

Annual Report

J.P. Morgan Intrepid Funds

June 30, 2016

JPMorgan Intrepid Advantage Fund

JPMorgan Intrepid America Fund

JPMorgan Intrepid Growth Fund

JPMorgan Intrepid Mid Cap Fund

JPMorgan Intrepid Value Fund

 

CONTENTS

CEO’s Letter	1
Market Overview	2
Fund Commentaries:
JPMorgan Intrepid Advantage Fund	3
JPMorgan Intrepid America Fund	5
JPMorgan Intrepid Growth Fund	7
JPMorgan Intrepid Mid Cap Fund	9
JPMorgan Intrepid Value Fund	11
Schedules of Portfolio Investments	13
Financial Statements	30
Financial Highlights	46
Notes to Financial Statements	56
Report of Independent Registered Public Accounting Firm	65
Trustees	66
Officers	68
Schedule of Shareholder Expenses	69
Tax Letter	71
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’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1–800–480–4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

CEO’S LETTER

July 15, 2016 (Unaudited)

Dear Shareholder,

The U.S. economy continued its slow expansion over the past twelve months in the face of three painful downturns in global financial markets and economic weakness in other developed market nations.

  “The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio.”

Growth in the U.S. was sufficient to prompt the U.S. Federal Reserve (the “Fed”) to raise interest rates in December 2015, but financial market turmoil in early 2016 and worrisome economic data forced the Fed to curtail further increases in March and June. Following its March meeting, the Fed cited weakness in the global economy as a threat to further growth in the U.S. In June, the Fed noted surprisingly weak domestic job growth and the pending June 23, 2016, referendum on U.K. membership in the European Union (EU).

The result of the “Brexit” vote shocked political leaders around the globe and sowed panic in financial markets. Within days, an estimated $3 trillion was erased from global financial markets. The resulting decline in the British pound was deep enough that France supplanted the U.K. as the world’s fifth largest economy.

Notably, global financial markets had largely rebounded by the end of June, and in the U.S. the impact of the U.K. referendum was muted.

Meanwhile, the sharp slowdown in U.S. job growth in May that had so worried Fed policymakers was short-lived. The U.S. economy added 287,000 jobs in June, far above the consensus forecast of 175,000 new jobs and the most of any month since October 2015. Wage growth over the past twelve months has remained tepid, which has helped corporate earnings and held down inflationary pressure.

A remarkable feature of the past twelve months was the resiliency of U.S. financial markets. On August 24, 2015, a stock market sell-off that began in China and spread globally drove down the Standard & Poor’s 500 Index (“S&P 500”) by 3.94% for the day. But U.S. equity prices largely rebounded and in October the index turned in its best performance since 2011.

U.S. equity prices dropped again in early 2016 and the S&P 500 had its worst start to any year on record, falling 5.07% by

the end of January and slumping by 10% by mid-February. By the end of March, the index had clawed its way back to a level slightly above where it was when the year started. In late June, the U.K. referendum to leave the European Union drove a one-day decline of 3.59% in the S&P 500. Globally, equity markets recorded their biggest one-day loss, eclipsing downturns following the Lehman Brothers bankruptcy in 2008 and the Black Monday stock market crash in 1987.

By June 30, 2016, U.S. markets had recovered fully and the S&P 500 posted a return of 3.99% for the twelve month period and stood 1.50% shy of its then-record intraday high 2,130.82 points reached May 21, 2015.

Over the past twelve months, U.S. financial markets have both withstood and benefitted from turmoil in foreign financial markets. Investors seeking to reduce risk have bought both U.S. equities and U.S. Treasury bonds. Meanwhile, stubbornly low growth in the EU and other developed markets and lingering concerns about the trajectory of China’s economy continued to drag on the U.S. economy. But the U.S. economic expansion is halfway through its seventh year and the U.S. stock market’s bull market — defined as a rise of 20% or more in prices — is now the second longest on record.

Investors endured heightened volatility in financial markets over the past twelve months, including three large declines in equity prices. However, leading equity indexes ended the period in positive territory. The events of the past twelve months reinforce our conviction that patience and proper diversification are the investor’s best instruments for engaging the current market environment: Patience to wait out periodic volatility and diversification to manage risk across an entire investment portfolio. On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 1

JPMorgan Intrepid Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

Despite three sharp sell-offs in August, January and June, U.S. equity prices rebounded to turn in a positive performance for the twelve months ended June 30, 2016. In August, declines in Chinese stocks spread rapidly and drove the Standard & Poor’s 500 Index (S&P 500) down 3.94% in one day. In October, U.S. stocks came roaring back and turned in their best monthly performance since late 2011.

In January, the S&P 500 suffered its worst start to any year on record amid worrisome data about China’s economy, slumping commodities prices and investor expectations of further slowing in the global economy. However, equity markets recovered somewhat by March as the U.S. Federal Reserve decided against raising interest rates. In June, the U.K. vote to leave the European Union sparked the worst single day in global markets. The sell-off drained an estimated $2.08 trillion from world financial markets on the Friday following the U.K. referendum and $931 billion was lost the following Monday.

However, global equity markets rebounded sharply in the final days of June and the S&P 500 posted a return of 3.99% for the twelve month reporting period, closing just 1.50% below its then-record intraday high, set in May 2015. Generally, large cap stocks outperformed mid cap stocks, while small cap stocks overall had negative returns for the twelve month reporting period. Notably, mid cap value stocks outperformed all other categories. Among U.S. equities, the telecommunications and utilities sectors were generally the strongest performers as investors sought high dividend yields and the perceived safety of those sectors. Financial sector and energy stocks were the worst performers amid continued low interest rates and expectations of low growth globally and general weakness in global energy prices.

Intrepid Investment Philosophy and Process

The JPMorgan Behavioral Finance Team (the “Team”) employs a philosophy that is rooted in behavioral finance, a field of study that emphasizes the importance of human psychology in financial markets. Behavioral finance examines how investor behavior can be affected by emotional biases and reactions. The field theorizes that inefficiencies arise in the stock market because investors are consistently irrational in making many investment decisions.

The Team aims to capitalize on these market inefficiencies by targeting high quality, attractively valued stocks of companies that it believes have positive momentum characteristics, and looks to sell these stocks when they no longer exhibit these criteria. A disciplined quantitative ranking methodology is utilized to identify attractive stocks in each sector, a process that is combined with qualitative research and value-added trading.

During the reporting period, the Funds were managed and positioned in accordance with this investment philosophy and process.

2 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

JPMorgan Intrepid Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	(0.48)%
Russell 3000 Index	2.14%
Net Assets as of 6/30/2016 (In Thousands)	$19,039

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid Advantage Fund (the “Fund”) seeks to provide long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell 3000 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financial sector and its security selection and overweight position in the energy sector were leading detractors from relative performance. The Fund’s security selection and overweight position in the consumer staples sector and its security selection in the industrials sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Apple Inc., Voya Financial Inc. and Gilead Sciences Inc. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue. Shares of Voya Financial, a provider of insurance and other financial products, fell on lower than expected earnings. Shares of Gilead Sciences, a pharmaceuticals company, fell amid increased price competition for its leading products.

Leading individual contributors to relative performance included the Fund’s overweight positions in Northrop Corp., Tyson Foods Inc. and Microsoft Corp. Shares of Northrop, an aerospace and electronics company, rose on strong prospects for growth. Shares of Tyson Food, a food processing company, rose on expectations that lower feed-grain prices would lift earnings. Shares of Microsoft, a provider of software and services, rose amid growth in its cloud computing business.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Apple, Inc.	4.4	%
	2.	Microsoft Corp.	4.4
	3.	Northrop Grumman Corp.	3.9
	4.	Gilead Sciences, Inc.	2.9
	5.	QUALCOMM, Inc.	2.3
	6.	Home Depot, Inc. (The)	2.3
	7.	Tyson Foods, Inc., Class A	2.3
	8.	Cigna Corp.	2.1
	9.	McDonald’s Corp.	2.0
	10.	Citigroup, Inc.	2.0

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	21.4	%
Health Care	19.5
Consumer Staples	12.0
Financials	11.0
Consumer Discretionary	10.6
Industrials	10.0
Energy	5.8
Utilities	4.2
Telecommunication Services	2.7
Materials	0.6
Short-Term Investment	2.2

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 3

JPMorgan Intrepid Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		February 19, 2005
With Sales Charge*				(5.92	)%		9.98	%		5.42	%
Without Sales Charge				(0.72	)		11.17			5.99
CLASS C SHARES		February 19, 2005
With CDSC**				(2.21	)		10.62			5.46
Without CDSC				(1.21	)		10.62			5.46
SELECT CLASS SHARES		February 28, 2003		(0.48	)		11.45			6.26

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Advantage Fund, the Russell 3000 Index and the Lipper Large-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 3000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of

the investable U.S. equity market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

Effective April 10, 2006, the Fund changed its investment policies. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this date might be less relevant for investors considering whether to purchase shares of the Fund.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

4 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

JPMorgan Intrepid America Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*	(1.77)%
S&P 500 Index	3.99%
Net Assets as of 6/30/2016 (In Thousands)	$3,666,552

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid America Fund (the “Fund”) seeks to provide long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Standard & Poor’s 500 Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health care and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the industrials and information technology sectors was a leading contributor to relative performance.

Leading individual detractors from the Fund’s relative performance included its underweight position in Amazon.com Inc. and its overweight positions in Archer Daniels Midland Co. and Apple Inc. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Archer Daniels, an agricultural products processor, fell sharply on continued weakness in global commodities prices. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue.

Leading individual contributors to the Fund’s relative performance included its overweight positions in Northrop Corp., Nvidia Corp. and Computer Sciences Co. Shares of Northrop, an aerospace and electronics company, rose on strong prospects for growth. Shares of Nvidia, a graphics software maker, rose on strong demand for its semiconductors. Shares of Computer Sciences, a provider of business computing services, rose on news of its merger with Hewlett-Packard Enterprise Co.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Apple, Inc.	3.4	%
	2.	Microsoft Corp.	3.3
	3.	Amgen, Inc.	2.5
	4.	Gilead Sciences, Inc.	2.5
	5.	Wells Fargo & Co.	2.5
	6.	Lowe’s Cos., Inc.	2.4
	7.	Wal-Mart Stores, Inc.	2.4
	8.	Northrop Grumman Corp.	2.3
	9.	Express Scripts Holding Co.	2.2
	10.	Visa, Inc., Class A	2.1

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	21.3	%
Health Care	14.7
Financials	13.0
Consumer Discretionary	11.9
Consumer Staples	10.3
Industrials	9.4
Energy	6.8
Telecommunication Services	3.5
Materials	2.9
Utilities	2.8
Short-Term Investment	3.4

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 5

JPMorgan Intrepid America Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES		February 19, 2005
With Sales Charge*				(7.22	)%		9.48	%		5.73	%
Without Sales Charge				(2.08	)		10.67			6.30
CLASS C SHARES		February 19, 2005
With CDSC**				(3.55	)		10.13			5.77
Without CDSC				(2.55	)		10.13			5.77
CLASS R2 SHARES		November 3, 2008		(2.30	)		10.41			6.10
CLASS R5 SHARES		May 15, 2006		(1.57	)		11.19			6.79
CLASS R6 SHARES		November 2, 2015		(1.53	)		11.20			6.80
SELECT CLASS SHARES		February 28, 2003		(1.77	)		10.97			6.57

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid America Fund, the S&P 500 Index, and the Lipper Multi-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales

charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Multi-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

6 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

JPMorgan Intrepid Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(0.63)%
Russell 1000 Growth Index		3.02%
Net Assets as of 6/30/2016 (In Thousands)	$	988,223

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid Growth Fund (the “Fund”) seeks to provide long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the consumer discretionary and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the energy and industrials sectors was a leading contributor to relative performance.

Leading individual detractors from the Fund’s relative performance included its underweight positions in Alphabet Inc. and Amazon.com Inc. and its overweight position in Archer Daniels Midland Co. Shares of Alphabet, the parent company of Internet search engine Google and its subsidiaries, rose on continued growth in advertising revenue. Shares of Amazon.com, an online retailer, rose on continued expansion of its business. Shares of Archer Daniels, an agricultural products processor not held in the Benchmark, fell on continued weakness in global commodities prices.

Leading individual contributors to relative performance included the Fund’s overweight positions in Nvidia Corp., Cameron International Inc. and Activision Blizzard Inc. Shares of Nvidia, a semiconductor manufacturer, rose on strong demand for its products. Shares of Cameron International, an oilfield services company, rose on news that the company would be acquired by Schlumberger Ltd. for an estimated $15 billion. Shares of Activision Blizzard, a developer of video games, rose on strong product sales and investor expectations for earnings growth.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Microsoft Corp.	4.1	%
	2.	Apple, Inc.	4.0
	3.	Home Depot, Inc. (The)	3.2
	4.	Amgen, Inc.	3.0
	5.	Gilead Sciences, Inc.	3.0
	6.	Visa, Inc., Class A	2.9
	7.	Lowe’s Cos., Inc.	2.5
	8.	McDonald’s Corp.	2.3
	9.	Activision Blizzard, Inc.	2.3
	10.	Reynolds American, Inc.	2.2

PORTFOLIO COMPOSITION BY SECTOR***
Information Technology	29.5	%
Consumer Discretionary	20.0
Health Care	16.5
Consumer Staples	10.7
Industrials	10.0
Financials	4.6
Materials	4.0
Telecommunication Services	1.9
Others (each less than 1.0%)	0.7
Short-Term Investment	2.1

* The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

** The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

*** Percentages indicated are based on total investments as of June 30, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 7

JPMorgan Intrepid Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	February 19, 2005
With Sales Charge*			(6.08	)%		9.96	%		6.95	%
Without Sales Charge			(0.88	)		11.15			7.52
CLASS C SHARES	February 19, 2005
With CDSC**			(2.35	)		10.60			6.98
Without CDSC			(1.35	)		10.60			6.98
CLASS R2 SHARES	November 3, 2008		(1.10	)		10.87			7.32
CLASS R5 SHARES	May 15, 2006		(0.42	)		11.65			8.00
CLASS R6 SHARES	November 2, 2015		(0.39	)		11.66			8.01
SELECT CLASS SHARES	February 28, 2003		(0.63	)		11.42			7.79

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Growth Fund, the Russell 1000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and

has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 1000 Growth Index is an unmanaged index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper 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.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

8 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

JPMorgan Intrepid Mid Cap Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(1.53)%
Russell Midcap Index		0.56%
Net Assets as of 6/30/2016 (In Thousands)	$	964,595

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid Mid Cap Fund (the “Fund”) seeks long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the health services and consumer cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the software & services and industrial cyclical sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Bunge Ltd., Jones Lang LaSalle Inc. and Macy’s Inc. Shares of Bunge, agricultural products processing and transport company, fell on lower than expected quarterly revenue and continued weakness in commodities prices. Shares of Jones Lang LaSalle, a real estate investment company, fell amid investor concerns that a strong U.S. dollar, an increase in interest rates and capital controls in China could hurt the company’s earnings. Shares of Macy’s, a department store chain, fell on weakness in earnings and a lowered profit forecast.

Leading individual contributors to relative performance included the Fund’s overweight positions in Huntington Ingalls Industries Inc., Computer Sciences Co. and Vantiv Inc. Shares of Huntington Ingalls, a maker and repairer of military ships, rose on continued earnings growth and healthy contract growth. Shares of Computer Sciences, a provider of business computing services, rose on news of its merger with Hewlett-Packard Enterprise Co. Shares of Vantiv, a payments processing company, rose on better than expected quarterly earnings and revenue.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Equinix, Inc.	2.5	%
	2.	Tyson Foods, Inc., Class A	2.1
	3.	Huntington Ingalls Industries, Inc.	2.1
	4.	Mattel, Inc.	2.0
	5.	Ingredion, Inc.	2.0
	6.	AECOM	1.8
	7.	Zimmer Biomet Holdings, Inc.	1.8
	8.	PVH Corp.	1.7
	9.	D.R. Horton, Inc.	1.7
	10.	AmerisourceBergen Corp.	1.7

PORTFOLIO COMPOSITION BY SECTOR***
Financials	21.4	%
Information Technology	14.0
Industrials	12.8
Consumer Discretionary	12.3
Health Care	10.6
Consumer Staples	7.6
Utilities	7.1
Energy	6.7
Materials	5.3
Telecommunication Services	0.7
Short-Term Investment	1.5

* 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, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 9

JPMorgan Intrepid Mid Cap Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	May 1, 1992
With Sales Charge*			(6.92	)%		8.98	%		6.20	%
Without Sales Charge			(1.76	)		10.15			6.78
CLASS C SHARES	March 22, 1999
With CDSC**			(3.35	)		9.45			6.11
Without CDSC			(2.35	)		9.45			6.11
CLASS R6 SHARES	November 2, 2015		(1.35	)		10.47			7.06
SELECT CLASS SHARES	June 1, 1991		(1.53	)		10.43			7.04

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R6 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Mid Cap Fund, the Russell Midcap Index and the Lipper Mid-Cap Core Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of

the securities included in the benchmark, if applicable. The performance of the Lipper Mid-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Index is

an unmanaged index which measures the performance of the 800 smallest companies of the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

10 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

JPMorgan Intrepid Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited)

REPORTING PERIOD RETURN:
Fund (Select Class Shares)*		(6.56)%
Russell 1000 Value Index		2.86%
Net Assets as of 6/30/2016 (In Thousands)	$	1,697,235

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid Value Fund (the “Fund”) seeks to provide long-term capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2016. The Fund’s security selection in the financials and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection and allocation to the industrials sector was a leading contributor and the consumer discretionary and telecommunication services sectors were the smallest detractors from relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Gilead Sciences Inc. and Apple Inc. and its underweight position in Exxon Mobil Corp. Shares of Gilead Sciences, a pharmaceuticals company, fell amid increased price competition for its leading products. Shares of Apple, a maker of computers and mobile devices, fell on slowing sales of its iPhone products and weakness in revenue. Shares of Exxon Mobil, an integrated energy company, rose as oil prices rebounded somewhat during the reporting period.

Leading individual contributors to relative performance included the Fund’s overweight positions in Northrop Corp., Computer Sciences Co. and Cameron International Inc. Shares of Northrop, an aerospace and electronics company, rose on strong prospects for growth. Shares of Computer Sciences, a provider of business computing services, rose on news of its merger with Hewlett-Packard Enterprise Co. Shares of Cameron International, an oilfield services company, rose on news that the company would be acquired by Schlumberger Ltd. for an estimated $15 billion.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***
	1.	Wells Fargo & Co.	3.6	%
	2.	Pfizer, Inc.	3.5
	3.	Citigroup, Inc.	3.2
	4.	QUALCOMM, Inc.	2.4
	5.	PNC Financial Services Group, Inc. (The)	2.1
	6.	Archer-Daniels-Midland Co.	2.0
	7.	Verizon Communications, Inc.	2.0
	8.	Northrop Grumman Corp.	1.9
	9.	Gilead Sciences, Inc.	1.9
	10.	Valero Energy Corp.	1.7

PORTFOLIO COMPOSITION BY SECTOR***
Financials	25.9	%
Energy	12.6
Health Care	11.9
Information Technology	10.3
Industrials	9.5
Consumer Staples	7.8
Utilities	6.8
Consumer Discretionary	6.2
Telecommunication Services	3.9
Materials	2.6
Short-Term Investment	2.5

* 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, 2016. The Fund’s portfolio composition is subject to change.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 11

JPMorgan Intrepid Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2016 (Unaudited) (continued)

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2016
	INCEPTION DATE OF CLASS	1 YEAR			5 YEAR			10 YEAR
CLASS A SHARES	February 19, 2005
With Sales Charge*			(11.61	)%		8.18	%		4.73	%
Without Sales Charge			(6.70	)		9.36			5.30
CLASS C SHARES	February 19, 2005
With CDSC**			(8.16	)		8.81			4.78
Without CDSC			(7.16	)		8.81			4.78
CLASS R2 SHARES	November 3, 2008		(6.91	)		9.09			5.10
CLASS R5 SHARES	May 15, 2006		(6.35	)		9.75			5.71
CLASS R6 SHARES	November 30, 2010		(6.33	)		9.80			5.74
SELECT CLASS SHARES	February 28, 2003		(6.56	)		9.53			5.50

* Sales Charge for Class A Shares is 5.25%.

** Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (6/30/06 TO 6/30/16)

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A and Select Class Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Value Fund, the Russell 1000 Value Index and the Lipper Multi-Cap Value Funds Index from June 30, 2006 to June 30, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction

of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Multi-Cap Value Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

12 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

JPMorgan Intrepid Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 98.1%
		Consumer Discretionary — 10.6%
		Hotels, Restaurants & Leisure — 3.0%
	3	McDonald’s Corp.		388
	4	Restaurant Brands International, Inc., (Canada)		179
				567
		Media — 2.5%
	4	Comcast Corp., Class A		272
	26	Sirius XM Holdings, Inc. (a)		103
	1	Time Warner, Inc.		107
				482
		Multiline Retail — 0.7%
	2	Target Corp.		140
		Specialty Retail — 3.8%
	3	Home Depot, Inc. (The)		434
	4	Lowe’s Cos., Inc.		284
				718
		Textiles, Apparel & Luxury Goods — 0.6%
	3	Coach, Inc.		117
		Total Consumer Discretionary		2,024
		Consumer Staples — 12.1%
		Beverages — 3.7%
	4	Coca-Cola Co. (The)		183
	2	Molson Coors Brewing Co., Class B		205
	3	PepsiCo, Inc.		318
				706
		Food & Staples Retailing — 3.2%
	3	Walgreens Boots Alliance, Inc.		248
	5	Wal-Mart Stores, Inc.		369
				617
		Food Products — 3.1%
	1	Ingredion, Inc.		146
	7	Tyson Foods, Inc., Class A		434
				580
		Household Products — 0.3%
	1	Energizer Holdings, Inc.		64
		Tobacco — 1.8%
	2	Philip Morris International, Inc.		231
	2	Reynolds American, Inc.		101
				332
		Total Consumer Staples		2,299
		Energy — 5.9%
		Energy Equipment & Services — 1.4%
	2	Baker Hughes, Inc.		96

SHARES			SECURITY DESCRIPTION	VALUE($)
			Energy Equipment & Services — continued
	6		FMC Technologies, Inc. (a)		157
					253
			Oil, Gas & Consumable Fuels — 4.5%
	1		Anadarko Petroleum Corp.		53
	3		Apache Corp.		188
	1		Chevron Corp.		118
	1		Exxon Mobil Corp.		122
	5		Marathon Petroleum Corp.		186
	4		Valero Energy Corp.		194
					861
			Total Energy		1,114
			Financials — 11.1%
			Banks — 4.4%
	9		Citigroup, Inc.		379
	5		SunTrust Banks, Inc.		215
	5		Wells Fargo & Co.		242
					836
			Capital Markets — 0.4%
	2		Bank of New York Mellon Corp. (The)		74
			Consumer Finance — 0.8%
	1		Capital One Financial Corp.		44
	2		Discover Financial Services		106
					150
			Diversified Financial Services — 0.7%
	6		Voya Financial, Inc.		140
			Insurance — 4.2%
	2		Allstate Corp. (The)		130
	5		American International Group, Inc.		250
	5		Hartford Financial Services Group, Inc. (The)		216
	2		Travelers Cos., Inc. (The)		199
					795
			Real Estate Investment Trusts (REITs) — 0.6%
	1		AvalonBay Communities, Inc.		113
			Total Financials		2,108
			Health Care — 19.6%
			Biotechnology — 6.5%
	2		Amgen, Inc.		337
	—	(h)	Biogen, Inc. (a)		79
	2		Celgene Corp. (a)		197
	7		Gilead Sciences, Inc.		544
	1		Vertex Pharmaceuticals, Inc. (a)		80
					1,237

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 13

JPMorgan Intrepid Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands)

SHARES			SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
			Health Care Equipment & Supplies — 2.3%
	3		Baxter International, Inc.		124
	1		Becton, Dickinson and Co.		146
	1		C.R. Bard, Inc.		176
					446
			Health Care Providers & Services — 6.3%
	1		Aetna, Inc.		64
	1		Anthem, Inc.		168
	2		Cardinal Health, Inc.		181
	3		Cigna Corp.		397
	1		Humana, Inc.		247
	1		McKesson Corp.		134
					1,191
			Pharmaceuticals — 4.5%
	2		AbbVie, Inc.		113
	3		Johnson & Johnson		373
	10		Pfizer, Inc.		366
					852
			Total Health Care		3,726
			Industrials — 10.0%
			Aerospace & Defense — 6.6%
	2		Curtiss-Wright Corp.		185
	1		Lockheed Martin Corp.		222
	3		Northrop Grumman Corp.		750
	1		United Technologies Corp.		98
					1,255
			Airlines — 1.4%
	3		Delta Air Lines, Inc.		119
	3		Southwest Airlines Co.		99
	1		United Continental Holdings, Inc. (a)		48
					266
			Construction & Engineering — 0.9%
	5		AECOM (a)		171
			Machinery — 1.1%
	3		Allison Transmission Holdings, Inc.		75
	1		Parker-Hannifin Corp.		138
					213
			Total Industrials		1,905
			Information Technology — 21.4%
			Communications Equipment — 0.9%
	6		Cisco Systems, Inc.		169
			Internet Software & Services — 1.9%
	—	(h)	Alphabet, Inc., Class A (a)		216
	—	(h)	Alphabet, Inc., Class C (a)		144
					360

SHARES		SECURITY DESCRIPTION	VALUE($)
		IT Services — 1.2%
	1	MasterCard, Inc., Class A		97
	2	Visa, Inc., Class A		139
				236
		Semiconductors & Semiconductor Equipment — 4.8%
	1	Broadcom Ltd., (Singapore)		152
	3	KLA-Tencor Corp.		187
	2	Lam Research Corp.		128
	8	QUALCOMM, Inc.		446
				913
		Software — 6.0%
	16	Microsoft Corp.		831
	5	Oracle Corp.		200
	7	Rovi Corp. (a)		117
				1,148
		Technology Hardware, Storage & Peripherals — 6.6%
	9	Apple, Inc.		838
	10	Hewlett Packard Enterprise Co.		174
	10	HP, Inc.		120
	4	NCR Corp. (a)		119
				1,251
		Total Information Technology		4,077
		Materials — 0.6%
		Containers & Packaging — 0.6%
	2	Crown Holdings, Inc. (a)		121
		Total Materials		121
		Telecommunication Services — 2.6%
		Diversified Telecommunication Services — 2.6%
	7	CenturyLink, Inc.		200
	5	Verizon Communications, Inc.		304
		Total Telecommunication Services		504
		Utilities — 4.2%
		Electric Utilities — 2.4%
	2	Edison International		185
	2	Entergy Corp.		128
	4	PPL Corp.		146
				459
		Gas Utilities — 1.8%
	8	UGI Corp.		339
		Total Utilities		798
		Total Common Stocks (Cost $14,901)		18,676

SEE NOTES TO FINANCIAL STATEMENTS.

14 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Short-Term Investment — 2.2%
		Investment Company — 2.2%
	426	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $426)		426
		Total Investments — 100.3% (Cost $15,327)		19,102
		Liabilities in Excess of Other Assets — (0.3)%		(63	)
		NET ASSETS — 100.0%	$	19,039

Percentages indicated are based on net assets.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 15

JPMorgan Intrepid America Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.5%
		Consumer Discretionary — 12.0%
		Automobiles — 1.2%
	2,190	Ford Motor Co.		27,532
	526	General Motors Co.		14,872
				42,404
		Hotels, Restaurants & Leisure — 2.1%
	414	McDonald’s Corp.		49,821
	686	Restaurant Brands International, Inc., (Canada)		28,537
				78,358
		Household Durables — 0.9%
	550	D.R. Horton, Inc.		17,320
	9	NVR, Inc. (a)		15,311
				32,631
		Media — 1.7%
	153	Comcast Corp., Class A		9,955
	2,006	Twenty-First Century Fox, Inc., Class A		54,265
				64,220
		Multiline Retail — 2.0%
	1,036	Target Corp.		72,327
		Specialty Retail — 3.3%
	218	Best Buy Co., Inc.		6,661
	205	Home Depot, Inc. (The)		26,151
	1,136	Lowe’s Cos., Inc.		89,969
				122,781
		Textiles, Apparel & Luxury Goods — 0.8%
	560	Michael Kors Holdings Ltd., (United Kingdom) (a)		27,689
		Total Consumer Discretionary		440,410
		Consumer Staples — 10.4%
		Food & Staples Retailing — 2.9%
	174	CVS Health Corp.		16,640
	1,200	Wal-Mart Stores, Inc.		87,587
				104,227
		Food Products — 4.1%
	246	Ingredion, Inc.		31,874
	97	JM Smucker Co. (The)		14,799
	1,178	Pilgrim’s Pride Corp.		30,018
	96	Post Holdings, Inc. (a)		7,914
	993	Tyson Foods, Inc., Class A		66,302
				150,907
		Household Products — 0.8%
	586	Energizer Holdings, Inc.		30,165

SHARES		SECURITY DESCRIPTION	VALUE($)
		Personal Products — 0.8%
	359	Herbalife Ltd. (a)		21,000
	186	Nu Skin Enterprises, Inc., Class A		8,587
				29,587
		Tobacco — 1.8%
	1,218	Reynolds American, Inc.		65,689
		Total Consumer Staples		380,575
		Energy — 6.8%
		Energy Equipment & Services — 2.7%
	2,802	Ensco plc, (United Kingdom), Class A		27,203
	1,071	FMC Technologies, Inc. (a)		28,574
	490	Rowan Cos. plc, Class A		8,659
	388	Schlumberger Ltd.		30,673
	1,836	Seadrill Ltd., (United Kingdom) (a)		5,948
				101,057
		Oil, Gas & Consumable Fuels — 4.1%
	96	Apache Corp.		5,344
	1,812	Denbury Resources, Inc.		6,506
	119	Hess Corp.		7,170
	2,691	Marathon Oil Corp.		40,391
	206	Marathon Petroleum Corp.		7,827
	431	PBF Energy, Inc., Class A		10,237
	177	Tesoro Corp.		13,276
	1,152	Valero Energy Corp.		58,752
				149,503
		Total Energy		250,560
		Financials — 13.1%
		Banks — 4.9%
	1,673	Citigroup, Inc.		70,923
	191	PNC Financial Services Group, Inc. (The)		15,521
	1,938	Wells Fargo & Co.		91,718
				178,162
		Capital Markets — 0.2%
	83	Ameriprise Financial, Inc.		7,413
		Consumer Finance — 0.8%
	552	Discover Financial Services		29,560
		Diversified Financial Services — 0.8%
	376	MSCI, Inc.		28,959
		Insurance — 3.7%
	196	Allstate Corp. (The)		13,696
	349	Aspen Insurance Holdings Ltd., (Bermuda)		16,196
	147	Everest Re Group Ltd., (Bermuda)		26,889
	485	Hartford Financial Services Group, Inc. (The)		21,507

SEE NOTES TO FINANCIAL STATEMENTS.

16 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Insurance — continued
	349	Lincoln National Corp.		13,523
	204	Prudential Financial, Inc.		14,546
	252	Travelers Cos., Inc. (The)		29,974
				136,331
		Real Estate Investment Trusts (REITs) — 2.7%
	88	AvalonBay Communities, Inc.		15,802
	1,008	Equity Commonwealth (a)		29,352
	216	Public Storage		55,156
				100,310
		Total Financials		480,735
		Health Care — 14.8%
		Biotechnology — 5.2%
	618	Amgen, Inc.		94,029
	15	Biogen, Inc. (a)		3,651
	1,109	Gilead Sciences, Inc.		92,538
	26	United Therapeutics Corp. (a)		2,722
				192,940
		Health Care Equipment & Supplies — 1.1%
	135	C.R. Bard, Inc.		31,676
	215	Hologic, Inc. (a)		7,442
				39,118
		Health Care Providers & Services — 6.8%
	431	Anthem, Inc.		56,595
	269	Cigna Corp.		34,442
	1,065	Express Scripts Holding Co. (a)		80,735
	175	HCA Holdings, Inc. (a)		13,446
	188	Humana, Inc.		33,889
	275	WellCare Health Plans, Inc. (a)		29,512
				248,619
		Pharmaceuticals — 1.7%
	497	Johnson & Johnson		60,250
	63	Merck & Co., Inc.		3,629
				63,879
		Total Health Care		544,556
		Industrials — 9.5%
		Aerospace & Defense — 3.0%
	230	BWX Technologies, Inc.		8,223
	108	Huntington Ingalls Industries, Inc.		18,181
	376	Northrop Grumman Corp.		83,577
				109,981

SHARES		SECURITY DESCRIPTION	VALUE($)
		Airlines — 2.2%
	1,868	Delta Air Lines, Inc.		68,066
	82	Southwest Airlines Co.		3,211
	195	United Continental Holdings, Inc. (a)		8,003
				79,280
		Building Products — 0.6%
	738	Masco Corp.		22,818
		Commercial Services & Supplies — 0.3%
	400	Pitney Bowes, Inc.		7,124
	297	R.R. Donnelley & Sons Co.		5,018
				12,142
		Construction & Engineering — 1.7%
	908	AECOM (a)		28,853
	121	Jacobs Engineering Group, Inc. (a)		6,002
	191	Valmont Industries, Inc.		25,864
				60,719
		Machinery — 1.5%
	474	Illinois Tool Works, Inc.		49,330
	50	Parker-Hannifin Corp.		5,381
				54,711
		Professional Services — 0.2%
	118	ManpowerGroup, Inc.		7,611
		Total Industrials		347,262
		Information Technology — 21.5%
		Communications Equipment — 0.2%
	131	Motorola Solutions, Inc.		8,655
		Electronic Equipment, Instruments & Components — 0.7%
	281	SYNNEX Corp.		26,607
		Internet Software & Services — 2.2%
	2,165	eBay, Inc. (a)		50,673
	327	VeriSign, Inc. (a)		28,229
				78,902
		IT Services — 3.5%
	641	Computer Sciences Corp.		31,811
	119	MasterCard, Inc., Class A		10,506
	1,042	Visa, Inc., Class A		77,315
	363	Western Union Co. (The)		6,960
				126,592
		Semiconductors & Semiconductor Equipment — 3.4%
	117	First Solar, Inc. (a)		5,687
	405	KLA-Tencor Corp.		29,688

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 17

JPMorgan Intrepid America Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Semiconductors & Semiconductor Equipment — continued
	371	Lam Research Corp.		31,186
	1,748	Marvell Technology Group Ltd., (Bermuda)		16,658
	729	NVIDIA Corp.		34,280
	161	QUALCOMM, Inc.		8,598
				126,097
		Software — 7.8%
	839	Activision Blizzard, Inc.		33,258
	2,411	Microsoft Corp.		123,345
	1,695	Nuance Communications, Inc. (a)		26,488
	1,753	Oracle Corp.		71,734
	831	Take-Two Interactive Software, Inc. (a)		31,500
				286,325
		Technology Hardware, Storage & Peripherals — 3.7%
	1,320	Apple, Inc.		126,202
	291	NCR Corp. (a)		8,089
				134,291
		Total Information Technology		787,469
		Materials — 3.0%
		Chemicals — 1.4%
	676	LyondellBasell Industries N.V., Class A		50,301
		Containers & Packaging — 0.1%
	107	Berry Plastics Group, Inc. (a)		4,149
		Metals & Mining — 1.5%
	563	Nucor Corp.		27,803
	1,121	Steel Dynamics, Inc.		27,469
				55,272
		Total Materials		109,722

SHARES		SECURITY DESCRIPTION	VALUE($)
		Telecommunication Services — 3.6%
		Diversified Telecommunication Services — 3.6%
	895	AT&T, Inc.		38,664
	736	CenturyLink, Inc.		21,341
	1,259	Verizon Communications, Inc.		70,280
		Total Telecommunication Services		130,285
		Utilities — 2.8%
		Electric Utilities — 1.9%
	638	Edison International		49,538
	191	Entergy Corp.		15,554
	31	NextEra Energy, Inc.		3,977
				69,069
		Gas Utilities — 0.8%
	688	UGI Corp.		31,110
		Multi-Utilities — 0.1%
	82	Public Service Enterprise Group, Inc.		3,808
		Total Utilities		103,987
		Total Common Stocks (Cost $3,079,745)		3,575,561
	Short-Term Investment — 3.5%
		Investment Company — 3.5%
	127,699	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $127,699)		127,699
		Total Investments — 101.0% (Cost $3,207,444)		3,703,260
		Liabilities in Excess of Other Assets — (1.0)%		(36,708	)
		NET ASSETS — 100.0%	$	3,666,552

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	809	E-mini S&P 500		09/16/16		USD	$	84,549	$	1,153

SEE NOTES TO FINANCIAL STATEMENTS.

18 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

JPMorgan Intrepid Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.2%
		Consumer Discretionary — 19.8%
		Auto Components — 0.2%
	61	Goodyear Tire & Rubber Co. (The)		1,555
		Automobiles — 0.2%
	149	Ford Motor Co.		1,871
		Hotels, Restaurants & Leisure — 3.4%
	189	McDonald’s Corp.		22,708
	187	Restaurant Brands International, Inc., (Canada)		7,787
	49	Six Flags Entertainment Corp.		2,863
				33,358
		Household Durables — 1.3%
	151	D.R. Horton, Inc.		4,757
	5	NVR, Inc. (a)		8,189
				12,946
		Internet & Catalog Retail — 0.9%
	13	Amazon.com, Inc. (a)		9,303
		Media — 4.8%
	8	Cable One, Inc.		3,938
	171	DISH Network Corp., Class A (a)		8,939
	207	Interpublic Group of Cos., Inc. (The)		4,777
	58	Sinclair Broadcast Group, Inc., Class A		1,726
	2,004	Sirius XM Holdings, Inc. (a)		7,915
	746	Twenty-First Century Fox, Inc., Class A		20,187
				47,482
		Multiline Retail — 1.7%
	243	Target Corp.		16,973
		Specialty Retail — 6.5%
	125	Burlington Stores, Inc. (a)		8,319
	245	Home Depot, Inc. (The)		31,284
	314	Lowe’s Cos., Inc.		24,859
				64,462
		Textiles, Apparel & Luxury Goods — 0.8%
	162	Michael Kors Holdings Ltd., (United Kingdom) (a)		8,026
		Total Consumer Discretionary		195,976
		Consumer Staples — 10.6%
		Beverages — 1.2%
	116	PepsiCo, Inc.		12,278
		Food & Staples Retailing — 2.0%
	190	Kroger Co. (The)		6,987
	179	Wal-Mart Stores, Inc.		13,063
				20,050

SHARES		SECURITY DESCRIPTION	VALUE($)
		Food Products — 3.8%
	68	Ingredion, Inc.		8,774
	323	Pilgrim’s Pride Corp.		8,233
	40	Post Holdings, Inc. (a)		3,266
	261	Tyson Foods, Inc., Class A		17,399
				37,672
		Household Products — 0.2%
	39	Energizer Holdings, Inc.		1,982
		Personal Products — 1.0%
	104	Herbalife Ltd. (a)		6,058
	83	Nu Skin Enterprises, Inc., Class A		3,847
				9,905
		Tobacco — 2.4%
	31	Altria Group, Inc.		2,103
	392	Reynolds American, Inc.		21,125
				23,228
		Total Consumer Staples		105,115
		Energy — 0.7%
		Energy Equipment & Services — 0.5%
	41	Ensco plc, (United Kingdom), Class A		401
	16	Schlumberger Ltd.		1,294
	238	Seadrill Ltd., (United Kingdom) (a)		770
	201	Transocean Ltd., (Switzerland)		2,390
				4,855
		Oil, Gas & Consumable Fuels — 0.2%
	111	Marathon Oil Corp.		1,666
		Total Energy		6,521
		Financials — 4.6%
		Diversified Financial Services — 1.5%
	42	MarketAxess Holdings, Inc.		6,063
	110	MSCI, Inc.		8,452
				14,515
		Insurance — 0.4%
	7	Assurant, Inc.		639
	22	Prudential Financial, Inc.		1,591
	31	Validus Holdings Ltd., (Bermuda)		1,516
				3,746
		Real Estate Investment Trusts (REITs) — 2.7%
	128	American Tower Corp.		14,554
	119	Equity Commonwealth (a)		3,475
	51	Extra Space Storage, Inc.		4,692
	17	Public Storage		4,396
				27,117
		Total Financials		45,378

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 19

JPMorgan Intrepid Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Health Care — 16.4%
		Biotechnology — 6.8%
	195	Amgen, Inc.		29,669
	41	Celgene Corp. (a)		4,084
	350	Gilead Sciences, Inc.		29,222
	40	United Therapeutics Corp. (a)		4,279
				67,254
		Health Care Equipment & Supplies — 2.2%
	38	C.R. Bard, Inc.		9,007
	253	Hologic, Inc. (a)		8,736
	40	IDEXX Laboratories, Inc. (a)		3,752
				21,495
		Health Care Providers & Services — 6.2%
	73	AmerisourceBergen Corp.		5,782
	52	Anthem, Inc.		6,790
	121	Centene Corp. (a)		8,612
	99	Cigna Corp.		12,620
	142	Express Scripts Holding Co. (a)		10,771
	50	Humana, Inc.		8,958
	74	WellCare Health Plans, Inc. (a)		7,982
				61,515
		Pharmaceuticals — 1.2%
	65	AbbVie, Inc.		4,005
	53	Jazz Pharmaceuticals plc, (Ireland) (a)		7,532
				11,537
		Total Health Care		161,801
		Industrials — 9.9%
		Aerospace & Defense — 2.7%
	240	BWX Technologies, Inc.		8,592
	14	Curtiss-Wright Corp.		1,213
	50	Huntington Ingalls Industries, Inc.		8,368
	37	Northrop Grumman Corp.		8,136
				26,309
		Airlines — 2.5%
	489	Delta Air Lines, Inc.		17,814
	163	United Continental Holdings, Inc. (a)		6,702
				24,516
		Building Products — 0.8%
	266	Masco Corp.		8,239
		Commercial Services & Supplies — 0.1%
	63	R.R. Donnelley & Sons Co.		1,061
		Construction & Engineering — 2.4%
	246	AECOM (a)		7,803

SHARES		SECURITY DESCRIPTION	VALUE($)
		Construction & Engineering — continued
	155	Jacobs Engineering Group, Inc. (a)		7,696
	63	Valmont Industries, Inc.		8,562
				24,061
		Machinery — 0.8%
	279	Allison Transmission Holdings, Inc.		7,862
		Professional Services — 0.6%
	95	ManpowerGroup, Inc.		6,080
		Total Industrials		98,128
		Information Technology — 29.2%
		Electronic Equipment, Instruments & Components — 1.3%
	87	SYNNEX Corp.		8,268
	67	Universal Display Corp. (a)		4,536
				12,804
		Internet Software & Services — 5.6%
	11	Alphabet, Inc., Class A (a)		7,809
	10	Alphabet, Inc., Class C (a)		7,129
	795	eBay, Inc. (a)		18,602
	62	Facebook, Inc., Class A (a)		7,062
	204	GoDaddy, Inc., Class A (a)		6,360
	93	VeriSign, Inc. (a)		8,058
				55,020
		IT Services — 4.1%
	82	Amdocs Ltd.		4,727
	159	Computer Sciences Corp.		7,899
	2	MasterCard, Inc., Class A		185
	380	Visa, Inc., Class A		28,200
				41,011
		Semiconductors & Semiconductor Equipment — 2.7%
	111	KLA-Tencor Corp.		8,153
	89	Lam Research Corp.		7,456
	83	Marvell Technology Group Ltd., (Bermuda)		795
	204	NVIDIA Corp.		9,595
	20	QUALCOMM, Inc.		1,055
				27,054
		Software — 11.2%
	563	Activision Blizzard, Inc.		22,292
	74	CA, Inc.		2,413
	93	Citrix Systems, Inc. (a)		7,464
	61	Electronic Arts, Inc. (a)		4,621
	789	Microsoft Corp.		40,351
	452	Nuance Communications, Inc. (a)		7,070
	195	Oracle Corp.		7,969

SEE NOTES TO FINANCIAL STATEMENTS.

20 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Software — continued
	35	Red Hat, Inc. (a)		2,541
	145	Synopsys, Inc. (a)		7,836
	221	Take-Two Interactive Software, Inc. (a)		8,396
				110,953
		Technology Hardware, Storage & Peripherals — 4.3%
	410	Apple, Inc.		39,162
	106	NCR Corp. (a)		2,938
				42,100
		Total Information Technology		288,942
		Materials — 4.0%
		Chemicals — 0.7%
	95	LyondellBasell Industries N.V., Class A		7,070
		Containers & Packaging — 1.6%
	196	Berry Plastics Group, Inc. (a)		7,595
	155	Crown Holdings, Inc. (a)		7,839
				15,434
		Metals & Mining — 1.7%
	154	Nucor Corp.		7,614
	14	Reliance Steel & Aluminum Co.		1,084
	324	Steel Dynamics, Inc.		7,936
				16,634
		Total Materials		39,138

SHARES		SECURITY DESCRIPTION	VALUE($)
		Telecommunication Services — 1.9%
		Diversified Telecommunication Services — 1.9%
	368	AT&T, Inc.		15,903
	55	Verizon Communications, Inc.		3,076
		Total Telecommunication Services		18,979
		Utilities — 0.1%
		Electric Utilities — 0.1%
	5	Entergy Corp.		397
		Total Common Stocks (Cost $778,908)		960,375
	Short-Term Investment — 2.1%
		Investment Company — 2.1%
	20,543	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $20,543)		20,543
		Total Investments — 99.3% (Cost $799,451)		980,918
		Other Assets in Excess of Liabilities — 0.7%		7,305
		NET ASSETS — 100.0%	$	988,223

Percentages indicated are based on net assets.    

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	250	E-mini S&P 500		09/16/16		USD	$	26,128	$	548

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 21

JPMorgan Intrepid Mid Cap Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.9%
		Consumer Discretionary — 12.2%
		Hotels, Restaurants & Leisure — 0.4%
	26	Darden Restaurants, Inc.		1,622
	95	International Game Technology plc		1,778
				3,400
		Household Durables — 1.7%
	525	D.R. Horton, Inc.		16,527
		Internet & Catalog Retail — 1.7%
	230	Groupon, Inc. (a)		747
	607	Liberty Interactive Corp. QVC Group, Class A (a)		15,410
				16,157
		Leisure Products — 2.3%
	613	Mattel, Inc.		19,171
	71	Vista Outdoor, Inc. (a)		3,403
				22,574
		Media — 0.6%
	36	Discovery Communications, Inc., Class C (a)		854
	137	Interpublic Group of Cos., Inc. (The)		3,165
	36	Scripps Networks Interactive, Inc., Class A		2,266
				6,285
		Multiline Retail — 0.7%
	26	Dollar Tree, Inc. (a)		2,413
	129	Macy’s, Inc.		4,342
				6,755
		Specialty Retail — 2.8%
	390	Best Buy Co., Inc.		11,946
	246	Michaels Cos., Inc. (The) (a)		6,988
	5	Murphy USA, Inc. (a)		356
	284	Urban Outfitters, Inc. (a)		7,802
				27,092
		Textiles, Apparel & Luxury Goods — 2.0%
	117	Kate Spade & Co. (a)		2,411
	178	PVH Corp.		16,773
				19,184
		Total Consumer Discretionary		117,974
		Consumer Staples — 7.6%
		Food & Staples Retailing — 1.5%
	234	Sysco Corp.		11,873
	86	US Foods Holding Corp. (a)		2,090
				13,963

SHARES		SECURITY DESCRIPTION	VALUE($)
		Food Products — 5.5%
	148	Ingredion, Inc.		19,166
	535	Pilgrim’s Pride Corp.		13,619
	307	Tyson Foods, Inc., Class A		20,498
				53,283
		Personal Products — 0.6%
	94	Herbalife Ltd. (a)		5,478
		Total Consumer Staples		72,724
		Energy — 6.7%
		Energy Equipment & Services — 1.3%
	9	Baker Hughes, Inc.		406
	297	Ensco plc, (United Kingdom), Class A		2,880
	307	Nabors Industries Ltd.		3,083
	71	Rowan Cos. plc, Class A		1,257
	270	Superior Energy Services, Inc.		4,971
				12,597
		Oil, Gas & Consumable Fuels — 5.4%
	42	Cimarex Energy Co.		5,041
	67	EQT Corp.		5,219
	31	Gulfport Energy Corp. (a)		966
	572	Marathon Oil Corp.		8,578
	39	Marathon Petroleum Corp.		1,469
	58	Murphy Oil Corp.		1,848
	9	Noble Energy, Inc.		312
	29	ONEOK, Inc.		1,367
	70	PBF Energy, Inc., Class A		1,674
	397	QEP Resources, Inc.		6,996
	63	Tesoro Corp.		4,728
	36	Valero Energy Corp.		1,851
	201	World Fuel Services Corp.		9,550
	206	WPX Energy, Inc. (a)		1,913
				51,512
		Total Energy		64,109
		Financials — 21.3%
		Banks — 2.3%
	43	Citizens Financial Group, Inc.		865
	66	East West Bancorp, Inc.		2,249
	29	Fifth Third Bancorp		512
	402	Popular, Inc., (Puerto Rico)		11,790
	357	Regions Financial Corp.		3,035
	14	Signature Bank (a)		1,724
	25	SVB Financial Group (a)		2,407
				22,582

SEE NOTES TO FINANCIAL STATEMENTS.

22 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Capital Markets — 0.1%
	21	Lazard Ltd., (Bermuda), Class A		614
	11	Raymond James Financial, Inc.		542
				1,156
		Consumer Finance — 1.8%
	162	Discover Financial Services		8,676
	364	Synchrony Financial (a)		9,192
				17,868
		Diversified Financial Services — 1.1%
	11	Intercontinental Exchange, Inc.		2,918
	83	MSCI, Inc.		6,424
	16	Nasdaq, Inc.		1,061
				10,403
		Insurance — 4.3%
	75	Allied World Assurance Co. Holdings AG, (Switzerland)		2,625
	76	American Financial Group, Inc.		5,633
	6	American National Insurance Co.		622
	24	Aon plc, (United Kingdom)		2,578
	18	Arch Capital Group Ltd., (Bermuda) (a)		1,285
	37	Aspen Insurance Holdings Ltd., (Bermuda)		1,693
	37	Assurant, Inc.		3,155
	55	Assured Guaranty Ltd., (Bermuda)		1,383
	22	Endurance Specialty Holdings Ltd., (Bermuda)		1,478
	9	Everest Re Group Ltd., (Bermuda)		1,553
	15	FNF Group		564
	79	Hanover Insurance Group, Inc. (The)		6,702
	50	Hartford Financial Services Group, Inc. (The)		2,210
	34	Lincoln National Corp.		1,314
	45	Principal Financial Group, Inc.		1,858
	23	Torchmark Corp.		1,423
	104	Unum Group		3,313
	35	Validus Holdings Ltd., (Bermuda)		1,696
				41,085
		Real Estate Investment Trusts (REITs) — 10.7%
	67	American Campus Communities, Inc.		3,558
	25	Annaly Capital Management, Inc.		281
	83	Apartment Investment & Management Co., Class A		3,656
	9	AvalonBay Communities, Inc.		1,569
	9	Boston Properties, Inc.		1,227
	296	Brandywine Realty Trust		4,964
	136	Brixmor Property Group, Inc.		3,601
	295	Corrections Corp. of America		10,313
	21	Crown Castle International Corp.		2,100

SHARES		SECURITY DESCRIPTION	VALUE($)
		Real Estate Investment Trusts (REITs) — continued
	48	DDR Corp.		878
	12	Digital Realty Trust, Inc.		1,351
	34	Douglas Emmett, Inc.		1,208
	61	Equinix, Inc.		23,691
	318	Equity Commonwealth (a)		9,250
	51	Equity LifeStyle Properties, Inc.		4,051
	50	Extra Space Storage, Inc.		4,599
	16	Mid-America Apartment Communities, Inc.		1,671
	60	Post Properties, Inc.		3,675
	26	Regency Centers Corp.		2,152
	4	SL Green Realty Corp.		405
	45	Taubman Centers, Inc.		3,361
	3	Ventas, Inc.		239
	46	Vornado Realty Trust		4,646
	15	Welltower, Inc.		1,158
	237	Weyerhaeuser Co.		7,064
	38	WP Carey, Inc.		2,624
				103,292
		Real Estate Management & Development — 1.0%
	96	Jones Lang LaSalle, Inc.		9,306
		Total Financials		205,692
		Health Care — 10.5%
		Biotechnology — 1.5%
	49	Alkermes plc, (Ireland) (a)		2,100
	26	Alnylam Pharmaceuticals, Inc. (a)		1,421
	40	BioMarin Pharmaceutical, Inc. (a)		3,089
	35	Incyte Corp. (a)		2,799
	12	Intercept Pharmaceuticals, Inc. (a)		1,741
	57	Medivation, Inc. (a)		3,431
				14,581
		Health Care Equipment & Supplies — 4.0%
	6	C.R. Bard, Inc.		1,458
	121	Hill-Rom Holdings, Inc.		6,100
	333	Hologic, Inc. (a)		11,518
	39	St. Jude Medical, Inc.		3,050
	140	Zimmer Biomet Holdings, Inc.		16,901
				39,027
		Health Care Providers & Services — 3.8%
	202	AmerisourceBergen Corp.		16,039
	65	Centene Corp. (a)		4,643
	10	Cigna Corp.		1,318
	4	Humana, Inc.		684
	90	Premier, Inc., Class A (a)		2,933

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 23

JPMorgan Intrepid Mid Cap Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Health Care Providers & Services — continued
	398	Tenet Healthcare Corp. (a)		11,003
				36,620
		Life Sciences Tools & Services — 0.2%
	52	VWR Corp. (a)		1,500
		Pharmaceuticals — 1.0%
	204	Endo International plc, (Ireland) (a)		3,179
	76	Mallinckrodt plc (a)		4,601
	24	Perrigo Co. plc, (Ireland)		2,130
				9,910
		Total Health Care		101,638
		Industrials — 12.7%
		Aerospace & Defense — 3.2%
	101	BWX Technologies, Inc.		3,624
	120	Huntington Ingalls Industries, Inc.		20,149
	21	L-3 Communications Holdings, Inc.		3,022
	4	Northrop Grumman Corp.		822
	82	Spirit AeroSystems Holdings, Inc., Class A (a)		3,526
				31,143
		Airlines — 1.8%
	117	Delta Air Lines, Inc.		4,266
	356	JetBlue Airways Corp. (a)		5,892
	168	United Continental Holdings, Inc. (a)		6,886
				17,044
		Commercial Services & Supplies — 1.6%
	350	KAR Auction Services, Inc.		14,609
	32	R.R. Donnelley & Sons Co.		545
				15,154
		Construction & Engineering — 2.5%
	556	AECOM (a)		17,677
	35	Fluor Corp.		1,715
	89	Jacobs Engineering Group, Inc. (a)		4,443
				23,835
		Electrical Equipment — 0.5%
	84	Regal Beloit Corp.		4,635
		Machinery — 2.1%
	160	Crane Co.		9,064
	49	Ingersoll-Rand plc		3,095
	74	Parker-Hannifin Corp.		7,968
				20,127

SHARES		SECURITY DESCRIPTION	VALUE($)
		Professional Services — 0.9%
	66	ManpowerGroup, Inc.		4,234
	150	TransUnion (a)		5,006
				9,240
		Road & Rail — 0.1%
	20	Landstar System, Inc.		1,353
		Total Industrials		122,531
		Information Technology — 13.9%
		Communications Equipment — 0.7%
	326	ARRIS International plc (a)		6,839
		Electronic Equipment, Instruments & Components — 0.9%
	9	Arrow Electronics, Inc. (a)		563
	81	Avnet, Inc.		3,285
	23	Ingram Micro, Inc., Class A		793
	207	Jabil Circuit, Inc.		3,831
				8,472
		IT Services — 3.2%
	209	Computer Sciences Corp.		10,352
	13	CoreLogic, Inc. (a)		512
	33	Leidos Holdings, Inc.		1,565
	17	Total System Services, Inc.		919
	271	Vantiv, Inc., Class A (a)		15,356
	263	Xerox Corp.		2,496
				31,200
		Semiconductors & Semiconductor Equipment — 3.3%
	431	Applied Materials, Inc.		10,322
	27	Lam Research Corp.		2,244
	1,526	Marvell Technology Group Ltd., (Bermuda)		14,545
	90	ON Semiconductor Corp. (a)		791
	59	Skyworks Solutions, Inc.		3,740
				31,642
		Software — 4.7%
	364	Activision Blizzard, Inc.		14,433
	266	CA, Inc.		8,730
	570	Cadence Design Systems, Inc. (a)		13,839
	100	Citrix Systems, Inc. (a)		8,001
				45,003
		Technology Hardware, Storage & Peripherals — 1.1%
	277	NCR Corp. (a)		7,692
	72	Western Digital Corp.		3,379
				11,071
		Total Information Technology		134,227

SEE NOTES TO FINANCIAL STATEMENTS.

24 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Materials — 5.3%
		Chemicals — 1.8%
	333	Cabot Corp.		15,182
	14	Huntsman Corp.		184
	15	PPG Industries, Inc.		1,584
				16,950
		Containers & Packaging — 1.7%
	57	Avery Dennison Corp.		4,238
	87	Crown Holdings, Inc. (a)		4,398
	123	Graphic Packaging Holding Co.		1,547
	99	International Paper Co.		4,179
	53	Sealed Air Corp.		2,432
				16,794
		Metals & Mining — 1.6%
	9	Nucor Corp.		450
	70	Reliance Steel & Aluminum Co.		5,360
	400	Steel Dynamics, Inc.		9,802
				15,612
		Paper & Forest Products — 0.2%
	51	Domtar Corp.		1,782
		Total Materials		51,138
		Telecommunication Services — 0.7%
		Diversified Telecommunication Services — 0.7%
	171	CenturyLink, Inc.		4,966
	427	Frontier Communications Corp.		2,109
		Total Telecommunication Services		7,075
		Utilities — 7.0%
		Electric Utilities — 2.2%
	80	Alliant Energy Corp.		3,156
	119	Edison International		9,274
	81	Entergy Corp.		6,573
	69	Great Plains Energy, Inc.		2,091
	8	Pinnacle West Capital Corp.		665
				21,759
		Gas Utilities — 1.2%
	249	UGI Corp.		11,279

SHARES		SECURITY DESCRIPTION	VALUE($)
		Independent Power & Renewable Electricity Producers — 0.3%
	248	AES Corp.		3,098
		Multi-Utilities — 3.3%
	49	Ameren Corp.		2,620
	128	CenterPoint Energy, Inc.		3,062
	119	CMS Energy Corp.		5,476
	37	Consolidated Edison, Inc.		2,936
	64	DTE Energy Co.		6,324
	96	Public Service Enterprise Group, Inc.		4,470
	59	Sempra Energy		6,704
				31,592
		Total Utilities		67,728
		Total Common Stocks (Cost $824,318)		944,836
NUMBER OF RIGHTS
	Rights — 0.0% (g)
		Consumer Staples — 0.0% (g)
		Food & Staples Retailing — 0.0% (g)
	121	Safeway, Inc., PDC CVR, expiring 01/30/17 (a)		6
	121	Safeway, Inc., PDC CVR, expiring 01/30/18 (a)		8
		Total Rights (Cost $—)		14
SHARES
	Short-Term Investment — 1.5%
		Investment Company — 1.5%
	14,304	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.320% (b) (l) (Cost $14,304)		14,304
		Total Investments — 99.4% (Cost $838,622)		959,154
		Other Assets in Excess of Liabilities — 0.6%		5,441
		NET ASSETS — 100.0%	$	964,595

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	109	S&P Mid Cap 400		09/16/16		USD	$	16,274	$	218

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 25

JPMorgan Intrepid Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

(Amounts in thousands)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — 97.1%
		Consumer Discretionary — 6.2%
		Automobiles — 1.5%
	918	General Motors Co.		25,979
		Hotels, Restaurants & Leisure — 0.7%
	93	McDonald’s Corp.		11,144
		Household Durables — 0.3%
	184	D.R. Horton, Inc.		5,783
		Media — 1.4%
	183	CBS Corp. (Non-Voting), Class B		9,968
	3,484	Sirius XM Holdings, Inc. (a)		13,763
				23,731
		Multiline Retail — 0.8%
	181	Target Corp.		12,644
		Specialty Retail — 0.7%
	158	Lowe’s Cos., Inc.		12,493
		Textiles, Apparel & Luxury Goods — 0.8%
	260	Michael Kors Holdings Ltd., (United Kingdom) (a)		12,845
		Total Consumer Discretionary		104,619
		Consumer Staples — 7.8%
		Food & Staples Retailing — 1.7%
	109	CVS Health Corp.		10,436
	265	Wal-Mart Stores, Inc.		19,365
				29,801
		Food Products — 3.8%
	777	Archer-Daniels-Midland Co.		33,325
	518	Pilgrim’s Pride Corp.		13,204
	269	Tyson Foods, Inc., Class A		17,940
				64,469
		Household Products — 0.9%
	294	Energizer Holdings, Inc.		15,155
		Personal Products — 1.4%
	163	Herbalife Ltd. (a)		9,511
	299	Nu Skin Enterprises, Inc., Class A		13,815
				23,326
		Total Consumer Staples		132,751
		Energy — 12.6%
		Energy Equipment & Services — 4.1%
	946	Ensco plc, (United Kingdom), Class A		9,181
	492	FMC Technologies, Inc. (a)		13,127
	409	Frank’s International N.V., (Netherlands)		5,974
	545	Rowan Cos. plc, Class A		9,619

SHARES		SECURITY DESCRIPTION	VALUE($)
		Energy Equipment & Services — continued
	265	Schlumberger Ltd.		20,928
	1,795	Seadrill Ltd., (United Kingdom) (a)		5,815
	276	Superior Energy Services, Inc.		5,085
				69,729
		Oil, Gas & Consumable Fuels — 8.5%
	30	Apache Corp.		1,670
	115	Chevron Corp.		12,082
	121	ConocoPhillips		5,271
	838	Denbury Resources, Inc.		3,007
	138	Exxon Mobil Corp.		12,899
	55	Hess Corp.		3,323
	1,605	Marathon Oil Corp.		24,094
	399	Marathon Petroleum Corp.		15,157
	338	Occidental Petroleum Corp.		25,517
	295	PBF Energy, Inc., Class A		7,008
	68	Tesoro Corp.		5,095
	562	Valero Energy Corp.		28,636
				143,759
		Total Energy		213,488
		Financials — 25.7%
		Banks — 9.3%
	1,276	Citigroup, Inc.		54,098
	432	PNC Financial Services Group, Inc. (The)		35,134
	114	Popular, Inc., (Puerto Rico)		3,334
	206	Synovus Financial Corp.		5,975
	1,271	Wells Fargo & Co.		60,145
				158,686
		Capital Markets — 1.9%
	117	Ameriprise Financial, Inc.		10,539
	98	Goldman Sachs Group, Inc. (The)		14,568
	244	Morgan Stanley		6,350
				31,457
		Consumer Finance — 0.9%
	22	Capital One Financial Corp.		1,384
	273	Discover Financial Services		14,625
				16,009
		Diversified Financial Services — 1.5%
	193	MSCI, Inc.		14,861
	417	Voya Financial, Inc.		10,327
				25,188
		Insurance — 7.2%
	363	Allstate Corp. (The)		25,364
	236	Aspen Insurance Holdings Ltd., (Bermuda)		10,936

SEE NOTES TO FINANCIAL STATEMENTS.

26 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Insurance — continued
	220	Axis Capital Holdings Ltd., (Bermuda)		12,078
	66	Everest Re Group Ltd., (Bermuda)		12,038
	321	Hartford Financial Services Group, Inc. (The)		14,264
	273	Lincoln National Corp.		10,577
	142	Prudential Financial, Inc.		10,130
	118	Travelers Cos., Inc. (The)		14,094
	274	Validus Holdings Ltd., (Bermuda)		13,309
				122,790
		Real Estate Investment Trusts (REITs) — 4.9%
	289	American Capital Agency Corp.		5,718
	1,101	Annaly Capital Management, Inc.		12,185
	820	Brandywine Realty Trust		13,773
	419	Chimera Investment Corp.		6,575
	212	DuPont Fabros Technology, Inc.		10,064
	481	Equity Commonwealth (a)		14,011
	207	Hospitality Properties Trust		5,962
	685	Piedmont Office Realty Trust, Inc., Class A		14,753
				83,041
		Total Financials		437,171
		Health Care — 11.9%
		Biotechnology — 2.3%
	42	Amgen, Inc.		6,360
	389	Gilead Sciences, Inc.		32,467
				38,827
		Health Care Equipment & Supplies — 1.2%
	57	C.R. Bard, Inc.		13,451
	193	Hologic, Inc. (a)		6,678
				20,129
		Health Care Providers & Services — 4.9%
	154	AmerisourceBergen Corp.		12,199
	123	Anthem, Inc.		16,129
	104	Cigna Corp.		13,247
	370	Express Scripts Holding Co. (a)		28,031
	75	Humana, Inc.		13,419
				83,025
		Pharmaceuticals — 3.5%
	1,685	Pfizer, Inc.		59,340
		Total Health Care		201,321
		Industrials — 9.4%
		Aerospace & Defense — 3.3%
	42	BWX Technologies, Inc.		1,492
	128	Curtiss-Wright Corp.		10,801

SHARES		SECURITY DESCRIPTION	VALUE($)
		Aerospace & Defense — continued
	148	Northrop Grumman Corp.		32,942
	270	Spirit AeroSystems Holdings, Inc., Class A (a)		11,610
				56,845
		Airlines — 2.1%
	638	Delta Air Lines, Inc.		23,224
	290	United Continental Holdings, Inc. (a)		11,881
				35,105
		Commercial Services & Supplies — 0.9%
	552	Pitney Bowes, Inc.		9,831
	352	R.R. Donnelley & Sons Co.		5,951
				15,782
		Construction & Engineering — 1.8%
	433	AECOM (a)		13,744
	63	Jacobs Engineering Group, Inc. (a)		3,138
	108	Valmont Industries, Inc.		14,541
				31,423
		Machinery — 1.3%
	204	Illinois Tool Works, Inc.		21,290
		Total Industrials		160,445
		Information Technology — 10.3%
		Communications Equipment — 1.0%
	578	Cisco Systems, Inc.		16,591
		Electronic Equipment, Instruments & Components — 0.8%
	138	SYNNEX Corp.		13,038
		IT Services — 1.5%
	285	Computer Sciences Corp.		14,145
	217	Leidos Holdings, Inc.		10,402
	89	Western Union Co. (The)		1,698
				26,245
		Semiconductors & Semiconductor Equipment — 3.1%
	751	QUALCOMM, Inc.		40,231
	657	Teradyne, Inc.		12,940
				53,171
		Software — 2.0%
	296	Microsoft Corp.		15,131
	759	Nuance Communications, Inc. (a)		11,866
	186	Take-Two Interactive Software, Inc. (a)		7,065
				34,062
		Technology Hardware, Storage & Peripherals — 1.9%
	59	Apple, Inc.		5,641
	1,035	HP, Inc.		12,993

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 27

JPMorgan Intrepid Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except number of Futures contracts)

SHARES		SECURITY DESCRIPTION	VALUE($)
	Common Stocks — continued
		Technology Hardware, Storage & Peripherals — continued
	465	NCR Corp. (a)		12,924
				31,558
		Total Information Technology		174,665
		Materials — 2.6%
		Chemicals — 1.8%
	71	Cabot Corp.		3,233
	364	LyondellBasell Industries N.V., Class A		27,096
				30,329
		Metals & Mining — 0.8%
	563	Steel Dynamics, Inc.		13,793
		Total Materials		44,122
		Telecommunication Services — 3.9%
		Diversified Telecommunication Services — 3.9%
	485	AT&T, Inc.		20,953
	398	CenturyLink, Inc.		11,547
	595	Verizon Communications, Inc.		33,202
		Total Telecommunication Services		65,702
		Utilities — 6.7%
		Electric Utilities — 4.2%
	282	American Electric Power Co., Inc.		19,730
	172	Edison International		13,383
	185	Entergy Corp.		15,042

SHARES		SECURITY DESCRIPTION	VALUE($)
		Electric Utilities — continued
	95	FirstEnergy Corp.		3,302
	157	NextEra Energy, Inc.		20,525
				71,982
		Gas Utilities — 0.8%
	313	UGI Corp.		14,184
		Multi-Utilities — 1.7%
	294	Public Service Enterprise Group, Inc.		13,708
	194	SCANA Corp.		14,708
				28,416
		Total Utilities		114,582
		Total Common Stocks (Cost $1,465,935)		1,648,866
	Short-Term Investment — 2.5%
		Investment Company — 2.5%
	42,165	JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.380% (b) (l) (Cost $42,165)		42,165
		Total Investments — 99.6% (Cost $1,508,100)		1,691,031
		Other Assets in Excess of Liabilities — 0.4%		6,204
		NET ASSETS — 100.0%	$	1,697,235

Percentages indicated are based on net assets.

Futures Contracts
NUMBER OF CONTRACTS		DESCRIPTION	EXPIRATION DATE		TRADING CURRENCY		NOTIONAL VALUE AT JUNE 30, 2016		NET UNREALIZED APPRECIATION (DEPRECIATION)
		Long Futures Outstanding
	432	E-mini S&P 500		09/16/16		USD	$	45,148	$	837

SEE NOTES TO FINANCIAL STATEMENTS.

28 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

J.P. Morgan Intrepid Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2016

CVR	—  Contingent Value Rights.
PDC	—  Property Development Center.
USD	—  United States Dollar.
(a)	—  Non-income producing security.
(b)	—  Investment in affiliate. Money market fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(g)	—  Amount rounds to less than 0.05%.
(h)	—  Amount rounds to less than 500 shares.
(l)	—  The rate shown is the current yield as of June 30, 2016.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 29

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016

(Amounts in thousands, except per share amounts)

	Intrepid Advantage Fund			Intrepid America Fund		Intrepid Growth Fund
ASSETS:
Investments in non-affiliates, at value	$	18,676		$	3,575,561	$	960,375
Investments in affiliates, at value		426			127,699		20,543
Total investment securities, at value		19,102			3,703,260		980,918
Cash		—	(a)		—		—
Deposits at broker for futures contracts		—			6,424		1,122
Receivables:
Investment securities sold		404			91,996		9,240
Fund shares sold		13			31,738		1,207
Dividends from non-affiliates		21			2,553		517
Dividends from affiliates		—	(a)		46		5
Variation margin on futures contracts		—			1,790		306
Total Assets		19,540			3,837,807		993,315
LIABILITIES:
Payables:
Investment securities purchased		421			169,318		3,984
Fund shares redeemed		24			216		528
Accrued liabilities:
Investment advisory fees		7			1,169		303
Administration fees		—			240		7
Distribution fees		6			22		50
Shareholder servicing fees		1			119		44
Custodian and accounting fees		4			20		9
Trustees’ and Chief Compliance Officer’s fees		—			11		—	(a)
Audit fees		31			39		33
Sub-transfer agency fees		3			33		86
Other		4			68		48
Total Liabilities		501			171,255		5,092
Net Assets	$	19,039		$	3,666,552	$	988,223

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

30 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

	Intrepid Advantage Fund			Intrepid America Fund			Intrepid Growth Fund
NET ASSETS:
Paid-in-Capital	$	17,066		$	3,100,922		$	951,241
Accumulated undistributed (distributions in excess of) net investment income		79			27,056			5,195
Accumulated net realized gains (losses)		(1,881	)		41,605			(150,228	)
Net unrealized appreciation (depreciation)		3,775			496,969			182,015
Total Net Assets	$	19,039		$	3,666,552		$	988,223
Net Assets:
Class A	$	8,760		$	57,303		$	90,529
Class C		6,131			12,599			48,717
Class R2		—			4,584			4,207
Class R5		—			3,920			205,213
Class R6		—			3,341,467			488,138
Select Class		4,148			246,679			151,419
Total	$	19,039		$	3,666,552		$	988,223
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):
Class A		264			1,649			2,243
Class C		189			367			1,229
Class R2		—			135			106
Class R5		—			110			5,066
Class R6		—			95,382			12,053
Select Class		124			6,952			3,694
Net Asset Value (a):
Class A — Redemption price per share	$	33.20		$	34.75		$	40.37
Class C — Offering price per share (b)		32.48			34.37			39.63
Class R2 — Offering and redemption price per share		—			34.01			39.66
Class R5 — Offering and redemption price per share		—			35.53			40.51
Class R6 — Offering and redemption price per share		—			35.03			40.50
Select Class — Offering and redemption price per share		33.40			35.48			40.99
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)]	$	35.04		$	36.68		$	42.61
Cost of investments in non-affiliates	$	14,901		$	3,079,745		$	778,908
Cost of investments in affiliates		426			127,699			20,543

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 31

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2016 (continued)

(Amounts in thousands, except per share amounts)

	Intrepid Mid Cap Fund		Intrepid Value Fund
ASSETS:
Investments in non-affiliates, at value	$	944,850	$	1,648,866
Investments in affiliates, at value		14,304		42,165
Total investment securities, at value		959,154		1,691,031
Deposits at broker for futures contracts		748		1,829
Due from custodian		571		2,556
Receivables:
Investment securities sold		2,988		19,652
Fund shares sold		1,846		2,559
Dividends from non-affiliates		1,359		1,978
Dividends from affiliates		6		14
Variation margin on futures contracts		311		505
Total Assets		966,983		1,720,124
LIABILITIES:
Payables:
Investment securities purchased		571		19,567
Fund shares redeemed		768		1,754
Accrued liabilities:
Investment advisory fees		458		450
Administration fees		30		59
Distribution fees		118		84
Shareholder servicing fees		81		151
Custodian and accounting fees		9		10
Trustees’ and Chief Compliance Officer’s fees		1		1
Audit fees		33		33
Sub-transfer agency fees		218		581
Other		101		199
Total Liabilities		2,388		22,889
Net Assets	$	964,595	$	1,697,235

SEE NOTES TO FINANCIAL STATEMENTS.

32 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

	Intrepid Mid Cap Fund			Intrepid Value Fund
NET ASSETS:
Paid-in-Capital	$	868,666		$	1,555,495
Accumulated undistributed (distributions in excess of) net investment income		1,098			1,489
Accumulated net realized gains (losses)		(25,919	)		(43,517	)
Net unrealized appreciation (depreciation)		120,750			183,768
Total Net Assets	$	964,595		$	1,697,235
Net Assets:
Class A	$	311,724		$	240,808
Class C		89,071			42,788
Class R2		—			17,721
Class R5		—			85,624
Class R6		304,934			86,255
Select Class		258,866			1,224,039
Total	$	964,595		$	1,697,235
Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):
Class A		16,003			7,717
Class C		5,328			1,386
Class R2		—			571
Class R5		—			2,725
Class R6		14,931			2,745
Select Class		12,674			39,057
Net Asset Value (a):
Class A — Redemption price per share	$	19.48		$	31.20
Class C — Offering price per share (b)		16.72			30.87
Class R2 — Offering and redemption price per share		—			31.04
Class R5 — Offering and redemption price per share		—			31.42
Class R6 — Offering and redemption price per share		20.42			31.42
Select Class — Offering and redemption price per share		20.43			31.34
Class A maximum sales charge		5.25	%		5.25	%
Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)]	$	20.56		$	32.93
Cost of investments in non-affiliates	$	824,318		$	1,465,935
Cost of investments in affiliates		14,304			42,165

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.

(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 33

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2016

(Amounts in thousands)

	Intrepid Advantage Fund			Intrepid America Fund			Intrepid Growth Fund
INVESTMENT INCOME:
Dividend income from non-affiliates	$	613		$	73,892		$	16,418
Dividend income from affiliates		1			240			52
Total investment income		614			74,132			16,470
EXPENSES:
Investment advisory fees		132			14,520			5,165
Administration fees		17			2,976			847
Distribution fees:
Class A		24			275			245
Class C		49			104			372
Class R2		—			20			13
Shareholder servicing fees:
Class A		24			275			245
Class C		16			35			124
Class R2		—			10			6
Class R5		—			358			100
Select Class		11			1,679			845
Custodian and accounting fees		25			105			48
Professional fees		48			86			55
Trustees’ and Chief Compliance Officer’s fees		6			37			13
Printing and mailing costs		3			53			35
Registration and filing fees		36			139			129
Transfer agency fees (See Note 2.D.)		7			53			36
Sub-transfer agency fees (See Note 2.D.)		13			190			380
Other		5			29			12
Total expenses		416			20,944			8,670
Less fees waived		(156	)		(333	)		(2,291	)
Less expense reimbursements		(5	)		(6	)		(52	)
Net expenses		255			20,605			6,327
Net investment income (loss)		359			53,527			10,143
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		176			86,369			18,101
Futures		—			4,820			(1,202	)
Foreign currency transactions		—			2			—	(a)
Net realized gain (loss)		176			91,191			16,899
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(801	)		(206,368	)		(35,594	)
Futures		—			2,287			1,038
Change in net unrealized appreciation/depreciation		(801	)		(204,081	)		(34,556	)
Net realized/unrealized gains (losses)		(625	)		(112,890	)		(17,657	)
Change in net assets resulting from operations	$	(266	)	$	(59,363	)	$	(7,514	)

(a) Amount rounds to less than $500.

SEE NOTES TO FINANCIAL STATEMENTS.

34 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

	Intrepid Mid Cap Fund			Intrepid Value Fund
INVESTMENT INCOME:
Dividend income from non-affiliates	$	17,449		$	42,116
Dividend income from affiliates		53			85
Total investment income		17,502			42,201
EXPENSES:
Investment advisory fees		5,891			6,903
Administration fees		743			1,415
Distribution fees:
Class A		810			608
Class C		625			358
Class R2		—			77
Shareholder servicing fees:
Class A		810			608
Class C		208			119
Class R2		—			39
Class R5		—			45
Select Class		818			3,154
Custodian and accounting fees		56			56
Professional fees		55			62
Trustees’ and Chief Compliance Officer’s fees		12			17
Printing and mailing costs		101			170
Registration and filing fees		163			164
Transfer agency fees (See Note 2.D.)		85			262
Sub-transfer agency fees (See Note 2.D.)		902			2,217
Other		16			18
Total expenses		11,295			16,292
Less fees waived		(2,058	)		(4,057	)
Less expense reimbursements		(1	)		(199	)
Net expenses		9,236			12,036
Net investment income (loss)		8,266			30,165
REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		(18,108	)		9,270
Futures		(709	)		(5,737	)
Net realized gain (loss)		(18,817	)		3,533
Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(2,618	)		(157,611	)
Futures		512			1,280
Change in net unrealized appreciation/depreciation		(2,106	)		(156,331	)
Net realized/unrealized gains (losses)		(20,923	)		(152,798	)
Change in net assets resulting from operations	$	(12,657	)	$	(122,633	)

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 35

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

	Intrepid Advantage Fund						Intrepid America Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	359		$	161		$	53,527		$	49,610
Net realized gain (loss)		176			1,123			91,191			242,651
Change in net unrealized appreciation/depreciation		(801	)		181			(204,081	)		(13,084	)
Change in net assets resulting from operations		(266	)		1,465			(59,363	)		279,177
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(166	)		(78	)		(997	)		(1,555	)
From net realized gains		—			—			(7,771	)		(7,056	)
Class C
From net investment income		(82	)		(37	)		(59	)		(59	)
From net realized gains		—			—			(875	)		(488	)
Class R2
From net investment income		—			—			(39	)		(8	)
From net realized gains		—			—			(263	)		(20	)
Class R5
From net investment income		—			—			—			(22,291	)
From net realized gains		—			—			(200	)		(75,877	)
Class R6 (a)
From net investment income		—			—			(47,617	)		—
From net realized gains		—			—			(196,504	)		—
Select Class
From net investment income		(80	)		(33	)		(411	)		(17,845	)
From net realized gains		—			—			(16,260	)		(72,997	)
Total distributions to shareholders		(328	)		(148	)		(270,996	)		(198,196	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		(3,007	)		4,710			287,274			645,023
NET ASSETS:
Change in net assets		(3,601	)		6,027			(43,085	)		726,004
Beginning of period		22,640			16,613			3,709,637			2,983,633
End of period	$	19,039		$	22,640		$	3,666,552		$	3,709,637
Accumulated undistributed (distributions in excess of) net investment income	$	79		$	61		$	27,056		$	24,926

(a) Commencement of offering of class of shares effective November 2, 2015 for Intrepid America Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

36 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

	Intrepid Growth Fund						Intrepid Mid Cap Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	10,143		$	7,255		$	8,266		$	3,270
Net realized gain (loss)		16,899			86,067			(18,817	)		83,487
Change in net unrealized appreciation/depreciation		(34,556	)		586			(2,106	)		(52,938	)
Change in net assets resulting from operations		(7,514	)		93,908			(12,657	)		33,819
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(645	)		(320	)		(2,230	)		(1,100	)
From net realized gains		—			—			(27,036	)		(33,270	)
Class B (a)
From net investment income		—			—			—			(5	)
From net realized gains		—			—			—			(722	)
Class C
From net investment income		(111	)		(45	)		(410	)		(75	)
From net realized gains		—			—			(7,872	)		(8,490	)
Class R2
From net investment income		(19	)		(1	)		—			—
Class R5
From net investment income		(2,127	)		(995	)		—			—
Class R6 (b)
From net investment income		(6,464	)		—			(2,290	)		—
From net realized gains		—			—			(17,654	)		—
Select Class
From net investment income		(70	)		(3,526	)		(2,298	)		(2,295	)
From net realized gains		—			—			(19,338	)		(53,175	)
Total distributions to shareholders		(9,436	)		(4,887	)		(79,128	)		(99,132	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		(49,656	)		189,626			80,831			443,967
NET ASSETS:
Change in net assets		(66,606	)		278,647			(10,954	)		378,654
Beginning of period		1,054,829			776,182			975,549			596,895
End of period	$	988,223		$	1,054,829		$	964,595		$	975,549
Accumulated undistributed (distributions in excess of) net investment income	$	5,195		$	4,981		$	1,098		$	(23	)

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Intrepid Mid Cap Fund.

(b) Commencement of offering of class of shares effective November 2, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 37

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Intrepid Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	30,165		$	23,033
Net realized gain (loss)		3,533			117,183
Change in net unrealized appreciation/depreciation		(156,331	)		(55,479	)
Change in net assets resulting from operations		(122,633	)		84,737
DISTRIBUTIONS TO SHAREHOLDERS:
Class A
From net investment income		(3,919	)		(1,883	)
From net realized gains		(12,129	)		(10,740	)
Class C
From net investment income		(481	)		(373	)
From net realized gains		(2,317	)		(3,334	)
Class R2
From net investment income		(209	)		(98	)
From net realized gains		(725	)		(155	)
Class R5
From net investment income		(1,649	)		(1,285	)
From net realized gains		(4,135	)		(6,160	)
Class R6
From net investment income		(1,457	)		(508	)
From net realized gains		(3,575	)		(2,196	)
Select Class
From net investment income		(20,675	)		(18,775	)
From net realized gains		(58,980	)		(102,921	)
Total distributions to shareholders		(110,251	)		(148,428	)
CAPITAL TRANSACTIONS:
Change in net assets resulting from capital transactions		142,336			385,861
NET ASSETS:
Change in net assets		(90,548	)		322,170
Beginning of period		1,787,783			1,465,613
End of period	$	1,697,235		$	1,787,783
Accumulated undistributed (distributions in excess of) net investment income	$	1,489		$	(17	)

SEE NOTES TO FINANCIAL STATEMENTS.

38 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

	Intrepid Advantage Fund						Intrepid America Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	1,458		$	3,725		$	43,942		$	168,215
Distributions reinvested		166			78			8,675			7,997
Cost of shares redeemed		(3,513	)		(3,040	)		(162,708	)		(94,262	)
Change in net assets resulting from Class A capital transactions	$	(1,889	)	$	763		$	(110,091	)	$	81,950
Class C
Proceeds from shares issued	$	513		$	3,609		$	1,939		$	7,099
Distributions reinvested		77			34			840			508
Cost of shares redeemed		(1,144	)		(832	)		(3,804	)		(1,603	)
Change in net assets resulting from Class C capital transactions	$	(554	)	$	2,811		$	(1,025	)	$	6,004
Class R2
Proceeds from shares issued	$	—		$	—		$	3,181		$	3,255
Distributions reinvested		—			—			206			10
Cost of shares redeemed		—			—			(1,407	)		(567	)
Change in net assets resulting from Class R2 capital transactions	$	—		$	—		$	1,980		$	2,698
Class R5
Proceeds from shares issued	$	—		$	—		$	147,210		$	551,608
Distributions reinvested		—			—			98			98,125
Cost of shares redeemed		—			—			(2,206,178	)		(31,065	)
Change in net assets resulting from Class R5 capital transactions	$	—		$	—		$	(2,058,870	)	$	618,668
Class R6 (a)
Proceeds from shares issued	$	—		$	—		$	3,744,275		$	—
Distributions reinvested		—			—			244,121			—
Cost of shares redeemed		—			—			(283,437	)		—
Change in net assets resulting from Class R6 capital transactions	$	—		$	—		$	3,704,959		$	—
Select Class
Proceeds from shares issued	$	391		$	1,411		$	122,319		$	111,237
Distributions reinvested		50			22			3,411			75,360
Cost of shares redeemed		(1,005	)		(297	)		(1,375,409	)		(250,894	)
Change in net assets resulting from Select Class capital transactions	$	(564	)	$	1,136		$	(1,249,679	)	$	(64,297	)
Total change in net assets resulting from capital transactions	$	(3,007	)	$	4,710		$	287,274		$	645,023

(a) Commencement of offering of class of shares effective November 2, 2015 for Intrepid America Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 39

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Intrepid Advantage Fund						Intrepid America Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		45			112			1,229			4,472
Reinvested		5			2			249			216
Redeemed		(107	)		(90	)		(4,667	)		(2,456	)
Change in Class A Shares		(57	)		24			(3,189	)		2,232
Class C
Issued		16			113			56			188
Reinvested		2			1			24			14
Redeemed		(36	)		(25	)		(110	)		(42	)
Change in Class C Shares		(18	)		89			(30	)		160
Class R2
Issued		—			—			91			88
Reinvested		—			—			6			—	(a)
Redeemed		—			—			(40	)		(15	)
Change in Class R2 Shares		—			—			57			73
Class R5
Issued		—			—			3,900			14,342
Reinvested		—			—			3			2,615
Redeemed		—			—			(56,255	)		(816	)
Change in Class R5 Shares		—			—			(52,352	)		16,141
Class R6 (b)
Issued		—			—			96,721			—
Reinvested		—			—			6,953			—
Redeemed		—			—			(8,292	)		—
Change in Class R6 Shares		—			—			95,382			—
Select Class
Issued		11			42			3,461			2,960
Reinvested		2			1			97			2,006
Redeemed		(30	)		(9	)		(35,374	)		(6,458	)
Change in Select Class Shares		(17	)		34			(31,816	)		(1,492	)

(a) Amount rounds to less than 500 shares.

(b) Commencement of offering of class of shares effective November 2, 2015 for Intrepid America Fund.

SEE NOTES TO FINANCIAL STATEMENTS.

40 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

	Intrepid Growth Fund						Intrepid Mid Cap Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	29,744		$	98,088		$	115,229		$	241,603
Distributions reinvested		464			307			26,642			32,554
Cost of shares redeemed		(44,544	)		(30,452	)		(168,582	)		(68,865	)
Conversion from Class B Shares		—			—			—			3,279
Change in net assets resulting from Class A capital transactions	$	(14,336	)	$	67,943		$	(26,711	)	$	208,571
Class B (a)
Proceeds from shares issued	$	—		$	—		$	—		$	113
Distributions reinvested		—			—			—			692
Cost of shares redeemed		—			—			—			(2,858	)
Conversion to Class A Shares		—			—			—			(3,279	)
Change in net assets resulting from Class B capital transactions	$	—		$	—		$	—		$	(5,332	)
Class C
Proceeds from shares issued	$	10,146		$	30,221		$	27,150		$	48,031
Distributions reinvested		81			35			7,265			7,809
Cost of shares redeemed		(9,970	)		(3,414	)		(22,253	)		(11,521	)
Change in net assets resulting from Class C capital transactions	$	257		$	26,842		$	12,162		$	44,319
Class R2
Proceeds from shares issued	$	3,918		$	1,169		$	—		$	—
Distributions reinvested		7			1			—			—
Cost of shares redeemed		(949	)		(666	)		—			—
Change in net assets resulting from Class R2 capital transactions	$	2,976		$	504		$	—		$	—
Class R5
Proceeds from shares issued	$	54,598		$	74,969		$	—		$	—
Distributions reinvested		1,858			995			—			—
Cost of shares redeemed		(38,491	)		(24,666	)		—			—
Change in net assets resulting from Class R5 capital transactions	$	17,965		$	51,298		$	—		$	—
Class R6 (b)
Proceeds from shares issued	$	605,936		$	—		$	296,563		$	—
Distributions reinvested		6,464			—			19,944			—
Cost of shares redeemed		(97,049	)		—			(12	)		—
Change in net assets resulting from Class R6 capital transactions	$	515,351		$	—		$	316,495		$	—
Select Class
Proceeds from shares issued	$	78,959		$	140,682		$	146,281		$	301,379
Distributions reinvested		46			3,214			17,565			49,847
Cost of shares redeemed		(650,874	)		(100,857	)		(384,961	)		(154,817	)
Change in net assets resulting from Select Class capital transactions	$	(571,869	)	$	43,039		$	(221,115	)	$	196,409
Total change in net assets resulting from capital transactions	$	(49,656	)	$	189,626		$	80,831		$	443,967

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Intrepid Mid Cap Fund.

(b) Commencement of offering of class of shares effective November 2, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 41

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Intrepid Growth Fund						Intrepid Mid Cap Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015			Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		737			2,450			5,728			10,640
Reinvested		12			8			1,439			1,529
Redeemed		(1,106	)		(764	)		(8,481	)		(3,017	)
Conversion from Class B Shares		—			—			—			145
Change in Class A Shares		(357	)		1,694			(1,314	)		9,297
Class B (a)
Issued		—			—			—			5
Reinvested		—			—			—			37
Redeemed		—			—			—			(140	)
Conversion to Class A Shares		—			—			—			(166	)
Change in Class B Shares		—			—			—			(264	)
Class C
Issued		257			774			1,614			2,416
Reinvested		2			1			457			420
Redeemed		(255	)		(87	)		(1,316	)		(572	)
Change in Class C Shares		4			688			755			2,264
Class R2
Issued		100			30			—			—
Reinvested		—	(b)		—	(b)		—			—
Redeemed		(24	)		(16	)		—			—
Change in Class R2 Shares		76			14			—			—
Class R5
Issued		1,371			1,842			—			—
Reinvested		46			24			—			—
Redeemed		(959	)		(614	)		—			—
Change in Class R5 Shares		458			1,252			—			—
Class R6 (c)
Issued		14,369			—			13,904			—
Reinvested		160			—			1,028			—
Redeemed		(2,476	)		—			(1	)		—
Change in Class R6 Shares		12,053			—			14,931			—
Select Class
Issued		1,966			3,517			7,038			12,734
Reinvested		1			79			904			2,245
Redeemed		(15,436	)		(2,493	)		(17,691	)		(6,494	)
Change in Select Class Shares		(13,469	)		1,103			(9,749	)		8,485

(a) All remaining Class B Shares converted to Class A Shares on June 19, 2015 for Intrepid Mid Cap Fund.

(b) Amount rounds to less than 500 shares.

(c) Commencement of offering of class of shares effective November 2, 2015.

SEE NOTES TO FINANCIAL STATEMENTS.

42 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

	Intrepid Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015
CAPITAL TRANSACTIONS:
Class A
Proceeds from shares issued	$	166,519		$	97,330
Distributions reinvested		15,365			12,172
Cost of shares redeemed		(80,574	)		(45,423	)
Change in net assets resulting from Class A capital transactions	$	101,310		$	64,079
Class C
Proceeds from shares issued	$	6,903		$	22,302
Distributions reinvested		2,515			3,280
Cost of shares redeemed		(13,246	)		(6,296	)
Change in net assets resulting from Class C capital transactions	$	(3,828	)	$	19,286
Class R2
Proceeds from shares issued	$	11,058		$	15,444
Distributions reinvested		803			179
Cost of shares redeemed		(6,453	)		(2,495	)
Change in net assets resulting from Class R2 capital transactions	$	5,408		$	13,128
Class R5
Proceeds from shares issued	$	28,926		$	19,393
Distributions reinvested		5,784			7,445
Cost of shares redeemed		(21,596	)		(20,221	)
Change in net assets resulting from Class R5 capital transactions	$	13,114		$	6,617
Class R6
Proceeds from shares issued	$	71,117		$	25,620
Distributions reinvested		5,032			2,704
Cost of shares redeemed		(20,617	)		(7,455	)
Change in net assets resulting from Class R6 capital transactions	$	55,532		$	20,869
Select Class
Proceeds from shares issued	$	308,972		$	495,104
Distributions reinvested		73,614			109,550
Cost of shares redeemed		(411,786	)		(342,772	)
Change in net assets resulting from Select Class capital transactions	$	(29,200	)	$	261,882
Total change in net assets resulting from capital transactions	$	142,336		$	385,861

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 43

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

	Intrepid Value Fund
	Year Ended June 30, 2016			Year Ended June 30, 2015
SHARE TRANSACTIONS:
Class A
Issued		4,888			2,685
Reinvested		492			348
Redeemed		(2,519	)		(1,249	)
Change in Class A Shares		2,861			1,784
Class C
Issued		214			616
Reinvested		82			95
Redeemed		(424	)		(174	)
Change in Class C Shares		(128	)		537
Class R2
Issued		348			429
Reinvested		26			5
Redeemed		(204	)		(69	)
Change in Class R2 Shares		170			365
Class R5
Issued		885			527
Reinvested		184			212
Redeemed		(681	)		(546	)
Change in Class R5 Shares		388			193
Class R6
Issued		2,159			693
Reinvested		160			77
Redeemed		(661	)		(205	)
Change in Class R6 Shares		1,658			565
Select Class
Issued		9,586			13,382
Reinvested		2,349			3,121
Redeemed		(12,663	)		(9,329	)
Change in Select Class Shares		(728	)		7,174

SEE NOTES TO FINANCIAL STATEMENTS.

44 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

THIS PAGE IS INTENTIONALLY LEFT BLANK

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 45

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income
Intrepid Advantage Fund
Class A
Year Ended June 30, 2016	$	34.01	$	0.62	(e)	$	(0.87	)(e)	$	(0.25	)	$	(0.56	)
Year Ended June 30, 2015		31.93		0.28			2.02			2.30			(0.22	)
Year Ended June 30, 2014		25.54		0.20			6.37			6.57			(0.18	)
Year Ended June 30, 2013		21.13		0.21	(f)		4.44			4.65			(0.24	)
Year Ended June 30, 2012		20.60		0.13			0.63			0.76			(0.23	)
Class C
Year Ended June 30, 2016		33.29		0.44	(e)		(0.85	)(e)		(0.41	)		(0.40	)
Year Ended June 30, 2015		31.38		0.12			1.98			2.10			(0.19	)
Year Ended June 30, 2014		25.14		0.05			6.26			6.31			(0.07	)
Year Ended June 30, 2013		20.81		0.10	(f)		4.37			4.47			(0.14	)
Year Ended June 30, 2012		20.25		0.04			0.62			0.66			(0.10	)
Select Class
Year Ended June 30, 2016		34.22		0.68	(e)		(0.86	)(e)		(0.18	)		(0.64	)
Year Ended June 30, 2015		32.07		0.37			2.04			2.41			(0.26	)
Year Ended June 30, 2014		25.65		0.28			6.39			6.67			(0.25	)
Year Ended June 30, 2013		21.21		0.28	(f)		4.45			4.73			(0.29	)
Year Ended June 30, 2012		20.70		0.19			0.62			0.81			(0.30	)

(a) Calculated based upon average shares outstanding.

(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(e) As described in Note 2-G, amount reflects an out of period adjustment related to a corporate action involving two of the Fund’s holdings. Had the Fund not recorded the out of period adjustment, the net investment income (loss) per share would have been $0.33, $0.15 and $0.38, for Class A, Class C and Select Class Shares, respectively, the net realized and unrealized gains (losses) on investment per share would have been $(0.58), $(0.56) and $(0.56) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.99%, 0.47% and 1.14% for Class A, Class C and Select Class Shares, respectively.

(f) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.17, $0.06 and $0.23 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.73%, 0.24% and 1.00% for Class A, Class C and Select Class Shares, respectively.

SEE NOTES TO FINANCIAL STATEMENTS.

46 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	33.20		(0.72	)%	$	8,760		1.15	%		1.90	%(e)		1.95	%		31	%
	34.01		7.22			10,933		1.15			0.85			1.87			35
	31.93		25.78			9,466		1.17			0.68			2.19			49
	25.54		22.15			8,765		1.25			0.92	(f)		2.40			82
	21.13		3.83			7,329		1.25			0.68			2.51			57
	32.48		(1.21	)		6,131		1.65			1.38	(e)		2.46			31
	33.29		6.71			6,874		1.65			0.36			2.36			35
	31.38		25.13			3,709		1.66			0.19			2.66			49
	25.14		21.55			2,294		1.75			0.43	(f)		2.91			82
	20.81		3.33			1,747		1.75			0.19			3.02			57
	33.40		(0.48	)		4,148		0.90			2.05	(e)		1.65			31
	34.22		7.51			4,833		0.90			1.10			1.59			35
	32.07		26.10			3,438		0.91			0.95			1.90			49
	25.65		22.46			1,516		1.00			1.19	(f)		2.16			82
	21.21		4.09			1,164		1.00			0.94			2.28			57

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 47

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Intrepid America Fund
Class A
Year Ended June 30, 2016	$	38.08	$	0.34	$	(1.15	)	$	(0.81	)	$	(0.27	)	$	(2.25	)	$	(2.52	)
Year Ended June 30, 2015		37.28		0.44		2.57			3.01			(0.38	)		(1.83	)		(2.21	)
Year Ended June 30, 2014		29.76		0.30		7.49			7.79			(0.27	)		—			(0.27	)
Year Ended June 30, 2013		24.68		0.34		5.15			5.49			(0.41	)		—			(0.41	)
Year Ended June 30, 2012		24.55		0.19		0.10			0.29			(0.16	)		—			(0.16	)
Class C
Year Ended June 30, 2016		37.74		0.18		(1.15	)		(0.97	)		(0.15	)		(2.25	)		(2.40	)
Year Ended June 30, 2015		36.99		0.22		2.57			2.79			(0.21	)		(1.83	)		(2.04	)
Year Ended June 30, 2014		29.53		0.13		7.42			7.55			(0.09	)		—			(0.09	)
Year Ended June 30, 2013		24.48		0.20		5.12			5.32			(0.27	)		—			(0.27	)
Year Ended June 30, 2012		24.29		0.07		0.12			0.19			—			—			—
Class R2
Year Ended June 30, 2016		37.45		0.27		(1.15	)		(0.88	)		(0.31	)		(2.25	)		(2.56	)
Year Ended June 30, 2015		36.82		0.33		2.55			2.88			(0.42	)		(1.83	)		(2.25	)
Year Ended June 30, 2014		29.43		0.21		7.40			7.61			(0.22	)		—			(0.22	)
Year Ended June 30, 2013		24.43		0.26		5.11			5.37			(0.37	)		—			(0.37	)
Year Ended June 30, 2012		24.21		0.13		0.12			0.25			(0.03	)		—			(0.03	)
Class R5
Year Ended June 30, 2016		38.41		0.41		(1.04	)		(0.63	)		—			(2.25	)		(2.25	)
Year Ended June 30, 2015		37.54		0.60		2.61			3.21			(0.51	)		(1.83	)		(2.34	)
Year Ended June 30, 2014		29.94		0.46		7.54			8.00			(0.40	)		—			(0.40	)
Year Ended June 30, 2013		24.84		0.46		5.19			5.65			(0.55	)		—			(0.55	)
Year Ended June 30, 2012		24.69		0.30		0.10			0.40			(0.25	)		—			(0.25	)
Class R6
November 2, 2015 (g) through June 30, 2016		39.15		0.41		(1.77	)		(1.36	)		(0.51	)		(2.25	)		(2.76	)
Select Class
Year Ended June 30, 2016		38.49		0.39		(1.09	)		(0.70	)		(0.06	)		(2.25	)		(2.31	)
Year Ended June 30, 2015		37.61		0.53		2.61			3.14			(0.43	)		(1.83	)		(2.26	)
Year Ended June 30, 2014		30.00		0.38		7.56			7.94			(0.33	)		—			(0.33	)
Year Ended June 30, 2013		24.88		0.41		5.20			5.61			(0.49	)		—			(0.49	)
Year Ended June 30, 2012		24.73		0.25		0.10			0.35			(0.20	)		—			(0.20	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Calculated based upon average shares outstanding.

(c) Not annualized for periods less than one year.

(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

48 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)(f)
$	34.75		(2.08	)%	$	57,303		1.04	%		0.96	%		1.15	%		70	%
	38.08		8.27			184,225		1.03			1.16			1.11			49
	37.28		26.26			97,155		1.04			0.90			1.05			67
	29.76		22.48			87,954		1.24			1.25			1.26			68
	24.68		1.26			81,139		1.25			0.82			1.27			95
	34.37		(2.55	)		12,599		1.54			0.50			1.62			70
	37.74		7.72			14,978		1.53			0.58			1.56			49
	36.99		25.62			8,774		1.54			0.39			1.55			67
	29.53		21.90			7,336		1.74			0.75			1.76			68
	24.48		0.78			7,117		1.75			0.31			1.78			95
	34.01		(2.30	)		4,584		1.29			0.78			1.46			70
	37.45		8.01			2,923		1.28			0.88			1.35			49
	36.82		25.93			166		1.29			0.64			1.30			67
	29.43		22.20			170		1.49			0.96			1.51			68
	24.43		1.03			75		1.50			0.56			1.52			95
	35.53		(1.57	)		3,920		0.54			1.08			0.55			70
	38.41		8.76			2,015,302		0.55			1.56			0.55			49
	37.54		26.84			1,363,358		0.58			1.35			0.59			67
	29.94		23.05			710,586		0.79			1.66			0.82			68
	24.84		1.74			411,202		0.79			1.28			0.82			95
	35.03		(3.39	)		3,341,467		0.49			1.78			0.50			70
	35.48		(1.77	)		246,679		0.74			1.04			0.75			70
	38.49		8.56			1,492,209		0.75			1.37			0.76			49
	37.61		26.56			1,514,180		0.79			1.14			0.80			67
	30.00		22.83			1,391,748		0.99			1.50			1.02			68
	24.88		1.52			1,332,607		1.00			1.07			1.02			95

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 49

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income
Intrepid Growth Fund
Class A
Year Ended June 30, 2016	$	40.99	$	0.27		$	(0.63	)	$	(0.36	)	$	(0.26	)
Year Ended June 30, 2015		37.05		0.25			3.88			4.13			(0.19	)
Year Ended June 30, 2014		29.36		0.18	(g)		7.64			7.82			(0.13	)
Year Ended June 30, 2013		25.00		0.21			4.34			4.55			(0.19	)
Year Ended June 30, 2012		24.39		0.10			0.57			0.67			(0.06	)
Class C
Year Ended June 30, 2016		40.26		0.07			(0.61	)		(0.54	)		(0.09	)
Year Ended June 30, 2015		36.45		0.05			3.81			3.86			(0.05	)
Year Ended June 30, 2014		28.93		0.01	(g)		7.52			7.53			(0.01	)
Year Ended June 30, 2013		24.64		0.07			4.27			4.34			(0.05	)
Year Ended June 30, 2012		24.09		(0.02	)		0.57			0.55			—
Class R2
Year Ended June 30, 2016		40.39		0.19			(0.63	)		(0.44	)		(0.29	)
Year Ended June 30, 2015		36.49		0.12			3.85			3.97			(0.07	)
Year Ended June 30, 2014		28.91		0.09	(g)		7.54			7.63			(0.05	)
Year Ended June 30, 2013		24.72		0.13			4.27			4.40			(0.21	)
Year Ended June 30, 2012		24.13		0.07			0.54			0.61			(0.02	)
Class R5
Year Ended June 30, 2016		41.12		0.45			(0.62	)		(0.17	)		(0.44	)
Year Ended June 30, 2015		37.09		0.41			3.91			4.32			(0.29	)
Year Ended June 30, 2014		29.41		0.33	(g)		7.65			7.98			(0.30	)
Year Ended June 30, 2013		25.05		0.33			4.34			4.67			(0.31	)
Year Ended June 30, 2012		24.45		0.21			0.57			0.78			(0.18	)
Class R6
November 2, 2015 (h) through June 30, 2016		42.20		0.36			(1.60	)		(1.24	)		(0.46	)
Select Class
Year Ended June 30, 2016		41.27		0.29			(0.55	)		(0.26	)		(0.02	)
Year Ended June 30, 2015		37.23		0.32			3.93			4.25			(0.21	)
Year Ended June 30, 2014		29.52		0.26	(g)		7.69			7.95			(0.24	)
Year Ended June 30, 2013		25.15		0.28			4.35			4.63			(0.26	)
Year Ended June 30, 2012		24.55		0.16			0.57			0.73			(0.13	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Calculated based upon average shares outstanding.

(c) Not annualized for periods less than one year.

(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.17, $0.00, $0.09, $0.32 and $0.26 for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.51%, 0.01%, 0.26%, 0.96% and 0.76% for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively.

(h) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

50 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings  credits			Portfolio turnover rate (c)(f)
$	40.37		(0.88	)%	$	90,529		0.93	%		0.66	%		1.23	%		70	%
	40.99		11.16			106,573		0.96			0.62			1.16			64
	37.05		26.68			33,563		1.16			0.54	(g)		1.17			67
	29.36		18.27			33,582		1.24			0.76			1.30			67
	25.00		2.76			32,027		1.25			0.42			1.32			110
	39.63		(1.35	)		48,717		1.42			0.19			1.71			70
	40.26		10.60			49,309		1.46			0.12			1.66			64
	36.45		26.05			19,566		1.65			0.03	(g)		1.67			67
	28.93		17.66			15,462		1.74			0.26			1.79			67
	24.64		2.28			14,298		1.75			(0.09	)		1.82			110
	39.66		(1.10	)		4,207		1.17			0.50			1.76			70
	40.39		10.87			1,205		1.22			0.31			1.45			64
	36.49		26.41			601		1.41			0.28	(g)		1.42			67
	28.91		17.90			603		1.49			0.49			1.54			67
	24.72		2.53			375		1.50			0.29			1.56			110
	40.51		(0.42	)		205,213		0.47			1.13			0.74			70
	41.12		11.66			189,466		0.54			1.02			0.70			64
	37.09		27.23			124,489		0.71			0.98	(g)		0.72			67
	29.41		18.79			105,839		0.79			1.21			0.85			67
	25.05		3.26			107,169		0.80			0.87			0.87			110
	40.50		(2.94	)		488,138		0.42			1.38			0.61			70
	40.99		(0.63	)		151,419		0.68			0.70			0.88			70
	41.27		11.43			708,276		0.74			0.80			0.87			64
	37.23		27.00			597,963		0.91			0.79	(g)		0.92			67
	29.52		18.52			538,378		0.99			1.02			1.05			67
	25.15		3.04			502,640		1.00			0.67			1.07			110

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 51

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

	Per share operating performance
			Investment operations									Distributions
	Net asset value, beginning of period		Net investment income (loss) (b)			Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Intrepid Mid Cap Fund
Class A
Year Ended June 30, 2016	$	21.82	$	0.15		$	(0.64	)	$	(0.49	)	$	(0.13	)	$	(1.72	)	$	(1.85	)
Year Ended June 30, 2015		24.11		0.08			1.18			1.26			(0.09	)		(3.46	)		(3.55	)
Year Ended June 30, 2014		18.79		0.08	(g)		5.41			5.49			(0.07	)		(0.10	)		(0.17	)
Year Ended June 30, 2013		14.99		0.13	(h)		3.80			3.93			(0.13	)		—			(0.13	)
Year Ended June 30, 2012		15.79		0.10			(0.79	)		(0.69	)		(0.11	)		—			(0.11	)
Class C
Year Ended June 30, 2016		19.07		0.03			(0.58	)		(0.55	)		(0.08	)		(1.72	)		(1.80	)
Year Ended June 30, 2015		21.56		(0.06	)		1.06			1.00			(0.03	)		(3.46	)		(3.49	)
Year Ended June 30, 2014		16.87		(0.05	)(g)		4.84			4.79			—			(0.10	)		(0.10	)
Year Ended June 30, 2013		13.48		0.02	(h)		3.41			3.43			(0.04	)		—			(0.04	)
Year Ended June 30, 2012		14.24		0.01			(0.72	)		(0.71	)		(0.05	)		—			(0.05	)
Class R6
November 2, 2015 (i) through June 30, 2016		22.41		0.20			(0.29	)		(0.09	)		(0.18	)		(1.72	)		(1.90	)
Select Class
Year Ended June 30, 2016		22.77		0.19			(0.64	)		(0.45	)		(0.17	)		(1.72	)		(1.89	)
Year Ended June 30, 2015		24.97		0.14			1.24			1.38			(0.12	)		(3.46	)		(3.58	)
Year Ended June 30, 2014		19.45		0.14	(g)		5.60			5.74			(0.12	)		(0.10	)		(0.22	)
Year Ended June 30, 2013		15.51		0.18	(h)		3.93			4.11			(0.17	)		—			(0.17	)
Year Ended June 30, 2012		16.33		0.14			(0.82	)		(0.68	)		(0.14	)		—			(0.14	)

(a) Annualized for periods less than one year, unless otherwise noted.

(b) Calculated based upon average shares outstanding.

(c) Not annualized for periods less than one year.

(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.04, $(0.08) and $0.10 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.20%, (0.42)% and 0.45% for Class A, Class C, and Select Class Shares, respectively.

(h) Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend, the net investment income (loss) per share would have been $0.08, $(0.03) and $0.13 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.47%, (0.17)% and 0.72% for Class A, Class C and Select Class Shares, respectively.

(i) Commencement of offering of class of shares.

SEE NOTES TO FINANCIAL STATEMENTS.

52 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets (a)
Net asset value, end of period		Total return (excludes sales charge) (c)(d)			Net assets, end of period (000’s)		Net expenses (e)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings  credits			Portfolio turnover rate (c)(f)
$	19.48		(1.71	)%	$	311,724		1.15	%		0.77	%		1.44	%		78	%
	21.82		5.64			377,893		1.14			0.33			1.37			66
	24.11		29.30			193,342		1.16			0.38	(g)		1.32			64
	18.79		26.30			144,405		1.23			0.78	(h)		1.38			52
	14.99		(4.36	)		122,217		1.24			0.68			1.38			51
	16.72		(2.35	)		89,071		1.79			0.15			1.96			78
	19.07		5.02			87,191		1.78			(0.31	)		1.87			66
	21.56		28.43			49,796		1.79			(0.25	)(g)		1.82			64
	16.87		25.51			36,073		1.87			0.13	(h)		1.88			52
	13.48		(4.97	)		28,079		1.88			0.04			1.88			51
	20.42		0.12			304,934		0.65			1.53			0.78			78
	20.43		(1.48	)		258,866		0.90			0.93			1.13			78
	22.77		5.97			510,465		0.89			0.58			1.07			66
	24.97		29.61			348,077		0.91			0.62	(g)		1.08			64
	19.45		26.60			327,834		0.98			1.03	(h)		1.13			52
	15.51		(4.11	)		269,693		0.99			0.94			1.13			51

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 53

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

			Per share operating performance
			Investment operations								Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)		Net realized and unrealized gains (losses) on investments			Total from investment operations			Net investment income			Net realized gain			Total distributions
Intrepid Value Fund
Class A
Year Ended June 30, 2016	$	35.66	$	0.53	$	(2.95	)	$	(2.42	)	$	(0.49	)	$	(1.55	)	$	(2.04	)
Year Ended June 30, 2015		37.13		0.46		1.38			1.84			(0.44	)		(2.87	)		(3.31	)
Year Ended June 30, 2014		29.76		0.40		7.36			7.76			(0.39	)		—			(0.39	)
Year Ended June 30, 2013		23.99		0.42		5.79			6.21			(0.44	)		—			(0.44	)
Year Ended June 30, 2012		24.35		0.35		(0.34	)		0.01			(0.37	)		—			(0.37	)
Class C
Year Ended June 30, 2016		35.29		0.36		(2.91	)		(2.55	)		(0.32	)		(1.55	)		(1.87	)
Year Ended June 30, 2015		36.80		0.27		1.37			1.64			(0.28	)		(2.87	)		(3.15	)
Year Ended June 30, 2014		29.52		0.23		7.28			7.51			(0.23	)		—			(0.23	)
Year Ended June 30, 2013		23.80		0.29		5.74			6.03			(0.31	)		—			(0.31	)
Year Ended June 30, 2012		24.16		0.24		(0.35	)		(0.11	)		(0.25	)		—			(0.25	)
Class R2
Year Ended June 30, 2016		35.48		0.44		(2.92	)		(2.48	)		(0.41	)		(1.55	)		(1.96	)
Year Ended June 30, 2015		37.02		0.35		1.40			1.75			(0.42	)		(2.87	)		(3.29	)
Year Ended June 30, 2014		29.69		0.31		7.33			7.64			(0.31	)		—			(0.31	)
Year Ended June 30, 2013		23.95		0.30		5.83			6.13			(0.39	)		—			(0.39	)
Year Ended June 30, 2012		24.31		0.29		(0.33	)		(0.04	)		(0.32	)		—			(0.32	)
Class R5
Year Ended June 30, 2016		35.88		0.64		(2.95	)		(2.31	)		(0.60	)		(1.55	)		(2.15	)
Year Ended June 30, 2015		37.33		0.59		1.39			1.98			(0.56	)		(2.87	)		(3.43	)
Year Ended June 30, 2014		29.91		0.52		7.40			7.92			(0.50	)		—			(0.50	)
Year Ended June 30, 2013		24.10		0.52		5.82			6.34			(0.53	)		—			(0.53	)
Year Ended June 30, 2012		24.46		0.43		(0.34	)		0.09			(0.45	)		—			(0.45	)
Class R6
Year Ended June 30, 2016		35.89		0.66		(2.97	)		(2.31	)		(0.61	)		(1.55	)		(2.16	)
Year Ended June 30, 2015		37.33		0.61		1.39			2.00			(0.57	)		(2.87	)		(3.44	)
Year Ended June 30, 2014		29.91		0.47		7.46			7.93			(0.51	)		—			(0.51	)
Year Ended June 30, 2013		24.10		0.53		5.83			6.36			(0.55	)		—			(0.55	)
Year Ended June 30, 2012		24.46		0.43		(0.33	)		0.10			(0.46	)		—			(0.46	)
Select Class
Year Ended June 30, 2016		35.80		0.57		(2.95	)		(2.38	)		(0.53	)		(1.55	)		(2.08	)
Year Ended June 30, 2015		37.25		0.51		1.40			1.91			(0.49	)		(2.87	)		(3.36	)
Year Ended June 30, 2014		29.85		0.45		7.38			7.83			(0.43	)		—			(0.43	)
Year Ended June 30, 2013		24.06		0.46		5.81			6.27			(0.48	)		—			(0.48	)
Year Ended June 30, 2012		24.42		0.39		(0.35	)		0.04			(0.40	)		—			(0.40	)

(a) Calculated based upon average shares outstanding.

(b) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(c) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.

(d) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

SEE NOTES TO FINANCIAL STATEMENTS.

54 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (excludes sales charge) (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (d)
$	31.20		(6.70	)%	$	240,808		0.83	%		1.64	%		1.18	%		66	%
	35.66		5.24			173,149		0.86			1.26			1.13			52
	37.13		26.17			114,036		0.94			1.19			1.17			49
	29.76		26.07			71,116		0.94			1.57			1.38			48
	23.99		0.14			61,097		0.95			1.54			1.47			82
	30.87		(7.16	)		42,788		1.33			1.12			1.62			66
	35.29		4.72			53,413		1.36			0.76			1.62			52
	36.80		25.50			35,963		1.44			0.69			1.67			49
	29.52		25.48			25,538		1.44			1.07			1.88			48
	23.80		(0.37	)		22,086		1.45			1.04			1.96			82
	31.04		(6.91	)		17,721		1.08			1.39			1.75			66
	35.48		4.98			14,237		1.09			0.97			1.43			52
	37.02		25.82			1,346		1.19			0.92			1.42			49
	29.69		25.74			934		1.19			1.06			1.56			48
	23.95		(0.09	)		70		1.20			1.29			1.73			82
	31.42		(6.35	)		85,624		0.48			1.98			0.61			66
	35.88		5.60			83,859		0.51			1.59			0.63			52
	37.33		26.60			80,008		0.59			1.53			0.72			49
	29.91		26.53			62,685		0.59			1.92			0.93			48
	24.10		0.49			52,183		0.60			1.88			1.03			82
	31.42		(6.33	)		86,255		0.43			2.07			0.51			66
	35.89		5.67			39,024		0.46			1.65			0.55			52
	37.33		26.66			19,495		0.54			1.41			0.67			49
	29.91		26.59			10,875		0.54			1.99			0.91			48
	24.10		0.54			18,840		0.55			1.86			0.97			82
	31.34		(6.56	)		1,224,039		0.68			1.77			0.91			66
	35.80		5.41			1,424,101		0.71			1.39			0.90			52
	37.25		26.35			1,214,765		0.79			1.34			0.92			49
	29.85		26.26			926,972		0.79			1.71			1.12			48
	24.06		0.29			705,545		0.80			1.70			1.22			82

SEE NOTES TO FINANCIAL STATEMENTS.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 55

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 5 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

	Classes Offered	Trust	Diversified/Non-Diversified
Intrepid Advantage Fund	Class A, Class C, and Select Class	JPM I	Diversified
Intrepid America Fund	Class A, Class C, Class R2, Class R5, Class R6* and Select Class	JPM I	Diversified
Intrepid Growth Fund	Class A, Class C, Class R2, Class R5, Class R6* and Select Class	JPM I	Diversified
Intrepid Mid Cap Fund	Class A, Class C, Class R6* and Select Class	JPM II	Diversified
Intrepid Value Fund	Class A, Class C, Class R2, Class R5, Class R6 and Select Class	JPM I	Diversified

* Class R6 Shares commenced operations on November 2, 2015 for Intrepid America Fund, Intrepid Growth Fund and Intrepid Mid Cap Fund.

The investment objective of both the Intrepid Advantage Fund and the Intrepid Value Fund is to seek to provide long-term capital appreciation.

The investment objective of both the Intrepid America Fund and the Intrepid Growth Fund is to seek to provide long-term capital growth.

The investment objective of the Intrepid Mid Cap Fund is to seek long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class R2, Class R5, Class R6 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

On June 19, 2015, all remaining Class B Shares converted to Class A Shares of the same Fund. Prior to June 19, 2015, Class B Shares automatically converted to Class A Shares after eight years and provided for a CDSC.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM became the Funds’ Administrator under the Administration Agreement.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments.

56 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used, had a ready market for the investments existed, and such differences could be material.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Futures are generally valued on the basis of available market quotations.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.

• Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

• Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

• Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

Intrepid Advantage Fund

	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	19,102	$	—	$	—	$	19,102
Intrepid America Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	3,703,260	$	—	$	—	$	3,703,260
Appreciation in Other Financial Instruments
Futures Contracts	$	1,153	$	—	$	—	$	1,153
Intrepid Growth Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	980,918	$	—	$	—	$	980,918
Appreciation in Other Financial Instruments
Futures Contracts	$	548	$	—	$	—	$	548
Intrepid Mid Cap Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (b)	$	959,140	$	—	$	14	$	959,154
Appreciation in Other Financial Instruments
Futures Contracts	$	218	$	—	$	—	$	218

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 57

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

Intrepid Value Fund
	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Total Investments in Securities (a)	$	1,691,031	$	—	$	—	$	1,691,031
Appreciation in Other Financial Instruments
Futures Contracts	$	837	$	—	$	—	$	837

(a) All portfolio holdings designated as level 1 are disclosed on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings.

(b) Portfolio holdings designated in level 1 and level 3 are disclosed individually in the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of the portfolio holdings.

There were no transfers among any levels during the year ended June 30, 2016.

B. Futures Contracts — Intrepid America Fund, Intrepid Growth Fund, Intrepid Mid Cap Fund and Intrepid Value Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Funds also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2016 (amounts in thousands):

	Intrepid America Fund		Intrepid Growth Fund		Intrepid Mid Cap Fund		Intrepid Value Fund
Futures Contracts:
Average Notional Balance Long	$	97,167	$	27,931	$	21,901	$	40,741
Ending Notional Balance Long		84,549		26,128		16,274		45,148

The Funds’ futures contracts are not subject to master netting agreements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

58 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

D. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the year ended June 30, 2016 are as follows (amounts in thousands):

	Class A		Class C		Class R2		Class R5		Class R6		Select Class		Total
Intrepid Advantage Fund
Transfer agency fees	$	4	$	2		n/a		n/a		n/a	$	1	$	7
Sub-transfer agency fees		6		6		n/a		n/a		n/a		1		13
Intrepid America Fund
Transfer agency fees		14		2	$	1	$	10	$	15		11		53
Sub-transfer agency fees		156		15		8		2		—		9		190
Intrepid Growth Fund
Transfer agency fees		19		3		1		3		3		7		36
Sub-transfer agency fees		99		47		9		152		—		73		380
Intrepid Mid Cap Fund
Transfer agency fees		59		9		n/a		n/a		3		14		85
Sub-transfer agency fees		452		140		n/a		n/a		—		310		902
Intrepid Value Fund
Transfer agency fees		199		4		38		3		2		16		262
Sub-transfer agency fees		220		49		36		39		—		1,873		2,217

E. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually, except for the Intrepid Mid Cap Fund and Intrepid Value Fund, for which distributions are generally declared and paid at least quarterly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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)
Intrepid Advantage Fund	$	—	(a)	$	(13	)	$	13
Intrepid America Fund		—	(a)		(2,274	)		2,274
Intrepid Growth Fund		—	(a)		(493	)		493
Intrepid Mid Cap Fund		—			83			(83	)
Intrepid Value Fund		—	(a)		(269	)		269

(a) Amount rounds to less than $500.

The reclassifications for the Funds relate primarily to non-taxable dividends and redesignation of distributions.

G. Out of Period Adjustment — The Intrepid Advantage Fund recorded an out of period adjustment in the June 30, 2016 financial statements which resulted in an increase to Dividend income of approximately $184,000 and a decrease to unrealized and realized gains on investments of approximately $46,000 and $138,000, as well as the changes to the Financial Highlights as disclosed therein, respectively. This adjustment resulted from a misclassification in the June 30, 2015 financial statements whereby income earned from a merger of two of the Fund’s non-affiliate holdings was incorrectly recorded as realized gain on investments. Management has evaluated the adjustment and concluded that it is not material to the previously issued 2015 or the current year annual financial statements.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 59

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

Intrepid Advantage Fund	0.65	%
Intrepid America Fund	0.40
Intrepid Growth Fund	0.50
Intrepid Mid Cap Fund	0.65
Intrepid Value Fund	0.40

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2016, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

	Class A			Class C			Class R2
Intrepid Advantage Fund		0.25	%		0.75	%		n/a
Intrepid America Fund		0.25			0.75			0.50	%
Intrepid Growth Fund		0.25			0.75			0.50
Intrepid Mid Cap Fund		0.25			0.75			n/a
Intrepid Value Fund		0.25			0.75			0.50

In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2016, the Distributor retained the following (amounts in thousands):

	Front-End Sales Charge		CDSC
Intrepid Advantage Fund	$	1	$	—	(a)
Intrepid America Fund		4		—	(a)
Intrepid Growth Fund		16		1
Intrepid Mid Cap Fund		33		1
Intrepid Value Fund		11		—	(a)

(a) Amount rounds to less than $500.    

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

	Class A			Class C			Class R2			Class R5			Select Class
Intrepid Advantage Fund		0.25	%		0.25	%		n/a			n/a			0.25	%
Intrepid America Fund		0.25			0.25			0.25	%		0.05	%		0.25
Intrepid Growth Fund		0.25			0.25			0.25			0.05			0.25
Intrepid Mid Cap Fund		0.25			0.25			n/a			n/a			0.25
Intrepid Value Fund		0.25			0.25			0.25			0.05			0.25

60 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

	Class A			Class C			Class R2			Class R5			Class R6			Select Class
Intrepid Advantage Fund		1.15	%		1.65	%		n/a			n/a			n/a			0.90	%
Intrepid America Fund		1.04			1.54			1.29	%		0.60	%		0.55	%		0.80
Intrepid Growth Fund		0.93			1.42			1.17			0.48			0.43			0.68
Intrepid Mid Cap Fund		1.15			1.79			n/a			n/a			0.65			0.90
Intrepid Value Fund		0.83			1.33			1.08			0.48			0.43			0.68

The expense limitation agreements were in effect for the year ended June 30, 2016 and are in place until at least October 31, 2016.

For the year ended June 30, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

	Contractual Waivers
	Investment Advisory		Administration		Shareholder Servicing		Total		Contractual Reimbursement
Intrepid Advantage Fund	$	118	$	17	$	20	$	155	$	5
Intrepid America Fund		—		—		131		131		6
Intrepid Growth Fund		1,144		763		324		2,231		52
Intrepid Mid Cap Fund		675		448		895		2,018		1
Intrepid Value Fund		861		574		2,536		3,971		199

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). Effective November 1, 2015, the Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund. Prior to November 1, 2015, a portion of the waiver was voluntary.

The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2016 were as follows (amounts in thousands):

Intrepid Advantage Fund	$	1
Intrepid America Fund		202
Intrepid Growth Fund		60
Intrepid Mid Cap Fund		40
Intrepid Value Fund		86

G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 61

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

During the year ended June 30, 2016, Intrepid Mid Cap Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended June 30, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

Intrepid America Fund	$	—	(a)
Intrepid Growth Fund		—	(a)
Intrepid Mid Cap Fund		1
Intrepid Value Fund		9

(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, 2016, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)
Intrepid Advantage Fund	$	6,266	$	9,202
Intrepid America Fund		2,550,225		2,483,017
Intrepid Growth Fund		700,445		746,420
Intrepid Mid Cap Fund		707,571		692,967
Intrepid Value Fund		1,151,630		1,106,032

During the year ended June 30, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2016 were as follows (amounts in thousands):

	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Intrepid Advantage Fund	$	15,371	$	4,373	$	642	$	3,731
Intrepid America Fund		3,232,209		599,680		128,629		471,051
Intrepid Growth Fund		805,213		205,291		29,586		175,705
Intrepid Mid Cap Fund		843,956		164,618		49,420		115,198
Intrepid Value Fund		1,526,915		251,901		87,785		164,116

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.

The tax character of distributions paid during the fiscal year ended June 30, 2016 was as follows (amounts in thousands):

	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Intrepid Advantage Fund	$	328	$	—	$	328
Intrepid America Fund		49,123		221,873		270,996
Intrepid Growth Fund		9,436		—		9,436
Intrepid Mid Cap Fund		19,785		59,343		79,128
Intrepid Value Fund		34,523		75,728		110,251

* Short-term gains are treated as ordinary income for income tax purposes.

62 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

The tax character of distributions paid during the fiscal year ended June 30, 2015 was as follows (amounts in thousands):

	Ordinary Income*		Net Long Term Capital Gains		Total Distributions Paid
Intrepid Advantage Fund	$	148	$	—	$	148
Intrepid America Fund		56,358		141,838		198,196
Intrepid Growth Fund		4,887		—		4,887
Intrepid Mid Cap Fund		10,207		88,925		99,132
Intrepid Value Fund		42,160		106,268		148,428

* Short-term gains are treated as ordinary income for income tax purposes.

As of June 30, 2016, the components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover)			Unrealized Appreciation (Depreciation)
Intrepid Advantage Fund	$	79	$	(1,835	)	$	3,731
Intrepid America Fund		27,153		67,522			471,051
Intrepid Growth Fund		5,225		(121,929	)		175,705
Intrepid Mid Cap Fund		1,122		190			115,198
Intrepid Value Fund		1,510		725			164,116

For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals, wash sale loss deferrals and mark to market of futures contracts.

As of June 30, 2016, the Funds had the following pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):

	2018		2019		Total
Intrepid Advantage Fund	$	—	$	1,835	$	1,835
Intrepid Growth Fund		121,929		—		121,929

During the year ended June 30, 2016, the Funds utilized capital loss carryforwards as follows (amounts in thousands):

Intrepid Advantage Fund	$	281
Intrepid Growth		40,858

Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2016, the following Funds deferred to July 1, 2016 net capital losses of (amounts in thousands):

	Net Capital Losses
	Short-Term		Long-Term
Intrepid Growth Fund	$	21,993	$	—
Intrepid Mid Cap Fund		20,915		(358	)
Intrepid Value Fund		47,422		(22,829	)

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.

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 JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 63

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2016 (continued)

In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 7, 2016.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2016, or at any time during the year then ended.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of June 30, 2016, the Funds had omnibus accounts which represented the percentage of each Fund’s net assets as follows:

	Number of Affiliated Omnibus Accounts		% of the Fund			Number of Non-Affiliated Omnibus Accounts		% of the Fund
Intrepid Advantage Fund		2		12.2	%		2		10.3	%
Intrepid Mid Cap Fund		2		12.9			—		n/a
Intrepid Value Fund		—		n/a			2		52.6

As of June 30, 2016, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:

	J.P. Morgan Investor Funds			JPMorgan SmartRetirement Funds
Intrepid America Fund		28.8	%		60.9	%
Intrepid Growth Fund		48.7			n/a
Intrepid Mid Cap Fund		31.6			n/a

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

8. Subsequent Event

Effective August 16, 2016, the Funds, together with certain other J.P. Morgan Funds (collectively, the “Borrowers”), entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. The initial term of the Credit Facility is 364 days, unless extended.

64 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Intrepid Advantage Fund, JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Mid Cap Fund and JPMorgan Intrepid Value 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 Intrepid Advantage Fund, JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth Fund and JPMorgan Intrepid Value Fund (each a separate fund of JPMorgan Trust I) and JPMorgan Intrepid Mid Cap Fund (a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2016 by correspondence with the transfer agent, custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

August 29, 2016

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 65

TRUSTEES

(Unaudited)

The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	152	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).
Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Chancellor Emeritus, City University of New York (2015-present); Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	152	Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	152	None
Frankie D. Hughes (1952); Trustee of Trusts since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	152	Trustee, The Victory Portfolios (2000-2008) (Investment companies).
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	152	None
Mary E. Martinez (1960); Trustee of Trusts since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	152	None
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	152	None
Mitchell M. Merin (1953); Trustee of Trusts since 2013.	Retired; President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	152	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	152	Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present).

66 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)
Marian U. Pardo** (1946); Trustee of Trusts since 2013.	Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).	152	Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	152	None
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	152	None

(1) The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees.

(2) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (152 funds).

   * Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds.

  ** In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 67

OFFICERS

(Unaudited)

Name (Year of Birth), Positions Held with the Trusts (Since)	Principal Occupations During Past 5 Years
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)	Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014)
Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014; Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.
Frank J. Nasta (1964), Secretary (2008)	Managing Director and Associate General Counsel, JPMorgan Chase since 2008.
Stephen M. Ungerman (1953), Chief Compliance Officer (2005)	Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.
Elizabeth A. Davin (1964), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962), Assistant Secretary (2005)*	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.
John T. Fitzgerald (1975), Assistant Secretary (2008)	Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2011.
Carmine Lekstutis (1980), Assistant Secretary (2011)	Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.
Gregory S. Samuels (1980), Assistant Secretary (2010)	Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010.
Pamela L. Woodley (1971), Assistant Secretary (2012)**	Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)	Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.
Lauren A. Paino (1973), Assistant Treasurer (2014)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013; formerly Director, Credit Suisse Asset Management from 2000-2013.
Joseph Parascondola (1963), Assistant Treasurer (2011)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2006.
Matthew J. Plastina (1970), Assistant Treasurer (2011)	Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from 2010 to January 2016.
Julie A. Roach (1971), Assistant Treasurer (2012)*	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.
Gillian I. Sands (1969), Assistant Treasurer (2012)	Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

    * The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240.

  ** The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004.

68 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2016, and continued to hold your shares at the end of the reporting period, June 30, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Intrepid Advantage Fund
Class A
Actual	$	1,000.00	$	1,003.90	$	5.73		1.15	%
Hypothetical		1,000.00		1,019.14		5.77		1.15
Class C
Actual		1,000.00		1,001.50		8.21		1.65
Hypothetical		1,000.00		1,016.66		8.27		1.65
Select Class
Actual		1,000.00		1,005.10		4.49		0.90
Hypothetical		1,000.00		1,020.39		4.52		0.90
Intrepid America Fund
Class A
Actual		1,000.00		994.60		5.21		1.05
Hypothetical		1,000.00		1,019.64		5.27		1.05
Class C
Actual		1,000.00		992.20		7.58		1.53
Hypothetical		1,000.00		1,017.26		7.67		1.53
Class R2
Actual		1,000.00		993.60		6.34		1.28
Hypothetical		1,000.00		1,018.50		6.42		1.28
Class R5
Actual		1,000.00		996.90		2.93		0.59
Hypothetical		1,000.00		1,021.93		2.97		0.59
Class R6
Actual		1,000.00		997.40		2.43		0.49
Hypothetical		1,000.00		1,022.43		2.46		0.49
Select Class
Actual		1,000.00		996.10		3.72		0.75
Hypothetical		1,000.00		1,021.13		3.77		0.75

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 69

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

	Beginning Account Value January 1, 2016		Ending Account Value June 30, 2016		Expenses Paid During the Period*		Annualized Expense Ratio
Intrepid Growth Fund
Class A
Actual	$	1,000.00	$	992.40	$	4.61		0.93	%
Hypothetical		1,000.00		1,020.24		4.67		0.93
Class C
Actual		1,000.00		990.00		7.03		1.42
Hypothetical		1,000.00		1,017.80		7.12		1.42
Class R2
Actual		1,000.00		991.00		5.79		1.17
Hypothetical		1,000.00		1,019.05		5.87		1.17
Class R5
Actual		1,000.00		994.60		2.38		0.48
Hypothetical		1,000.00		1,022.48		2.41		0.48
Class R6
Actual		1,000.00		994.80		2.08		0.42
Hypothetical		1,000.00		1,022.77		2.11		0.42
Select Class
Actual		1,000.00		993.50		3.37		0.68
Hypothetical		1,000.00		1,021.48		3.42		0.68
Intrepid Mid Cap Fund
Class A
Actual		1,000.00		1,039.30		5.83		1.15
Hypothetical		1,000.00		1,019.14		5.77		1.15
Class C
Actual		1,000.00		1,036.20		9.01		1.78
Hypothetical		1,000.00		1,016.01		8.92		1.78
Class R6
Actual		1,000.00		1,042.20		3.30		0.65
Hypothetical		1,000.00		1,021.63		3.27		0.65
Select Class
Actual		1,000.00		1,041.20		4.57		0.90
Hypothetical		1,000.00		1,020.39		4.52		0.90
Intrepid Value Fund
Class A
Actual		1,000.00		994.80		4.12		0.83
Hypothetical		1,000.00		1,020.74		4.17		0.83
Class C
Actual		1,000.00		992.20		6.59		1.33
Hypothetical		1,000.00		1,018.25		6.67		1.33
Class R2
Actual		1,000.00		993.70		5.35		1.08
Hypothetical		1,000.00		1,019.49		5.42		1.08
Class R5
Actual		1,000.00		996.50		2.38		0.48
Hypothetical		1,000.00		1,022.48		2.41		0.48
Class R6
Actual		1,000.00		996.80		2.13		0.43
Hypothetical		1,000.00		1,022.73		2.16		0.43
Select Class
Actual		1,000.00		995.50		3.37		0.68
Hypothetical		1,000.00		1,021.48		3.42		0.68

* Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

70 J.P. MORGAN INTREPID FUNDS JUNE 30, 2016

Tax Letter

(Unaudited)

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2016. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2016. The information necessary to complete your income tax returns for the calendar year ending December 31, 2016 will be provided under separate cover.

Dividends Received Deductions (DRD)

Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2016:

	Dividends Received Deduction
Intrepid Advantage Fund		100.00	%
Intrepid America Fund		100.00
Intrepid Growth Fund		100.00
Intrepid Mid Cap Fund		92.08
Intrepid Value Fund		100.00

Long Term Capital Gain

Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Long-Term Capital Gain Distribution
Intrepid America Fund	$	221,873
Intrepid Mid Cap Fund		59,343
Intrepid Value Fund		75,728

Qualified Dividend Income (QDI)

Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2016 (amounts in thousands):

	Qualified Dividend Income
Intrepid Advantage Fund	$	328
Intrepid America Fund		49,123
Intrepid Growth Fund		9,436
Intrepid Mid Cap Fund		19,516
Intrepid Value Fund		34,523

JUNE 30, 2016 J.P. MORGAN INTREPID FUNDS 71

Rev. January 2011

FACTS WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   ¡   Social Security number and account balances   ¡   transaction history and account transactions   ¡   checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does  J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 1-800-480-4111 or go to www.jpmorganfunds.com

Page 2

Who we are
Who is providing this notice?	J.P. Morgan Funds

What we do
How does J.P. Morgan Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information.
How does J.P. Morgan Funds collect my personal information?	We collect your personal information, for example, when you: ¡  open an account or provide contact information ¡  give us your account information or pay us by check ¡  make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only ¡  sharing for affiliates’ everyday business purposes – information about your creditworthiness ¡  affiliates from using your information to market to you ¡  sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ¡  J.P. Morgan Funds does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ¡  J.P. Morgan Funds does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ¡  J.P. Morgan Funds doesn’t jointly market.

J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

^© JPMorgan Chase & Co., 2016. All rights reserved. June 2016. AN-INT-616

ITEM 2. CODE OF ETHICS.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

Effective January 1, 2016, James Schonbachler replaced Mitchell Merin as the audit committee financial expert. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

Not applicable.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

AUDIT FEES

2016 – $404,260

2015 – $382,500

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

AUDIT-RELATED FEES

2016 – $56,400

2015 – $55,000

Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

TAX FEES

2016 – $148,190

2015 – $140,430

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2015 and 2014, respectively.

For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

ALL OTHER FEES

2016 – Not applicable

2014 – Not applicable

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the

services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.

One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

2016 – 0.0%

2015 – 0.0%

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

Not applicable - Less than 50%.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:

2015 - $29.4 million

2014 - $30.8 million

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Included in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

No material changes to report.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time

periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

Not applicable.

(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

JPMorgan Trust II
By:	/s/ Brian S. Shlissel
	Brian S. Shlissel
	President and Principal Executive Office
	September 1, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Brian S. Shlissel
	Brian S. Shlissel
	President and Principal Executive Officer
	September 1, 2016
By:	/s/ Laura M. Del Prato
	Laura M. Del Prato
	Treasurer and Principal Financial Officer
	September 1, 2016

EX-99.CODE

EX-99 COD ETH 2

JPMorgan Trust I

JPMorgan Trust II

JPMorgan Trust III

JPMorgan Trust IV

Undiscovered Managers Funds

JPMorgan Insurance Trust

JPMorgan Institutional Trust

J. P. Morgan Mutual Fund Investment Trust

J. P. Morgan Fleming Mutual Fund Group, Inc.

J.P. Morgan Access Multi-Strategy Fund, LLC

J.P. Morgan Access Multi-Strategy Fund II

Pacholder High Yield Fund, Inc.

(collectively the “J.P. Morgan Funds”)

Code of Ethics for Principal Executive

and Principal Financial Officers

Persons covered by this Code of Ethics:

Brian S. Shlissel	Principal Executive Officer
Laura M. Del Prato	Principal Financial Officer

1. Covered Officers/ Purpose of the Code

a. This Sarbanes-Oxley Code of Ethics for the J.P. Morgan Funds (the “Funds”) applies to the Funds’ Principal Executive Officer and Principal Financial Officer (the “Covered Officers”) for the purpose of promoting

i. Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

ii. Full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files with, or submits to, the SEC and in other public communications made by the Funds;

iii. Compliance with applicable laws and governmental rules and regulations;

iv. The prompt internal reporting of violations of this Sarbanes-Oxley Code of Ethics to an appropriate person or persons identified herein; and

v. Accountability for adherence to this Sarbanes-Oxley Code of Ethics.

b. Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

2. Covered Officers Should Ethically Handle Actual and Apparent Conflicts of Interest.

A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his service to, the Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Funds.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Funds and already are subject to conflict of interest provisions in the Investment Company Act and the Advisers Act. For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with the Funds because of their status as “affiliated persons” of the Funds. The Funds and the investment adviser’s compliance programs and procedures are designed to prevent, or identify and correct, violations of these provisions. This Sarbanes-Oxley Code of Ethics does not, and is not intended to, repeat or replace these programs and procedures.

Although typically not presenting an opportunity for improper personal benefit, conflicts may arise from, or as a result of, the contractual relationship between the Funds and the investment advisers, principal underwriters, administrators, and/or affiliated persons thereof (the “Funds Principal Service Providers”) of which the Covered Officers are also officers or employees. As a result, the Sarbanes-Oxley Code of Ethics recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Company, the Funds Principal Service Providers, or for both) be involved in establishing policies and implementing decisions that will have different effects on the Funds Principal Service Providers and the Funds. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Funds and the Funds Principal Service Providers and is consistent with the performance by the Covered Officers of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Fund’s Board that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other codes.

Other conflicts of interest are covered by the Sarbanes-Oxley Code of Ethics, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Advisers Act. The following list provides examples of conflicts of interest under the Sarbanes-Oxley Code of Ethics, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of the Funds.

3. Each Covered Officer must:

a. Not use his personal influence or personal relationships improperly to influence investment decisions and/or financial reporting by the Funds whereby the Covered Officer would benefit personally to the detriment of the Funds;

b. Not cause the Funds to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit the Funds;

c. Complete on an annual basis the Funds’ Trustee and Officer Questionnaire which requests information regarding other business affiliations and relationships

4. In furtherance of the above, below are some examples of conflict of interest situations that should be discussed with the Investment Adviser’s Compliance department, which is responsible for the day-to-day monitoring of the Investment Adviser and/or the Funds Chief Compliance Officer. Examples of these include, but are not limited to:

a. Serving as a director on the board of any public, private company or not for profit organization;

b. The receipt of any gifts in excess of $100;

c. The receipt of any entertainment from any company with which the Funds have current or prospective business dealings unless such entertainment is business related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety or other formulation as the Funds already use in another code of conduct;

d. Any ownership interest in, or any consulting or employment relationship with, any of the Funds’ service providers, other than the Funds Principal Service Providers;

e. A direct or indirect financial interest in commissions, transaction charges or spreads paid by the Funds for effecting portfolio transactions or for selling or redeeming shares such as compensation or equity ownership other than an interest arising from the Covered Officer’s employment with the Funds’ Principal Service Providers.

5. Disclosure and Compliance

a. Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Fund;

b. Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about the Fund to others, whether within or outside the Fund, including to the Fund’s directors and auditors, and/or to governmental regulators and self-regulatory organizations;

c. It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations;

6. Reporting and Accountability

a. Each covered officer must:

i. Upon adoption of this Sarbanes-Oxley Code of Ethics (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to the Board that he has received, read, and understands the Code;

ii. Annually thereafter affirm to the Board that he has complied with the requirements of this Sarbanes-Oxley Code of Ethics;

iii. Not retaliate against any other Covered Officer and/or any employee of the Funds or affiliated persons for reports of potential violations that are made in good faith; and

iv. Notify the Funds’ Chief Compliance Officer promptly if he knows of any violation of this Sarbanes-Oxley Code of Ethics.

b. Failure to take any of the actions specified in Section 6(a) above is itself a violation of this Sarbanes-Oxley Code of Ethics.

c. The Funds’ Chief Compliance Officer is responsible for applying this Sarbanes-Oxley Code of Ethics to specific situations in which questions are presented relating to the Code. The Chief Compliance Officer has the authority to interpret this Sarbanes-Oxley Code of Ethics in any particular situation. However, any waivers sought by the Covered Officer will require prior review and approval by the Funds’ Board.

d. The Funds will follow these procedures in investigating and enforcing this Sarbanes-Oxley Code of Ethics:

i. The Funds’ Chief Compliance Officer (or his designee) will take all appropriate action to investigate any potential violations reported to him;

ii. If, after such investigation, the Funds’ Chief Compliance Officer believes that no violation has occurred, the Chief Compliance Officer is not required to take any further action;

iii. Any matter the Funds’ Chief Compliance Officer believes to be a violation will be reported to the Funds’ Board which will consider appropriate action, which may include review of, and/or appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; and/or a recommendation to dismiss the Covered Officer;

iv. The Funds’ Board will be responsible for granting waivers, as appropriate; and

v. Any changes to, or waivers of this Sarbanes-Oxley Code of Ethics will, to the extent required, be disclosed to the Funds’ Board as provided by SEC rules.

7. This Sarbanes-Oxley Code of Ethics shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder.

Insofar as other policies or procedures of the Funds, the Funds’ adviser, principal underwriter, or other service providers govern or purport to govern the behavior or activities of the Covered Officers who are subject to this Sarbanes-Oxley Code of Ethics, they are superseded by the Sarbanes-Oxley Code of Ethics to the extent that they overlap or conflict with the provisions of this Sarbanes-Oxley Code of Ethics. The Funds’ and their investment adviser’s codes of ethics under Rule 17j-l, under the Investment Company Act, the adviser’s more detailed policies and procedures set forth in the Investment Adviser’s Code of Ethics are separate requirements applying to the Covered Officers and others, and are not part of this Sarbanes-Oxley Code of Ethics.

8. Any amendments to the Sarbanes-Oxley Code of Ethics, other than amendments to the list of Covered Officers, must be approved or ratified by a majority vote of the Funds’ Board, including a majority of independent directors or trustees.

9. All reports and records prepared or maintained pursuant to this Sarbanes-Oxley Code of Ethics will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Sarbanes-Oxley Code of Ethics, such matters shall not be disclosed to anyone.

10. All reports and records maintained under this Sarbanes-Oxley Code of Ethics are intended solely for internal use by the Funds and does not constitute an admission, by or on behalf of any Company, as to any fact, circumstance, or legal conclusion.

EX-99.CERT

EXHIBIT (B)(1)

CERTIFICATIONS

I, Brian S. Shlissel, certify that:

1. I have reviewed this report on Form N-CSR of the JPMorgan Equity Income Fund, JPMorgan Equity Index Fund, JPMorgan Intrepid Mid Cap Fund, JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth & Income Fund, JPMorgan Investor Growth Fund, JPMorgan Large Cap Growth Fund, JPMorgan Large Cap Value Fund, JPMorgan Market Expansion Enhanced Index Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Multi-Cap Market Neutral Fund, JPMorgan Small Cap Growth Fund and JPMorgan Small Cap Value Fund (the “Funds”), each a series of JPMorgan Trust II (the “Registrant”);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report;

4. The Registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provided reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the Funds’ disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d) Disclosed in this report any change in the Funds’ internal control over financial reporting that occurred during the last fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

5. The Registrant’s other certifying officer and I have disclosed to the Funds’ auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds’ ability to record, process, summarize, and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds’ internal control over financial reporting.

Date: September 1, 2016

/s/ Brian S. Shlissel

Brian S. Shlissel

President and Principal Executive Officer

CERTIFICATIONS

I, Laura M. Del Prato, certify that:

1. I have reviewed this report on Form N-CSR of the JPMorgan Equity Income Fund, JPMorgan Equity Index Fund, JPMorgan Intrepid Mid Cap Fund, JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth & Income Fund, JPMorgan Investor Growth Fund, JPMorgan Large Cap Growth Fund, JPMorgan Large Cap Value Fund, JPMorgan Market Expansion Enhanced Index Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Multi-Cap Market Neutral Fund, JPMorgan Small Cap Growth Fund and JPMorgan Small Cap Value Fund (the “Funds”), each a series of JPMorgan Trust II (the “Registrant”);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report;

4. The Registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have:

e) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

f) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provided reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

g) Evaluated the effectiveness of the Funds’ disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

h) Disclosed in this report any change in the Funds’ internal control over financial reporting that occurred during the last fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting; and

5. The Registrant’s other certifying officer and I have disclosed to the Funds’ auditors and the audit committee of the Registrant’s board of directors (or persons performing the equivalent functions):

c) All significant deficiencies and material weakness in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds’ ability to record, process, summarize, and report financial information; and

d) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds’ internal control over financial reporting.

Date: September 1, 2016

/s/ Laura M. Del Prato

Laura M. Del Prato

Treasurer and Principal Financial Officer

EX-99.906CERT

Certification Pursuant to Rule 30a-2(b) under the Investment Company Act of 1940

This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Equity Income Fund, JPMorgan Equity Index Fund, JPMorgan Intrepid Mid Cap Fund, JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth & Income Fund, JPMorgan Investor Growth Fund, JPMorgan Large Cap Growth Fund, JPMorgan Large Cap Value Fund, JPMorgan Market Expansion Enhanced Index Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Multi-Cap Market Neutral Fund, JPMorgan Small Cap Growth Fund and JPMorgan Small Cap Value Fund (the “Funds”), each a series of JPMorgan Trust II (the “Registrant”);

I, Brian S. Shlissel, certify that:

1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Registrant.

/s/ Brian S. Shlissel

Brian S. Shlissel

President and Principal Executive Officer

September 1, 2016

This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.

Certification Pursuant to Rule 30a-2(b) under the Investment Company Act of 1940

This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan Equity Income Fund, JPMorgan Equity Index Fund, JPMorgan Intrepid Mid Cap Fund, JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth & Income Fund, JPMorgan Investor Growth Fund, JPMorgan Large Cap Growth Fund, JPMorgan Large Cap Value Fund, JPMorgan Market Expansion Enhanced Index Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Multi-Cap Market Neutral Fund, JPMorgan Small Cap Growth Fund and JPMorgan Small Cap Value Fund (the “Funds”), each a series of JPMorgan Trust II (the “Registrant”);

I, Laura M. Del Prato, certify that:

1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Registrant.

/s/ Laura M. Del Prato

Laura M. Del Prato

Treasurer and Principal Financial Officer

September 1, 2016

This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.