N-CSR 1 d331996dncsr.htm JPMORGAN TRUST II JPMorgan Trust II
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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)

 

 

Noah D. Greenhill

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, 2017 through June 30, 2018

 

 

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

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

 

 

 

Table of Contents
ITEM 1.

REPORTS TO STOCKHOLDERS.

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

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Annual Report

J.P. Morgan Small Cap Funds

June 30, 2018

JPMorgan Small Cap Blend Fund

(formerly known as 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

LOGO

Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

     

JPMorgan Small Cap Blend Fund (formerly known as JPMorgan Dynamic Small Cap Growth Fund)

        3  

JPMorgan Small Cap Core Fund

        6  

JPMorgan Small Cap Equity Fund

        8  

JPMorgan Small Cap Growth Fund

        10  

JPMorgan Small Cap Value Fund

        12  

JPMorgan U.S. Small Company Fund

        14  
Schedules of Portfolio Investments        16  
Financial Statements        46  
Financial Highlights        62  
Notes to Financial Statements        74  
Report of Independent Registered Public Accounting Firm        84  
Trustees        85  
Officers        88  
Schedule of Shareholder Expenses        89  
Tax Letter        93  
Privacy Policy — Located at the back of this Annual Report     

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

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

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

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CEO’S LETTER

August 1, 2018 (Unaudited)

 

Dear Shareholder,

The U.S. economy largely outpaced growth in other developed market nations during the twelve months ended June 30, 2018, and U.S. equity markets provided strong returns on the back of record corporate profits and historically low interest rates.

 

LOGO   

 

“Corporate earnings for the first and second quarters of 2018 reached record highs, with a sizeable majority of companies reporting better-than-expected results.” — George C.W. Gatch

During the first half of the reporting period, synchronized global economic growth helped the U.S. economy achieve its second-longest expansion on record. By the final months of 2017, U.S. unemployment had fallen to 4.1% and U.S. consumer confidence rose to its highest levels in nearly 17 years. Notably, U.S. equity prices climbed to record highs in every month from June through December and financial market volatility remained at historically low levels. In response to a tightening labor market and early signs of inflationary pressure, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017.

In January 2018, U.S. equity prices continued to rise, aided somewhat by recently-enacted tax cut legislation. The Standard & Poor’s 500 Index (the “S&P 500”) reached fourteen record closing highs during the month, the last on January 26th.

Early February 2018 was marked by a sharp sell-off in both equities and bonds in the U.S., and the selling quickly spread to other financial markets. Stronger-than-expected economic data sparked investor fears of rapidly rising inflation and accelerated interest rate increases by the Fed. Over several days, the S&P 500 lost more than 10% of its value, a decline that was one of the fastest peak-to-trough drops in the history of the index. The sell-off in bonds led to a spike in yields on benchmark 10-year U.S. Treasury bonds that further roiled markets.

While U.S. equity prices had rebounded somewhat by the end of the reporting period, leading equity indexes never fully recovered. Financial market volatility rose sharply during the February sell-off and remained elevated through June 2018.

Meanwhile, the U.S. economy continued to expand in 2018, even as signs emerged of economic sluggishness in Europe and weakness in select emerging market nations. U.S. GDP rose 2.2% in the first quarter before jumping an estimated 4.1% in the second quarter, the largest increase in nearly four years. Corporate earnings for the first and second quarters of 2018 reached record levels, with a sizeable majority of companies reporting better-than-expected results. In response, the Fed raised interest rates again in March and June.

However, the U.S. imposition of import tariffs on billions of dollars’ worth of goods, and reciprocal trade sanctions from China and other leading U.S. trading partners, increasingly weighed on global financial markets in the first half of 2018. The economies of China, Japan, the European Union and the U.K. are more dependent on exports than the U.S., and the impact of a potentially escalating trade war on the global economy remained a concern among policy makers, economists and investors.

At the end of the reporting period, the world’s leading economies appeared to be on pace for continued, moderate growth. The outlook for corporate earnings remained positive amid tame inflationary pressure, historically low interest rates and buoyant consumer demand. While the Fed was further along in its monetary tightening cycle than its counterparts in other developed markets, the European Central Bank, the Bank of England and the Bank of Japan were all moving in some measure to reduce economic stimulus.

We believe that investors who hold a properly diversified portfolio and a long-term outlook may benefit from a largely positive environment for economic growth and financial markets. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         1  

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J.P. Morgan Small Cap Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

Global equity markets provided strong positive returns for the reporting period, with U.S. equities largely outperforming developed market and emerging market equities. Overall, equity prices were supported by synchronized global growth, rising corporate profits and accommodative policies from leading central banks. While the U.S. Federal Reserve raised interest rates twice during the first half of 2018, interest rates remained relatively low by historical standards. The Standard & Poor’s 500 Index (the “S&P 500”) reached record high closings in every month from July 2017 through January 2018.

In early February 2018, both equity and bond prices fell sharply. The S&P 500 lost more than 10% of its value over nine trading sessions and yields on 10-year U.S. Treasury bonds, which serve as a benchmark for a broad range of financial assets, spiked higher. While equity markets rebounded somewhat in subsequent weeks, financial market volatility remained elevated through June 2018.

Overall, growth stocks generally outperformed value stocks and small cap stocks outperformed large cap and mid cap stocks. For the twelve months ended June 30, 2018, the S&P 500 returned 14.37% and the Russell 2000 returned 17.57%.

 

 
2       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

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JPMorgan Small Cap Blend Fund

(formerly known as JPMorgan Dynamic Small Cap Growth Fund)1

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      35.50%  
Russell 2000 Index2      17.57%  
Russell 2000 Growth Index      21.86%  
Net Assets as of 6/30/2018 (In Thousands)    $ 218,757  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class A Shares, without a sales charge, outperformed both the Russell 2000 Index (the “New Benchmark”) and the Russell 2000 Growth Index (the “Old Benchmark”) for the twelve months ended June 30, 2018.

Relative to the New Benchmark, the Fund’s security selection and overweight positions in the information technology and health care sectors were leading contributors to performance, while the Fund’s security selection in the energy and materials sectors was a leading detractor from relative performance.

Relative to the Old Benchmark, the Fund’s security selection in the health care and information technology sectors was a leading contributor to performance, while the Fund’s security selection in the energy and consumer staples sectors made the smallest contribution to relative performance.

Leading individual contributors to performance relative to both the New Benchmark and the Old Benchmark included the Fund’s overweight positions in Nektar Therapeutics, GrubHub Inc. and Nutanix Inc. Shares of Nektar Therapeutics, a developer of biopharmaceutical drugs, rose after the company reported positive data from a clinical trial of its melanoma treatment and announced a partnership with Bristol-Myers Squibb Co. Shares of GrubHub, an online food delivery and

take-out service, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2018 and announced a partnership with Yum Brands Inc. Shares of Nutanix, a provider of cloud computing storage, rose on accelerated revenue growth.

Leading individual detractors from performance relative to both the New Benchmark and the Old Benchmark included the Fund’s overweight positions in Macom Technology Solutions Holdings Inc., GenMark Diagnostics Inc. and E.L.F. Beauty Inc. Shares of Macom Technology Solutions Holdings, a semiconductor manufacturer, fell after the company reported lower-than-expected earnings and revenue for its fiscal quarter ended December 31, 2017. Shares of GenMark Diagnostics, a medical testing provider, fell after the company reported a loss for the first quarter of 2018. Shares of E.L.F. Beauty, a cosmetics and skin care company, fell amid a slowdown in revenue growth.

HOW WAS THE FUND POSITIONED?

Prior to June 1, 2018, 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. With the effectiveness of the investment strategy change, the portfolio managers positioned the Fund to invest in small cap companies across both growth and value styles.

 

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         3  

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JPMorgan Small Cap Blend Fund

(formerly known as JPMorgan Dynamic Small Cap Growth Fund)1

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Performance Food Group Co.      1.1 % 
  2.      Teladoc, Inc.      1.1  
  3.      Ollie’s Bargain Outlet Holdings, Inc.      1.0  
  4.      Boyd Gaming Corp.      1.0  
  5.      Envestnet, Inc.      1.0  
  6.      Entegris, Inc.      1.0  
  7.      Saia, Inc.      1.0  
  8.      Advanced Disposal Services, Inc.      1.0  
  9.      Evercore, Inc., Class A      1.0  
  10.      HubSpot, Inc.      0.9  

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      19.2 % 
Industrials      17.1
Health Care      16.4
Consumer Discretionary      16.1
Financials      12.6
Real Estate      4.5
Materials      3.5
Energy      3.2
Utilities      2.4
Consumer Staples      2.3
Telecommunication Services      0.3  
Short-Term Investments      2.4  

 

1    

On June 1, 2018, the Fund changed its name and revised its investment strategy to invest in a portfolio of small cap companies across both growth and value styles. Previously, the Fund’s strategy was to invest in a portfolio of small cap growth companies.

2   

On June 1, 2018, the Fund adopted the Russell 2000 Index as its primary benchmark to better reflect the Fund’s new strategy.

*   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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

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JPMorgan Small Cap Blend Fund

(formerly known as JPMorgan Dynamic Small Cap Growth Fund)

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    May 19, 1997               

With Sales Charge*

           28.39 %         14.72 %         11.11 % 

Without Sales Charge

           35.50        15.97        11.71

CLASS C SHARES

    January 7, 1998               

With CDSC**

           33.82        15.38        11.12

Without CDSC

           34.82        15.38        11.12

CLASS I SHARES

    April 5, 1999        35.82        16.26        12.06

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Effective June 1, 2018 (“the Effective Date”), the Fund’s investment strategies changed. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this date might be less relevant for investors considering whether to purchase shares of the Fund. On the Effective Date, the Fund’s benchmark changed from the Russell 2000 Growth Index to the Russell 2000 Index because the adviser believes that the Russell 2000 Index is a more appropriate comparison in light of the Fund’s new name and investment strategies.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Blend Fund, the Russell 2000 Index, the Russell 2000 Growth Index and the Lipper Small-Cap Core Funds Index from June 30, 2008 to June 30, 2018. 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 and Russell 2000 Growth Indexes do 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 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 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. 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, 2018   J.P. MORGAN SMALL CAP FUNDS         5  

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JPMorgan Small Cap Core Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class R5 Shares)*      18.85%  
Russell 2000 Index      17.57%  
Net Assets as of 6/30/2018 (In Thousands)    $ 313,820  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class R5 Shares outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the industrial cyclical and pharmaceutical sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the retail and utilities sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Insperity Inc., ArcBest Corp. and General Cable Co. Shares of Insperity, a provider of employee administrative services, rose after the company reported better-than-expected revenue for the fourth quarter of 2017. Shares of ArcBest, a freight transportation provider, rose on continued earnings growth. Shares of General Cable, a maker of electrical and fiber-optic cable, rose after the company agreed to a $3 billion takeover offer from Prysmian SpA.

Leading individual detractors from relative performance included the Fund’s overweight positions in Office Depot Inc., Spark Energy Inc. and TiVo Corp. Shares of Office Depot, an office products retail chain, fell in the first half of the reporting period after the company forecast a drop in 2017 sales due to store closures and the impact of hurricanes. Shares of Spark Energy, an electricity and natural gas utility, fell due to the impact of bad weather, including Hurricane Harvey, which hurt the company’s financial results. Shares of TiVo, a provider of entertainment technology and software, fell amid investor concerns about the company’s patent infringement litigation against Comcast Corp.

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.      Haemonetics Corp.      1.2 % 
  2.      Insperity, Inc.      1.2  
  3.      Delek US Holdings, Inc.      1.1  
  4.      Trinseo SA      1.1  
  5.      Molina Healthcare, Inc.      1.0  
  6.      Tech Data Corp.      1.0  
  7.      Integer Holdings Corp.      1.0  
  8.      Bank of NT Butterfield & Son Ltd. (The) (Bermuda)      0.9  
  9.      Travelport Worldwide Ltd.      0.9  
  10.      FirstCash, Inc.      0.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Industrials      17.2 % 
Financials      16.5
Health Care      15.9
Information Technology      14.9
Consumer Discretionary      11.6
Real Estate      6.2
Energy      5.2
Materials      4.1
Utilities      2.7
Consumer Staples      1.9
Telecommunication Services      0.2  
Short-Term Investments      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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
6       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

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JPMorgan Small Cap Core Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    May 31, 2016               

With Sales Charge*

           12.10 %        12.19 %        10.57 %

Without Sales Charge

           18.31        13.41        11.17

CLASS C SHARES

    May 31, 2016               

With CDSC**

           16.71        13.17        11.05

Without CDSC

           17.71        13.17        11.05

CLASS I SHARES

    January 3, 2017        18.60        13.55        11.24

CLASS R2 SHARES

    July 31, 2017        18.00        12.83        10.50

CLASS R3 SHARES

    July 31, 2017        18.30        13.11        10.78

CLASS R4 SHARES

    July 31, 2017        18.60          13.39          11.05  

CLASS R5 SHARES

    January 1, 1997        18.85        13.62        11.27

CLASS R6 SHARES

    May 31, 2016        18.89        13.65        11.29

 

*   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.

TEN YEAR PERFORMANCE (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Returns for Class A, Class C, Class I, Class R2, Class R3, Class R4 and Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns of Class A, Class C, Class I, Class R2, Class R3 and Class R4 Shares would have been lower than those shown because these Share Classes have higher expenses than Class R5 Shares. The actual returns of the Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.

The graph illustrates comparative performance for $10,000 invested in Class R5 Shares of the JPMorgan Small Cap Core Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2008 to June 30, 2018. 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.

Class R5 Shares have no minimum initial investment.

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

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

 

 

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         7  

Table of Contents

JPMorgan Small Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

Reporting Period Return:        
Fund (Class A Shares, without a sales charge)*      14.33%  
Russell 2000 Index      17.57%  
Net Assets as of 6/30/2018 (In Thousands)    $ 6,828,239  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class A Shares, without a sales charge, underperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the consumer discretionary sector and its security selection and underweight position in the health care sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the financial services and technology sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Spectrum Brands Holdings Inc., Toro Co. and ProAssurance Corp. Shares of Spectrum Brands, a consumer products maker that was not held in the Benchmark, fell after the company reported lower-than-expected earnings for four consecutive quarters and announced the resignation of its chief executive officer. Shares of Toro, a maker of landscaping and irrigation products that was not held in the Benchmark, fell amid weakness in sales. Shares of ProAssurance, a property and casualty insurer, fell after the company reported weaker-than-expected earnings for the first quarter of 2018.

Leading individual contributors to relative performance included the Fund’s overweight positions in GrubHub Inc., Cabot Microelectronics Corp. and Splunk Inc. Shares of GrubHub, an online food delivery and take-out service, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2018, and announced a partnership with Yum Brands Inc. Shares of Cabot Microelectronics, a maker of semiconductor manufacturing materials, rose after the company reported positive quarterly earnings and revenue, driven by news products and increased demand from key customers. Shares of Splunk, a cloud computer software provider that was not held in the Benchmark, rose after the company reported earnings growth and increased licensing revenue.

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.      Pool Corp.      2.3 % 
  2.      AptarGroup, Inc.      2.2  
  3.      Toro Co. (The)      2.1  
  4.      Performance Food Group Co.      1.9  
  5.      Encompass Health Corp.      1.8  
  6.      West Pharmaceutical Services, Inc.      1.7  
  7.      Cabot Microelectronics Corp.      1.6  
  8.      Catalent, Inc.      1.5  
  9.      National Retail Properties, Inc.      1.5  
  10.      Brunswick Corp.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Industrials      18.3 % 
Financials      15.6
Health Care      13.1
Information Technology      13.0
Consumer Discretionary      11.7
Materials      6.5
Real Estate      6.4
Energy      3.8
Consumer Staples      2.7
Utilities      2.4
Investment Funds      1.3
Short-Term Investments      5.2  

 

*   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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
8       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Small Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    December 20, 1994               

With Sales Charge*

           8.34 %         11.76 %         11.93 % 

Without Sales Charge

           14.33        12.97        12.53

CLASS C SHARES

    February 19, 2005               

With CDSC**

           12.76        12.41        11.97

Without CDSC

           13.76        12.41        11.97

CLASS I SHARES

    May 7, 1996        14.64        13.30        12.86

CLASS R2 SHARES

    November 3, 2008        14.04        12.69        12.26

CLASS R3 SHARES

    September 9, 2016        14.35        12.98        12.54

CLASS R4 SHARES

    September 9, 2016        14.61        13.30        12.86

CLASS R5 SHARES

    May 15, 2006        14.83        13.53        13.09

CLASS R6 SHARES

    May 31, 2016        14.89        13.55        13.10

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Returns for Class R2 and Class R3 Shares prior to their inception 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 actual returns of Class R3 Shares would have been different than those shown because Class R3 Shares had different expenses than Class A Shares at time of launch.

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Equity Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2008 to June 30, 2018.

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. 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, 2018   J.P. MORGAN SMALL CAP FUNDS         9  

Table of Contents

JPMorgan Small Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

 

 

Reporting Period Return:  
Fund (Class A Shares, without a sales charge)*      35.07%  
Russell 2000 Growth Index      21.86%  
Net Assets as of 6/30/2018 (In Thousands)    $ 2,189,912  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class A Shares, without a sales charge, outperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection and overweight position in the technology sector and its security selection in the health care sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the energy sector was the sole sector detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Nektar Therapeutics, GrubHub Inc. and Nutanix Inc. Shares of Nektar Therapeutics, a developer of biopharmaceutical drugs, rose after the company reported positive data from a clinical trial of its melanoma treatment and announced a partnership with Bristol-Myers Squibb Co. Shares of GrubHub, an online food delivery and take-out service, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2018, and announced a partnership with Yum Brands Inc. Shares of Nutanix, a provider of cloud computing storage, rose on accelerated revenue growth.

Leading individual detractors from relative performance included the Fund’s overweight positions in GenMark Diagnostics Inc., Macom Technology Solutions Holdings Inc. and E.L.F. Beauty Inc. Shares of GenMark Diagnostics, a medical testing provider, fell after the company reported a loss for the first quarter of 2018. Shares of Macom Technology Solutions Holdings, a semiconductor manufacturer, fell after the company reported lower-than-expected earnings and revenue for its fiscal first quarter ended December 31, 2017. Shares of E.L.F. Beauty, a cosmetics and skin care company, fell amid a slowdown in revenue 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 portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Performance Food Group Co.      1.8 % 
  2.      Teladoc, Inc.      1.7  
  3.      Ollie’s Bargain Outlet Holdings, Inc.      1.6  
  4.      Boyd Gaming Corp.      1.6  
  5.      Envestnet, Inc.      1.6  
  6.      Entegris, Inc.      1.6  
  7.      Saia, Inc.      1.6  
  8.      Advanced Disposal Services, Inc.      1.5  
  9.      Evercore, Inc., Class A      1.5  
  10.      HubSpot, Inc.      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      24.7 % 
Health Care      23.7
Industrials      17.8
Consumer Discretionary      17.5
Financials      5.1
Materials      3.0
Consumer Staples      2.6
Real Estate      1.6
Energy      1.6
Short-Term Investments      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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
10       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Small Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    July 1, 1991               

With Sales Charge*

           27.98 %         14.69 %         12.42 % 

Without Sales Charge

           35.07        15.93        13.03

CLASS C SHARES

    November 4, 1997               

With CDSC**

           33.46        15.35        12.43

Without CDSC

           34.46        15.35        12.43

CLASS I SHARES

    March 26, 1996        35.47        16.21        13.31

CLASS L SHARES

    February 19, 2005        35.58        16.40        13.46

CLASS R2 SHARES

    November 3, 2008        34.68        15.63        12.74

CLASS R3 SHARES

    July 31, 2017        35.07        15.93        13.03

CLASS R4 SHARES

    July 31, 2017        35.40        16.20        13.30

CLASS R5 SHARES

    September 9, 2016        35.58        16.40        13.46

CLASS R6 SHARES

    November 30, 2010        35.73        16.51        13.55

 

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

TEN YEAR PERFORMANCE (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Returns for Class R2 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 R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R3 Shares would be similar to those shown because Class R3 Shares have similar expenses to Class A Shares. Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R4 Shares would be similar to those shown because Class R4 Shares have similar expenses to Class I Shares.

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Growth Fund, the Russell 2000 Growth Index and the Lipper Small-Cap Growth Funds Index from June 30, 2008 to June 30,

2018. 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. 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, 2018   J.P. MORGAN SMALL CAP FUNDS         11  

Table of Contents

JPMorgan Small Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      11.70%  
Russell 2000 Value Index      13.10%  
Net Assets as of 6/30/2018 (In Thousands)    $ 1,928,282  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares underperformed the Russell 2000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the pharmaceutical and health services & systems sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the energy and consumer cyclical sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Community Health Systems Inc., Versartis Inc. and Otonomy Inc. Shares of Community Health Systems, a hospitals operator, fell amid investor concerns about the company’s debt payments and weak cash flow. Shares of Versartis, a drug development company, fell early in the reporting period after the company reported its growth hormone drug failed a late-stage clinical trial. Shares of Otonomy, a drug development company, fell early in the reporting period after the company reported its steroid drug candidate failed a late-stage clinical trial.

Leading individual contributors to relative performance included the Fund’s overweight positions in Dillard’s Inc., Take-Two Interactive Software Inc. and Denbury Resources Inc. Shares of Dillard’s, a department store chain, rose after the company reported better-than-expected earnings for the first quarter of 2018. Shares of Take-Two Interactive Software, a videogame publisher not held in the Benchmark, rose amid investor expectations of rising consumer demand for online games and entertainment. Shares of Denbury Resources, a petroleum and natural gas producer, rose as prices for petroleum rose faster than prices for other energy commodities during the reporting period.

HOW WAS THE FUND POSITIONED?

In accordance with Fund’s investment process, its 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.      NetScout Systems, Inc.      1.3 % 
  2.      Dillard’s, Inc., Class A      1.2  
  3.      FTI Consulting, Inc.      1.2  
  4.      Pinnacle Entertainment, Inc.      1.0  
  5.      KB Home      1.0  
  6.      Vishay Intertechnology, Inc.      1.0  
  7.      Convergys Corp.      1.0  
  8.      EMCOR Group, Inc.      1.0  
  9.      ACCO Brands Corp.      1.0  
  10.      Westamerica Bancorp      0.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      27.4 % 
Consumer Discretionary      12.6
Industrials      12.1
Information Technology      11.3
Real Estate      10.3
Energy      6.6
Health Care      6.4
Utilities      5.8
Materials      4.4
Consumer Staples      1.3
Telecommunication Services      0.5  
Short-Term Investments      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 investments as of June 30, 2018. The Fund’s portfolio composition is subject to change.

 

 

 
12       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Small Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    January 27, 1995               

With Sales Charge*

           5.55 %         8.44 %         8.90 % 

Without Sales Charge

           11.41        9.62        9.49

CLASS C SHARES

    March 22, 1999               

With CDSC**

           9.84        8.97        8.83

Without CDSC

           10.84        8.97        8.83

CLASS I SHARES

    January 27, 1995        11.70        9.90        9.76

CLASS R2 SHARES

    November 3, 2008        11.08        9.33        9.20

CLASS R3 SHARES

    September 9, 2016        11.42        9.61        9.47

CLASS R4 SHARES

    September 9, 2016        11.65        9.87        9.73

CLASS R5 SHARES

    May 15, 2006        11.85        10.01        9.87

CLASS R6 SHARES

    February 22, 2005        11.97        10.13        9.95

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Returns for Class R2 and Class R4 Shares prior to their inception date are based on the performance of the Class I Shares. Returns for the Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. Prior performance for Class R2, Class R3 and Class R4 Shares has been adjusted to reflect the differences in expenses between classes.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Small Cap Value Fund, the Russell 2000 Value Index and the Lipper Small-Cap Value Funds Index from June 30, 2008 to June 30, 2018. 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.

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

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

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

 

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         13  

Table of Contents

JPMorgan U.S. Small Company Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)*      15.84%  
Russell 2000 Index      17.57%  
Net Assets as of 6/30/2018 (In Thousands)    $ 1,778,846  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class L Shares underperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the telecommunications and health services & systems sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the pharmaceutical and energy sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Xperi Corp., Versartis Inc. and Tivity Health Inc. Shares of Xperi, a technology licensing and intellectual property vendor, fell amid litigation and acquisitions costs. Shares of Versartis, a drug development company, fell early in the reporting period after the company reported its growth hormone drug failed a late-stage clinical trial. Shares of Tivity, a provider of health care and fitness programs, fell amid increasing competition in the health benefits sector.

Leading individual contributors to relative performance included the Fund’s overweight positions in MyoKardia Inc., Pinnacle Entertainment Inc. and Solid Biosciences Inc. Shares of MyoKardia, a drug development company, rose as the company reported proceeding to late-stage clinical trials for its heart disease drug. Shares of Pinnacle Entertainment, a casino and gaming company, rose after the company agreed to be acquired by Penn National Gaming Inc. Shares of Solid Biosciences, a developer of treatments for muscular dystrophy, rose after U.S. regulators lifted their suspension of a gene therapy clinical trial.

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 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.      NetScout Systems, Inc.      1.4 % 
  2.      EMCOR Group, Inc.      1.3  
  3.      Pinnacle Entertainment, Inc.      1.2  
  4.      Aspen Technology, Inc.      1.2  
  5.      Banner Corp.      1.1  
  6.      Molina Healthcare, Inc.      1.1  
  7.      Tenet Healthcare Corp.      1.0  
  8.      Bloomin’ Brands, Inc.      1.0  
  9.      ACCO Brands Corp.      0.9  
  10.      Barrett Business Services, Inc.      0.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Health Care      17.3 % 
Information Technology      17.1
Financials      15.6
Consumer Discretionary      14.4
Industrials      13.6
Real Estate      5.3
Energy      4.5
Materials      3.2
Utilities      2.8
Consumer Staples      1.9
Telecommunication Services      0.6  
Short-Term Investments      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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
14       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan U.S. Small Company Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    November 1, 2007               

With Sales Charge*

           9.36 %         10.67 %         10.44 % 

Without Sales Charge

           15.41        11.88        11.04

CLASS C SHARES

    November 1, 2007               

With CDSC**

           13.79        11.33        10.49

Without CDSC

           14.79        11.33        10.49

CLASS I SHARES

    September 10, 2001        15.67        12.16        11.33

CLASS L SHARES

    November 4, 1993        15.84        12.35        11.52

CLASS R2 SHARES

    November 1, 2011        15.07        11.60        10.86

CLASS R3 SHARES

    September 9, 2016        15.43        11.88        11.04

CLASS R4 SHARES

    September 9, 2016        15.68        12.16        11.34

CLASS R5 SHARES

    September 9, 2016        15.84        12.34        11.51

CLASS R6 SHARES

    November 1, 2011        15.94        12.45        11.58

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

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

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

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Small Company Fund, the Russell 2000

Index and the Lipper Small-Cap Core Funds Index from June 30, 2008 to June 30, 2018. 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.

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

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

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

 

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         15  

Table of Contents

JPMorgan Small Cap Blend Fund

(formerly known as JPMorgan Dynamic Small Cap Growth Fund)

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.9%

     

Aerospace & Defense — 1.5%

 

Curtiss-Wright Corp.

     2        267  

HEICO Corp.

     22        1,584  

Hexcel Corp.

     17        1,108  

National Presto Industries, Inc.

     3        389  
    

 

 

  
       3,348  
    

 

 

  

Auto Components — 0.6%

     

Cooper-Standard Holdings, Inc.*

     5        644  

LCI Industries

     3        283  

Tower International, Inc.

     14        442  
    

 

 

  
       1,369  
    

 

 

  

Automobiles — 0.4%

     

Winnebago Industries, Inc.

     22        879  
    

 

 

  

Banks — 7.4%

     

1st Source Corp.

     15        790  

BancFirst Corp.

     7        424  

Bank of the Ozarks, Inc.

     15        657  

Camden National Corp.

     18        819  

City Holding Co.

     7        512  

Community Trust Bancorp, Inc.

     18        918  

First Busey Corp.

     26        810  

First Commonwealth Financial Corp.

     59        917  

First Financial Bancorp

     22        687  

First Merchants Corp.

     13        582  

Heritage Commerce Corp.

     30        510  

Heritage Financial Corp.

     25        857  

Independent Bank Corp.

     5        422  

Independent Bank Corp.

     15        377  

Lakeland Bancorp, Inc.

     21        418  

Mercantile Bank Corp.

     12        431  

NBT Bancorp, Inc.

     11        427  

Park National Corp.

     6        648  

S&T Bancorp, Inc.

     20        872  

Sandy Spring Bancorp, Inc.

     20        808  

Signature Bank*

     3        433  

Texas Capital Bancshares, Inc.*

     19        1,766  

Tompkins Financial Corp.

     6        538  

Trustmark Corp.

     17        555  
    

 

 

  
       16,178  
    

 

 

  

Beverages — 0.3%

     

Boston Beer Co., Inc. (The), Class A*

     2        551  
    

 

 

  

Biotechnology — 6.6%

     

ACADIA Pharmaceuticals, Inc.*

     14        218  

Adverum Biotechnologies, Inc.*

     88        465  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Biotechnology — continued

     

Atara Biotherapeutics, Inc.*

     21        764  

Avrobio, Inc.*

     12        346  

Bellicum Pharmaceuticals, Inc.*

     60        442  

Biohaven Pharmaceutical Holding Co. Ltd.*

     28        1,121  

Clementia Pharmaceuticals, Inc. (Canada)*

     33        432  

Clovis Oncology, Inc.*

     6        268  

Coherus Biosciences, Inc.*

     30        417  

Exact Sciences Corp.*

     10        620  

FibroGen, Inc.*

     20        1,282  

G1 Therapeutics, Inc.*

     17        733  

Global Blood Therapeutics, Inc.*

     6        275  

Halozyme Therapeutics, Inc.*

     65        1,095  

Homology Medicines, Inc.*

     46        936  

Insmed, Inc.*

     9        214  

Neurocrine Biosciences, Inc.*

     8        749  

Portola Pharmaceuticals, Inc.*

     13        476  

REGENXBIO, Inc.*

     20        1,407  

Sage Therapeutics, Inc.*

     4        692  

Spark Therapeutics, Inc.*

     17        1,372  
    

 

 

  
       14,324  
    

 

 

  

Building Products — 3.6%

     

Advanced Drainage Systems, Inc.

     56        1,588  

American Woodmark Corp.*

     4        369  

CSW Industrials, Inc.*

     7        375  

Lennox International, Inc.

     7        1,417  

Masonite International Corp.*

     14        1,031  

Simpson Manufacturing Co., Inc.

     8        474  

Trex Co., Inc.*

     32        2,015  

Universal Forest Products, Inc.

     13        492  
    

 

 

  
       7,761  
    

 

 

  

Capital Markets — 1.8%

     

Evercore, Inc., Class A

     20        2,102  

Financial Engines, Inc.

     7        313  

LPL Financial Holdings, Inc.

     11        734  

PennantPark Investment Corp.

     87        607  

WisdomTree Investments, Inc.

     30        276  
    

 

 

  
       4,032  
    

 

 

  

Chemicals — 2.1%

     

Ferro Corp.*

     77        1,604  

Innophos Holdings, Inc.

     12        576  

Innospec, Inc.

     8        617  

Quaker Chemical Corp.

     4        542  

Sensient Technologies Corp.

     8        593  

Stepan Co.

     7        577  
    

 

 

  
       4,509  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Commercial Services & Supplies — 2.1%

     

Advanced Disposal Services, Inc.*

     86        2,141  

Brady Corp., Class A

     10        380  

Deluxe Corp.

     9        593  

Kimball International, Inc., Class B

     22        347  

UniFirst Corp.

     4        793  

VSE Corp.

     7        343  
    

 

 

  
       4,597  
    

 

 

  

Communications Equipment — 1.1%

     

Ciena Corp.*

     26        700  

NETGEAR, Inc.*

     11        700  

Quantenna Communications, Inc.*

     63        986  
    

 

 

  
       2,386  
    

 

 

  

Construction & Engineering — 0.2%

     

Comfort Systems USA, Inc.

     10        462  
    

 

 

  

Construction Materials — 1.2%

     

Eagle Materials, Inc.

     9        927  

Summit Materials, Inc., Class A*

     62        1,621  
    

 

 

  
       2,548  
    

 

 

  

Distributors — 0.6%

     

Pool Corp.

     9        1,351  
    

 

 

  

Diversified Consumer Services — 0.8%

     

Bright Horizons Family Solutions, Inc.*

     17        1,784  
    

 

 

  

Diversified Telecommunication Services — 0.3%

     

Cincinnati Bell, Inc.*

     44        694  
    

 

 

  

Electric Utilities — 0.6%

     

El Paso Electric Co.

     10        589  

Portland General Electric Co.

     18        761  
    

 

 

  
       1,350  
    

 

 

  

Electrical Equipment — 0.2%

     

EnerSys

     7        502  
    

 

 

  

Electronic Equipment, Instruments & Components — 2.4%

 

   

Belden, Inc.

     4        246  

CTS Corp.

     20        703  

ePlus, Inc.*

     6        603  

Littelfuse, Inc.

     8        1,756  

Plexus Corp.*

     9        534  

SYNNEX Corp.

     8        757  

Tech Data Corp.*

     8        681  
    

 

 

  
       5,280  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Energy Equipment & Services — 0.2%

     

Forum Energy Technologies, Inc.*

     40        498  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 4.1%

 

   

American Campus Communities, Inc.

     15        634  

American Homes 4 Rent, Class A

     30        656  

Brixmor Property Group, Inc.

     36        624  

CubeSmart

     20        648  

Equity Commonwealth*

     19        605  

Gramercy Property Trust

     12        337  

Highwoods Properties, Inc.

     26        1,323  

JBG SMITH Properties

     17        609  

Rayonier, Inc.

     17        646  

Rexford Industrial Realty, Inc.

     18        562  

RLJ Lodging Trust

     31        692  

Sunstone Hotel Investors, Inc.

     43        707  

Terreno Realty Corp.

     10        377  

Washington

     19        582  
    

 

 

  
       9,002  
    

 

 

  

Food & Staples Retailing — 1.1%

     

Performance Food Group Co.*

     68        2,486  
    

 

 

  

Food Products — 0.7%

     

Freshpet, Inc.*

     44        1,205  

John B Sanfilippo & Son, Inc.

     5        401  
    

 

 

  
       1,606  
    

 

 

  

Gas Utilities — 0.9%

     

Chesapeake Utilities Corp.

     8        600  

ONE Gas, Inc.

     10        777  

Southwest Gas Holdings, Inc.

     9        649  
    

 

 

  
       2,026  
    

 

 

  

Health Care Equipment & Supplies — 3.1%

     

GenMark Diagnostics, Inc.*

     106        676  

Insulet Corp.*

     15        1,264  

iRhythm Technologies, Inc.*

     17        1,370  

K2M Group Holdings, Inc.*

     50        1,133  

Nevro Corp.*

     18        1,423  

TransEnterix, Inc.*

     108        469  

Varex Imaging Corp.*

     9        349  
    

 

 

  
       6,684  
    

 

 

  

Health Care Providers & Services — 2.4%

     

Acadia Healthcare Co., Inc.*

     30        1,211  

Amedisys, Inc.*

     16        1,386  

Encompass Health Corp.

     10        698  

Ensign Group, Inc. (The)

     9        337  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         17  

Table of Contents

JPMorgan Small Cap Blend Fund

(formerly known as JPMorgan Dynamic Small Cap Growth Fund)

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Health Care Providers & Services — continued

     

Providence Service Corp. (The)*

     5        385  

Tivity Health, Inc.*

     10        363  

WellCare Health Plans, Inc.*

     4        961  
    

 

 

  
       5,341  
    

 

 

  

Health Care Technology — 1.7%

     

Evolent Health, Inc., Class A*

     63        1,330  

Teladoc, Inc.*

     40        2,324  
    

 

 

  
       3,654  
    

 

 

  

Hotels, Restaurants & Leisure — 3.1%

     

Boyd Gaming Corp.

     65        2,243  

Cheesecake Factory, Inc. (The)

     11        592  

Cracker Barrel Old Country Store, Inc.

     4        595  

Jack in the Box, Inc.

     5        420  

Red Rock Resorts, Inc., Class A

     21        697  

Ruth’s Hospitality Group, Inc.

     12        345  

Sonic Corp.

     8        282  

Texas Roadhouse, Inc.

     23        1,520  
    

 

 

  
       6,694  
    

 

 

  

Household Durables — 0.8%

     

Helen of Troy Ltd.*

     8        794  

TRI Pointe Group, Inc.*

     57        937  
    

 

 

  
       1,731  
    

 

 

  

Insurance — 1.2%

     

Argo Group International Holdings Ltd.

     2        145  

James River Group Holdings Ltd.

     6        229  

Old Republic International Corp.

     27        535  

Safety Insurance Group, Inc.

     5        459  

Selective Insurance Group, Inc.

     14        764  

Third Point Reinsurance Ltd. (Bermuda)*

     36        448  
    

 

 

  
       2,580  
    

 

 

  

Internet & Direct Marketing Retail — 1.0%

     

Groupon, Inc.*

     254        1,091  

Wayfair, Inc., Class A*

     10        1,192  
    

 

 

  
       2,283  
    

 

 

  

Internet Software & Services — 4.4%

     

2U, Inc.*

     17        1,393  

Cloudera, Inc.*

     74        1,012  

DocuSign, Inc.*

     11        586  

Envestnet, Inc.*

     40        2,217  

GrubHub, Inc.*

     6        580  

Instructure, Inc.*

     33        1,391  

Nutanix, Inc., Class A*

     16        841  

Okta, Inc.*

     30        1,504  
    

 

 

  
       9,524  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

IT Services — 1.0%

     

CSG Systems International, Inc.

     14        589  

MAXIMUS, Inc.

     10        598  

Science Applications International Corp.

     8        652  

Sykes Enterprises, Inc.*

     15        438  
    

 

 

  
       2,277  
    

 

 

  

Leisure Products — 0.2%

     

Callaway Golf Co.

     27        510  
    

 

 

  

Machinery — 4.7%

     

Alamo Group, Inc.

     7        607  

Barnes Group, Inc.

     8        449  

Blue Bird Corp.*

     13        301  

Crane Co.

     7        539  

Evoqua Water Technologies Corp.*

     44        904  

Graco, Inc.

     28        1,261  

Hillenbrand, Inc.

     8        399  

ITT, Inc.

     27        1,416  

John Bean Technologies Corp.

     17        1,489  

Kadant, Inc.

     4        388  

Mueller Industries, Inc.

     17        502  

Oshkosh Corp.

     19        1,346  

Standex International Corp.

     4        458  

Woodward, Inc.

     4        269  
    

 

 

  
       10,328  
    

 

 

  

Marine — 0.5%

     

Kirby Corp.*

     14        1,161  
    

 

 

  

Media — 2.2%

     

AMC Networks, Inc., Class A*

     7        435  

Cable One, Inc.

     1        396  

Cinemark Holdings, Inc.

     12        432  

Emerald Expositions Events, Inc.

     15        317  

Entercom Communications Corp., Class A

     48        361  

Hemisphere Media Group, Inc.*

     28        370  

John Wiley & Sons, Inc., Class A

     7        449  

MSG Networks, Inc., Class A*

     17        402  

World Wrestling Entertainment, Inc., Class A

     21        1,537  
    

 

 

  
       4,699  
    

 

 

  

Multiline Retail — 1.3%

     

Big Lots, Inc.

     11        443  

Ollie’s Bargain Outlet Holdings, Inc.*

     32        2,298  
    

 

 

  
       2,741  
    

 

 

  

Multi-Utilities — 0.3%

     

Unitil Corp.

     12        595  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Oil, Gas & Consumable Fuels — 3.0%

     

Antero Midstream GP LP

     32        600  

Callon Petroleum Co.*

     53        571  

Centennial Resource Development, Inc., Class A*

     26        464  

CNX Resources Corp.*

     30        525  

Delek US Holdings, Inc.

     15        764  

Jagged Peak Energy, Inc.*

     58        759  

Matador Resources Co.*

     17        525  

PDC Energy, Inc.*

     6        352  

Peabody Energy Corp.

     7        306  

RSP Permian, Inc.*

     13        556  

SemGroup Corp., Class A

     24        604  

WildHorse Resource Development Corp.*

     22        568  
    

 

 

  
       6,594  
    

 

 

  

Paper & Forest Products — 0.3%

     

Neenah, Inc.

     7        552  
    

 

 

  

Personal Products — 0.2%

     

Inter Parfums, Inc.

     9        455  
    

 

 

  

Pharmaceuticals — 2.8%

     

Horizon Pharma plc*

     73        1,210  

Nektar Therapeutics*

     10        499  

Optinose, Inc.*

     42        1,164  

Prestige Brands Holdings, Inc.*

     10        395  

Revance Therapeutics, Inc.*

     36        987  

TherapeuticsMD, Inc.*

     175        1,094  

Tricida, Inc.*

     23        680  
    

 

 

  
       6,029  
    

 

 

  

Professional Services — 0.4%

     

Insperity, Inc.

     5        469  

Korn/Ferry International

     8        474  
    

 

 

  
       943  
    

 

 

  

Real Estate Management & Development — 0.4%

     

RE/MAX Holdings, Inc., Class A

     18        923  
    

 

 

  

Road & Rail — 1.3%

     

Marten Transport Ltd.

     27        630  

Saia, Inc.*

     27        2,184  
    

 

 

  
       2,814  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.5%

 

Cabot Microelectronics Corp.

     6        636  

Entegris, Inc.

     65        2,203  

Inphi Corp.*

     54        1,757  

MKS Instruments, Inc.

     16        1,530  

Monolithic Power Systems, Inc.

     12        1,621  
    

 

 

  
       7,747  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Software — 6.8%

     

Domo, Inc., Class B*

     18        491  

Guidewire Software, Inc.*

     7        664  

HubSpot, Inc.*

     16        2,036  

Paycom Software, Inc.*

     16        1,594  

Pluralsight, Inc., Class A*

     39        959  

Progress Software Corp.

     10        400  

Proofpoint, Inc.*

     14        1,579  

RingCentral, Inc., Class A*

     22        1,521  

SailPoint Technologies Holding, Inc.*

     67        1,655  

Smartsheet, Inc., Class A*

     28        714  

Tyler Technologies, Inc.*

     4        999  

Zendesk, Inc.*

     31        1,678  

Zscaler, Inc.*

     19        665  
    

 

 

  
       14,955  
    

 

 

  

Specialty Retail — 3.5%

     

Burlington Stores, Inc.*

     4        650  

Floor & Decor Holdings, Inc., Class A*

     30        1,500  

Hudson Ltd., Class A (United Kingdom)*

     86        1,507  

Lithia Motors, Inc., Class A

     16        1,525  

National Vision Holdings, Inc.*

     51        1,857  

Williams-Sonoma, Inc.

     10        632  
    

 

 

  
       7,671  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.7%

     

Carter’s, Inc.

     5        583  

Columbia Sportswear Co.

     7        615  

Movado Group, Inc.

     10        497  

Wolverine World Wide, Inc.

     56        1,942  
    

 

 

  
       3,637  
    

 

 

  

Thrifts & Mortgage Finance — 2.2%

     

BofI Holding, Inc.*

     24        984  

First Defiance Financial Corp.

     7        465  

Meridian Bancorp, Inc.

     43        832  

TrustCo Bank Corp.

     85        758  

Washington Federal, Inc.

     26        835  

Waterstone Financial, Inc.

     22        368  

WSFS Financial Corp.

     11        573  
    

 

 

  
       4,815  
    

 

 

  

Trading Companies & Distributors — 2.5%

     

Applied Industrial Technologies, Inc.

     23        1,580  

H&E Equipment Services, Inc.

     31        1,153  

MSC Industrial Direct Co., Inc., Class A

     8        684  

Rush Enterprises, Inc., Class A*

     35        1,500  

SiteOne Landscape Supply, Inc.*

     7        551  
    

 

 

  
       5,468  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         19  

Table of Contents

JPMorgan Small Cap Blend Fund

(formerly known as JPMorgan Dynamic Small Cap Growth Fund)

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Water Utilities — 0.6%

     

American States Water Co.

     11        615  

Middlesex Water Co.

     14        590  
    

 

 

  
       1,205  
    

 

 

  

Total Common Stocks
(Cost $155,190)

        214,133  
    

 

 

  

Short-Term Investments — 2.4%

 

Investment Companies — 2.4%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b) (Cost $5,211)

     5,211        5,211  
    

 

 

  

Total Investments — 100.3%
(Cost $160,401)

 

      219,344  

Liabilities in Excess of
Other Assets — (0.3%)

 

      (587 ) 
    

 

 

  

NET ASSETS — 100.0%

 

    $ 218,757  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.0%

     

Aerospace & Defense — 1.2%

     

AAR Corp.

     18        849  

Engility Holdings, Inc.*

     14        442  

HEICO Corp., Class A

     13        776  

Moog, Inc., Class A

     4        281  

Vectrus, Inc.*

     44        1,346  
    

 

 

  
       3,694  
    

 

 

  

Air Freight & Logistics — 0.2%

     

Atlas Air Worldwide Holdings, Inc.*

     5        359  

Park-Ohio Holdings Corp.

     4        158  
    

 

 

  
       517  
    

 

 

  

Airlines — 0.7%

     

Hawaiian Holdings, Inc.

     11        399  

SkyWest, Inc.

     34        1,780  
    

 

 

  
       2,179  
    

 

 

  

Auto Components — 1.3%

     

American Axle & Manufacturing Holdings, Inc.*

     57        887  

Cooper-Standard Holdings, Inc.*

     19        2,502  

Dana, Inc.

     19        380  

Modine Manufacturing Co.*

     6        111  

Stoneridge, Inc.*

     2        73  

Tower International, Inc.

     6        183  
    

 

 

  
       4,136  
    

 

 

  

Banks — 10.0%

     

Bancorp, Inc. (The)*

     54        560  

Bank of NT Butterfield & Son Ltd. (The) (Bermuda)

     65        2,981  

Cadence BanCorp

     5        139  

Cathay General Bancorp

     9        365  

Central Valley Community Bancorp

     3        70  

Community Trust Bancorp, Inc.

     2        91  

Customers Bancorp, Inc.*

     4        123  

East West Bancorp, Inc.

     39        2,521  

Enterprise Financial Services Corp.

     2        108  

Fidelity Southern Corp.

     16        402  

Financial Institutions, Inc.

     20        667  

First BanCorp (Puerto Rico)*

     182        1,391  

First Business Financial Services, Inc.

     5        138  

First Community Bancshares, Inc.

     6        203  

First Financial Bancorp

     6        196  

First Merchants Corp.

     40        1,860  

Fulton Financial Corp.

     57        940  

Hancock Whitney Corp.

     43        1,987  

Hanmi Financial Corp.

     38        1,066  

Hilltop Holdings, Inc.

     15        334  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Banks — continued

     

Hope Bancorp, Inc.

     67        1,201  

Howard Bancorp, Inc.*

     1        25  

IBERIABANK Corp.

     6        457  

NBT Bancorp, Inc.

     3        128  

Northeast Bancorp

     4        96  

Pacific Mercantile Bancorp*

     6        54  

PacWest Bancorp

     27        1,346  

Popular, Inc. (Puerto Rico)

     61        2,757  

Preferred Bank

     12        716  

Premier Financial Bancorp, Inc.

     3        51  

Shore Bancshares, Inc.

     7        131  

Sierra Bancorp

     3        89  

SVB Financial Group*

     2        463  

TCF Financial Corp.

     106        2,597  

Towne Bank

     2        71  

TriCo Bancshares

     5        178  

TriState Capital Holdings, Inc.*

     8        206  

Triumph Bancorp, Inc.*

     7        272  

United Community Banks, Inc.

     20        607  

Wintrust Financial Corp.

     30        2,577  

Zions Bancorp

     23        1,212  
    

 

 

  
       31,376  
    

 

 

  

Biotechnology — 7.0%

 

Acorda Therapeutics, Inc.*

     11        301  

Aduro Biotech, Inc.*

     68        478  

Akebia Therapeutics, Inc.*

     38        379  

Allena Pharmaceuticals, Inc.*

     29        374  

AMAG Pharmaceuticals, Inc.*

     54        1,049  

Amicus Therapeutics, Inc.*

     64        1,005  

AnaptysBio, Inc.*

     7        497  

Aptinyx, Inc.*

     1        24  

Audentes Therapeutics, Inc.*

     16        627  

Bellicum Pharmaceuticals, Inc.*

     106        779  

Bluebird Bio, Inc.*

     7        1,130  

Blueprint Medicines Corp.*

     9        590  

Cara Therapeutics, Inc.*

     19        360  

Catalyst Pharmaceuticals, Inc.*

     135        420  

Coherus Biosciences, Inc.*

     55        766  

Concert Pharmaceuticals, Inc.*

     21        357  

Dynavax Technologies Corp.*

     37        567  

Esperion Therapeutics, Inc.*

     10        384  

FibroGen, Inc.*

     14        864  

Forty Seven, Inc.*

     16        250  

Heron Therapeutics, Inc.*

     31        1,189  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         21  

Table of Contents

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Biotechnology — continued

     

Homology Medicines, Inc.*

     25        508  

Jounce Therapeutics, Inc.*

     26        200  

Loxo Oncology, Inc.*

     8        1,345  

Madrigal Pharmaceuticals, Inc.*

     3        811  

Mersana Therapeutics, Inc.*

     22        391  

Ra Pharmaceuticals, Inc.*

     35        344  

Radius Health, Inc.*

     3        91  

Rhythm Pharmaceuticals, Inc.*

     22        700  

Rigel Pharmaceuticals, Inc.*

     98        277  

Sage Therapeutics, Inc.*

     6        963  

Sarepta Therapeutics, Inc.*

     12        1,639  

Selecta Biosciences, Inc.*

     45        599  

Spark Therapeutics, Inc.*

     6        505  

Synergy Pharmaceuticals, Inc.*

     58        101  

Syros Pharmaceuticals, Inc.*

     59        600  

TESARO, Inc.*

     4        169  

Xencor, Inc.*

     12        455  
    

 

 

  
       22,088  
    

 

 

  

Building Products — 0.5%

 

Universal Forest Products, Inc.

     41        1,516  
    

 

 

  

Capital Markets — 1.1%

 

BGC Partners, Inc., Class A

     93        1,054  

BrightSphere Investment Group plc

     48        685  

Houlihan Lokey, Inc.

     9        467  

INTL. FCStone, Inc.*

     2        97  

Investment Technology Group, Inc.

     25        529  

Piper Jaffray Cos.

     4        309  

Pzena Investment Management, Inc., Class A

     7        68  

Stifel Financial Corp.

     2        110  
    

 

 

  
       3,319  
    

 

 

  

Chemicals — 1.5%

 

Chemours Co. (The)

     10        461  

FutureFuel Corp.

     20        283  

OMNOVA Solutions, Inc.*

     16        167  

Rayonier Advanced Materials, Inc.

     19        319  

Trinseo SA

     48        3,385  
    

 

 

  
       4,615  
    

 

 

  

Commercial Services & Supplies — 2.6%

 

ABM Industries, Inc.

     16        455  

ACCO Brands Corp.

     162        2,247  

BrightView Holdings, Inc.*

     22        492  

Essendant, Inc.

     29        389  

Herman Miller, Inc.

     3        98  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Commercial Services & Supplies — continued

     

Kimball International, Inc., Class B

     14        219  

Knoll, Inc.

     6        118  

LSC Communications, Inc.

     59        916  

Quad/Graphics, Inc.

     132        2,751  

Steelcase, Inc., Class A

     34        453  

VSE Corp.

     2        82  
    

 

 

  
       8,220  
    

 

 

  

Communications Equipment — 0.7%

 

Ciena Corp.*

     44        1,164  

Plantronics, Inc.

     16        1,197  
    

 

 

  
       2,361  
    

 

 

  

Construction & Engineering — 2.5%

 

Comfort Systems USA, Inc.

     2        87  

EMCOR Group, Inc.

     26        1,995  

HC2 Holdings, Inc.*

     183        1,071  

KBR, Inc.

     124        2,228  

MasTec, Inc.*

     36        1,827  

Sterling Construction Co., Inc.*

     19        250  

Tutor Perini Corp.*

     15        268  
    

 

 

  
       7,726  
    

 

 

  

Consumer Finance — 1.9%

 

Enova International, Inc.*

     13        479  

FirstCash, Inc.

     33        2,929  

Green Dot Corp., Class A*

     34        2,459  
    

 

 

  
       5,867  
    

 

 

  

Containers & Packaging — 0.3%

 

Berry Global Group, Inc.*

     14        626  

Graphic Packaging Holding Co.

     25        360  
    

 

 

  
       986  
    

 

 

  

Distributors — 0.1%

 

Funko, Inc., Class A*

     30        375  
    

 

 

  

Diversified Consumer Services — 0.7%

 

Capella Education Co.

     2        199  

Grand Canyon Education, Inc.*

     9        971  

K12, Inc.*

     24        389  

Weight Watchers International, Inc.*

     7        678  
    

 

 

  
       2,237  
    

 

 

  

Diversified Financial Services — 0.1%

 

Cannae Holdings, Inc.*

     5        100  

Marlin Business Services Corp.

     3        93  
    

 

 

  
       193  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Diversified Telecommunication Services — 0.1%

 

Ooma, Inc.*

     34        487  
    

 

 

  

Electric Utilities — 1.2%

 

IDACORP, Inc.

     6        592  

MGE Energy, Inc.

     4        244  

PNM Resources, Inc.

     9        346  

Portland General Electric Co.

     42        1,786  

Spark Energy, Inc., Class A

     80        782  
    

 

 

  
       3,750  
    

 

 

  

Electrical Equipment — 0.4%

 

Atkore International Group, Inc.*

     23        484  

EnerSys

     7        493  

Regal Beloit Corp.

     4        313  
    

 

 

  
       1,290  
    

 

 

  

Electronic Equipment, Instruments & Components — 4.3%

 

Benchmark Electronics, Inc.

     51        1,479  

Fitbit, Inc., Class A*

     24        157  

Insight Enterprises, Inc.*

     43        2,086  

KEMET Corp.*

     77        1,847  

Kimball Electronics, Inc.*

     30        558  

Littelfuse, Inc.

     3        634  

Methode Electronics, Inc.

     25        1,006  

Plexus Corp.*

     3        179  

Sanmina Corp.*

     65        1,907  

Tech Data Corp.*

     38        3,114  

Vishay Precision Group, Inc.*

     11        401  
    

 

 

  
       13,368  
    

 

 

  

Energy Equipment & Services — 1.2%

 

C&J Energy Services, Inc.*

     7        156  

Exterran Corp.*

     29        719  

FTS International, Inc.*

     22        309  

Mammoth Energy Services, Inc.*

     3        98  

Matrix Service Co.*

     29        527  

McDermott International, Inc.*

     30        588  

Oil States International, Inc.*

     32        1,011  

PHI, Inc. (Non-Voting)*

     7        76  

RigNet, Inc.*

     38        394  
    

 

 

  
       3,878  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 6.2%

 

American Assets Trust, Inc.

     9        352  

Armada Hoffler Properties, Inc.

     89        1,329  

Ashford Hospitality Trust, Inc.

     166        1,345  

Braemar Hotels & Resorts, Inc.

     30        338  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Equity Real Estate Investment Trusts (REITs) — continued

 

Chatham Lodging Trust

     10        216  

Chesapeake Lodging Trust

     12        372  

CoreCivic, Inc.

     16        380  

CorEnergy Infrastructure Trust, Inc.

     1        41  

CoreSite Realty Corp.

     6        717  

Cousins Properties, Inc.

     32        308  

CyrusOne, Inc.

     3        163  

DCT Industrial Trust, Inc.

     10        640  

DiamondRock Hospitality Co.

     39        481  

Education Realty Trust, Inc.

     1        60  

First Industrial Realty Trust, Inc.

     48        1,615  

Franklin Street Properties Corp.

     4        31  

GEO Group, Inc. (The)

     89        2,437  

Getty Realty Corp.

     29        817  

Highwoods Properties, Inc.

     8        411  

Hudson Pacific Properties, Inc.

     6        220  

InfraREIT, Inc.

     11        237  

LaSalle Hotel Properties

     9        322  

New Senior Investment Group, Inc.

     8        60  

NexPoint Residential Trust, Inc.

     24        691  

Preferred Apartment Communities, Inc., Class A

     24        415  

PS Business Parks, Inc.

     2        257  

Ramco-Gershenson Properties Trust

     26        344  

Retail Opportunity Investments Corp.

     31        590  

Rexford Industrial Realty, Inc.

     25        785  

RLJ Lodging Trust

     24        525  

Summit Hotel Properties, Inc.

     55        781  

Sun Communities, Inc.

     3        284  

Sunstone Hotel Investors, Inc.

     50        834  

Tier REIT, Inc.

     20        468  

Xenia Hotels & Resorts, Inc.

     26        621  
    

 

 

  
       19,487  
    

 

 

  

Food & Staples Retailing — 0.8%

 

Performance Food Group Co.*

     33        1,204  

SpartanNash Co.

     35        893  

US Foods Holding Corp.*

     12        457  
    

 

 

  
       2,554  
    

 

 

  

Food Products — 0.6%

 

Dean Foods Co.

     39        408  

Pilgrim’s Pride Corp.*

     31        628  

Pinnacle Foods, Inc.

     4        281  

Sanderson Farms, Inc.

     4        389  

TreeHouse Foods, Inc.*

     3        142  
    

 

 

  
       1,848  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         23  

Table of Contents

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Gas Utilities — 0.7%

 

New Jersey Resources Corp.

     15        673  

Southwest Gas Holdings, Inc.

     14        1,075  

WGL Holdings, Inc.

     5        462  
    

 

 

  
       2,210  
    

 

 

  

Health Care Equipment & Supplies — 3.1%

 

Globus Medical, Inc., Class A*

     6        313  

Haemonetics Corp.*

     42        3,793  

Inogen, Inc.*

     7        1,259  

Integer Holdings Corp.*

     47        3,039  

Lantheus Holdings, Inc.*

     72        1,040  

Masimo Corp.*

     3        332  
    

 

 

  
       9,776  
    

 

 

  

Health Care Providers & Services — 4.2%

 

Addus HomeCare Corp.*

     25        1,431  

American Renal Associates Holdings, Inc.*

     15        233  

Cross Country Healthcare, Inc.*

     79        890  

Diplomat Pharmacy, Inc.*

     37        936  

Encompass Health Corp.

     24        1,639  

Envision Healthcare Corp.*

     3        112  

Molina Healthcare, Inc.*

     34        3,283  

Owens & Minor, Inc.

     28        460  

RadNet, Inc.*

     34        509  

Surgery Partners, Inc.*

     12        176  

Tenet Healthcare Corp.*

     74        2,474  

WellCare Health Plans, Inc.*

     4        1,000  
    

 

 

  
       13,143  
    

 

 

  

Hotels, Restaurants & Leisure — 1.4%

 

Bloomin’ Brands, Inc.

     91        1,829  

Dine Brands Global, Inc.

     8        606  

Pinnacle Entertainment, Inc.*

     38        1,288  

Ruth’s Hospitality Group, Inc.

     23        640  
    

 

 

  
       4,363  
    

 

 

  

Household Durables — 2.0%

 

Beazer Homes USA, Inc.*

     60        884  

Hamilton Beach Brands Holding Co., Class A

     4        109  

Helen of Troy Ltd.*

     16        1,544  

Hooker Furniture Corp.

     10        469  

KB Home

     37        1,000  

Lifetime Brands, Inc.

     18        223  

Taylor Morrison Home Corp., Class A*

     96        1,984  
    

 

 

  
       6,213  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Household Products — 0.3%

 

Central Garden & Pet Co., Class A*

     27        1,105  
    

 

 

  

Independent Power and Renewable Electricity Producers — 0.8%

 

Atlantic Power Corp.*

     52        114  

NRG Yield, Inc., Class A

     5        85  

NRG Yield, Inc., Class C

     77        1,316  

Ormat Technologies, Inc.

     12        644  

Vistra Energy Corp.*

     11        252  
    

 

 

  
       2,411  
    

 

 

  

Insurance — 2.2%

 

American Equity Investment Life Holding Co.

     46        1,642  

CNO Financial Group, Inc.

     59        1,128  

First American Financial Corp.

     13        657  

HCI Group, Inc.

     7        281  

Kinsale Capital Group, Inc.

     11        587  

National General Holdings Corp.

     6        162  

Selective Insurance Group, Inc.

     4        227  

Stewart Information Services Corp.

     18        771  

United Fire Group, Inc.

     5        250  

Universal Insurance Holdings, Inc.

     36        1,273  
    

 

 

  
       6,978  
    

 

 

  

Internet & Direct Marketing Retail — 1.1%

 

Groupon, Inc.*

     90        387  

Liberty Expedia Holdings, Inc., Class A*

     29        1,265  

Liberty TripAdvisor Holdings, Inc., Class A*

     82        1,327  

Shutterfly, Inc.*

     5        423  
    

 

 

  
       3,402  
    

 

 

  

Internet Software & Services — 2.4%

 

Apptio, Inc., Class A*

     20        721  

Blucora, Inc.*

     61        2,261  

DocuSign, Inc.*

     7        365  

Etsy, Inc.*

     10        430  

Five9, Inc.*

     15        510  

Limelight Networks, Inc.*

     111        497  

New Relic, Inc.*

     14        1,408  

Nutanix, Inc., Class A*

     12        614  

QuinStreet, Inc.*

     27        348  

SendGrid, Inc.*

     3        66  

Web.com Group, Inc.*

     10        253  
    

 

 

  
       7,473  
    

 

 

  

IT Services — 2.1%

 

CACI International, Inc., Class A*

     6        1,079  

ServiceSource International, Inc.*

     46        180  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

IT Services — continued

 

Sykes Enterprises, Inc.*

     16        450  

Travelport Worldwide Ltd.

     159        2,955  

Unisys Corp.*

     89        1,149  

Virtusa Corp.*

     14        691  
    

 

 

  
       6,504  
    

 

 

  

Machinery — 3.4%

 

Barnes Group, Inc.

     6        374  

Columbus McKinnon Corp.

     22        937  

Federal Signal Corp.

     18        413  

Global Brass & Copper Holdings, Inc.

     58        1,803  

Greenbrier Cos., Inc. (The)

     6        314  

Hurco Cos., Inc.

     2        90  

Hyster-Yale Materials Handling, Inc.

     4        283  

Kadant, Inc.

     8        805  

Meritor, Inc.*

     106        2,180  

Milacron Holdings Corp.*

     40        757  

SPX FLOW, Inc.*

     5        228  

Standex International Corp.

     1        147  

TriMas Corp.*

     11        317  

Wabash National Corp.

     93        1,741  

Watts Water Technologies, Inc., Class A

     4        282  
    

 

 

  
       10,671  
    

 

 

  

Marine — 0.2%

 

Costamare, Inc. (Monaco)

     71        563  
    

 

 

  

Media — 1.0%

 

Gannett Co., Inc.

     122        1,302  

Gray Television, Inc.*

     42        671  

MDC Partners, Inc., Class A*

     49        225  

Nexstar Media Group, Inc., Class A

     3        222  

Sinclair Broadcast Group, Inc., Class A

     26        852  
    

 

 

  
       3,272  
    

 

 

  

Metals & Mining — 0.9%

 

AK Steel Holding Corp.*

     74        321  

Cleveland-Cliffs, Inc.*

     59        501  

Commercial Metals Co.

     21        443  

Ramaco Resources, Inc.*

     23        159  

Ryerson Holding Corp.*

     16        173  

Warrior Met Coal, Inc.

     33        904  

Worthington Industries, Inc.

     5        199  
    

 

 

  
       2,700  
    

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.4%

 

Capstead Mortgage Corp.

     10        91  

Invesco Mortgage Capital, Inc.

     6        91  

Redwood Trust, Inc.

     68        1,114  
    

 

 

  
       1,296  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Multiline Retail — 0.2%

 

BJ’s Wholesale Club Holdings, Inc.*

     26        610  
    

 

 

  

Oil, Gas & Consumable Fuels — 3.9%

 

Abraxas Petroleum Corp.*

     233        672  

Arch Coal, Inc., Class A

     8        643  

Delek US Holdings, Inc.

     68        3,408  

Denbury Resources, Inc.*

     318        1,528  

EP Energy Corp., Class A*

     39        118  

NACCO Industries, Inc., Class A

     2        65  

Peabody Energy Corp.

     50        2,283  

Renewable Energy Group, Inc.*

     56        1,007  

REX American Resources Corp.*

     1        49  

SRC Energy, Inc.*

     43        476  

W&T Offshore, Inc.*

     301        2,149  
    

 

 

  
       12,398  
    

 

 

  

Paper & Forest Products — 1.5%

 

Boise Cascade Co.

     15        665  

Louisiana-Pacific Corp.

     33        885  

Schweitzer-Mauduit International, Inc.

     35        1,515  

Verso Corp., Class A*

     74        1,610  
    

 

 

  
       4,675  
    

 

 

  

Personal Products — 0.1%

 

USANA Health Sciences, Inc.*

     2        193  
    

 

 

  

Pharmaceuticals — 1.7%

 

Aclaris Therapeutics, Inc.*

     27        545  

Amphastar Pharmaceuticals, Inc.*

     9        136  

Assembly Biosciences, Inc.*

     12        459  

Endo International plc*

     51        482  

Horizon Pharma plc*

     94        1,553  

Medicines Co. (The)*

     3        117  

Phibro Animal Health Corp., Class A

     11        511  

resTORbio, Inc.*

     12        112  

Revance Therapeutics, Inc.*

     6        176  

TherapeuticsMD, Inc.*

     109        682  

WaVe Life Sciences Ltd.*

     14        524  
    

 

 

  
       5,297  
    

 

 

  

Professional Services — 3.5%

 

Barrett Business Services, Inc.

     28        2,733  

CRA International, Inc.

     5        274  

Heidrick & Struggles International, Inc.

     13        469  

ICF International, Inc.

     10        703  

Insperity, Inc.

     39        3,761  

Kelly Services, Inc., Class A

     2        46  

Kforce, Inc.

     3        106  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         25  

Table of Contents

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Professional Services — continued

 

Korn/Ferry International

     7        403  

TriNet Group, Inc.*

     18        1,024  

TrueBlue, Inc.*

     55        1,469  
    

 

 

  
       10,988  
    

 

 

  

Road & Rail — 1.3%

 

ArcBest Corp.

     59        2,691  

Avis Budget Group, Inc.*

     23        735  

Covenant Transportation Group, Inc., Class A*

     5        154  

Schneider National, Inc., Class B

     11        305  

Universal Logistics Holdings, Inc.

     3        75  

YRC Worldwide, Inc.*

     4        37  
    

 

 

  
       3,997  
    

 

 

  

Semiconductors & Semiconductor Equipment — 2.2%

 

Advanced Energy Industries, Inc.*

     15        844  

Alpha & Omega Semiconductor Ltd.*

     31        447  

Cohu, Inc.

     34        821  

Cypress Semiconductor Corp.

     71        1,105  

Ichor Holdings Ltd.*

     23        497  

Rudolph Technologies, Inc.*

     8        228  

Sigma Designs, Inc.*

     19        118  

SMART Global Holdings, Inc.*

     59        1,877  

Ultra Clean Holdings, Inc.*

     61        1,017  
    

 

 

  
       6,954  
    

 

 

  

Software — 3.4%

 

Carbon Black, Inc.*

     4        112  

CommVault Systems, Inc.*

     7        481  

Domo, Inc., Class B*

     26        699  

Imperva, Inc.*

     19        931  

MicroStrategy, Inc., Class A*

     3        364  

Pegasystems, Inc.

     4        225  

Pivotal Software, Inc., Class A*

     20        473  

Pluralsight, Inc., Class A*

     54        1,325  

QAD, Inc., Class A

     3        145  

Qualys, Inc.*

     9        780  

RingCentral, Inc., Class A*

     29        2,060  

SailPoint Technologies Holding, Inc.*

     27        655  

Smartsheet, Inc., Class A*

     32        826  

Synchronoss Technologies, Inc.*

     60        371  

TiVo Corp.

     53        712  

Zscaler, Inc.*

     11        408  
    

 

 

  
       10,567  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Specialty Retail — 2.9%

 

Abercrombie & Fitch Co., Class A

     24        575  

Asbury Automotive Group, Inc.*

     3        178  

Caleres, Inc.

     31        1,059  

Children’s Place, Inc. (The)

     10        1,209  

Conn’s, Inc.*

     11        356  

Express, Inc.*

     21        190  

Group 1 Automotive, Inc.

     8        485  

Hudson Ltd., Class A (United Kingdom)*

     44        775  

Office Depot, Inc.

     465        1,187  

Party City Holdco, Inc.*

     27        416  

RH*

     3        363  

Tailored Brands, Inc.

     97        2,478  
    

 

 

  
       9,271  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.9%

 

Deckers Outdoor Corp.*

     10        1,083  

Fossil Group, Inc.*

     58        1,556  

Perry Ellis International, Inc.*

     10        280  
    

 

 

  
       2,919  
    

 

 

  

Thrifts & Mortgage Finance — 0.9%

 

BankFinancial Corp.

     5        83  

HomeStreet, Inc.*

     10        281  

Meta Financial Group, Inc.

     8        808  

MGIC Investment Corp.*

     45        483  

OceanFirst Financial Corp.

     13        395  

PennyMac Financial Services, Inc., Class A*

     10        193  

Radian Group, Inc.

     10        156  

Walker & Dunlop, Inc.

     10        549  
    

 

 

  
       2,948  
    

 

 

  

Tobacco — 0.1%

 

Turning Point Brands, Inc.

     12        380  
    

 

 

  

Trading Companies & Distributors — 1.0%

 

Applied Industrial Technologies, Inc.

     10        673  

GMS, Inc.*

     13        358  

MRC Global, Inc.*

     76        1,645  

Titan Machinery, Inc.*

     15        230  

Veritiv Corp.*

     3        131  
    

 

 

  
       3,037  
    

 

 

  

Water Utilities — 0.0% (a)

 

Consolidated Water Co. Ltd. (Cayman Islands)

     3        35  
    

 

 

  

Total Common Stocks
(Cost $225,362)

        304,416  
  

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
Investments   NO. OF
WARRANTS
(000)		      VALUE
($000)		  

Warrants — 0.0%

 

Consumer Finance — 0.0%

 

Emergent Capital, Inc. expiring 10/1/2019, price 10.75*‡
(Cost $—)

     2        —    
    

 

 

  
     SHARES
(000)		          

Short-Term Investments — 3.7%

 

Investment Companies — 3.7%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (b) (c) (Cost $11,474)

     11,474        11,474  
    

 

 

  

Total Investments — 100.7%
(Cost $236,836)

 

      315,890  

Liabilities in Excess of
Other Assets — (0.7%)

 

      (2,070 ) 
    

 

 

  

NET ASSETS — 100.0%

 

    $ 313,820  
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		      EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

 

Russell 2000 E-Mini Index      106        09/2018          USD          8,732          (70 ) 
                        

 

 

  
                           (70 ) 
                        

 

 

  

 

Abbreviations

  

REIT

   Real Estate Investment Trust

USD

   United States Dollar
(a)  

   Amount rounds to less than 0.05% of net assets.

(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.

(c)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

‡  

   Value determined using significant unobservable inputs.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         27  

Table of Contents

JPMorgan Small Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 94.0%

     

Auto Components — 1.0%

 

LCI Industries

     721        65,031  
    

 

 

  

Banks — 10.4%

 

Associated Banc-Corp.

     2,481        67,736  

BankUnited, Inc.

     1,783        72,840  

Cadence BanCorp

     1,348        38,909  

Commerce Bancshares, Inc.

     823        53,268  

First Financial Bancorp

     1,586        48,614  

First Hawaiian, Inc.

     2,166        62,854  

First Horizon National Corp.

     4,066        72,533  

First Interstate BancSystem, Inc., Class A

     638        26,940  

Glacier Bancorp, Inc.

     168        6,488  

Great Western Bancorp, Inc.

     1,492        62,664  

IBERIABANK Corp.

     899        68,142  

Western Alliance Bancorp*

     1,122        63,512  

Wintrust Financial Corp.

     788        68,582  
    

 

 

  
       713,082  
    

 

 

  

Building Products — 1.6%

 

JELD-WEN Holding, Inc.*

     1,437        41,091  

USG Corp.*

     1,591        68,605  
    

 

 

  
       109,696  
    

 

 

  

Capital Markets — 3.6%

 

Eaton Vance Corp.

     904        47,198  

FactSet Research Systems, Inc.

     270        53,562  

Lazard Ltd., Class A

     963        47,107  

Moelis & Co., Class A

     748        43,842  

Morningstar, Inc.

     411        52,669  
    

 

 

  
       244,378  
    

 

 

  

Chemicals — 3.8%

 

GCP Applied Technologies, Inc.*

     2,154        62,366  

PQ Group Holdings, Inc.*

     3,570        64,267  

Quaker Chemical Corp.

     412        63,801  

Valvoline, Inc.

     3,249        70,081  
    

 

 

  
       260,515  
    

 

 

  

Commercial Services & Supplies — 5.0%

 

Advanced Disposal Services, Inc.*

     1,819        45,064  

Brady Corp., Class A

     2,393        92,268  

BrightView Holdings, Inc.*

     1,100        24,134  

Herman Miller, Inc.

     1,301        44,102  

KAR Auction Services, Inc.

     1,471        80,606  

MSA Safety, Inc.

     139        13,373  

US Ecology, Inc.

     675        42,982  
    

 

 

  
       342,529  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Construction & Engineering — 0.6%

 

Willscot Corp., Class A*

     2,771        41,013  
    

 

 

  

Containers & Packaging — 2.7%

 

AptarGroup, Inc.

     1,594        148,887  

Crown Holdings, Inc.*

     844        37,790  
    

 

 

  
       186,677  
    

 

 

  

Distributors — 2.3%

 

Pool Corp.

     1,052        159,448  
    

 

 

  

Diversified Consumer Services — 0.8%

 

ServiceMaster Global Holdings, Inc.*

     930        55,296  
    

 

 

  

Electric Utilities — 1.2%

 

Portland General Electric Co.

     1,996        85,341  
    

 

 

  

Electrical Equipment — 0.8%

 

Generac Holdings, Inc.*

     1,067        55,193  
    

 

 

  

Energy Equipment & Services — 2.7%

 

Core Laboratories NV

     790        99,674  

Patterson-UTI Energy, Inc.

     4,543        81,773  
    

 

 

  
       181,447  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 5.1%

 

CubeSmart

     1,311        42,226  

EastGroup Properties, Inc.

     864        82,555  

National Retail Properties, Inc.

     2,375        104,387  

Outfront Media, Inc.

     2,859        55,612  

RLJ Lodging Trust

     2,958        65,231  
    

 

 

  
       350,011  
    

 

 

  

Food & Staples Retailing — 1.9%

 

Performance Food Group Co.*

     3,613        132,591  
    

 

 

  

Health Care Equipment & Supplies — 3.0%

 

ICU Medical, Inc.*

     301        88,277  

West Pharmaceutical Services, Inc.

     1,142        113,430  
    

 

 

  
       201,707  
    

 

 

  

Health Care Providers & Services — 6.0%

 

Encompass Health Corp.

     1,855        125,596  

HealthEquity, Inc.*

     789        59,266  

Magellan Health, Inc.*

     370        35,460  

Molina Healthcare, Inc.*

     505        49,495  

Premier, Inc., Class A*

     1,359        49,444  

Tivity Health, Inc.*

     562        19,784  

WellCare Health Plans, Inc.*

     286        70,392  
    

 

 

  
       409,437  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Health Care Technology — 1.9%

 

Cotiviti Holdings, Inc.*

     1,410        62,204  

Medidata Solutions, Inc.*

     822        66,256  
    

 

 

  
       128,460  
    

 

 

  

Hotels, Restaurants & Leisure — 1.4%

 

Monarch Casino & Resort, Inc.*

     611        26,898  

Papa John’s International, Inc.

     1,139        57,760  

Zoe’s Kitchen, Inc.*

     1,089        10,624  
    

 

 

  
       95,282  
    

 

 

  

Household Products — 0.8%

 

Spectrum Brands Holdings, Inc.

     691        56,403  
    

 

 

  

Insurance — 1.6%

 

Kinsale Capital Group, Inc.

     641        35,174  

ProAssurance Corp.

     1,215        43,055  

RLI Corp.

     504        33,373  
    

 

 

  
       111,602  
    

 

 

  

Internet Software & Services — 4.0%

 

Cision Ltd.*

     4,137        61,844  

GrubHub, Inc.*

     783        82,171  

Instructure, Inc.*

     978        41,595  

Q2 Holdings, Inc.*

     1,549        88,361  
    

 

 

  
       273,971  
    

 

 

  

IT Services — 0.8%

 

CoreLogic, Inc.*

     1,005        52,165  
    

 

 

  

Leisure Products — 2.7%

 

Acushnet Holdings Corp.

     2,763        67,573  

Brunswick Corp.

     1,554        100,212  

Malibu Boats, Inc., Class A*

     408        17,096  
    

 

 

  
       184,881  
    

 

 

  

Machinery — 7.8%

 

Allison Transmission Holdings, Inc.

     976        39,509  

Altra Industrial Motion Corp.

     1,120        48,291  

Douglas Dynamics, Inc.

     996        47,802  

Evoqua Water Technologies Corp.*

     1,858        38,099  

Gates Industrial Corp. plc*

     1,803        29,336  

Lincoln Electric Holdings, Inc.

     644        56,542  

Proto Labs, Inc.*

     298        35,457  

RBC Bearings, Inc.*

     723        93,070  

Toro Co. (The)

     2,432        146,538  
    

 

 

  
       534,644  
    

 

 

  

Media — 2.1%

 

Cinemark Holdings, Inc.

     2,484        87,127  

Emerald Expositions Events, Inc.

     267        5,506  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Media — continued

 

EW Scripps Co. (The), Class A

     3,643        48,781  
    

 

 

  
       141,414  
    

 

 

  

Multiline Retail — 0.4%

 

BJ’s Wholesale Club Holdings, Inc.*

     1,237        29,250  
    

 

 

  

Multi-Utilities — 1.1%

 

NorthWestern Corp.

     1,331        76,202  
    

 

 

  

Oil, Gas & Consumable Fuels — 1.2%

 

SRC Energy, Inc.*

     7,312        80,580  
    

 

 

  

Pharmaceuticals — 2.3%

 

Catalent, Inc.*

     2,509        105,119  

Prestige Brands Holdings, Inc.*

     1,435        55,085  
    

 

 

  
       160,204  
    

 

 

  

Real Estate Management & Development — 1.3%

 

HFF, Inc., Class A

     1,381        47,422  

Realogy Holdings Corp.

     1,807        41,207  
    

 

 

  
       88,629  
    

 

 

  

Road & Rail — 1.7%

 

Knight-Swift Transportation Holdings, Inc.

     1,475        56,364  

Landstar System, Inc.

     538        58,781  
    

 

 

  
       115,145  
    

 

 

  

Semiconductors & Semiconductor Equipment — 1.6%

 

Cabot Microelectronics Corp.

     998        107,302  
    

 

 

  

Software — 6.8%

 

Aspen Technology, Inc.*

     822        76,213  

Blackbaud, Inc.

     650        66,622  

Guidewire Software, Inc.*

     752        66,732  

Manhattan Associates, Inc.*

     1,120        52,665  

MicroStrategy, Inc., Class A*

     252        32,135  

SailPoint Technologies Holding, Inc.*

     1,248        30,632  

Tableau Software, Inc., Class A*

     672        65,657  

Tyler Technologies, Inc.*

     318        70,616  
    

 

 

  
       461,272  
    

 

 

  

Specialty Retail — 0.1%

 

Chico’s FAS, Inc.

     759        6,180  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.0%

 

Carter’s, Inc.

     601        65,146  
    

 

 

  

Trading Companies & Distributors — 0.9%

 

Applied Industrial Technologies, Inc.

     857        60,124  
    

 

 

  

Total Common Stocks
(Cost $4,333,699)

        6,422,248  
  

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         29  

Table of Contents

JPMorgan Small Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Exchange Traded Funds — 1.3%

 

U.S. Equity — 1.3%

     

iShares Russell 2000 ETF
(Cost $69,239)

     539        88,296  
    

 

 

  

Short-Term Investments — 5.2%

     

Investment Companies — 5.2%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b) (Cost $354,263)

     354,263        354,263  
    

 

 

  

Total Investments — 100.5%
(Cost $4,757,201)

        6,864,807  

Liabilities in Excess of
Other Assets — (0.5%)

        (36,568 ) 
  

 

 

  

NET ASSETS — 100.0%

      $ 6,828,239  
    

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

ETF

   Exchange Traded Fund

 

(a)  

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

(b)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Small Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.3%

     

Aerospace & Defense — 1.9%

     

HEICO Corp.

     341        24,866  

Hexcel Corp.

     262        17,398  
    

 

 

  
       42,264  
    

 

 

  

Automobiles — 0.6%

 

Winnebago Industries, Inc.

     340        13,808  
    

 

 

  

Banks — 2.0%

 

Bank of the Ozarks

     229        10,326  

Signature Bank*

     53        6,802  

Texas Capital Bancshares, Inc.*

     303        27,727  
    

 

 

  
       44,855  
    

 

 

  

Biotechnology — 10.3%

 

ACADIA Pharmaceuticals, Inc.*

     225        3,438  

Adverum Biotechnologies, Inc.*

     1,380        7,312  

Atara Biotherapeutics, Inc.*

     327        12,002  

Avrobio, Inc.*

     190        5,432  

Bellicum Pharmaceuticals, Inc.*

     940        6,941  

Biohaven Pharmaceutical Holding Co. Ltd.*

     446        17,608  

Clementia Pharmaceuticals, Inc. (Canada)*

     516        6,791  

Clovis Oncology, Inc.*

     93        4,216  

Coherus Biosciences, Inc.*

     468        6,551  

Exact Sciences Corp.*

     163        9,739  

FibroGen, Inc.*

     322        20,127  

G1 Therapeutics, Inc.*

     265        11,514  

Global Blood Therapeutics, Inc.*

     96        4,323  

Halozyme Therapeutics, Inc.*

     1,020        17,202  

Homology Medicines, Inc.*

     721        14,699  

Insmed, Inc.*

     143        3,370  

Neurocrine Biosciences, Inc.*

     120        11,757  

Portola Pharmaceuticals, Inc.*

     198        7,477  

REGENXBIO, Inc.*

     308        22,095  

Sage Therapeutics, Inc.*

     69        10,877  

Spark Therapeutics, Inc.*

     260        21,540  
    

 

 

  
       225,011  
    

 

 

  

Building Products — 4.3%

 

Advanced Drainage Systems, Inc.

     873        24,933  

Lennox International, Inc.

     111        22,253  

Masonite International Corp.*

     225        16,182  

Trex Co., Inc.*

     505        31,636  
    

 

 

  
       95,004  
    

 

 

  

Capital Markets — 2.4%

 

Evercore, Inc., Class A

     313        33,006  

Financial Engines, Inc.

     110        4,919  

PennantPark Investment Corp.

     1,361        9,536  

WisdomTree Investments, Inc.

     478        4,339  
    

 

 

  
       51,800  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Chemicals — 1.1%

 

Ferro Corp.*

     1,208        25,190  
    

 

 

  

Commercial Services & Supplies — 1.5%

 

Advanced Disposal Services, Inc.*

     1,357        33,621  
    

 

 

  

Communications Equipment — 1.2%

 

Ciena Corp.*

     415        11,003  

Quantenna Communications, Inc.*

     996        15,479  
    

 

 

  
       26,482  
    

 

 

  

Construction Materials — 1.8%

 

Eagle Materials, Inc.

     139        14,558  

Summit Materials, Inc., Class A*

     970        25,456  
    

 

 

  
       40,014  
    

 

 

  

Distributors — 1.0%

 

Pool Corp.

     140        21,210  
    

 

 

  

Diversified Consumer Services — 1.3%

 

Bright Horizons Family Solutions, Inc.*

     273        28,010  
    

 

 

  

Electronic Equipment, Instruments & Components — 1.3%

 

Littelfuse, Inc.

     121        27,573  
    

 

 

  

Energy Equipment & Services — 0.4%

 

Forum Energy Technologies, Inc.*

     633        7,821  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.0%

 

CubeSmart

     316        10,176  

Highwoods Properties, Inc.

     220        11,150  
    

 

 

  
       21,326  
    

 

 

  

Food & Staples Retailing — 1.8%

 

Performance Food Group Co.*

     1,063        39,027  
    

 

 

  

Food Products — 0.9%

 

Freshpet, Inc.*

     690        18,931  
    

 

 

  

Health Care Equipment & Supplies — 4.5%

 

GenMark Diagnostics, Inc.*

     1,429        9,115  

Insulet Corp.*

     232        19,855  

iRhythm Technologies, Inc.*

     265        21,511  

K2M Group Holdings, Inc.*

     790        17,784  

Nevro Corp.*

     280        22,351  

TransEnterix, Inc.*

     1,690        7,368  
    

 

 

  
       97,984  
    

 

 

  

Health Care Providers & Services — 2.6%

 

Acadia Healthcare Co., Inc.*

     465        19,015  

Amedisys, Inc.*

     255        21,771  

WellCare Health Plans, Inc.*

     61        15,098  
    

 

 

  
       55,884  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         31  

Table of Contents

JPMorgan Small Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Health Care Technology — 2.6%

 

Evolent Health, Inc., Class A*

     992        20,884  

Teladoc, Inc.*

     629        36,495  
    

 

 

  
       57,379  
    

 

 

  

Hotels, Restaurants & Leisure — 3.2%

 

Boyd Gaming Corp.

     1,016        35,217  

Red Rock Resorts, Inc., Class A

     327        10,959  

Texas Roadhouse, Inc.

     364        23,863  
    

 

 

  
       70,039  
    

 

 

  

Household Durables — 0.7%

 

TRI Pointe Group, Inc.*

     900        14,717  
    

 

 

  

Internet & Direct Marketing Retail — 1.6%

 

Groupon, Inc.*

     3,985        17,135  

Wayfair, Inc., Class A*

     158        18,724  
    

 

 

  
       35,859  
    

 

 

  

Internet Software & Services — 6.8%

 

2U, Inc.*

     262        21,880  

Cloudera, Inc.*

     1,165        15,886  

DocuSign, Inc.*

     174        9,211  

Envestnet, Inc.*

     634        34,812  

GrubHub, Inc.*

     87        9,112  

Instructure, Inc.*

     513        21,841  

Nutanix, Inc., Class A*

     256        13,203  

Okta, Inc.*

     469        23,611  
    

 

 

  
       149,556  
    

 

 

  

Machinery — 4.6%

 

Evoqua Water Technologies Corp.*

     693        14,201  

Graco, Inc.

     438        19,807  

ITT, Inc.

     425        22,239  

John Bean Technologies Corp.

     263        23,377  

Oshkosh Corp.

     301        21,136  
    

 

 

  
       100,760  
    

 

 

  

Marine — 0.8%

 

Kirby Corp.*

     218        18,230  
    

 

 

  

Media — 1.1%

 

World Wrestling Entertainment, Inc., Class A

     331        24,132  
    

 

 

  

Multiline Retail — 1.6%

 

Ollie’s Bargain Outlet Holdings, Inc.*

     498        36,085  
    

 

 

  

Oil, Gas & Consumable Fuels — 1.3%

 

Centennial Resource Development, Inc., Class A*

     403        7,285  

Jagged Peak Energy, Inc.*

     915        11,918  

RSP Permian, Inc.*

     199        8,739  
    

 

 

  
       27,942  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Pharmaceuticals — 4.0%

 

Horizon Pharma plc*

     1,147        19,003  

Nektar Therapeutics*

     161        7,839  

Optinose, Inc.*

     629        17,603  

Revance Therapeutics, Inc.*

     565        15,508  

TherapeuticsMD, Inc.*

     2,753        17,176  

Tricida, Inc.*

     343        10,255  
    

 

 

  
       87,384  
    

 

 

  

Real Estate Management & Development — 0.7%

 

RE/MAX Holdings, Inc., Class A

     276        14,493  
    

 

 

  

Road & Rail — 1.6%

 

Saia, Inc.*

     424        34,288  
    

 

 

  

Semiconductors & Semiconductor Equipment — 5.1%

 

Entegris, Inc.

     1,020        34,592  

Inphi Corp.*

     846        27,579  

MKS Instruments, Inc.

     251        24,030  

Monolithic Power Systems, Inc.

     190        25,456  
    

 

 

  
       111,657  
    

 

 

  

Software — 10.4%

 

Domo, Inc., Class B*

     277        7,560  

Guidewire Software, Inc.*

     117        10,425  

HubSpot, Inc.*

     255        31,962  

Paycom Software, Inc.*

     253        25,031  

Pluralsight, Inc., Class A*

     616        15,057  

Proofpoint, Inc.*

     215        24,801  

RingCentral, Inc., Class A*

     340        23,884  

SailPoint Technologies Holding, Inc.*

     1,059        25,993  

Smartsheet, Inc., Class A*

     432        11,222  

Tyler Technologies, Inc.*

     71        15,686  

Zendesk, Inc.*

     484        26,350  

Zscaler, Inc.*

     292        10,445  
    

 

 

  
       228,416  
    

 

 

  

Specialty Retail — 5.0%

 

Burlington Stores, Inc.*

     68        10,205  

Floor & Decor Holdings, Inc., Class A*

     478        23,559  

Hudson Ltd., Class A (United Kingdom)*

     1,353        23,656  

Lithia Motors, Inc., Class A

     253        23,949  

National Vision Holdings, Inc.*

     797        29,158  
    

 

 

  
       110,527  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.4%

 

Wolverine World Wide, Inc.

     877        30,485  
    

 

 

  

Thrifts & Mortgage Finance — 0.7%

 

BofI Holding, Inc.*

     378        15,456  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Trading Companies & Distributors — 3.2%

 

Applied Industrial Technologies, Inc.

     269        18,885  

H&E Equipment Services, Inc.

     482        18,112  

Rush Enterprises, Inc., Class A*

     543        23,545  

SiteOne Landscape Supply, Inc.*

     103        8,657  
    

 

 

  
       69,199  
    

 

 

  

Total Common Stocks
(Cost $1,517,328)

        2,152,419  
  

 

 

  

Short-Term Investments — 2.4%

     

Investment Companies — 2.4%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b) (Cost $52,237)

     52,237        52,237  
    

 

 

  

Total Investments — 100.7%
(Cost $1,569,565)

        2,204,656  

Liabilities in Excess of
Other Assets — (0.7%)

        (14,744 ) 
    

 

 

  

NET ASSETS — 100.0%

      $ 2,189,912  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         33  

Table of Contents

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 99.4%

     

Aerospace & Defense — 0.8%

     

Curtiss-Wright Corp.

     76        8,998  

Moog, Inc., Class A

     81        6,299  
    

 

 

  
       15,297  
    

 

 

  

Auto Components — 0.3%

     

Cooper-Standard Holdings, Inc.*

     7        967  

Stoneridge, Inc.*

     145        5,106  
    

 

 

  
       6,073  
    

 

 

  

Banks — 16.4%

     

1st Source Corp.

     102        5,434  

American National Bankshares, Inc.

     6        236  

BancFirst Corp.

     121        7,151  

BancorpSouth Bank

     352        11,585  

Bank of Hawaii Corp.

     154        12,838  

Banner Corp.

     143        8,599  

Bryn Mawr Bank Corp.

     29        1,347  

Cadence BanCorp

     16        471  

Cathay General Bancorp

     194        7,859  

Central Pacific Financial Corp.

     430        12,322  

Central Valley Community Bancorp

     23        480  

Century Bancorp, Inc., Class A

     8        604  

Citizens & Northern Corp.

     18        468  

City Holding Co.

     136        10,246  

Columbia Banking System, Inc.

     99        4,037  

Community Bank System, Inc.

     128        7,549  

Community Trust Bancorp, Inc.

     115        5,747  

East West Bancorp, Inc.

     12        759  

FCB Financial Holdings, Inc., Class A*

     232        13,612  

Financial Institutions, Inc.

     65        2,152  

First Bancorp

     29        1,166  

First BanCorp (Puerto Rico)*

     1,140        8,719  

First Citizens BancShares, Inc., Class A

     8        3,186  

First Commonwealth Financial Corp.

     1,143        17,731  

First Community Bancshares, Inc.

     57        1,810  

First Financial Bancorp

     287        8,804  

First Financial Bankshares, Inc.

     71        3,624  

First Financial Corp.

     20        884  

First Hawaiian, Inc.

     91        2,635  

First Interstate BancSystem, Inc., Class A

     95        4,007  

Flushing Financial Corp.

     138        3,589  

Glacier Bancorp, Inc.

     200        7,717  

Great Southern Bancorp, Inc.

     35        1,985  

Great Western Bancorp, Inc.

     98        4,132  

Hancock Whitney Corp.

     24        1,139  

Hilltop Holdings, Inc.

     229        5,058  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Banks — continued

     

Hope Bancorp, Inc.

     430        7,662  

Independent Bank Corp.

     52        1,316  

Investors Bancorp, Inc.

     916        11,717  

Lakeland Financial Corp.

     39        1,894  

Mercantile Bank Corp.

     18        658  

OFG Bancorp (Puerto Rico)

     530        7,445  

PacWest Bancorp

     140        6,904  

Preferred Bank

     17        1,020  

Republic Bancorp, Inc., Class A

     18        833  

S&T Bancorp, Inc.

     21        891  

South State Corp.

     7        591  

State Bank Financial Corp.

     54        1,807  

Stock Yards Bancorp, Inc.

     18        679  

Tompkins Financial Corp.

     21        1,795  

TriState Capital Holdings, Inc.*

     24        626  

Trustmark Corp.

     334        10,889  

UMB Financial Corp.

     210        15,970  

Umpqua Holdings Corp.

     555        12,544  

Union Bankshares Corp.

     347        13,502  

Washington Trust Bancorp, Inc.

     36        2,080  

Webster Financial Corp.

     105        6,695  

West Bancorp, Inc.

     12        306  

Westamerica Bancorp

     324        18,287  
    

 

 

  
       315,793  
    

 

 

  

Biotechnology — 2.2%

     

Acorda Therapeutics, Inc.*

     31        896  

Adamas Pharmaceuticals, Inc.*

     100        2,573  

AMAG Pharmaceuticals, Inc.*

     278        5,411  

Arcus Biosciences, Inc.*

     165        2,021  

Ardelyx, Inc.*

     296        1,094  

Arsanis, Inc.*

     46        167  

Bluebird Bio, Inc.*

     15        2,307  

Deciphera Pharmaceuticals, Inc.*

     123        4,832  

Enanta Pharmaceuticals, Inc.*

     41        4,787  

Epizyme, Inc.*

     79        1,065  

Fate Therapeutics, Inc.*

     285        3,235  

Five Prime Therapeutics, Inc.*

     151        2,394  

Iovance Biotherapeutics, Inc.*

     271        3,470  

MacroGenics, Inc.*

     8        155  

Radius Health, Inc.*

     35        1,029  

Rigel Pharmaceuticals, Inc.*

     327        925  

Sarepta Therapeutics, Inc.*

     17        2,194  

Syndax Pharmaceuticals, Inc.*

     166        1,165  

Tocagen, Inc.*

     242        2,256  
    

 

 

  
       41,976  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Building Products — 0.1%

     

Gibraltar Industries, Inc.*

     59        2,212  
    

 

 

  

Capital Markets — 1.0%

     

Arlington Asset Investment Corp., Class A

     41        421  

Associated Capital Group, Inc., Class A

     11        398  

GAMCO Investors, Inc., Class A

     18        476  

Oppenheimer Holdings, Inc., Class A

     65        1,831  

Stifel Financial Corp.

     153        7,984  

Virtus Investment Partners, Inc.

     60        7,677  
    

 

 

  
       18,787  
    

 

 

  

Chemicals — 1.1%

 

FutureFuel Corp.

     159        2,221  

Minerals Technologies, Inc.

     99        7,422  

Rayonier Advanced Materials, Inc.

     75        1,278  

Trinseo SA

     122        8,677  

Tronox Ltd., Class A

     70        1,374  
    

 

 

  
       20,972  
    

 

 

  

Commercial Services & Supplies — 2.0%

     

ACCO Brands Corp.

     1,367        18,930  

ARC Document Solutions, Inc.*

     251        444  

BrightView Holdings, Inc.*

     55        1,203  

Ennis, Inc.

     78        1,596  

Essendant, Inc.

     357        4,721  

Quad/Graphics, Inc.

     323        6,728  

VSE Corp.

     112        5,361  
    

 

 

  
       38,983  
    

 

 

  

Communications Equipment — 1.9%

 

Ciena Corp.*

     16        411  

Comtech Telecommunications Corp.

     33        1,065  

Infinera Corp.*

     116        1,155  

InterDigital, Inc.

     63        5,121  

NETGEAR, Inc.*

     58        3,631  

NetScout Systems, Inc.*

     838        24,874  

Ribbon Communications, Inc.*

     76        540  
    

 

 

  
       36,797  
    

 

 

  

Construction & Engineering — 1.6%

     

Argan, Inc.

     34        1,372  

EMCOR Group, Inc.

     253        19,304  

KBR, Inc.

     223        3,996  

MYR Group, Inc.*

     163        5,776  
    

 

 

  
       30,448  
    

 

 

  

Consumer Finance — 0.3%

     

Nelnet, Inc., Class A

     85        4,982  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Containers & Packaging — 0.3%

     

Graphic Packaging Holding Co.

     345        4,999  

Myers Industries, Inc.

     51        987  
    

 

 

  
       5,986  
    

 

 

  

Distributors — 0.1%

     

Funko, Inc., Class A*

     210        2,635  

Weyco Group, Inc.

     6        226  
    

 

 

  
       2,861  
    

 

 

  

Diversified Consumer Services — 0.8%

     

Houghton Mifflin Harcourt Co.*

     824        6,303  

K12, Inc.*

     250        4,094  

Regis Corp.*

     244        4,039  
    

 

 

  
       14,436  
    

 

 

  

Diversified Financial Services — 0.3%

     

Cannae Holdings, Inc.*

     211        3,922  

Marlin Business Services Corp.

     30        907  
    

 

 

  
       4,829  
    

 

 

  

Diversified Telecommunication Services — 0.5%

 

Frontier Communications Corp.

     1,018        5,457  

Windstream Holdings, Inc.*

     717        3,776  
    

 

 

  
       9,233  
    

 

 

  

Electric Utilities — 1.5%

     

El Paso Electric Co.

     242        14,296  

Portland General Electric Co.

     310        13,260  

Spark Energy, Inc., Class A

     88        860  
    

 

 

  
       28,416  
    

 

 

  

Electrical Equipment — 0.2%

     

Powell Industries, Inc.

     115        3,998  
    

 

 

  

Electronic Equipment, Instruments & Components — 4.0%

 

Bel Fuse, Inc., Class B

     190        3,967  

Benchmark Electronics, Inc.

     590        17,187  

Fabrinet (Thailand)*

     92        3,394  

Insight Enterprises, Inc.*

     86        4,183  

OSI Systems, Inc.*

     69        5,297  

Tech Data Corp.*

     206        16,917  

TTM Technologies, Inc.*

     351        6,187  

Vishay Intertechnology, Inc.

     852        19,755  
    

 

 

  
       76,887  
    

 

 

  

Energy Equipment & Services — 1.6%

     

Archrock, Inc.

     742        8,899  

FTS International, Inc.*

     136        1,931  

Natural Gas Services Group, Inc.*

     42        984  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         35  

Table of Contents

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Energy Equipment & Services — continued

     

Noble Corp. plc*

     1,552        9,826  

Unit Corp.*

     171        4,368  

US Silica Holdings, Inc.

     153        3,933  
    

 

 

  
       29,941  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 10.4%

 

Alexander & Baldwin, Inc.

     187        4,401  

American Assets Trust, Inc.

     159        6,103  

Apartment Investment & Management Co., Class A

     185        7,813  

Ashford Hospitality Trust, Inc.

     839        6,798  

Bluerock Residential Growth REIT, Inc.

     43        382  

Braemar Hotels & Resorts, Inc.

     277        3,160  

CBL & Associates Properties, Inc.

     339        1,891  

Cedar Realty Trust, Inc.

     257        1,215  

CorEnergy Infrastructure Trust, Inc.

     71        2,670  

CoreSite Realty Corp.

     78        8,622  

DCT Industrial Trust, Inc.

     173        11,539  

DiamondRock Hospitality Co.

     1,028        12,622  

EPR Properties

     32        2,067  

First Industrial Realty Trust, Inc.

     118        3,937  

Franklin Street Properties Corp.

     311        2,661  

GEO Group, Inc. (The)

     463        12,753  

Getty Realty Corp.

     137        3,858  

Gladstone Commercial Corp.

     69        1,317  

Government Properties Income Trust

     179        2,832  

Hersha Hospitality Trust

     159        3,404  

Highwoods Properties, Inc.

     28        1,415  

Hospitality Properties Trust

     149        4,272  

InfraREIT, Inc.

     378        8,387  

Kite Realty Group Trust

     114        1,947  

LaSalle Hotel Properties

     74        2,543  

LTC Properties, Inc.

     93        3,953  

Mack-Cali Realty Corp.

     398        8,065  

Pebblebrook Hotel Trust

     312        12,113  

Pennsylvania REIT

     417        4,578  

Piedmont Office Realty Trust, Inc., Class A

     481        9,576  

PotlatchDeltic Corp.

     35        1,795  

Preferred Apartment Communities, Inc., Class A

     186        3,162  

PS Business Parks, Inc.

     50        6,374  

RLJ Lodging Trust

     393        8,670  

Saul Centers, Inc.

     11        595  

Select Income

     68        1,530  

STAG Industrial, Inc.

     66        1,794  

Sunstone Hotel Investors, Inc.

     472        7,840  

Taubman Centers, Inc.

     13        752  

Urstadt Biddle Properties, Inc., Class A

     73        1,650  

Washington

     9        261  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Equity Real Estate Investment Trusts (REITs) — continued

 

Washington Prime Group, Inc.

     613        4,975  

Xenia Hotels & Resorts, Inc.

     186        4,524  
    

 

 

  
       200,816  
    

 

 

  

Food & Staples Retailing — 0.0% (a)

     

United Natural Foods, Inc.*

     7        299  
    

 

 

  

Food Products — 0.5%

 

Darling Ingredients, Inc.*

     495        9,831  

Dean Foods Co.

     55        579  
    

 

 

  
       10,410  
    

 

 

  

Gas Utilities — 1.6%

     

Northwest Natural Gas Co.

     210        13,385  

Southwest Gas Holdings, Inc.

     141        10,777  

Spire, Inc.

     85        6,012  
    

 

 

  
       30,174  
    

 

 

  

Health Care Equipment & Supplies — 0.4%

     

AngioDynamics, Inc.*

     213        4,739  

FONAR Corp.*

     37        990  

Meridian Bioscience, Inc.

     178        2,829  
    

 

 

  
       8,558  
    

 

 

  

Health Care Providers & Services — 2.8%

     

American Renal Associates Holdings, Inc.*

     316        4,988  

Community Health Systems, Inc.*

     1,593        5,290  

Cross Country Healthcare, Inc.*

     65        735  

LifePoint Health, Inc.*

     238        11,595  

Molina Healthcare, Inc.*

     84        8,256  

Owens & Minor, Inc.

     460        7,693  

Patterson Cos., Inc.

     130        2,938  

Tivity Health, Inc.*

     43        1,521  

Triple-S Management Corp., Class B (Puerto Rico)*

     180        7,027  

WellCare Health Plans, Inc.*

     15        3,570  
    

 

 

  
       53,613  
    

 

 

  

Health Care Technology — 0.2%

     

Allscripts Healthcare Solutions, Inc.*

     399        4,784  
    

 

 

  

Hotels, Restaurants & Leisure — 2.5%

 

Brinker International, Inc.

     181        8,635  

Penn National Gaming, Inc.*

     318        10,672  

Pinnacle Entertainment, Inc.*

     601        20,278  

Ruth’s Hospitality Group, Inc.

     256        7,191  

Speedway Motorsports, Inc.

     38        663  
    

 

 

  
       47,439  
    

 

 

  

Household Durables — 2.3%

     

AV Homes, Inc.*

     28        593  

Beazer Homes USA, Inc.*

     582        8,580  

Hamilton Beach Brands Holding Co., Class A

     93        2,696  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Household Durables — continued

     

Helen of Troy Ltd.*

     26        2,589  

Hovnanian Enterprises, Inc., Class A*

     2,409        3,926  

KB Home

     737        20,078  

TRI Pointe Group, Inc.*

     377        6,168  
    

 

 

  
       44,630  
    

 

 

  

Household Products — 0.2%

     

Central Garden & Pet Co., Class A*

     98        3,966  
    

 

 

  

Independent Power and Renewable Electricity Producers — 1.3%

 

Atlantic Power Corp.*

     1,980        4,357  

Pattern Energy Group, Inc., Class A

     260        4,877  

Vistra Energy Corp.*

     693        16,388  
    

 

 

  
       25,622  
    

 

 

  

Insurance — 4.1%

     

Argo Group International Holdings Ltd.

     71        4,100  

CNO Financial Group, Inc.

     768        14,619  

Global Indemnity Ltd. (Cayman Islands)

     11        425  

Hallmark Financial Services, Inc.*

     69        686  

HCI Group, Inc.

     32        1,318  

Heritage Insurance Holdings, Inc.

     564        9,408  

Horace Mann Educators Corp.

     97        4,317  

Infinity Property & Casualty Corp.

     8        1,181  

MBIA, Inc.*

     1,219        11,022  

Navigators Group, Inc. (The)

     55        3,118  

Primerica, Inc.

     178        17,749  

ProAssurance Corp.

     123        4,364  

Third Point Reinsurance Ltd. (Bermuda)*

     370        4,619  

Universal Insurance Holdings, Inc.

     53        1,857  
    

 

 

  
       78,783  
    

 

 

  

Internet & Direct Marketing Retail — 0.7%

     

Liberty Expedia Holdings, Inc., Class A*

     135        5,923  

Liberty TripAdvisor Holdings, Inc., Class A*

     454        7,313  
    

 

 

  
       13,236  
    

 

 

  

Internet Software & Services — 0.1%

     

Nutanix, Inc., Class A*

     42        2,171  
    

 

 

  

IT Services — 1.9%

     

Convergys Corp.

     795        19,440  

Perficient, Inc.*

     203        5,350  

Travelport Worldwide Ltd.

     263        4,874  

Unisys Corp.*

     577        7,438  
    

 

 

  
       37,102  
    

 

 

  

Machinery — 2.4%

     

AGCO Corp.

     89        5,428  

Briggs & Stratton Corp.

     144        2,532  

Douglas Dynamics, Inc.

     254        12,168  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Machinery — continued

     

Graham Corp.

     24        622  

Harsco Corp.*

     206        4,550  

Hurco Cos., Inc.

     43        1,902  

Kadant, Inc.

     57        5,481  

LB Foster Co., Class A*

     31        716  

Wabash National Corp.

     723        13,488  
    

 

 

  
       46,887  
    

 

 

  

Marine — 0.4%

     

Costamare, Inc. (Monaco)

     945        7,545  
    

 

 

  

Media — 1.5%

     

Eros International plc (India)*

     178        2,311  

Gannett Co., Inc.

     1,056        11,298  

Hemisphere Media Group, Inc.*

     345        4,521  

MSG Networks, Inc., Class A*

     105        2,508  

New Media Investment Group, Inc.

     256        4,725  

tronc, Inc.*

     219        3,786  
    

 

 

  
       29,149  
    

 

 

  

Metals & Mining — 2.0%

     

Carpenter Technology Corp.

     157        8,264  

Kaiser Aluminum Corp.

     102        10,578  

Schnitzer Steel Industries, Inc., Class A

     48        1,614  

SunCoke Energy, Inc.*

     358        4,794  

Warrior Met Coal, Inc.

     156        4,293  

Worthington Industries, Inc.

     220        9,212  
    

 

 

  
       38,755  
    

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 2.1%

 

AG Mortgage Investment Trust, Inc.

     88        1,657  

ARMOUR Residential REIT, Inc.

     111        2,528  

Capstead Mortgage Corp.

     1,419        12,702  

Cherry Hill Mortgage Investment Corp.

     145        2,584  

CYS Investments, Inc.

     1,374        10,302  

Dynex Capital, Inc.

     368        2,404  

Invesco Mortgage Capital, Inc.

     511        8,128  
    

 

 

  
       40,305  
    

 

 

  

Multiline Retail — 1.3%

     

BJ’s Wholesale Club Holdings, Inc.*

     92        2,171  

Dillard’s, Inc., Class A

     251        23,682  
    

 

 

  
       25,853  
    

 

 

  

Multi-Utilities — 1.1%

     

Avista Corp.

     233        12,270  

NorthWestern Corp.

     123        7,053  

Unitil Corp.

     20        1,031  
    

 

 

  
       20,354  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         37  

Table of Contents

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Oil, Gas & Consumable Fuels — 5.1%

     

Arch Coal, Inc., Class A

     126        9,914  

Delek US Holdings, Inc.

     347        17,429  

Denbury Resources, Inc.*

     2,996        14,410  

EP Energy Corp., Class A*

     1,751        5,251  

Gulfport Energy Corp.*

     905        11,370  

HighPoint Resources Corp.*

     634        3,855  

NACCO Industries, Inc., Class A

     45        1,525  

PDC Energy, Inc.*

     165        9,980  

REX American Resources Corp.*

     153        12,364  

Sanchez Energy Corp.*

     367        1,657  

Ship Finance International Ltd. (Norway)

     109        1,627  

W&T Offshore, Inc.*

     1,121        8,016  
    

 

 

  
       97,398  
    

 

 

  

Paper & Forest Products — 1.0%

     

Domtar Corp.

     93        4,440  

Louisiana-Pacific Corp.

     17        460  

Schweitzer-Mauduit International, Inc.

     212        9,286  

Verso Corp., Class A*

     219        4,768  
    

 

 

  
       18,954  
    

 

 

  

Pharmaceuticals — 0.8%

     

Amphastar Pharmaceuticals, Inc.*

     38        583  

Dermira, Inc.*

     88        810  

Intra-Cellular Therapies, Inc.*

     160        2,827  

Medicines Co. (The)*

     109        3,997  

MyoKardia, Inc.*

     46        2,284  

Prestige Brands Holdings, Inc.*

     152        5,845  
    

 

 

  
       16,346  
    

 

 

  

Professional Services — 2.6%

     

Acacia Research Corp.*

     139        575  

Barrett Business Services, Inc.

     105        10,152  

CRA International, Inc.

     26        1,298  

FTI Consulting, Inc.*

     369        22,329  

Huron Consulting Group, Inc.*

     206        8,437  

ICF International, Inc.

     40        2,828  

TrueBlue, Inc.*

     173        4,649  
    

 

 

  
       50,268  
    

 

 

  

Road & Rail — 0.9%

     

ArcBest Corp.

     249        11,370  

Covenant Transportation Group, Inc., Class A*

     41        1,279  

YRC Worldwide, Inc.*

     458        4,598  
    

 

 

  
       17,247  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Semiconductors & Semiconductor Equipment — 1.9%

 

Amkor Technology, Inc.*

     703        6,035  

Cirrus Logic, Inc.*

     243        9,295  

Cypress Semiconductor Corp.

     563        8,770  

Rambus, Inc.*

     570        7,152  

Xperi Corp.

     358        5,770  
    

 

 

  
       37,022  
    

 

 

  

Software — 1.5%

     

Fair Isaac Corp.*

     65        12,604  

MicroStrategy, Inc., Class A*

     30        3,783  

Progress Software Corp.

     239        9,271  

Synchronoss Technologies, Inc.*

     264        1,631  

TiVo Corp.

     92        1,233  
    

 

 

  
       28,522  
    

 

 

  

Specialty Retail — 2.1%

     

Cato Corp. (The), Class A

     139        3,422  

Chico’s FAS, Inc.

     176        1,434  

Children’s Place, Inc. (The)

     105        12,696  

Hibbett Sports, Inc.*

     280        6,417  

Murphy USA, Inc.*

     112        8,343  

Office Depot, Inc.

     1,073        2,737  

Party City Holdco, Inc.*

     52        798  

Pier 1 Imports, Inc.

     146        347  

Sally Beauty Holdings, Inc.*

     243        3,890  
    

 

 

  
       40,084  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.1%

     

Deckers Outdoor Corp.*

     64        7,214  

Movado Group, Inc.

     252        12,157  

Perry Ellis International, Inc.*

     51        1,391  
    

 

 

  
       20,762  
    

 

 

  

Thrifts & Mortgage Finance — 3.5%

     

BankFinancial Corp.

     128        2,266  

Beneficial Bancorp, Inc.

     1,074        17,399  

Charter Financial Corp.

     232        5,600  

First Defiance Financial Corp.

     32        2,159  

Meridian Bancorp, Inc.

     292        5,586  

Northfield Bancorp, Inc.

     598        9,934  

Oritani Financial Corp.

     26        420  

Radian Group, Inc.

     104        1,689  

Territorial Bancorp, Inc.

     15        459  

United Community Financial Corp.

     40        438  

United Financial Bancorp, Inc.

     91        1,594  

Walker & Dunlop, Inc.

     127        7,079  

Washington Federal, Inc.

     331        10,814  

Waterstone Financial, Inc.

     83        1,417  

WSFS Financial Corp.

     18        981  
    

 

 

  
       67,835  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Tobacco — 0.5%

     

Universal Corp.

     105        6,922  

Vector Group Ltd.

     186        3,545  
    

 

 

  
       10,467  
    

 

 

  

Trading Companies & Distributors — 1.2%

     

DXP Enterprises, Inc.*

     128        4,890  

MRC Global, Inc.*

     585        12,672  

Titan Machinery, Inc.*

     352        5,467  
    

 

 

  
       23,029  
    

 

 

  

Water Utilities — 0.4%

     

American States Water Co.

     133        7,614  

California Water Service Group

     19        720  
    

 

 

  
       8,334  
    

 

 

  

Total Common Stocks
(Cost $1,410,319)

        1,915,626  
  

 

 

  
     NO. OF
WARRANTS
(000)		          

Warrants — 0.0%

     

Consumer Finance — 0.0%

     

Emergent Capital, Inc. expiring 10/1/2019, price 10.75*‡
(Cost $—)

     3        —  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 1.3%

     

Investment Companies — 1.3%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (b) (c) (Cost $25,875)

     25,875        25,875  
    

 

 

  

Total Investments — 100.7%
(Cost $1,436,194)

        1,941,501  

Liabilities in Excess of
Other Assets — (0.7%)

        (13,219 ) 
  

 

 

  

NET ASSETS — 100.0%

      $ 1,928,282  
  

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		        EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

                         

Russell 2000 E-Mini Index

        175          09/2018          USD          14,416          (241 ) 
                        

 

 

  
                           (241 ) 
                        

 

 

  

Abbreviations

REIT

   Real Estate Investment Trust

USD

   United States Dollar
(a)  

   Amount rounds to less than 0.05% of net assets.

(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.

(c)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

‡  

   Value determined using significant unobservable inputs.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         39  

Table of Contents

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 96.2%

     

Aerospace & Defense — 0.5%

     

Curtiss-Wright Corp.

     61        7,296  

Moog, Inc., Class A

     30        2,300  
    

 

 

  
       9,596  
    

 

 

  

Auto Components — 0.6%

     

Stoneridge, Inc.*

     311        10,939  
    

 

 

  

Banks — 8.2%

     

1st Source Corp.

     50        2,681  

BancFirst Corp.

     155        9,152  

BancorpSouth Bank

     205        6,765  

Banner Corp.

     329        19,765  

Cadence BanCorp

     14        393  

Cathay General Bancorp

     80        3,251  

Central Pacific Financial Corp.

     264        7,555  

Central Valley Community Bancorp

     19        396  

Citizens & Northern Corp.

     21        535  

City Holding Co.

     51        3,844  

CVB Financial Corp.

     331        7,430  

East West Bancorp, Inc.

     3        211  

FCB Financial Holdings, Inc., Class A*

     247        14,494  

First Commonwealth Financial Corp.

     335        5,202  

First Community Bancshares, Inc.

     22        714  

First Financial Bancorp

     87        2,658  

First Hawaiian, Inc.

     74        2,147  

First Interstate BancSystem, Inc., Class A

     54        2,275  

Flushing Financial Corp.

     68        1,772  

Great Western Bancorp, Inc.

     26        1,109  

Guaranty Bancorp

     34        1,010  

Heritage Financial Corp.

     73        2,547  

Hope Bancorp, Inc.

     164        2,923  

Independent Bank Corp.

     11        823  

Independent Bank Corp.

     96        2,435  

Investors Bancorp, Inc.

     225        2,880  

National Bank Holdings Corp., Class A

     19        720  

OFG Bancorp (Puerto Rico)

     186        2,612  

PacWest Bancorp

     55        2,708  

People’s United Financial, Inc.

     112        2,026  

Sierra Bancorp

     23        655  

Simmons First National Corp., Class A

     95        2,851  

Southside Bancshares, Inc.

     16        543  

TCF Financial Corp.

     206        5,082  

Trustmark Corp.

     71        2,307  

UMB Financial Corp.

     50        3,789  

Union Bankshares Corp.

     40        1,559  

Webster Financial Corp.

     48        3,064  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Banks — continued

     

West Bancorp, Inc.

     33        825  

Westamerica Bancorp

     204        11,534  
    

 

 

  
       145,242  
    

 

 

  

Biotechnology — 7.7%

     

ACADIA Pharmaceuticals, Inc.*

     80        1,219  

Achillion Pharmaceuticals, Inc.*

     836        2,365  

Aimmune Therapeutics, Inc.*

     112        3,004  

Alder Biopharmaceuticals, Inc.*

     251        3,966  

AMAG Pharmaceuticals, Inc.*

     363        7,082  

Amicus Therapeutics, Inc.*

     342        5,339  

Aptinyx, Inc.*

     136        3,277  

Arena Pharmaceuticals, Inc.*

     104        4,541  

Biohaven Pharmaceutical Holding Co. Ltd.*

     102        4,015  

Bluebird Bio, Inc.*

     18        2,747  

Cara Therapeutics, Inc.*

     161        3,083  

Clovis Oncology, Inc.*

     62        2,833  

CytomX Therapeutics, Inc.*

     117        2,675  

Eagle Pharmaceuticals, Inc.*

     28        2,096  

Flexion Therapeutics, Inc.*

     120        3,112  

Forty Seven, Inc.*

     87        1,394  

Global Blood Therapeutics, Inc.*

     122        5,496  

Homology Medicines, Inc.*

     140        2,848  

La Jolla Pharmaceutical Co.*

     111        3,247  

Mersana Therapeutics, Inc.*

     131        2,345  

MiMedx Group, Inc.*

     382        2,438  

Myriad Genetics, Inc.*

     191        7,123  

NewLink Genetics Corp.*

     406        1,934  

Novavax, Inc.*

     1,701        2,279  

Puma Biotechnology, Inc.*

     81        4,773  

REGENXBIO, Inc.*

     98        7,010  

Sangamo Therapeutics, Inc.*

     67        954  

Sarepta Therapeutics, Inc.*

     62        8,142  

Selecta Biosciences, Inc.*

     247        3,273  

Seres Therapeutics, Inc.*

     347        2,986  

Solid Biosciences, Inc.*

     144        5,138  

Spark Therapeutics, Inc.*

     67        5,520  

Synergy Pharmaceuticals, Inc.*

     1,111        1,934  

TG Therapeutics, Inc.*

     242        3,176  

Vanda Pharmaceuticals, Inc.*

     243        4,637  

Voyager Therapeutics, Inc.*

     185        3,607  

Xencor, Inc.*

     132        4,878  
    

 

 

  
       136,486  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Building Products — 1.4%

     

Continental Building Products, Inc.*

     431        13,604  

Gibraltar Industries, Inc.*

     118        4,425  

Masonite International Corp.*

     95        6,790  
    

 

 

  
       24,819  
    

 

 

  

Capital Markets — 1.1%

     

BrightSphere Investment Group plc

     53        749  

Evercore, Inc., Class A

     31        3,258  

Houlihan Lokey, Inc.

     135        6,889  

MarketAxess Holdings, Inc.

     28        5,560  

Stifel Financial Corp.

     23        1,197  

Virtus Investment Partners, Inc.

     17        2,162  
    

 

 

  
       19,815  
    

 

 

  

Chemicals — 1.7%

     

FutureFuel Corp.

     185        2,593  

Minerals Technologies, Inc.

     104        7,829  

OMNOVA Solutions, Inc.*

     240        2,491  

PolyOne Corp.

     39        1,686  

Sensient Technologies Corp.

     31        2,189  

Trinseo SA

     195        13,864  
    

 

 

  
       30,652  
    

 

 

  

Commercial Services & Supplies — 2.0%

     

ACCO Brands Corp.

     1,198        16,598  

ARC Document Solutions, Inc.*

     17        30  

BrightView Holdings, Inc.*

     50        1,100  

Deluxe Corp.

     99        6,561  

Ennis, Inc.

     281        5,710  

Essendant, Inc.

     56        746  

Interface, Inc.

     61        1,395  

VSE Corp.

     90        4,300  
    

 

 

  
       36,440  
    

 

 

  

Communications Equipment — 2.1%

     

InterDigital, Inc.

     164        13,243  

NetScout Systems, Inc.*

     814        24,184  
    

 

 

  
       37,427  
    

 

 

  

Construction & Engineering — 1.6%

     

EMCOR Group, Inc.

     297        22,656  

MasTec, Inc.*

     51        2,588  

MYR Group, Inc.*

     99        3,514  
    

 

 

  
       28,758  
    

 

 

  

Consumer Finance — 0.6%

 

Credit Acceptance Corp.*

     9        3,145  

Green Dot Corp., Class A*

     43        3,127  

Nelnet, Inc., Class A

     67        3,937  
    

 

 

  
       10,209  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Containers & Packaging — 0.5%

     

Graphic Packaging Holding Co.

     630        9,140  

Myers Industries, Inc.

     29        561  
    

 

 

  
       9,701  
    

 

 

  

Distributors — 0.1%

     

Funko, Inc., Class A*

     176        2,207  

Weyco Group, Inc.

     11        397  
    

 

 

  
       2,604  
    

 

 

  

Diversified Consumer Services — 0.3%

     

Houghton Mifflin Harcourt Co.*

     789        6,034  
    

 

 

  

Diversified Telecommunication Services — 0.6%

 

Frontier Communications Corp.

     1,194        6,399  

Windstream Holdings, Inc.*

     832        4,383  
    

 

 

  
       10,782  
    

 

 

  

Electric Utilities — 1.0%

     

El Paso Electric Co.

     97        5,733  

PNM Resources, Inc.

     72        2,785  

Portland General Electric Co.

     171        7,295  

Spark Energy, Inc., Class A

     139        1,357  
    

 

 

  
       17,170  
    

 

 

  

Electrical Equipment — 0.9%

     

Generac Holdings, Inc.*

     260        13,460  

Powell Industries, Inc.

     85        2,947  
    

 

 

  
       16,407  
    

 

 

  

Electronic Equipment, Instruments & Components — 3.0%

 

Bel Fuse, Inc., Class B

     21        447  

Benchmark Electronics, Inc.

     290        8,465  

ePlus, Inc.*

     79        7,415  

Knowles Corp.*

     214        3,271  

OSI Systems, Inc.*

     110        8,491  

Tech Data Corp.*

     103        8,450  

TTM Technologies, Inc.*

     147        2,597  

Vishay Intertechnology, Inc.

     581        13,468  
    

 

 

  
       52,604  
    

 

 

  

Energy Equipment & Services — 0.8%

     

Archrock, Inc.

     308        3,696  

FTS International, Inc.*

     127        1,810  

Natural Gas Services Group, Inc.*

     50        1,168  

RigNet, Inc.*

     87        891  

SEACOR Holdings, Inc.*

     28        1,604  

Unit Corp.*

     114        2,916  

US Silica Holdings, Inc.

     59        1,516  
    

 

 

  
       13,601  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         41  

Table of Contents

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Equity Real Estate Investment Trusts (REITs) — 5.3%

 

Alexander & Baldwin, Inc.

     42        980  

American Assets Trust, Inc.

     89        3,396  

Ashford Hospitality Trust, Inc.

     594        4,815  

CBL & Associates Properties, Inc.

     97        538  

CorEnergy Infrastructure Trust, Inc.

     50        1,869  

CoreSite Realty Corp.

     128        14,174  

CubeSmart

     64        2,056  

DCT Industrial Trust, Inc.

     77        5,108  

DiamondRock Hospitality Co.

     543        6,665  

EastGroup Properties, Inc.

     42        3,975  

EPR Properties

     5        292  

Equity LifeStyle Properties, Inc.

     24        2,233  

First Industrial Realty Trust, Inc.

     48        1,584  

Franklin Street Properties Corp.

     82        700  

GEO Group, Inc. (The)

     354        9,744  

Gladstone Commercial Corp.

     19        357  

Government Properties Income Trust

     26        404  

Hersha Hospitality Trust

     220        4,717  

Highwoods Properties, Inc.

     36        1,801  

Hospitality Properties Trust

     97        2,772  

InfraREIT, Inc.

     28        625  

LTC Properties, Inc.

     100        4,270  

Mack-Cali Realty Corp.

     86        1,734  

National Retail Properties, Inc.

     12        527  

Pebblebrook Hotel Trust

     74        2,860  

Pennsylvania

     50        551  

PotlatchDeltic Corp.

     30        1,520  

PS Business Parks, Inc.

     24        3,084  

Ramco-Gershenson Properties Trust

     175        2,312  

RLJ Lodging Trust

     152        3,343  

Saul Centers, Inc.

     47        2,491  

Taubman Centers, Inc.

     32        1,851  

Xenia Hotels & Resorts, Inc.

     40        974  
    

 

 

  
       94,322  
    

 

 

  

Food & Staples Retailing — 0.2%

     

Ingles Markets, Inc., Class A

     86        2,722  
    

 

 

  

Food Products — 1.4%

 

Darling Ingredients, Inc.*

     735        14,602  

Dean Foods Co.

     244        2,568  

Pilgrim’s Pride Corp.*

     156        3,148  

Post Holdings, Inc.*

     23        2,004  

Sanderson Farms, Inc.

     20        2,103  

Seneca Foods Corp., Class A*

     19        510  
    

 

 

  
       24,935  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Gas Utilities — 0.3%

     

Northwest Natural Gas Co.

     24        1,550  

Southwest Gas Holdings, Inc.

     48        3,684  
    

 

 

  
       5,234  
    

 

 

  

Health Care Equipment & Supplies — 2.1%

     

AngioDynamics, Inc.*

     284        6,311  

Integer Holdings Corp.*

     243        15,684  

Lantheus Holdings, Inc.*

     75        1,094  

Meridian Bioscience, Inc.

     209        3,315  

NuVasive, Inc.*

     96        5,014  

Orthofix International NV*

     46        2,614  

OrthoPediatrics Corp.*

     38        1,007  

Utah Medical Products, Inc.

     18        1,994  
    

 

 

  
       37,033  
    

 

 

  

Health Care Providers & Services — 4.4%

     

Civitas Solutions, Inc.*

     328        5,382  

Community Health Systems, Inc.*

     294        976  

Cross Country Healthcare, Inc.*

     379        4,268  

Molina Healthcare, Inc.*

     192        18,756  

Owens & Minor, Inc.

     112        1,878  

RadNet, Inc.*

     127        1,911  

Surgery Partners, Inc.*

     134        1,994  

Tenet Healthcare Corp.*

     549        18,423  

Tivity Health, Inc.*

     411        14,457  

Triple-S Management Corp., Class B (Puerto Rico)*

     208        8,140  

WellCare Health Plans, Inc.*

     7        1,699  
    

 

 

  
       77,884  
    

 

 

  

Health Care Technology — 0.2%

     

Allscripts Healthcare Solutions, Inc.*

     328        3,937  
    

 

 

  

Hotels, Restaurants & Leisure — 3.5%

 

Bloomin’ Brands, Inc.

     886        17,803  

Brinker International, Inc.

     160        7,611  

Penn National Gaming, Inc.*

     401        13,466  

Pinnacle Entertainment, Inc.*

     654        22,060  

Speedway Motorsports, Inc.

     79        1,373  
    

 

 

  
       62,313  
    

 

 

  

Household Durables — 2.5%

     

AV Homes, Inc.*

     45        972  

Beazer Homes USA, Inc.*

     333        4,909  

Hamilton Beach Brands Holding Co., Class A

     106        3,079  

Hovnanian Enterprises, Inc., Class A*

     1,860        3,031  

KB Home

     538        14,652  

Lifetime Brands, Inc.

     17        218  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Household Durables — continued

     

Taylor Morrison Home Corp., Class A*

     714        14,843  

TRI Pointe Group, Inc.*

     116        1,898  
    

 

 

  
       43,602  
    

 

 

  

Independent Power and Renewable Electricity Producers — 1.0%

 

Atlantic Power Corp.*

     1,790        3,938  

Pattern Energy Group, Inc., Class A

     133        2,496  

Vistra Energy Corp.*

     491        11,627  
    

 

 

  
       18,061  
    

 

 

  

Insurance — 2.1%

     

Ambac Financial Group, Inc.*

     15        294  

CNO Financial Group, Inc.

     284        5,400  

First American Financial Corp.

     52        2,689  

Global Indemnity Ltd. (Cayman Islands)

     19        737  

Kemper Corp.

     29        2,194  

Kinsale Capital Group, Inc.

     64        3,489  

MBIA, Inc.*

     486        4,390  

Navigators Group, Inc. (The)

     79        4,486  

Primerica, Inc.

     82        8,177  

ProAssurance Corp.

     63        2,247  

Third Point Reinsurance Ltd. (Bermuda)*

     102        1,272  

Universal Insurance Holdings, Inc.

     57        2,015  
    

 

 

  
       37,390  
    

 

 

  

Internet & Direct Marketing Retail — 1.1%

 

Liberty Expedia Holdings, Inc., Class A*

     188        8,243  

Liberty TripAdvisor Holdings, Inc., Class A*

     240        3,864  

Shutterfly, Inc.*

     73        6,599  
    

 

 

  
       18,706  
    

 

 

  

Internet Software & Services — 1.6%

     

Box, Inc., Class A*

     72        1,787  

Care.com, Inc.*

     98        2,036  

DocuSign, Inc.*

     39        2,060  

NIC, Inc.

     218        3,391  

Nutanix, Inc., Class A*

     73        3,765  

SendGrid, Inc.*

     14        376  

Web.com Group, Inc.*

     586        15,140  
    

 

 

  
       28,555  
    

 

 

  

IT Services — 2.5%

     

Convergys Corp.

     311        7,589  

CSG Systems International, Inc.

     9        352  

Euronet Worldwide, Inc.*

     24        2,036  

EVERTEC, Inc. (Puerto Rico)

     31        686  

Perficient, Inc.*

     316        8,322  

Science Applications International Corp.

     109        8,829  

Switch, Inc., Class A

     45        550  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

IT Services — continued

     

Travelport Worldwide Ltd.

     593        10,992  

Unisys Corp.*

     419        5,399  
    

 

 

  
       44,755  
    

 

 

  

Life Sciences Tools & Services — 0.4%

     

Luminex Corp.

     78        2,288  

Medpace Holdings, Inc.*

     92        3,939  
    

 

 

  
       6,227  
    

 

 

  

Machinery — 3.3%

     

Actuant Corp., Class A

     199        5,844  

Briggs & Stratton Corp.

     304        5,350  

Douglas Dynamics, Inc.

     246        11,822  

FreightCar America, Inc.

     36        603  

Graham Corp.

     34        877  

Harsco Corp.*

     143        3,151  

Hillenbrand, Inc.

     185        8,709  

Kadant, Inc.

     67        6,423  

LB Foster Co., Class A*

     22        503  

Meritor, Inc.*

     22        461  

Wabash National Corp.

     770        14,368  
    

 

 

  
       58,111  
    

 

 

  

Media — 1.8%

     

Entravision Communications Corp., Class A

     226        1,132  

Eros International plc (India)*

     227        2,956  

Gannett Co., Inc.

     869        9,294  

Hemisphere Media Group, Inc.*

     231        3,022  

MSG Networks, Inc., Class A*

     158        3,784  

New Media Investment Group, Inc.

     119        2,207  

Sinclair Broadcast Group, Inc., Class A

     201        6,465  

tronc, Inc.*

     176        3,035  
    

 

 

  
       31,895  
    

 

 

  

Metals & Mining — 0.8%

     

Kaiser Aluminum Corp.

     63        6,590  

SunCoke Energy, Inc.*

     44        583  

Worthington Industries, Inc.

     162        6,787  
    

 

 

  
       13,960  
    

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 1.1%

 

Capstead Mortgage Corp.

     921        8,242  

Cherry Hill Mortgage Investment Corp.

     48        848  

CYS Investments, Inc.

     1,044        7,832  

Dynex Capital, Inc.

     40        263  

Invesco Mortgage Capital, Inc.

     183        2,902  
    

 

 

  
       20,087  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         43  

Table of Contents

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Multiline Retail — 0.4%

 

BJ’s Wholesale Club Holdings, Inc.*

     85        1,998  

Dillard’s, Inc., Class A

     52        4,886  
    

 

 

  
       6,884  
    

 

 

  

Oil, Gas & Consumable Fuels — 3.7%

     

Adams Resources & Energy, Inc.

     14        585  

Arch Coal, Inc., Class A

     54        4,259  

Delek US Holdings, Inc.

     242        12,156  

Denbury Resources, Inc.*

     985        4,737  

Dorian LPG Ltd.*

     6        45  

EP Energy Corp., Class A*

     761        2,284  

Gulfport Energy Corp.*

     802        10,085  

HighPoint Resources Corp.*

     398        2,422  

NACCO Industries, Inc., Class A

     53        1,792  

PDC Energy, Inc.*

     53        3,180  

REX American Resources Corp.*

     159        12,834  

Sanchez Energy Corp.*

     306        1,384  

W&T Offshore, Inc.*

     1,444        10,325  
    

 

 

  
       66,088  
    

 

 

  

Paper & Forest Products — 0.2%

     

Domtar Corp.

     38        1,809  

Verso Corp., Class A*

     75        1,639  
    

 

 

  
       3,448  
    

 

 

  

Personal Products — 0.3%

     

Herbalife Nutrition Ltd.*

     33        1,794  

Medifast, Inc.

     13        2,018  

USANA Health Sciences, Inc.*

     19        2,214  
    

 

 

  
       6,026  
    

 

 

  

Pharmaceuticals — 2.6%

     

Endo International plc*

     1,070        10,088  

Horizon Pharma plc*

     333        5,518  

Mallinckrodt plc*

     785        14,644  

Menlo Therapeutics, Inc.*

     94        763  

Paratek Pharmaceuticals, Inc.*

     273        2,788  

Prestige Brands Holdings, Inc.*

     179        6,866  

Reata Pharmaceuticals, Inc., Class A*

     118        4,130  

resTORbio, Inc.*

     69        631  
    

 

 

  
       45,428  
    

 

 

  

Professional Services — 2.0%

     

Acacia Research Corp.*

     219        908  

Barrett Business Services, Inc.

     170        16,439  

Huron Consulting Group, Inc.*

     199        8,127  

TrueBlue, Inc.*

     151        4,080  

WageWorks, Inc.*

     121        6,055  
    

 

 

  
       35,609  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Road & Rail — 0.4%

     

ArcBest Corp.

     94        4,305  

Covenant Transportation Group, Inc., Class A*

     28        885  

Schneider National, Inc., Class B

     49        1,334  

YRC Worldwide, Inc.*

     118        1,190  
    

 

 

  
       7,714  
    

 

 

  

Semiconductors & Semiconductor Equipment — 2.8%

 

Advanced Energy Industries, Inc.*

     24        1,394  

Amkor Technology, Inc.*

     644        5,530  

Cirrus Logic, Inc.*

     195        7,482  

Cohu, Inc.

     35        865  

Entegris, Inc.

     133        4,516  

Rambus, Inc.*

     899        11,273  

Silicon Laboratories, Inc.*

     17        1,723  

Synaptics, Inc.*

     141        7,102  

Xperi Corp.

     571        9,187  
    

 

 

  
       49,072  
    

 

 

  

Software — 5.0%

     

ACI Worldwide, Inc.*

     82        2,020  

Aspen Technology, Inc.*

     232        21,553  

Carbon Black, Inc.*

     25        655  

Domo, Inc., Class B*

     143        3,893  

Fair Isaac Corp.*

     78        15,060  

Manhattan Associates, Inc.*

     41        1,923  

MicroStrategy, Inc., Class A*

     17        2,146  

Pivotal Software, Inc., Class A*

     112        2,726  

Pluralsight, Inc., Class A*

     300        7,330  

Progress Software Corp.

     399        15,481  

Proofpoint, Inc.*

     36        4,186  

Smartsheet, Inc., Class A*

     180        4,682  

Synchronoss Technologies, Inc.*

     988        6,097  

Zix Corp.*

     374        2,018  
    

 

 

  
       89,770  
    

 

 

  

Specialty Retail — 2.9%

     

American Eagle Outfitters, Inc.

     309        7,180  

Asbury Automotive Group, Inc.*

     77        5,271  

Children’s Place, Inc. (The)

     98        11,826  

Murphy USA, Inc.*

     61        4,547  

Pier 1 Imports, Inc.

     920        2,189  

RH*

     108        15,074  

Sleep Number Corp.*

     203        5,879  
    

 

 

  
       51,966  
    

 

 

  

Technology Hardware, Storage & Peripherals — 0.1%

 

Electronics For Imaging, Inc.*

     30        990  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Textiles, Apparel & Luxury Goods — 1.2%

     

Crocs, Inc.*

     242        4,265  

Movado Group, Inc.

     194        9,365  

Perry Ellis International, Inc.*

     61        1,666  

Wolverine World Wide, Inc.

     189        6,585  
    

 

 

  
       21,881  
    

 

 

  

Thrifts & Mortgage Finance — 2.5%

     

BankFinancial Corp.

     86        1,518  

Beneficial Bancorp, Inc.

     639        10,356  

Capitol Federal Financial, Inc.

     19        243  

Charter Financial Corp.

     56        1,357  

First Defiance Financial Corp.

     18        1,221  

Meridian Bancorp, Inc.

     491        9,410  

MGIC Investment Corp.*

     211        2,257  

NMI Holdings, Inc., Class A*

     98        1,596  

Northfield Bancorp, Inc.

     528        8,769  

Radian Group, Inc.

     55        890  

Walker & Dunlop, Inc.

     123        6,862  
    

 

 

  
       44,479  
    

 

 

  

Trading Companies & Distributors — 1.3%

     

Applied Industrial Technologies, Inc.

     70        4,925  

DXP Enterprises, Inc.*

     125        4,775  

MRC Global, Inc.*

     417        9,043  

Titan Machinery, Inc.*

     300        4,671  
    

 

 

  
       23,414  
    

 

 

  
INVESTMENTS   SHARES
(000)		     VALUE
($000)		  
   

Water Utilities — 0.5%

    

American States Water Co.

     160       9,134  
   

 

 

  

Total Common Stocks
(Cost $1,351,421)

       1,710,918  
 

 

 

  
    

NO. OF
WARRANTS

(000)

         

Warrants — 0.0%

    

Consumer Finance — 0.0%

    

Emergent Capital, Inc. expiring 10/1/2019, price 10.75*‡
(Cost $—)

     — (a)      —  
   

 

 

  
     SHARES
(000)		         

Short-Term Investments — 3.7%

 

Investment Companies — 3.7%

    

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (b) (c)
(Cost $65,468)

     65,468       65,468  
   

 

 

  

Total Investments — 99.9%
(Cost $1,416,889)

       1,776,386  

Other Assets Less
Liabilities — 0.1%

       2,460  
 

 

 

  

NET ASSETS — 100.0%

     $ 1,778,846  
 

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		      EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

                         
Russell 2000 E-Mini Index      752        09/2018          USD          61,946          (1,239 ) 
                        

 

 

  
                           (1,239 ) 
                        

 

 

  

Abbreviations

REIT

   Real Estate Investment Trust

USD

   United States Dollar
(a)  

   Amount rounds to less than one thousand.

(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.

(c)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

‡  

   Value determined using significant unobservable inputs.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         45  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018

(Amounts in thousands, except per share amounts)

 

       

JPMorgan Small

Cap Blend Fund

(formerly known
as JPMorgan
Dynamic Small
Cap Growth
Fund)

      JPMorgan
Small Cap
Core Fund		      JPMorgan
Small Cap
Equity Fund		  

ASSETS:

           

Investments in non-affiliates, at value

      $ 214,133      $ 304,416      $ 6,510,544  

Investments in affiliates, at value

        5,211        11,474        354,263  

Cash

        1        37        —  

Deposits at broker for futures contracts

        —        440        —  

Receivables:

           

Investment securities sold

        145        156        20,248  

Fund shares sold

        707        382        7,972  

Dividends from non-affiliates

        101        264        5,955  

Dividends from affiliates

        8        10        415  
    

 

 

     

 

 

     

 

 

  

Total Assets

        220,306        317,179        6,899,397  
    

 

 

     

 

 

     

 

 

  

LIABILITIES:

           

Payables:

           

Investment securities purchased

        948        2,720        52,619  

Fund shares redeemed

        306        375        12,642  

Variation margin on futures contracts

        —        9        —  

Accrued liabilities:

           

Investment advisory fees

        114        130        3,599  

Administration fees

        10        —        435  

Distribution fees

        43        2        321  

Service fees

        41        14        886  

Custodian and accounting fees

        5        10        30  

Trustees’ and Chief Compliance Officer’s fees

        — (a)       — (a)       —  

Other

        82        99        626  
    

 

 

     

 

 

     

 

 

  

Total Liabilities

        1,549        3,359        71,158  
    

 

 

     

 

 

     

 

 

  

Net Assets

      $ 218,757      $ 313,820      $ 6,828,239  
    

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
       

JPMorgan Small

Cap Blend Fund

(formerly known
as JPMorgan
Dynamic Small
Cap Growth
Fund)

        JPMorgan
Small Cap
Core Fund		      JPMorgan
Small Cap
Equity Fund		  

NET ASSETS:

             

Paid-in-Capital

      $ 113,573        $ 221,941      $ 4,538,654  

Accumulated undistributed (distributions in excess of) net investment income

        (889 )         532        10,932  

Accumulated net realized gains (losses)

        47,130          12,363        171,047  

Net unrealized appreciation (depreciation)

        58,943          78,984        2,107,606  
    

 

 

       

 

 

     

 

 

  

Total Net Assets

      $ 218,757        $ 313,820      $ 6,828,239  
    

 

 

       

 

 

     

 

 

  

Net Assets:

             

Class A

      $ 85,586        $ 4,624      $ 1,095,395  

Class C

        40,470          1,816        143,030  

Class I

        92,701          15,557        2,868,739  

Class R2

        —          24        12,133  

Class R3

        —          24        2,542  

Class R4

        —          1,536        624  

Class R5

        —          223,933        1,255,251  

Class R6

        —          66,306        1,450,525  
    

 

 

       

 

 

     

 

 

  

Total

      $ 218,757        $ 313,820      $ 6,828,239  
    

 

 

       

 

 

     

 

 

  

Outstanding units of beneficial interest (shares)

             

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

             

Class A

        3,211          81        20,891  

Class C

        2,035          32        3,656  

Class I

        3,037          271        47,402  

Class R2

        —          — (a)       236  

Class R3

        —          — (a)       49  

Class R4

        —          27        10  

Class R5

        —          3,886        20,682  

Class R6

        —          1,152        23,903  

Net Asset Value (b):

             

Class A — Redemption price per share

      $ 26.65        $ 57.16      $ 52.43  

Class C — Offering price per share (c)

        19.89          56.67        39.12  

Class I — Offering and redemption price per share

        30.53          57.44        60.52  

Class R2 — Offering and redemption price per share

        —          57.32        51.44  

Class R3 — Offering and redemption price per share

        —          57.40        52.13  

Class R4 — Offering and redemption price per share

        —          57.48        60.42  

Class R5 — Offering and redemption price per share

        —          57.63        60.69  

Class R6 — Offering and redemption price per share

        —          57.55        60.68  

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)]

      $ 28.13        $ 60.33      $ 55.34  
    

 

 

       

 

 

     

 

 

  

Cost of investments in non-affiliates

      $ 155,190        $ 225,362      $ 4,402,938  

Cost of investments in affiliates

        5,211          11,474        354,263  

 

(a)

Amount rounds to less than one thousand.

(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, 2018   J.P. MORGAN SMALL CAP FUNDS         47  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018 (continued)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Small Cap
Growth Fund		      JPMorgan
Small Cap
Value Fund		       

JPMorgan
U.S. Small
Company
Fund

  

ASSETS:

             

Investments in non-affiliates, at value

      $ 2,152,419      $ 1,915,626        $ 1,710,918  

Investments in affiliates, at value

        52,237        25,875          65,468  

Cash

        —        356          198  

Deposits at broker for futures contracts

        —        997          2,605  

Receivables:

             

Investment securities sold

        55,743        11,012          12,876  

Fund shares sold

        7,926        863          3,077  

Dividends from non-affiliates

        710        3,297          1,583  

Dividends from affiliates

        87        46          44  
    

 

 

     

 

 

       

 

 

  

Total Assets

        2,269,122        1,958,072          1,796,769  
    

 

 

     

 

 

       

 

 

  

LIABILITIES:

             

Payables:

             

Due to custodian

        1        —          —  

Investment securities purchased

        12,765        17,999          12,452  

Fund shares redeemed

        64,852        10,018          3,814  

Variation margin on futures contracts

        —        38          120  

Accrued liabilities:

             

Investment advisory fees

        1,118        1,024          885  

Administration fees

        104        120          119  

Distribution fees

        108        110          97  

Service fees

        163        158          194  

Custodian and accounting fees

        10        15          14  

Trustees’ and Chief Compliance Officer’s fees

        — (a)       —          — (a) 

Other

        89        308          228  
    

 

 

     

 

 

       

 

 

  

Total Liabilities

        79,210        29,790          17,923  
    

 

 

     

 

 

       

 

 

  

Net Assets

      $ 2,189,912      $ 1,928,282        $ 1,778,846  
    

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Small Cap
Growth Fund		        JPMorgan
Small Cap
Value Fund		       

JPMorgan
U.S. Small
Company
Fund

  

NET ASSETS:

               

Paid-in-Capital

      $ 1,346,885        $ 1,344,204        $ 1,333,562  

Accumulated undistributed (distributions in excess of) net investment income

        (4,513 )         2,058          870  

Accumulated net realized gains (losses)

        212,449          76,954          86,156  

Net unrealized appreciation (depreciation)

        635,091          505,066          358,258  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 2,189,912        $ 1,928,282        $ 1,778,846  
    

 

 

       

 

 

       

 

 

  

Net Assets:

               

Class A

      $ 337,933        $ 336,054        $ 210,050  

Class C

        43,116          25,885          45,633  

Class I

        268,082          336,366          433,317  

Class L

        434,286          —          554,361  

Class R2

        31,569          45,300          49,715  

Class R3

        446          12,948          17,655  

Class R4

        726          102          5,773  

Class R5

        28,656          131,506          6,491  

Class R6

        1,045,098          1,040,121          455,851  
    

 

 

       

 

 

       

 

 

  

Total

      $ 2,189,912        $ 1,928,282        $ 1,778,846  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

               

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

               

Class A

        18,315          11,048          10,716  

Class C

        3,183          1,027          2,440  

Class I

        13,173          10,432          21,607  

Class L

        20,726          —          27,654  

Class R2

        1,770          1,504          2,586  

Class R3

        24          426          906  

Class R4

        39          3          289  

Class R5

        1,367          4,076          324  

Class R6

        49,400          32,202          22,718  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 18.45        $ 30.42        $ 19.60  

Class C — Offering price per share (b)

        13.55          25.21          18.70  

Class I — Offering and redemption price per share

        20.35          32.25          20.05  

Class L — Offering and redemption price per share

        20.95          —          20.05  

Class R2 — Offering and redemption price per share

        17.84          30.13          19.22  

Class R3 — Offering and redemption price per share

        18.45          30.38          19.50  

Class R4 — Offering and redemption price per share

        18.50          32.21          19.98  

Class R5 — Offering and redemption price per share

        20.96          32.26          20.01  

Class R6 — Offering and redemption price per share

        21.16          32.30          20.07  

Class A maximum sales charge

        5.25 %         5.25 %         5.25 % 

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

      $ 19.47        $ 32.11        $ 20.69  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 1,517,328        $ 1,410,319        $ 1,351,421  

Cost of investments in affiliates

        52,237          25,875          65,468  

 

(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, 2018   J.P. MORGAN SMALL CAP FUNDS         49  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

(Amounts in thousands)

 

       

JPMorgan Small

Cap Blend Fund

(formerly known
as JPMorgan
Dynamic Small
Cap Growth
Fund)

      JPMorgan
Small Cap
Core Fund		      JPMorgan
Small Cap
Equity Fund		  

INVESTMENT INCOME:

           

Interest income from non-affiliates

      $ —      $ 1      $ —  

Interest income from affiliates

        — (a)       — (a)       3  

Dividend income from non-affiliates

        819        3,253        88,850  

Dividend income from affiliates

        46        76        3,290  
    

 

 

     

 

 

     

 

 

  

Total investment income

        865        3,330        92,143  
    

 

 

     

 

 

     

 

 

  

EXPENSES:

           

Investment advisory fees

        1,299        1,683        41,785  

Administration fees

        162        210        5,224  

Distribution fees:

           

Class A

        188        8        2,717  

Class C

        289        11        1,145  

Class R2 (b)

        —        — (a)       66  

Class R3 (b)

        —        — (a)       6  

Service fees:

           

Class A

        188        8        2,717  

Class C

        96        4        382  

Class I

        216        35        6,620  

Class R2 (b)

        —        — (a)       33  

Class R3 (b)

        —        — (a)       5  

Class R4 (b)

        —        2        1  

Class R5

        —        201        1,222  

Custodian and accounting fees

        32        49        173  

Interest expense to affiliates

        — (a)       —        —  

Professional fees

        62        67        123  

Trustees’ and Chief Compliance Officer’s fees

        26        26        44  

Printing and mailing costs

        1        39        472  

Registration and filing fees

        50        159        362  

Transfer agency fees (See Note 2.D.)

        32        11        203  

Other

        10        15        97  
    

 

 

     

 

 

     

 

 

  

Total expenses

        2,651        2,528        63,397  
    

 

 

     

 

 

     

 

 

  

Less fees waived

        (197 )       (435 )       (1,744 ) 

Less earnings credits

        —        —        — (a) 

Less expense reimbursements

        —        — (a)       (16 ) 
    

 

 

     

 

 

     

 

 

  

Net expenses

        2,454        2,093        61,637  
    

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        (1,589 )       1,237        30,506  
    

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

           

Net realized gain (loss) on transactions from:

           

Investments in non-affiliates

        67,803        17,141        239,434  

Futures contracts

        —        1,577        —  
    

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

        67,803        18,718        239,434  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

           

Investments in non-affiliates

        (5,489 )       24,578        609,763  

Futures contracts

        —        (82 )       —  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        (5,489 )       24,496        609,763  
    

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        62,314        43,214        849,197  
    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 60,725      $ 44,451      $ 879,703  
    

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Small Cap Core Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Small Cap
Growth Fund		        JPMorgan
Small Cap
Value Fund		     

JPMorgan
U.S. Small
Company
Fund

  

INVESTMENT INCOME:

             

Interest income from non-affiliates

      $ —        $ 5      $ 11  

Interest income from affiliates

        1          — (a)       1  

Dividend income from non-affiliates

        6,303          38,428        21,275  

Dividend income from affiliates

        454          387        468  
    

 

 

       

 

 

     

 

 

  

Total investment income

        6,758          38,820        21,755  
    

 

 

       

 

 

     

 

 

  

EXPENSES:

             

Investment advisory fees

        10,649          12,975        10,572  

Administration fees

        1,331          1,623        1,432  

Distribution fees:

             

Class A

        619          1,015        556  

Class C

        205          235        354  

Class R2

        135          279        253  

Class R3 (b)

        1          33        34  

Service fees:

             

Class A

        619          1,015        556  

Class C

        68          78        118  

Class I

        436          874        1,023  

Class L

        369          —        633  

Class R2

        67          140        126  

Class R3 (b)

        1          33        34  

Class R4 (b)

        1          — (a)       9  

Class R5

        5          130        2  

Custodian and accounting fees

        63          92        81  

Professional fees

        82          79        72  

Trustees’ and Chief Compliance Officer’s fees

        30          32        31  

Printing and mailing costs

        130          149        176  

Registration and filing fees

        187          170        174  

Transfer agency fees (See Note 2.D.)

        93          322        106  

Other

        38          56        35  
    

 

 

       

 

 

     

 

 

  

Total expenses

        15,129          19,330        16,377  
    

 

 

       

 

 

     

 

 

  

Less fees waived

        (493 )         (622 )       (88 ) 

Less expense reimbursements

        (8 )         (29 )       (1 ) 
    

 

 

       

 

 

     

 

 

  

Net expenses

        14,628          18,679        16,288  
    

 

 

       

 

 

     

 

 

  

Net investment income (loss)

        (7,870 )         20,141        5,467  
    

 

 

       

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

             

Net realized gain (loss) on transactions from:

             

Investments in non-affiliates

        300,478          109,907        139,495  

Futures contracts

        —          5,710        5,500  
    

 

 

       

 

 

     

 

 

  

Net realized gain (loss)

        300,478          115,617        144,995  
    

 

 

       

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

             

Investments in non-affiliates

        197,385          84,504        112,419  

Futures contracts

        —          (82 )       (1,133 ) 
    

 

 

       

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        197,385          84,422        111,286  
    

 

 

       

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        497,863          200,039        256,281  
    

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 489,993        $ 220,180      $ 261,748  
    

 

 

       

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Small Cap Growth Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         51  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Small Cap Blend Fund
(formerly known as JPMorgan
Dynamic Small Cap Growth Fund)		        JPMorgan Small Cap Core Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                  

Net investment income (loss)

      $ (1,589 )       $ (1,258 )       $ 1,237      $ 759  

Net realized gain (loss)

        67,803          23,961          18,718        20,916  

Change in net unrealized appreciation/depreciation

        (5,489 )         25,078          24,496        21,541  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

        60,725          47,781          44,451        43,216  
    

 

 

       

 

 

       

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                  

Class A

                  

From net investment income

        —          —          (1 )       — (a) 

From net realized gains

        (8,120 )         (8,616 )         (251 )       (7 ) 

Class C

                  

From net investment income

        —          —          —        — (a) 

From net realized gains

        (5,253 )         (6,161 )         (108 )       (5 ) 

Class I (b)

                  

From net investment income

        —          —          (74 )       —  

From net realized gains

        (8,033 )         (8,471 )         (1,801 )       —  

Class R2 (c)

                  

From net investment income

        —          —          — (a)       —  

From net realized gains

        —          —          (2 )       —  

Class R3 (c)

                  

From net investment income

        —          —          — (a)       —  

From net realized gains

        —          —          (2 )       —  

Class R4 (c)

                  

From net investment income

        —          —          — (a)       —  

From net realized gains

        —          —          (2 )       —  

Class R5

                  

From net investment income

        —          —          (626 )       (599 ) 

From net realized gains

        —          —          (15,051 )       (17,764 ) 

Class R6

                  

From net investment income

        —          —          (134 )       — (a) 

From net realized gains

        —          —          (2,773 )       (2 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Total distributions to shareholders

        (21,406 )         (23,248 )         (20,825 )       (18,377 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

                  

Change in net assets resulting from capital transactions

        9,046          (7,047 )         79,449        21,270  
    

 

 

       

 

 

       

 

 

     

 

 

  

NET ASSETS:

                  

Change in net assets

        48,365          17,486          103,075        46,109  

Beginning of period

        170,392          152,906          210,745        164,636  
    

 

 

       

 

 

       

 

 

     

 

 

  

End of period

      $ 218,757        $ 170,392        $ 313,820      $ 210,745  
    

 

 

       

 

 

       

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (889 )       $ (669 )       $ 532      $ 184  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective January 3, 2017 for JPMorgan Small Cap Core Fund.

(c)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Small Cap Core Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Small Cap Equity Fund      JPMorgan Small Cap Growth Fund  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                

Net investment income (loss)

      $ 30,506      $ 27,722      $ (7,870 )       $ (5,008 ) 

Net realized gain (loss)

        239,434        265,294        300,478          83,723  

Change in net unrealized appreciation/depreciation

        609,763        631,255        197,385          264,591  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

        879,703        924,271        489,993          343,306  
    

 

 

     

 

 

     

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                

Class A

                

From net investment income

        (2,285 )       (3,188 )       —          —  

From net realized gains

        (60,347 )       (32,659 )       (17,975 )         (6,279 ) 

Class C

                

From net investment income

        —        (479 )       —          —  

From net realized gains

        (10,709 )       (5,074 )       (2,339 )         (877 ) 

Class I

                

From net investment income

        (10,544 )       (9,633 )       —          —  

From net realized gains

        (124,367 )       (53,162 )       (11,269 )         (3,529 ) 

Class L

                

From net realized gains

        —        —        (23,301 )         (9,811 ) 

Class R2

                

From net investment income

        (5 )       (23 )       —          —  

From net realized gains

        (780 )       (276 )       (2,118 )         (772 ) 

Class R3 (a)

                

From net investment income

        (15 )       — (b)       —          —  

From net realized gains

        (124 )       (1 )       (2 )         —  

Class R4 (a)

                

From net investment income

        — (b)       — (b)       —          —  

From net realized gains

        (4 )       — (b)       (2 )         —  

Class R5 (c)

                

From net investment income

        (7,451 )       (5,428 )       —          —  

From net realized gains

        (58,657 )       (25,600 )       (152 )         (28 ) 

Class R6

                

From net investment income

        (9,002 )       (3,830 )       —          —  

From net realized gains

        (65,340 )       (15,853 )       (54,605 )         (15,304 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

        (349,630 )       (155,206 )       (111,763 )         (36,600 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                

Change in net assets resulting from capital transactions

        9,723        2,070,448        495,754          (27,916 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

NET ASSETS:

                

Change in net assets

        539,796        2,839,513        873,984          278,790  

Beginning of period

        6,288,443        3,448,930        1,315,928          1,037,138  
    

 

 

     

 

 

     

 

 

       

 

 

  

End of period

      $ 6,828,239      $ 6,288,443      $ 2,189,912        $ 1,315,928  
    

 

 

     

 

 

     

 

 

       

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 10,932      $ 13,011      $ (4,513 )       $ (2,738 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Small Cap Equity Fund and July 31, 2017 for JPMorgan Small Cap Growth Fund.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Small Cap Growth Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         53  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Small Cap Value Fund      JPMorgan U.S. Small Company Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                  

Net investment income (loss)

      $ 20,141        $ 13,280      $ 5,467        $ 4,809  

Net realized gain (loss)

        115,617          104,303        144,995          97,982  

Change in net unrealized appreciation/depreciation

        84,422          216,461        111,286          175,814  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

        220,180          334,044        261,748          278,605  
    

 

 

       

 

 

     

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                  

Class A

                  

From net investment income

        (3,065 )         (2,556 )       —          (192 ) 

From net realized gains

        (23,065 )         (390 )       (13,966 )         (15 ) 

Class C

                  

From net investment income

        (167 )         (124 )       —          —  

From net realized gains

        (1,985 )         (36 )       (3,080 )         (3 ) 

Class I

                  

From net investment income

        (3,303 )         (1,795 )       (744 )         (967 ) 

From net realized gains

        (19,875 )         (217 )       (25,022 )         (19 ) 

Class L

                  

From net investment income

        —          —        (2,189 )         (3,751 ) 

From net realized gains

        —          —        (42,243 )         (45 ) 

Class R2

                  

From net investment income

        (338 )         (181 )       —          —  

From net realized gains

        (3,399 )         (37 )       (3,249 )         (2 ) 

Class R3 (a)

                  

From net investment income

        (100 )         (2 )       (26 )         — (b) 

From net realized gains

        (686 )         — (b)       (846 )         — (b) 

Class R4 (a)

                  

From net investment income

        (1 )         — (b)       (15 )         — (b) 

From net realized gains

        (5 )         — (b)       (255 )         — (b) 

Class R5 (c)

                  

From net investment income

        (1,348 )         (730 )       (1 )         — (b) 

From net realized gains

        (6,986 )         (73 )       (17 )         — (b) 

Class R6

                  

From net investment income

        (11,435 )         (6,792 )       (1,594 )         (1,045 ) 

From net realized gains

        (54,340 )         (552 )       (22,188 )         (11 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

        (130,098 )         (13,485 )       (115,435 )         (6,050 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                  

Change in net assets resulting from capital transactions

        (277,003 )         41,312        (119,140 )         155,806  
    

 

 

       

 

 

     

 

 

       

 

 

  

NET ASSETS:

                  

Change in net assets

        (186,921 )         361,871        27,173          428,361  

Beginning of period

        2,115,203          1,753,332        1,751,673          1,323,312  
    

 

 

       

 

 

     

 

 

       

 

 

  

End of period

      $ 1,928,282        $ 2,115,203      $ 1,778,846        $ 1,751,673  
    

 

 

       

 

 

     

 

 

       

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 2,058        $ 2,857      $ 870        $ 823  
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan U.S. Small Company Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Small Cap Blend Fund
(formerly known as JPMorgan
Dynamic Small Cap Growth Fund)		        JPMorgan Small Cap Core Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 15,940        $ 11,085        $ 2,760        $ 2,255  

Distributions reinvested

        5,772          6,122          252          7  

Cost of shares redeemed

        (17,025 )         (16,068 )         (922 )         (154 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 4,687        $ 1,139        $ 2,090        $ 2,108  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 11,682        $ 11,882        $ 795        $ 1,055  

Distributions reinvested

        349          888          108          5  

Cost of shares redeemed

        (14,448 )         (12,954 )         (223 )         (93 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (2,417 )       $ (184 )       $ 680        $ 967  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I (a)

                    

Proceeds from shares issued

      $ 49,518        $ 15,936        $ 33,484        $ 3,813  

Distributions reinvested

        7,882          8,203          1,875          —  

Cost of shares redeemed

        (50,624 )         (32,141 )         (23,067 )         (391 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 6,776        $ (8,002 )       $ 12,292        $ 3,422  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2 (b)

                    

Proceeds from shares issued

      $ —        $ —        $ 20        $ —  

Distributions reinvested

        —          —          2          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ —        $ —        $ 22        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R3 (b)

                   

Proceeds from shares issued

      $ —        $ —        $ 20        $ —  

Distributions reinvested

        —          —          2          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ —        $ —        $ 22        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R4 (b)

                   

Proceeds from shares issued

      $ —        $ —        $ 1,555        $ —  

Distributions reinvested

        —          —          2          —  

Cost of shares redeemed

        —          —          (107 )         —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ —        $ —        $ 1,450        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Proceeds from shares issued

      $ —        $ —        $ 51,871        $ 38,644  

Distributions reinvested

        —          —          14,939          15,729  

Cost of shares redeemed

        —          —          (49,890 )         (55,810 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ —        $ —        $ 16,920        $ (1,437 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ —        $ —        $ 46,416        $ 16,336  

Distributions reinvested

        —          —          2,907          2  

Cost of shares redeemed

        —          —          (3,350 )         (128 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ —        $ —        $ 45,973        $ 16,210  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 9,046        $ (7,047 )       $ 79,449        $ 21,270  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective January 3, 2017 for JPMorgan Small Cap Core Fund.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Small Cap Core Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         55  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Small Cap Blend Fund
(formerly known as JPMorgan
Dynamic Small Cap Growth Fund)		        JPMorgan Small Cap Core Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

                  

Class A

                  

Issued

        656          554          51        44  

Reinvested

        255          331          5        — (a) 

Redeemed

        (705 )         (784 )         (17 )       (3 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        206          101          39        41  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class C

                  

Issued

        657          773          14        21  

Reinvested

        21          62          2        — (a) 

Redeemed

        (787 )         (793 )         (4 )       (2 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        (109 )         42          12        19  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class I (b)

                  

Issued

        1,801          694          598        75  

Reinvested

        305          395          35        —  

Redeemed

        (1,787 )         (1,422 )         (429 )       (8 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class I Shares

        319          (333 )         204        67  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R2 (c)

                  

Issued

        —          —          — (a)       —  

Reinvested

        —          —          — (a)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R2 Shares

        —          —          — (a)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R3 (c)

                 

Issued

        —          —          — (a)       —  

Reinvested

        —          —          — (a)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R3 Shares

        —          —          — (a)       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R4 (c)

                 

Issued

        —          —          29        —  

Reinvested

        —          —          — (a)       —  

Redeemed

        —          —          (2 )       —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R4 Shares

        —          —          27        —  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R5

                  

Issued

        —          —          952        766  

Reinvested

        —          —          281        316  

Redeemed

        —          —          (904 )       (1,110 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        —          —          329        (28 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R6

                  

Issued

        —          —          840        320  

Reinvested

        —          —          55        — (a) 

Redeemed

        —          —          (62 )       (2 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        —          —          833        318  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective January 3, 2017 for JPMorgan Small Cap Core Fund.

(c)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Small Cap Core Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Small Cap Equity Fund      JPMorgan Small Cap Growth Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                  

Class A

                  

Proceeds from shares issued

      $ 261,260        $ 712,876      $ 143,219        $ 44,992  

Distributions reinvested

        58,136          33,701        16,796          5,928  

Cost of shares redeemed

        (442,597 )         (501,564 )       (73,782 )         (82,003 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (123,201 )       $ 245,013      $ 86,233        $ (31,083 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class C

                  

Proceeds from shares issued

      $ 6,912        $ 102,287      $ 27,470        $ 4,659  

Distributions reinvested

        10,428          5,234        2,267          747  

Cost of shares redeemed

        (54,198 )         (23,821 )       (12,373 )         (7,991 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (36,858 )       $ 83,700      $ 17,364        $ (2,585 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class I

                  

Proceeds from shares issued

      $ 728,118        $ 1,796,080      $ 214,425        $ 43,698  

Distributions reinvested

        127,579          56,261        10,622          3,134  

Cost of shares redeemed

        (923,843 )         (712,211 )       (107,938 )         (66,724 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (68,146 )       $ 1,140,130      $ 117,109        $ (19,892 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class L

                  

Proceeds from shares issued

      $ —        $ —      $ 174,119        $ 143,110  

Distributions reinvested

        —          —        21,436          8,911  

Cost of shares redeemed

        —          —        (208,654 )         (142,376 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class L capital transactions

      $ —        $ —      $ (13,099 )       $ 9,645  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R2

                  

Proceeds from shares issued

      $ 4,488        $ 11,048      $ 7,304        $ 3,047  

Distributions reinvested

        397          156        2,045          749  

Cost of shares redeemed

        (6,823 )         (4,834 )       (7,260 )         (7,190 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (1,938 )       $ 6,370      $ 2,089        $ (3,394 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R3 (a)

                  

Proceeds from shares issued

      $ 3,244        $ 100      $ 430        $ —  

Distributions reinvested

        138          1        2          —  

Cost of shares redeemed

        (1,138 )         — (b)       (42 )         —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 2,244        $ 101      $ 390        $ —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R4 (a)

                 

Proceeds from shares issued

      $ 634        $ 68      $ 698        $ —  

Distributions reinvested

        4          — (b)       2          —  

Cost of shares redeemed

        (89 )         (12 )       (40 )         —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 549        $ 56      $ 660        $ —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R5 (c)

                  

Proceeds from shares issued

      $ 199,217        $ 537,839      $ 27,789        $ 2,006  

Distributions reinvested

        60,149          28,546        152          28  

Cost of shares redeemed

        (374,064 )         (825,391 )       (1,442 )         (1,033 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (114,698 )       $ (259,006 )     $ 26,499        $ 1,001  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R6

                  

Proceeds from shares issued

      $ 631,942        $ 956,921      $ 505,197        $ 97,840  

Distributions reinvested

        74,202          19,663        54,603          15,303  

Cost of shares redeemed

        (354,373 )         (122,500 )       (301,291 )         (94,751 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 351,771        $ 854,084      $ 258,509        $ 18,392  
    

 

 

       

 

 

     

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 9,723        $ 2,070,448      $ 495,754        $ (27,916 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Small Cap Equity Fund and July 31, 2017 for JPMorgan Small Cap Growth Fund.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Small Cap Growth Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         57  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Small Cap Equity Fund      JPMorgan Small Cap Growth Fund  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

              

Class A

              

Issued

        5,187        15,821        8,439        3,363  

Reinvested

        1,180        733        1,070        476  

Redeemed

        (8,823 )       (10,880 )       (4,457 )       (6,238 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class A Shares

        (2,456 )       5,674        5,052        (2,399 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class C

              

Issued

        183        2,965        2,182        448  

Reinvested

        283        149        196        79  

Redeemed

        (1,432 )       (671 )       (1,007 )       (782 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class C Shares

        (966 )       2,443        1,371        (255 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class I

              

Issued

        12,557        34,733        11,500        2,997  

Reinvested

        2,241        1,069        615        231  

Redeemed

        (16,281 )       (13,483 )       (5,782 )       (4,614 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class I Shares

        (1,483 )       22,319        6,333        (1,386 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class L

              

Issued

        —        —        9,322        9,579  

Reinvested

        —        —        1,206        640  

Redeemed

        —        —        (11,497 )       (9,866 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class L Shares

        —        —        (969 )       353  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

              

Issued

        91        248        448        236  

Reinvested

        8        3        135        62  

Redeemed

        (137 )       (106 )       (451 )       (568 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R2 Shares

        (38 )       145        132        (270 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R3 (a)

              

Issued

        66        2        26        —  

Reinvested

        3        — (b)       — (b)       —  

Redeemed

        (22 )       — (b)       (2 )       —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R3 Shares

        47        2        24        —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R4 (a)

             

Issued

        11        1        41        —  

Reinvested

        — (b)       — (b)       — (b)       —  

Redeemed

        (2 )       — (b)       (2 )       —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R4 Shares

        9        1        39        —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R5 (c)

              

Issued

        3,448        10,246        1,360        137  

Reinvested

        1,052        541        8        2  

Redeemed

        (6,519 )       (16,447 )       (72 )       (68 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R5 Shares

        (2,019 )       (5,660 )       1,296        71  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R6

              

Issued

        11,211        18,906        26,133        6,529  

Reinvested

        1,298        372        3,044        1,091  

Redeemed

        (6,135 )       (2,294 )       (15,867 )       (6,293 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R6 Shares

        6,374        16,984        13,310        1,327  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Small Cap Equity Fund and July 31, 2017 for JPMorgan Small Cap Growth Fund.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Small Cap Growth Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Small Cap Value Fund      JPMorgan U.S. Small Company Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                  

Class A

                  

Proceeds from shares issued

      $ 60,386        $ 164,312      $ 44,296        $ 110,173  

Distributions reinvested

        23,733          2,757        12,503          184  

Cost of shares redeemed

        (280,733 )         (295,769 )       (109,587 )         (135,423 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (196,614 )       $ (128,700 )     $ (52,788 )       $ (25,066 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class C

                  

Proceeds from shares issued

      $ 2,007        $ 6,479      $ 6,012        $ 13,089  

Distributions reinvested

        2,038          145        2,725          3  

Cost of shares redeemed

        (19,425 )         (14,435 )       (16,485 )         (17,634 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (15,380 )       $ (7,811 )     $ (7,748 )       $ (4,542 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class I

                  

Proceeds from shares issued

      $ 110,534        $ 154,661      $ 100,489        $ 151,877  

Distributions reinvested

        23,006          1,883        24,711          921  

Cost of shares redeemed

        (156,637 )         (126,507 )       (113,460 )         (113,193 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (23,097 )       $ 30,037      $ 11,740        $ 39,605  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class L

                  

Proceeds from shares issued

      $ —        $ —      $ 99,730        $ 318,606  

Distributions reinvested

        —          —        40,197          3,378  

Cost of shares redeemed

        —          —        (346,397 )         (322,926 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class L capital transactions

      $ —        $ —      $ (206,470 )       $ (942 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R2

                  

Proceeds from shares issued

      $ 15,183        $ 27,657      $ 15,072        $ 24,052  

Distributions reinvested

        3,488          203        2,439          2  

Cost of shares redeemed

        (35,329 )         (23,402 )       (23,258 )         (13,867 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (16,658 )       $ 4,458      $ (5,747 )       $ 10,187  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R3 (a)

                  

Proceeds from shares issued

      $ 9,713        $ 15,085      $ 8,039        $ 9,868  

Distributions reinvested

        786          2        870          — (b) 

Cost of shares redeemed

        (11,467 )         (1,818 )       (1,973 )         (478 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ (968 )       $ 13,269      $ 6,936        $ 9,390  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R4 (a)

                 

Proceeds from shares issued

      $ 55        $ 37      $ 5,108        $ 862  

Distributions reinvested

        6          — (b)       270          — (b) 

Cost of shares redeemed

        (1 )         —        (677 )         (81 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 60        $ 37      $ 4,701        $ 781  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R5 (c)

                  

Proceeds from shares issued

      $ 34,935        $ 74,810      $ 6,329        $ 142  

Distributions reinvested

        7,845          736        18          — (b) 

Cost of shares redeemed

        (48,118 )         (59,662 )       (398 )         — (b) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (5,338 )       $ 15,884      $ 5,949        $ 142  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R6

                  

Proceeds from shares issued

      $ 210,275        $ 310,196      $ 189,990        $ 178,533  

Distributions reinvested

        65,764          7,344        23,112          1,023  

Cost of shares redeemed

        (295,047 )         (203,402 )       (88,815 )         (53,305 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ (19,008 )       $ 114,138      $ 124,287        $ 126,251  
    

 

 

       

 

 

     

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ (277,003 )       $ 41,312      $ (119,140 )       $ 155,806  
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan U.S. Small Company Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         59  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Small Cap Value Fund      JPMorgan U.S. Small Company Fund  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

                

Class A

                

Issued

        2,050        5,807        2,384          6,362  

Reinvested

        822        95        690          10  

Redeemed

        (9,593 )       (10,507 )       (5,894 )         (7,832 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class A Shares

        (6,721 )       (4,605 )       (2,820 )         (1,460 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Class C

                

Issued

        81        269        337          773  

Reinvested

        85        6        157          — (a) 

Redeemed

        (783 )       (608 )       (924 )         (1,055 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class C Shares

        (617 )       (333 )       (430 )         (282 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Class I

                

Issued

        3,529        5,207        5,279          8,467  

Reinvested

        752        62        1,332          50  

Redeemed

        (5,046 )       (4,216 )       (5,956 )         (6,374 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class I Shares

        (765 )       1,053        655          2,143  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class L

                

Issued

        —        —        5,276          18,258  

Reinvested

        —        —        2,166          181  

Redeemed

        —        —        (18,304 )         (18,084 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class L Shares

        —        —        (10,862 )         355  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class R2

                

Issued

        522        979        827          1,399  

Reinvested

        122        7        137          — (a) 

Redeemed

        (1,223 )       (835 )       (1,270 )         (814 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class R2 Shares

        (579 )       151        (306 )         585  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class R3 (b)

                

Issued

        325        520        434          557  

Reinvested

        27        — (a)       48          — (a) 

Redeemed

        (385 )       (61 )       (106 )         (27 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class R3 Shares

        (33 )       459        376          530  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class R4 (b)

                

Issued

        2        1        266          47  

Reinvested

        — (a)       — (a)       15          — (a) 

Redeemed

        — (a)       —        (35 )         (4 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class R4 Shares

        2        1        246          43  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class R5 (c)

                

Issued

        1,124        2,462        335          8  

Reinvested

        256        24        1          — (a) 

Redeemed

        (1,535 )       (1,978 )       (20 )         — (a) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class R5 Shares

        (155 )       508        316          8  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class R6

                

Issued

        6,791        10,248        10,065          9,897  

Reinvested

        2,143        240        1,243          55  

Redeemed

        (9,407 )       (6,799 )       (4,637 )         (2,985 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class R6 Shares

        (473 )       3,689        6,671          6,967  
    

 

 

     

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective September 9, 2016.

(c)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan U.S. Small Company Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

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THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 

 

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         61  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

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

Net

realized

gain

  

JPMorgan Small Cap Blend Fund (formerly known as JPMorgan Dynamic Small Cap Growth Fund)

                         

Class A

                         

Year Ended June 30, 2018

      $ 22.03        $ (0.20 )       $ 7.54        $ 7.34        $ (2.72 ) 

Year Ended June 30, 2017

        19.14          (0.16 )         6.24          6.08          (3.19 ) 

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 ) 

Class C

                         

Year Ended June 30, 2018

        17.12          (0.24 )         5.73          5.49          (2.72 ) 

Year Ended June 30, 2017

        15.58          (0.21 )         4.94          4.73          (3.19 ) 

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 ) 

Class I

                         

Year Ended June 30, 2018

        24.83          (0.15 )         8.57          8.42          (2.72 ) 

Year Ended June 30, 2017

        21.17          (0.12 )         6.97          6.85          (3.19 ) 

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 ) 

 

(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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

 

     Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (b)		     Net assets,
end of
period
(000’s)		     Net
expenses (c)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate		  
           
           
$ 26.65       35.55 %    $ 85,586       1.24 %      (0.81 )%      1.36 %      89 % 
  22.03       34.99       66,189       1.25       (0.78 )      1.48       41  
  19.14       (14.42 )      55,583       1.25       (0.76 )      1.51       56  
  26.04       13.02       73,175       1.25       (0.82 )      1.44       48  
  25.11       18.56       86,997       1.33       (0.95 )      1.38       65  
           
  19.89       34.88       40,470       1.74       (1.31 )      1.83       89  
  17.12       34.25       36,707       1.74       (1.28 )      2.04       41  
  15.58       (14.80 )      32,734       1.75       (1.27 )      2.12       56  
  21.97       12.46       50,162       1.75       (1.32 )      2.02       48  
  21.61       17.93       55,458       1.83       (1.45 )      1.88       65  
           
  30.53       35.91       92,701       0.99       (0.56 )      1.08       89  
  24.83       35.29       67,496       1.00       (0.53 )      1.18       41  
  21.17       (14.19 )      64,589       1.00       (0.57 )      1.09       56  
  28.34       13.30       386,459       1.00       (0.57 )      1.11       48  
  27.08       18.87       417,048       1.06       (0.69 )      1.13       65  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         63  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

    

 

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

JPMorgan Small Cap Core Fund

                      

Class A

                      

Year Ended June 30, 2018

    $ 52.32        $ 0.04 (e)(f)    $ 9.19      $ 9.23      $ (0.01 )     $ (4.38 )     $ (4.39 ) 

Year Ended June 30, 2017

      45.88          (0.04 )(e)      11.81        11.77        (0.20 )       (5.13 )       (5.33 ) 

May 31, 2016 (g) through June 30, 2016

      45.81          0.02 (e)(f)      0.05        0.07        —        —        —  

Class C

                      

Year Ended June 30, 2018

      52.14          (0.24 )(e)(f)      9.15        8.91        —        (4.38 )       (4.38 ) 

Year Ended June 30, 2017

      45.86          (0.24 )(e)      11.74        11.50        (0.09 )       (5.13 )       (5.22 ) 

May 31, 2016 (g) through June 30, 2016

      45.81          — (e)(f)(h)      0.05        0.05        —        —        —  

Class I

                      

Year Ended June 30, 2018

      52.58          0.17 (e)(f)      9.24        9.41        (0.17 )       (4.38 )       (4.55 ) 

January 3, 2017 (g) through June 30, 2017

      50.44          0.07 (e)      2.07        2.14        —        —        —  

Class R2

                      

July 31, 2017 (g) through June 30, 2018

      53.24          (0.08 )(e)(f)      8.58        8.50        (0.04 )       (4.38 )       (4.42 ) 

Class R3

                      

July 31, 2017 (g) through June 30, 2018

      53.24          0.05 (e)(f)      8.58        8.63        (0.09 )       (4.38 )       (4.47 ) 

Class R4

                      

July 31, 2017 (g) through June 30, 2018

      53.24          0.18 (e)(f)      8.58        8.76        (0.14 )       (4.38 )       (4.52 ) 

Class R5

                      

Year Ended June 30, 2018

      52.64          0.26 (e)(f)      9.28        9.54        (0.17 )       (4.38 )       (4.55 ) 

Year Ended June 30, 2017

      45.90          0.20 (e)      11.83        12.03        (0.16 )       (5.13 )       (5.29 ) 

Year Ended June 30, 2016

      56.18          0.15 (e)(f)      (5.25 )       (5.10 )       (0.32 )       (4.86 )       (5.18 ) 

Year Ended June 30, 2015

      58.70          0.37 (e)      3.20        3.57        (0.10 )       (5.99 )       (6.09 ) 

Year Ended June 30, 2014

      48.11          0.15 (i)      13.44        13.59        (0.27 )       (2.73 )       (3.00 ) 

Class R6

                      

Year Ended June 30, 2018

      52.57          0.33 (e)(f)      9.23        9.56        (0.20 )       (4.38 )       (4.58 ) 

Year Ended June 30, 2017

      45.90          0.29 (e)      11.76        12.05        (0.25 )       (5.13 )       (5.38 ) 

May 31, 2016 (g) through June 30, 2016

      45.81          0.04 (e)(f)      0.05        0.09        —        —        —  

 

(a)

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

(b)

Not annualized for periods less than one year.

(c)

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

(d)

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

(e)

Calculated based upon average shares outstanding.

(f)

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

(g)

Commencement of offering of class of shares.

(h)

Amount rounds to less than $0.005.

(i)

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 Class R5 Shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (b)(c)		     Net assets,
end of
period
(000’s)		     Net
expenses (d)		         
Net
investment
income
(loss)		     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (b)		  
           
           
$ 57.16       18.37 %    $ 4,624       1.24 %      0.07 %(f)      1.41 %      39 % 
  52.32       26.29       2,203       1.24       (0.07 )      1.45       61  
  45.88       0.15       23       1.25       0.56 (f)      1.39       58  
           
  56.67       17.79       1,816       1.74       (0.45 )(f)      1.90       39  
  52.14       25.68       1,017       1.74       (0.47 )      1.96       61  
  45.86       0.11       20       1.74       0.06 (f)      1.89       58  
           
  57.44       18.64       15,557       0.99       0.32 (f)      1.12       39  
  52.58       4.24       3,545       0.99       0.26       1.21       61  
           
  57.32       16.67       24       1.49       (0.15 )(f)      1.72       39  
           
  57.40       16.94       24       1.24       0.10 (f)      1.46       39  
           
  57.48       17.21       1,536       0.99       0.36 (f)      1.11       39  
           
  57.63       18.88       223,933       0.79       0.48 (f)      0.97       39  
  52.64       26.87       187,198       0.79       0.40       1.11       61  
  45.90       (8.97 )      164,573       0.80       0.30 (f)      1.16       58  
  56.18       7.01       815,652       0.80       0.66       1.13       56  
  58.70       28.95       703,307       0.79       0.28 (i)      1.12       51  
           
  57.55       18.95       66,306       0.74       0.59 (f)      0.86       39  
  52.57       26.94       16,782       0.74       0.56       0.98       61  
  45.90       0.20       20       0.74       1.06 (f)      0.88       58  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         65  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

    

 

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

JPMorgan Small Cap Equity Fund

                    

Class A

                    

Year Ended June 30, 2018

    $ 48.63      $ 0.10     $ 6.67      $ 6.77      $ (0.10 )     $ (2.87 )     $ (2.97 ) 

Year Ended June 30, 2017

      41.68        0.11       8.21        8.32        (0.12 )       (1.25 )       (1.37 ) 

Year Ended June 30, 2016

      44.68        0.13 (f)      0.08        0.21        (0.14 )       (3.07 )       (3.21 ) 

Year Ended June 30, 2015

      46.56        0.08       2.98        3.06        (0.08 )       (4.86 )       (4.94 ) 

Year Ended June 30, 2014

      39.94        0.10 (g)      8.97        9.07        (0.07 )       (2.38 )       (2.45 ) 

Class C

                    

Year Ended June 30, 2018

      37.07        (0.12 )      5.04        4.92        —        (2.87 )       (2.87 ) 

Year Ended June 30, 2017

      32.21        (0.09 )      6.31        6.22        (0.11 )       (1.25 )       (1.36 ) 

Year Ended June 30, 2016

      35.32        (0.06 )(f)      0.02        (0.04 )       —        (3.07 )       (3.07 ) 

Year Ended June 30, 2015

      37.96        (0.12 )      2.34        2.22        —        (4.86 )       (4.86 ) 

Year Ended June 30, 2014

      33.06        (0.10 )(g)      7.38        7.28        —        (2.38 )       (2.38 ) 

Class I

                    

Year Ended June 30, 2018

      55.69        0.26       7.67        7.93        (0.23 )       (2.87 )       (3.10 ) 

Year Ended June 30, 2017

      47.50        0.28       9.37        9.65        (0.21 )       (1.25 )       (1.46 ) 

Year Ended June 30, 2016

      50.31        0.25 (f)      0.17        0.42        (0.16 )       (3.07 )       (3.23 ) 

Year Ended June 30, 2015

      51.78        0.24       3.36        3.60        (0.21 )       (4.86 )       (5.07 ) 

Year Ended June 30, 2014

      44.14        0.26 (g)      9.94        10.20        (0.18 )       (2.38 )       (2.56 ) 

Class R2

                    

Year Ended June 30, 2018

      47.81        (0.03 )      6.55        6.52        (0.02 )       (2.87 )       (2.89 ) 

Year Ended June 30, 2017

      41.08        — (h)      8.08        8.08        (0.10 )       (1.25 )       (1.35 ) 

Year Ended June 30, 2016

      44.04        0.01 (f)      0.10        0.11        —        (3.07 )       (3.07 ) 

Year Ended June 30, 2015

      45.99        (0.04 )      2.95        2.91        —        (4.86 )       (4.86 ) 

Year Ended June 30, 2014

      39.52        (0.01 )(g)      8.86        8.85        —        (2.38 )       (2.38 ) 

Class R3

                    

Year Ended June 30, 2018

      48.54        0.12       6.63        6.75        (0.29 )       (2.87 )       (3.16 ) 

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

      43.22        0.12       6.68        6.80        (0.23 )       (1.25 )       (1.48 ) 

Class R4

                    

Year Ended June 30, 2018

      55.64        0.33       7.59        7.92        (0.27 )       (2.87 )       (3.14 ) 

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

      49.28        0.23       7.63        7.86        (0.25 )       (1.25 )       (1.50 ) 

Class R5

                    

Year Ended June 30, 2018

      55.84        0.37       7.70        8.07        (0.35 )       (2.87 )       (3.22 ) 

Year Ended June 30, 2017

      47.57        0.36       9.42        9.78        (0.26 )       (1.25 )       (1.51 ) 

Year Ended June 30, 2016

      50.43        0.36 (f)      0.15        0.51        (0.30 )       (3.07 )       (3.37 ) 

Year Ended June 30, 2015

      51.88        0.34       3.37        3.71        (0.30 )       (4.86 )       (5.16 ) 

Year Ended June 30, 2014

      44.21        0.36 (g)      9.96        10.32        (0.27 )       (2.38 )       (2.65 ) 

Class R6

                    

Year Ended June 30, 2018

      55.83        0.41       7.69        8.10        (0.38 )       (2.87 )       (3.25 ) 

Year Ended June 30, 2017

      47.57        0.46       9.34        9.80        (0.29 )       (1.25 )       (1.54 ) 

May 31, 2016 (j) through June 30, 2016

      47.04        0.06 (f)      0.47        0.53        —        —        —  

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

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

(g)

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), $0.10, $(0.15) and $0.20 for Class A, Class C, Class I, Class R2 and Class R5 Shares, respectively, and the net investment income (loss) ratio would have been (0.09)%, (0.59)%, 0.21%, (0.34)% and 0.41% for Class A, Class C, Class I, Class R2 and Class R5 Class Shares, respectively.

(h)

Amount rounds to less than $0.005.

(i)

Amount rounds to less than 0.005%.

(j)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

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

Net
investment
income

(loss)

    

Expenses
without waivers,
reimbursements and
earnings credits

     Portfolio
turnover
rate (c)		  
           
           
$ 52.43       14.33 %    $ 1,095,395       1.24 %      0.19 %      1.26 %      17 % 
  48.63       20.14       1,135,394       1.29       0.24       1.35       21  
  41.68       1.10       736,629       1.29       0.31 (f)      1.38       32  
  44.68       7.49       674,619       1.29       0.17       1.39       20  
  46.56       23.27       738,967       1.29       0.23 (g)      1.37       30  
           
  39.12       13.76       143,030       1.74       (0.32 )      1.76       17  
  37.07       19.53       171,352       1.79       (0.25 )      1.84       21  
  32.21       0.63       70,176       1.79       (0.20 )(f)      1.85       32  
  35.32       6.92       35,783       1.79       (0.33 )      1.87       20  
  37.96       22.67       39,824       1.79       (0.26 )(g)      1.87       30  
           
  60.52       14.61       2,868,739       0.98       0.45       1.00       17  
  55.69       20.50       2,722,213       0.99       0.54       1.07       21  
  47.50       1.41       1,261,772       0.99       0.54 (f)      1.14       32  
  50.31       7.81       1,435,112       0.99       0.48       1.14       20  
  51.78       23.65       1,443,768       0.99       0.53 (g)      1.12       30  
           
  51.44       14.02       12,133       1.49       (0.06 )      1.52       17  
  47.81       19.85       13,078       1.53       0.00 (i)      1.73       21  
  41.08       0.85       5,313       1.54       0.03 (f)      1.72       32  
  44.04       7.23       3,446       1.54       (0.08 )      1.73       20  
  45.99       22.95       3,883       1.54       (0.02 )(g)      1.62       30  
           
  52.13       14.33       2,542       1.23       0.24       1.30       17  
  48.54       15.92       104       1.24       0.32       1.36       21  
           
  60.42       14.61       624       0.98       0.57       1.07       17  
  55.64       16.14       60       0.99       0.55       1.14       21  
           
  60.69       14.83       1,255,251       0.79       0.64       0.85       17  
  55.84       20.74       1,267,593       0.79       0.68       0.86       21  
  47.57       1.62       1,349,107       0.79       0.78 (f)      0.86       32  
  50.43       8.03       1,244,878       0.79       0.68       0.89       20  
  51.88       23.90       1,177,534       0.79       0.73 (g)      0.92       30  
           
  60.68       14.89       1,450,525       0.73       0.71       0.75       17  
  55.83       20.80       978,649       0.74       0.85       0.76       21  
  47.57       1.13       25,933       0.73       1.60 (f)      0.75       32  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         67  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

Net

realized

gain

  

JPMorgan Small Cap Growth Fund

                     

Class A

                     

Year Ended June 30, 2018

    $ 14.81        $ (0.14 )(f)     $ 5.11        $ 4.97        $ (1.33 ) 

Year Ended June 30, 2017

      11.43          (0.10 )       3.94          3.84          (0.46 ) 

Year Ended June 30, 2016

      14.50          (0.09 )       (1.94 )         (2.03 )         (1.04 ) 

Year Ended June 30, 2015

      13.96          (0.11 )(f)       1.77          1.66          (1.12 ) 

Year Ended June 30, 2014

      13.00          (0.12 )       2.52          2.40          (1.44 ) 

Class C

                     

Year Ended June 30, 2018

      11.23          (0.16 )(f)       3.81          3.65          (1.33 ) 

Year Ended June 30, 2017

      8.82          (0.13 )       3.00          2.87          (0.46 ) 

Year Ended June 30, 2016

      11.50          (0.12 )       (1.52 )         (1.64 )         (1.04 ) 

Year Ended June 30, 2015

      11.36          (0.14 )(f)       1.40          1.26          (1.12 ) 

Year Ended June 30, 2014

      10.87          (0.16 )       2.09          1.93          (1.44 ) 

Class I

                     

Year Ended June 30, 2018

      16.18          (0.11 )(f)       5.61          5.50          (1.33 ) 

Year Ended June 30, 2017

      12.42          (0.07 )       4.29          4.22          (0.46 ) 

Year Ended June 30, 2016

      15.61          (0.07 )       (2.08 )         (2.15 )         (1.04 ) 

Year Ended June 30, 2015

      14.91          (0.08 )(f)       1.90          1.82          (1.12 ) 

Year Ended June 30, 2014

      13.77          (0.09 )       2.67          2.58          (1.44 ) 

Class L

                     

Year Ended June 30, 2018

      16.60          (0.08 )(f)       5.76          5.68          (1.33 ) 

Year Ended June 30, 2017

      12.72          (0.05 )       4.39          4.34          (0.46 ) 

Year Ended June 30, 2016

      15.93          (0.05 )       (2.12 )         (2.17 )         (1.04 ) 

Year Ended June 30, 2015

      15.17          (0.06 )(f)       1.94          1.88          (1.12 ) 

Year Ended June 30, 2014

      13.96          (0.07 )       2.72          2.65          (1.44 ) 

Class R2

                     

Year Ended June 30, 2018

      14.39          (0.17 )(f)       4.95          4.78          (1.33 ) 

Year Ended June 30, 2017

      11.15          (0.13 )       3.83          3.70          (0.46 ) 

Year Ended June 30, 2016

      14.20          (0.12 )       (1.89 )         (2.01 )         (1.04 ) 

Year Ended June 30, 2015

      13.73          (0.14 )(f)       1.73          1.59          (1.12 ) 

Year Ended June 30, 2014

      12.84          (0.16 )       2.49          2.33          (1.44 ) 

Class R3

                     

July 31, 2017 (g) through June 30, 2018

      15.17          (0.13 )(f)       4.74          4.61          (1.33 ) 

Class R4

                     

July 31, 2017 (g) through June 30, 2018

      15.17          (0.09 )(f)       4.75          4.66          (1.33 ) 

Class R5

                     

Year Ended June 30, 2018

      16.60          (0.07 )(f)       5.76          5.69          (1.33 ) 

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

      13.75          (0.04 )       3.35          3.31          (0.46 ) 

Class R6

                     

Year Ended June 30, 2018

      16.73          (0.06 )(f)       5.82          5.76          (1.33 ) 

Year Ended June 30, 2017

      12.80          (0.04 )       4.43          4.39          (0.46 ) 

Year Ended June 30, 2016

      16.01          (0.03 )       (2.14 )         (2.17 )         (1.04 ) 

Year Ended June 30, 2015

      15.23          (0.05 )(f)       1.95          1.90          (1.12 ) 

Year Ended June 30, 2014

      14.00          (0.06 )       2.73          2.67          (1.44 ) 

 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

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

(g)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        

Net asset
value,
end of

period

     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		    

Net
investment

income
(loss)

    

Expenses
without waivers,
reimbursements and
earnings credits

     Portfolio
turnover
rate (c)		  
           
           
$ 18.45       35.14 %    $ 337,933       1.24 %      (0.83 )%(f)      1.29 %      58 % 
  14.81       34.36       196,403       1.24       (0.75 )      1.40       42  
  11.43       (14.17 )      179,093       1.25       (0.77 )      1.50       47  
  14.50       13.04       266,805       1.25       (0.82 )(f)      1.42       50  
  13.96       18.94       282,408       1.25       (0.86 )      1.37       58  
           
  13.55       34.56       43,116       1.74       (1.32 )(f)      1.77       58  
  11.23       33.51       20,352       1.74       (1.25 )      1.85       42  
  8.82       (14.50 )      18,218       1.75       (1.27 )      1.91       47  
  11.50       12.47       26,297       1.75       (1.32 )(f)      1.87       50  
  11.36       18.29       28,035       1.75       (1.36 )      1.87       58  
           
  20.35       35.45       268,082       0.99       (0.57 )(f)      1.02       58  
  16.18       34.69       110,644       1.00       (0.50 )      1.12       42  
  12.42       (13.92 )      102,174       1.00       (0.52 )      1.18       47  
  15.61       13.29       157,631       1.00       (0.57 )(f)      1.16       50  
  14.91       19.20       156,585       1.00       (0.62 )      1.12       58  
           
  20.95       35.65       434,286       0.84       (0.43 )(f)      0.86       58  
  16.60       34.82       360,044       0.85       (0.35 )      0.93       42  
  12.72       (13.76 )      271,369       0.85       (0.35 )      0.96       47  
  15.93       13.47       279,248       0.85       (0.42 )(f)      0.95       50  
  15.17       19.46       302,087       0.85       (0.46 )      0.97       58  
           
  17.84       34.83       31,569       1.49       (1.08 )(f)      1.52       58  
  14.39       33.96       23,569       1.49       (1.00 )      1.70       42  
  11.15       (14.34 )      21,276       1.50       (1.01 )      1.85       47  
  14.20       12.74       28,364       1.50       (1.07 )(f)      1.72       50  
  13.73       18.62       31,119       1.50       (1.11 )      1.62       58  
           
  18.45       31.93       446       1.23       (0.80 )(f)      1.28       58  
           
  18.50       32.28       726       0.99       (0.53 )(f)      1.17       58  
           
  20.96       35.71       28,656       0.84       (0.37 )(f)      0.88       58  
  16.60       24.72       1,186       0.82       (0.31 )      0.84       42  
           
  21.16       35.86       1,045,098       0.74       (0.32 )(f)      0.76       58  
  16.73       34.99       603,730       0.75       (0.25 )      0.76       42  
  12.80       (13.69 )      445,008       0.75       (0.25 )      0.77       47  
  16.01       13.55       486,724       0.75       (0.31 )(f)      0.79       50  
  15.23       19.55       355,032       0.75       (0.36 )      0.87       58  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         69  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

    

 

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

JPMorgan Small Cap Value Fund

                    

Class A

                    

Year Ended June 30, 2018

    $ 29.18      $ 0.20 (f)    $ 3.01      $ 3.21      $ (0.23 )     $ (1.74 )     $ (1.97 ) 

Year Ended June 30, 2017

      24.64        0.11 (f)      4.58        4.69        (0.13 )       (0.02 )       (0.15 ) 

Year Ended June 30, 2016

      26.65        0.17       (0.94 )       (0.77 )       (0.15 )       (1.09 )       (1.24 ) 

Year Ended June 30, 2015

      27.98        0.22       (0.01 )       0.21        (0.20 )       (1.34 )       (1.54 ) 

Year Ended June 30, 2014

      23.77        0.12 (g)      4.87        4.99        (0.11 )       (0.67 )       (0.78 ) 

Class C

                    

Year Ended June 30, 2018

      24.55        0.04 (f)      2.50        2.54        (0.14 )       (1.74 )       (1.88 ) 

Year Ended June 30, 2017

      20.82        (0.05 )(f)      3.87        3.82        (0.07 )       (0.02 )       (0.09 ) 

Year Ended June 30, 2016

      22.77        0.02       (0.82 )       (0.80 )       (0.06 )       (1.09 )       (1.15 ) 

Year Ended June 30, 2015

      24.19        0.05       (0.02 )       0.03        (0.11 )       (1.34 )       (1.45 ) 

Year Ended June 30, 2014

      20.73        (0.03 )(g)      4.22        4.19        (0.06 )       (0.67 )       (0.73 ) 

Class I

                    

Year Ended June 30, 2018

      30.80        0.30 (f)      3.18        3.48        (0.29 )       (1.74 )       (2.03 ) 

Year Ended June 30, 2017

      25.97        0.20 (f)      4.81        5.01        (0.16 )       (0.02 )       (0.18 ) 

Year Ended June 30, 2016

      28.00        0.23       (0.97 )       (0.74 )       (0.20 )       (1.09 )       (1.29 ) 

Year Ended June 30, 2015

      29.31        0.31       (0.02 )       0.29        (0.26 )       (1.34 )       (1.60 ) 

Year Ended June 30, 2014

      24.86        0.20 (g)      5.09        5.29        (0.17 )       (0.67 )       (0.84 ) 

Class R2

                    

Year Ended June 30, 2018

      28.94        0.12 (f)      2.98        3.10        (0.17 )       (1.74 )       (1.91 ) 

Year Ended June 30, 2017

      24.48        0.04 (f)      4.53        4.57        (0.09 )       (0.02 )       (0.11 ) 

Year Ended June 30, 2016

      26.49        0.11       (0.94 )       (0.83 )       (0.09 )       (1.09 )       (1.18 ) 

Year Ended June 30, 2015

      27.83        0.16       (0.02 )       0.14        (0.14 )       (1.34 )       (1.48 ) 

Year Ended June 30, 2014

      23.67        0.07 (g)      4.83        4.90        (0.07 )       (0.67 )       (0.74 ) 

Class R3

                    

Year Ended June 30, 2018

      29.14        0.20 (f)      3.01        3.21        (0.23 )       (1.74 )       (1.97 ) 

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

      25.89        0.12 (f)      3.31        3.43        (0.16 )       (0.02 )       (0.18 ) 

Class R4

                    

Year Ended June 30, 2018

      30.77        0.32 (f)      3.14        3.46        (0.28 )       (1.74 )       (2.02 ) 

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

      27.30        0.18 (f)      3.49        3.67        (0.18 )       (0.02 )       (0.20 ) 

Class R5

                    

Year Ended June 30, 2018

      30.80        0.35 (f)      3.17        3.52        (0.32 )       (1.74 )       (2.06 ) 

Year Ended June 30, 2017

      25.97        0.23 (f)      4.81        5.04        (0.19 )       (0.02 )       (0.21 ) 

Year Ended June 30, 2016

      28.01        0.26       (0.98 )       (0.72 )       (0.23 )       (1.09 )       (1.32 ) 

Year Ended June 30, 2015

      29.31        0.34       (0.02 )       0.32        (0.28 )       (1.34 )       (1.62 ) 

Year Ended June 30, 2014

      24.85        0.23 (g)      5.09        5.32        (0.19 )       (0.67 )       (0.86 ) 

Class R6

                    

Year Ended June 30, 2018

      30.83        0.38 (f)      3.18        3.56        (0.35 )       (1.74 )       (2.09 ) 

Year Ended June 30, 2017

      25.99        0.27 (f)      4.82        5.09        (0.23 )       (0.02 )       (0.25 ) 

Year Ended June 30, 2016

      28.03        0.31       (1.00 )       (0.69 )       (0.26 )       (1.09 )       (1.35 ) 

Year Ended June 30, 2015

      29.33        0.37       (0.02 )       0.35        (0.31 )       (1.34 )       (1.65 ) 

Year Ended June 30, 2014

      24.87        0.24 (g)      5.09        5.33        (0.20 )       (0.67 )       (0.87 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

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

(g)

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), $0.18, $0.05, $0.22 and $0.23 for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been 0.41%, (0.20)%, 0.66%, 0.20%, 0.79% and 0.82% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively.

(h)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
70       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

 

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

Net
investment

income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 30.42       11.41 %    $ 336,054       1.24 %      0.67 %(f)      1.30 %      39 % 
  29.18       19.01       518,464       1.24       0.39 (f)      1.44       41  
  24.64       (2.54 )      551,313       1.25       0.69       1.53       46  
  26.65       1.04       618,977       1.24       0.84       1.44       38  
  27.98       21.24       516,950       1.24       0.46 (g)      1.40       40  
           
  25.21       10.80       25,885       1.75       0.14 (f)      1.78       39  
  24.55       18.32       40,349       1.85       (0.21 )(f)      1.86       41  
  20.82       (3.12 )      41,161       1.86       0.07       1.94       46  
  22.77       0.42       49,815       1.85       0.23       1.89       38  
  24.19       20.45       52,909       1.84       (0.15 )(g)      1.89       40  
           
  32.25       11.70       336,366       0.99       0.96 (f)      1.01       39  
  30.80       19.30       344,875       0.99       0.67 (f)      1.11       41  
  25.97       (2.28 )      263,436       1.00       0.88       1.18       46  
  28.00       1.27       495,605       0.99       1.10       1.14       38  
  29.31       21.52       404,848       0.99       0.71 (g)      1.15       40  
           
  30.13       11.12       45,300       1.52       0.41 (f)      1.63       39  
  28.94       18.68       60,282       1.52       0.14 (f)      1.75       41  
  24.48       (2.78 )      47,309       1.50       0.45       1.91       46  
  26.49       0.77       48,675       1.49       0.59       1.76       38  
  27.83       20.95       47,939       1.49       0.25 (g)      1.66       40  
           
  30.38       11.42       12,948       1.25       0.67 (f)      1.29       39  
  29.14       13.24       13,390       1.27       0.53 (f)      1.28       41  
           
  32.21       11.65       102       1.01       1.03 (f)      1.27       39  
  30.77       13.44       39       1.06       0.75 (f)      1.10       41  
           
  32.26       11.85       131,506       0.84       1.11 (f)      0.87       39  
  30.80       19.43       130,338       0.88       0.77 (f)      0.89       41  
  25.97       (2.21 )      96,674       0.90       1.04       0.93       46  
  28.01       1.39       103,149       0.91       1.19       0.93       38  
  29.31       21.67       79,792       0.90       0.85 (g)      0.95       40  
           
  32.30       11.97       1,040,121       0.74       1.21 (f)      0.76       39  
  30.83       19.59       1,007,466       0.76       0.90 (f)      0.76       41  
  25.99       (2.07 )      753,439       0.77       1.21       0.77       46  
  28.03       1.49       554,522       0.79       1.32       0.81       38  
  29.33       21.71       453,645       0.85       0.87 (g)      0.90       40  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         71  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

      

 

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

JPMorgan U.S. Small Company Fund

                       

Class A

                       

Year Ended June 30, 2018

      $ 18.10        $ — (f)(h)    $ 2.69      $ 2.69      $ —      $ (1.19 )    $ (1.19 ) 

Year Ended June 30, 2017

        15.09          — (f)(h)      3.02        3.02        (0.01 )       — (f)      (0.01 ) 

Year Ended June 30, 2016

        16.96          0.02       (1.20 )       (1.18 )       (0.02 )       (0.67 )      (0.69 ) 

Year Ended June 30, 2015

        16.25          0.03       1.22        1.25        —        (0.54 )      (0.54 ) 

Year Ended June 30, 2014

        13.17          (0.01 )(i)      3.39        3.38        (0.01 )       (0.29 )      (0.30 ) 

Class C

                       

Year Ended June 30, 2018

        17.40          (0.09 )(h)      2.58        2.49        —        (1.19 )      (1.19 ) 

Year Ended June 30, 2017

        14.57          (0.08 )(h)      2.91        2.83        —        — (f)      — (f) 

Year Ended June 30, 2016

        16.46          (0.05 )      (1.17 )       (1.22 )       —        (0.67 )      (0.67 ) 

Year Ended June 30, 2015

        15.86          (0.05 )      1.19        1.14        —        (0.54 )      (0.54 ) 

Year Ended June 30, 2014

        12.91          (0.08 )(i)      3.32        3.24        —        (0.29 )      (0.29 ) 

Class I

                       

Year Ended June 30, 2018

        18.47          0.05 (h)      2.75        2.80        (0.03 )       (1.19 )      (1.22 ) 

Year Ended June 30, 2017

        15.40          0.04 (h)      3.08        3.12        (0.05 )       — (f)      (0.05 ) 

Year Ended June 30, 2016

        17.29          0.06       (1.22 )       (1.16 )       (0.06 )       (0.67 )      (0.73 ) 

Year Ended June 30, 2015

        16.53          0.08       1.24        1.32        (0.02 )       (0.54 )      (0.56 ) 

Year Ended June 30, 2014

        13.37          0.03 (i)      3.45        3.48        (0.03 )       (0.29 )      (0.32 ) 

Class L

                       

Year Ended June 30, 2018

        18.46          0.08 (h)      2.76        2.84        (0.06 )       (1.19 )      (1.25 ) 

Year Ended June 30, 2017

        15.39          0.08 (h)      3.08        3.16        (0.09 )       — (f)      (0.09 ) 

Year Ended June 30, 2016

        17.28          0.10       (1.24 )       (1.14 )       (0.08 )       (0.67 )      (0.75 ) 

Year Ended June 30, 2015

        16.51          0.11       1.24        1.35        (0.04 )       (0.54 )      (0.58 ) 

Year Ended June 30, 2014

        13.35          0.06 (i)      3.44        3.50        (0.05 )       (0.29 )      (0.34 ) 

Class R2

                       

Year Ended June 30, 2018

        17.81          (0.05 )(h)      2.65        2.60        —        (1.19 )      (1.19 ) 

Year Ended June 30, 2017

        14.88          (0.04 )(h)      2.97        2.93        —        — (f)      — (f) 

Year Ended June 30, 2016

        16.77          (0.01 )      (1.19 )       (1.20 )       (0.02 )       (0.67 )      (0.69 ) 

Year Ended June 30, 2015

        16.12          (0.01 )      1.20        1.19        —        (0.54 )      (0.54 ) 

Year Ended June 30, 2014

        13.09          (0.05 )(i)      3.38        3.33        (0.01 )       (0.29 )      (0.30 ) 

Class R3

                       

Year Ended June 30, 2018

        18.03          0.01 (h)      2.68        2.69        (0.03 )       (1.19 )      (1.22 ) 

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

        16.02          0.04 (h)      2.04        2.08        (0.07 )       — (f)      (0.07 ) 

Class R4

                       

Year Ended June 30, 2018

        18.44          0.05 (h)      2.75        2.80        (0.07 )       (1.19 )      (1.26 ) 

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

        16.36          0.13 (h)      2.04        2.17        (0.09 )       — (f)      (0.09 ) 

Class R5

                       

Year Ended June 30, 2018

        18.45          0.08 (h)      2.74        2.82        (0.07 )       (1.19 )      (1.26 ) 

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

        16.35          0.07 (h)      2.13        2.20        (0.10 )       — (f)      (0.10 ) 

Class R6

                       

Year Ended June 30, 2018

        18.48          0.10 (h)      2.76        2.86        (0.08 )       (1.19 )      (1.27 ) 

Year Ended June 30, 2017

        15.40          0.10 (h)      3.08        3.18        (0.10 )       — (f)      (0.10 ) 

Year Ended June 30, 2016

        17.29          0.11       (1.23 )       (1.12 )       (0.10 )       (0.67 )      (0.77 ) 

Year Ended June 30, 2015

        16.52          0.12       1.24        1.36        (0.05 )       (0.54 )      (0.59 ) 

Year Ended June 30, 2014

        13.35          0.06 (i)      3.46        3.52        (0.06 )       (0.29 )      (0.35 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Amount rounds to less than $0.005.

(g)

Amount rounds to less than 0.005%.

(h)

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

(i)

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), $0.02, $0.05, $(0.05), and $0.06 for Class A, Class C, Class I, Class L, Class R2 and Class R6 Shares, respectively, and the net investment income (loss) ratio would have been (0.12)%, (0.61)%, 0.13%, 0.34%, (0.36)% and 0.38% for Class A, Class C, Class I, Class L, Class R2 and Class R6 Class Shares, respectively.

(j)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

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

Net
investment
income

(loss)

         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 19.60       15.40 %    $ 210,050       1.22 %      0.00 %(g)(h)      1.23 %      52 % 
  18.10       20.04       244,958       1.25       (0.01 )(h)      1.35       53  
  15.09       (6.86 )      226,309       1.26       0.15       1.44       49  
  16.96       7.98       240,064       1.25       0.21       1.40       56  
  16.25       25.86       126,858       1.25       (0.08 )(i)      1.34       51  
           
  18.70       14.85       45,633       1.73       (0.50 )(h)      1.73       52  
  17.40       19.43       49,946       1.75       (0.51 )(h)      1.85       53  
  14.57       (7.35 )      45,932       1.76       (0.34 )      1.91       49  
  16.46       7.47       45,202       1.75       (0.28 )      1.88       56  
  15.86       25.27       22,539       1.75       (0.57 )(i)      1.84       51  
           
  20.05       15.73       433,317       0.96       0.27 (h)      0.97       52  
  18.47       20.29       387,043       1.01       0.25  (h)      1.05       53  
  15.40       (6.63 )      289,631       1.00       0.42       1.11       49  
  17.29       8.25       246,645       1.00       0.45       1.11       56  
  16.53       26.21       160,279       1.00       0.17  (i)      1.09       51  
           
  20.05       15.95       554,361       0.81       0.42 (h)      0.82       52  
  18.46       20.50       711,139       0.82       0.43  (h)      0.87       53  
  15.39       (6.48 )      587,279       0.82       0.63       0.90       49  
  17.28       8.49       352,036       0.82       0.64       0.94       56  
  16.51       26.42       216,698       0.82       0.39  (i)      0.94       51  
           
  19.22       15.13       49,715       1.48       (0.25 )(h)      1.48       52  
  17.81       19.70       51,511       1.50       (0.24 )(h)      1.69       53  
  14.88       (7.09 )      34,326       1.51       (0.05 )      1.75       49  
  16.77       7.66       17,846       1.50       (0.04 )      1.66       56  
  16.12       25.66       9,785       1.50       (0.32 )(i)      1.59       51  
           
  19.50       15.49       17,655       1.21       0.04 (h)      1.21       52  
  18.03       13.01       9,560       1.23       0.25  (h)      1.24       53  
           
  19.98       15.73       5,773       1.01       0.28 (h)      1.04       52  
  18.44       13.24       794       1.00       0.89  (h)      1.07       53  
           
  20.01       15.83       6,491       0.85       0.43 (h)      0.86       52  
  18.45       13.44       145       0.83       0.51  (h)      0.90       53  
           
  20.07       16.05       455,851       0.71       0.53 (h)      0.72       52  
  18.48       20.64       296,577       0.72       0.55  (h)      0.72       53  
  15.40       (6.39 )      139,835       0.73       0.71       0.74       49  
  17.29       8.54       69,755       0.73       0.73       0.76       56  
  16.52       26.54       45,604       0.75       0.42  (i)      0.84       51  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018

 

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 (each, a “Fund” and collectively, the “Funds”) covered by this report:

 

      Classes Offered    Trust    Diversified/Non-Diversified
JPMorgan Small Cap Blend Fund*    Class A, Class C, Class I and Class R6**    JPM I    Diversified
JPMorgan Small Cap Core Fund    Class A, Class C, Class I, Class R2***, Class R3***, Class R4***, Class R5 and Class R6    JPM I    Diversified
JPMorgan Small Cap Equity Fund    Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6    JPM I    Diversified
JPMorgan Small Cap Growth Fund    Class A, Class C, Class I, Class L, Class R2, Class R3****, Class R4****, Class R5 and Class R6    JPM II    Diversified
JPMorgan Small Cap Value Fund    Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6    JPM II    Diversified
JPMorgan U.S. Small Company Fund    Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6    JPM I    Diversified

 

     *

Effective June 1, 2018, JPMorgan Dynamic Small Cap Growth Fund changed its name to JPMorgan Small Cap Blend Fund.

    **

Class R6 commenced operations on July 2, 2018 for JPMorgan Small Cap Blend Fund.

  ***

Class R2, Class R3 and Class R4 commenced operations on July 31, 2017 for JPMorgan Small Cap Core Fund.

****

Class R3 and Class R4 commenced operations on July 31, 2017 for JPMorgan Small Cap Growth Fund.

The investment objectives of JPMorgan Small Cap Blend Fund (“Small Cap Blend Fund”), JPMorgan Small Cap Core Fund (“Small Cap Core Fund”) and JPMorgan Small Cap Equity Fund (“Small Cap Equity Fund”) are to seek capital growth over the long term.

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

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

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

Class L Shares for the Small Cap Growth Fund and U.S. Small Company Fund are publicly offered on a limited basis. Investors are not eligible to purchase shares of the Funds unless they meet certain requirements as described in the Funds’ prospectuses.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

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

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, 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 Boards of Trustees (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at 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 Boards.

 

 
74       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

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

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 Boards. 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 contracts are generally valued on the basis of available market quotations.

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

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

 

•  

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

•  

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

•  

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

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

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

 

Small Cap Blend Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		      Total  

Total Investments in Securities (a)

      $ 219,344        $ —        $ —      $ 219,344  
    

 

 

       

 

 

       

 

 

     

 

 

  
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)

      $ 315,890        $ —        $ — (c)     $ 315,890  
    

 

 

       

 

 

       

 

 

     

 

 

  
Depreciation in Other Financial Instruments                  

Futures Contracts (a)

      $ (70 )       $ —        $ —      $ (70 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  
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)

      $ 6,864,807        $ —        $ —      $ 6,864,807  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         75  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (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)

      $ 2,204,656        $ —        $ —      $ 2,204,656  
    

 

 

       

 

 

       

 

 

     

 

 

  
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)

      $ 1,941,501        $ —        $ — (c)     $ 1,941,501  
    

 

 

       

 

 

       

 

 

     

 

 

  

Depreciation in Other Financial Instruments

 

Futures Contracts (a)

      $ (241 )       $ —        $ —      $ (241 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  
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 (b)

      $ 1,776,386        $ —        $ — (c)     $ 1,776,386  
    

 

 

       

 

 

       

 

 

     

 

 

  

Depreciation in Other Financial Instruments

 

Futures Contracts (a)

      $ (1,239 )       $ —        $ —      $ (1,239 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(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.

(b)

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.

(c)

Value is zero.

There were no transfers among any levels during the year ended June 30, 2018.

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

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs 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, 2018

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The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2018 (amounts in thousands):

 

      Small Cap
Core Fund		        Small Cap
Value Fund		        U.S. Small
Company Fund		  

Futures Contracts — Equity:

             

Average Notional Balance Long

    $ 5,932        $ 34,910        $ 42,195  

Ending Notional Balance Long

      8,732          14,416          61,946  

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 are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the year ended June 30, 2018 are as follows (amounts in thousands):

 

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

Small Cap Blend Fund

                        

Transfer agency fees

    $ 26      $ 2     $ 4        n/a        n/a       n/a       n/a       n/a       n/a     $ 32  

Small Cap Core Fund

                        

Transfer agency fees

      2        — (a)      2        n/a      $ — (a)    $ — (a)    $ — (a)    $ 7     $ — (a)      11  

Small Cap Equity Fund

                        

Transfer agency fees

      85        11       68        n/a        3       1       — (a)      17       18       203  

Small Cap Growth Fund

                        

Transfer agency fees

      66        3       9      $ 5        2       — (a)      — (a)      — (a)      8       93  

Small Cap Value Fund

                        

Transfer agency fees

      178        6       13        n/a        69       4       — (a)      7       45       322  

U.S. Small Company Fund

                        

Transfer agency fees

      34        9       15        14        10       — (a)      3       1       20       106  

 

(a)

Amount rounds to less than one thousand.

E. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2018, 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, if any, are generally declared and paid at least annually, except for Small Cap Value Fund, which are generally declared and paid quarterly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         77  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

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)		  

Small Cap Blend Fund

    $ 5,052        $ 1,369        $ (6,421 ) 

Small Cap Core Fund

      —          (54 )         54  

Small Cap Equity Fund

      —          (3,283 )         3,283  

Small Cap Growth Fund

      — (a)         6,095          (6,095 ) 

Small Cap Value Fund

      —          (1,183 )         1,183  

U.S. Small Company Fund

      —          (851 )         851  

 

(a)

Amount rounds to less than one thousand.

The reclassifications for the Funds relate primarily to investments in partnerships, non-taxable dividends, net operating losses and tax equalization.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to 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:

 

Small Cap Blend Fund

      0.65 % 

Small Cap Core Fund

      0.65  

Small Cap Equity Fund

      0.65  

Small Cap Growth Fund

      0.65  

Small Cap Value Fund

      0.65  

U.S. Small Company Fund

      0.60  

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

B. Administration Fee — Pursuant to Administration Agreements, the Administrator, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2018, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Class R3  

Small Cap Blend Fund

        0.25 %         0.75 %         n/a          n/a  

Small Cap Core Fund

        0.25          0.75          0.50 %         0.25 % 

Small Cap Equity Fund

        0.25          0.75          0.50          0.25  

Small Cap Growth Fund

        0.25          0.75          0.50          0.25  

Small Cap Value Fund

        0.25          0.75          0.50          0.25  

U.S. Small Company Fund

        0.25          0.75          0.50          0.25  

 

 
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In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2018, JPMDS retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Small Cap Blend Fund

      $ 2        $ —  

Small Cap Core Fund

        3          —  

Small Cap Equity Fund

        26          1  

Small Cap Growth Fund

        112          2  

Small Cap Value Fund

        9          — (a) 

U.S. Small Company Fund

        12          — (a) 

 

(a)

Amount rounds to less than one thousand.

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

 

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

Small Cap Blend Fund

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

Small Cap Core Fund

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

Small Cap Equity Fund

        0.25        0.25        0.25        n/a        0.25        0.25        0.25        0.10  

Small Cap Growth Fund

        0.25        0.25        0.25        0.10 %       0.25        0.25        0.25        0.10  

Small Cap Value Fund

        0.25        0.25        0.25        n/a        0.25        0.25        0.25        0.10  

U.S. Small Company Fund

        0.25        0.25        0.25        0.10        0.25        0.25        0.25        0.10  

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

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

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

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

 

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

Small Cap Blend Fund*

      1.24 %      1.74 %      0.99 %      n/a        n/a       n/a       n/a       n/a       n/a  

Small Cap Core Fund

      1.24 **      1.74 **      0.99 **      n/a        1.49 %**      1.24 %**      0.99 %**      0.80 %      0.74 %** 

Small Cap Equity Fund

      1.24 ***      1.74 ***      0.99 ***      n/a        1.49 ***      1.24 ***      0.99 ***      0.80       0.74 *** 

Small Cap Growth Fund

      1.24 ****      1.74 ****      0.99 ****      0.85 %       1.49 ****      1.24 ****      0.99 ****      0.84 ****      0.74 **** 

Small Cap Value Fund*****

      1.24       1.74       0.99       n/a        1.49       1.24       0.99       0.84       0.74  

U.S. Small Company Fund

      1.26       1.76       1.01       0.83        1.51       1.26       1.01       0.86       0.76  

 

*   Prior to November 1, 2017, the contractual expense limitations for Small Cap Blend Fund was 1.25%, 1.75% and 1.00%, for Class A, Class C and Class I Shares, respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019.
**   Prior to November 1, 2017, the contractual expense limitations for Small Cap Core Fund was 1.25%, 1.75%, 1.00%, 1.50%, 1.25%, 1.00% and 0.75%, for Class A, Class C, Class I, Class R2, Class R3, Class R4 and Class R6 Shares, respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019.
***   Prior to November 1, 2017, the contractual expense limitations for Small Cap Equity Fund was 1.30%, 1.80%, 1.00%, 1.55%, 1.25%, 1.00% and 0.75%, for Class A, Class C, Class I, Class R2, Class R3, Class R4 and Class R6 Shares, respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

****   Prior to November 1, 2017, the contractual expense limitations for Small Cap Growth Fund was 1.25%, 1.75%, 1.00%, 1.50%, 1.25%, 1.00%, 0.85% and 0.75%, for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019.
*****   Prior to November 1, 2017, the contractual expense limitations for Small Cap Value Fund was 1.25%, 1.86%, 1.00%, 1.61%, 1.36%, 1.11%, 0.91% and 0.86%, for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019.

Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2018. The contractual expense limitation percentages in the table above are in place until at least October 31, 2018 unless noted otherwise.

For the year ended June 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

 

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

Small Cap Blend Fund

      $ 99        $ 66        $ 25        $ 190        $ —  

Small Cap Core Fund

        198          127          98          423          — (a) 

Small Cap Equity Fund

        307          205          677          1,189          16  

Small Cap Growth Fund

        207          136          81          424          8  

Small Cap Value Fund

        175          113          267          555          29  

U.S. Small Company Fund

        —          —          1          1          1  

 

(a)

Amount rounds to less than one thousand.

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

The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2018 was as follows (amounts in thousands):

 

Small Cap Blend Fund

    $ 7  

Small Cap Core Fund

      12  

Small Cap Equity Fund

      555  

Small Cap Growth Fund

      69  

Small Cap Value Fund

      67  

U.S. Small Company Fund

      87  

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

The Boards 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, 2018, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended June 30, 2018, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

 

Small Cap Blend Fund

    $ — (a) 

Small Cap Core Fund

      — (a) 

Small Cap Equity Fund

      1  

Small Cap Growth Fund

      — (a) 

Small Cap Value Fund

      — (a) 

U.S. Small Company Fund

      2  

 

(a)

Amount rounds to less than one thousand.

 

 
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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, 2018, 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)		  

Small Cap Blend Fund

      $ 174,342        $ 188,463  

Small Cap Core Fund

        156,273          97,137  

Small Cap Equity Fund

        1,024,181          1,398,783  

Small Cap Growth Fund

        1,289,927          938,326  

Small Cap Value Fund

        770,631          1,108,547  

U.S. Small Company Fund

        899,979          1,107,441  

During the year ended June 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost		        Gross
Unrealized
Appreciation		        Gross
Unrealized
Depreciation		        Net Unrealized
Appreciation
(Depreciation)		  

Small Cap Blend Fund

      $ 164,521        $ 58,234        $ 3,411        $ 54,823  

Small Cap Core Fund

        238,291          86,824          9,295          77,529  

Small Cap Equity Fund

        4,758,830          2,192,025          86,048          2,105,977  

Small Cap Growth Fund

        1,590,453          647,437          33,234          614,203  

Small Cap Value Fund

        1,443,870          567,856          70,466          497,390  

U.S. Small Company Fund

        1,423,924          428,910          77,687          351,223  

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

The tax character of distributions paid during the year ended June 30, 2018 was as follows (amounts in thousands):

 

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

Small Cap Blend Fund

    $ 1,346        $ 20,060        $ 21,406  

Small Cap Core Fund

      3,556          17,269          20,825  

Small Cap Equity Fund

      125,515          224,115          349,630  

Small Cap Growth Fund

      563          111,200          111,763  

Small Cap Value Fund

      19,757          110,341          130,098  

U.S. Small Company Fund

      17,257          98,178          115,435  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

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

 

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

Small Cap Blend Fund

    $ 127        $ 23,121        $ 23,248  

Small Cap Core Fund

      599          17,778          18,377  

Small Cap Equity Fund

      22,582          132,624          155,206  

Small Cap Growth Fund

      —          36,600          36,600  

Small Cap Value Fund

      12,657          828          13,485  

U.S. Small Company Fund

      6,050          —          6,050  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

As of June 30, 2018, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

      Current
Distributable
Ordinary
Income		        Current
Distributable
Long Term
Capital Gain or
(Tax Basis Capital
Loss Carryover)		        Unrealized
Appreciation
(Depreciation)		  

Small Cap Blend Fund

    $ 8,571        $ 42,679        $ 54,823  

Small Cap Core Fund

      3,336          11,053          77,529  

Small Cap Equity Fund

      19,130          164,544          2,105,977  

Small Cap Growth Fund

      57,779          175,554          614,203  

Small Cap Value Fund

      5,853          80,877          497,390  

U.S. Small Company Fund

      32,736          61,348          351,223  

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

At June 30, 2018, the Funds did not have any capital loss carryforwards.

Late year ordinary losses incurred after December 31 and specified ordinary losses incurred after October 31 are deemed to arise on the first business day of Funds’ next taxable year. For the year ended June 30, 2018, the following Funds deferred to July 1, 2018 late year ordinary losses and specified ordinary losses of (amounts in thousands):

 

        Specified
Ordinary
Loss		        Late Year
Ordinary
Loss		  

Small Cap Blend Fund

      $ 47        $ 815  

Small Cap Growth Fund

        —          4,471  

6. Borrowings

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

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended June 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended June 30, 2018.

 

 
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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, 2018, the Funds had non-affiliated omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

      Number of
Non-Affiliated
Omnibus  Accounts		        % of
the Fund		  

Small Cap Blend Fund

      3          56.7 % 

Small Cap Core Fund

      4          31.8  

Small Cap Equity Fund

      4          19.6  

Small Cap Growth Fund

      6          21.4  

Small Cap Value Fund

      6          13.0  

U.S. Small Company Fund

      9          22.2  

As of June 30, 2018, the JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the following Funds:

 

      JPMorgan
SmartRetirement
Funds		  

Small Cap Growth Fund

      14.9 % 

Small Cap Value Fund

      18.9  

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.

8. Investment Company Reporting Modernization

In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of June 30, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Boards of Trustees of JPMorgan Trust I and JPMorgan Trust II and Shareholders of JPMorgan Small Cap Blend Fund, JPMorgan Small Cap Core Fund, JPMorgan Small Cap Equity Fund, JPMorgan Small Cap Growth Fund, JPMorgan Small Cap Value Fund and JPMorgan U.S. Small Company Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Small Cap Blend Fund (formerly known as JPMorgan Dynamic Small Cap Growth Fund), JPMorgan Small Cap Core Fund, JPMorgan Small Cap Equity Fund and JPMorgan U.S. Small Company Fund (four of the funds constituting JPMorgan Trust I) and JPMorgan Small Cap Growth Fund and JPMorgan Small Cap Value Fund (two of the funds constituting JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, 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 ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

New York, New York

August 28, 2018

We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.

 

 
84       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

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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 Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees

     
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    135    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).
Stephen P. Fisher (1959); Trustee of Trusts since 2018.    Retired; Chairman and Chief Executive Officer (2014-2017), President and Chief Operating Officer, NYLIFE Distributors LLC (registered broker-dealer) (2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); President (2015-2017), Co-President (2014-2015) and Senior Managing Director, New York Life Investment Management LLC (registered investment adviser) (2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (formerly MainStay VP Series Fund, Inc.) (registered investment companies) (2007-2017); President, MainStay DefinedTerm Municipal Opportunities Fund (registered investment company) (2011-2017); President, MainStay Funds Trust (registered investment companies) (2009-2017); President, The MainStay Funds (registered investment companies) (2007-2017).    135    Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield (non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).
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).    135    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Dennis P. Harrington* (1950); Trustee of Trusts since 2017.    Retired; Partner, Deloitte LLP (1984-2012).    135    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).    135    None

Raymond Kanner** (1953);

Trustee of Trusts since 2017.

    Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016).    135    Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-2017; Advisory Board Member, Betterment for Business (2016-2017) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-2017) (index creator); Member, Russell Index Client Advisory Board (2001-2015); Advisory Board Member, State Street Global Advisors’ OCIO Board (2017-present).

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         85  

Table of Contents

TRUSTEES

(Unaudited) (continued)

 

Name (Year of Birth);

Positions With

the Funds (1)

   

Principal Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees (continued)

     
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).		    135    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).    135    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).    135    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) (1985-2005).    135    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).    135    Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Trout Unlimited (2017-present).
Marian U. Pardo**** (1946); Trustee of Trusts since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    135    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    135    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 eleven registered investment companies (135 funds).

 

 
86       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
     *

Two family members of Mr. Harrington are partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee.

 

    **

A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof.

 

  ***

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, 2018   J.P. MORGAN SMALL CAP FUNDS         87  

Table of Contents

OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trusts (Since)

    Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)		    Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014).

Timothy J. Clemens (1975),

Treasurer and Principal Financial Officer (2018)*

    Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016; Chief Financial Officer and Head of Valuation, Aberdeen Asset Management PLC (previously Artio Global Management) (2009 to September 2013).

Noah Greenhill (1969),
Secretary (2018)

   

Managing Director and General Counsel, JPMorgan Asset Management (2015 – Present);

Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015).

Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)		    Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)**

    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)**		    Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.
Carmine Lekstutis (1980),
Assistant Secretary (2011)		    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015.
Gregory S. Samuels (1980),
Assistant Secretary (2010)		    Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014.
Pamela L. Woodley (1971),
Assistant Secretary (2012)		    Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Zachary E. Vonnegut-Gabovitch (1986),

Assistant Secretary (2017)

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

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

    Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014.

Jeffrey D. House (1972),

Assistant Treasurer (2017)**

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 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.

Gillian I. Sands (1969),

Assistant Treasurer (2012)*

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012.

 

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 4 New York Plaza, New York, NY 10004.

 

  **

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

 

 
88       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2018, and continued to hold your shares at the end of the reporting period, June 30, 2018.

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 each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

       

Beginning

Account Value

January 1, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Small Cap Blend Fund (formerly known as JPMorgan Dynamic Small Cap Growth Fund)

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,151.70        $ 6.62          1.24 % 

Hypothetical

        1,000.00          1,018.65          6.21          1.24  

Class C

                    

Actual

        1,000.00          1,149.00          9.27          1.74  

Hypothetical

        1,000.00          1,016.17          8.70          1.74  

Class I

                    

Actual

        1,000.00          1,153.40          5.29          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

JPMorgan Small Cap Core Fund

                    

Class A

                    

Actual

        1,000.00          1,079.10          6.34          1.23  

Hypothetical

        1,000.00          1,018.70          6.16          1.23  

Class C

                    

Actual

        1,000.00          1,076.60          8.91          1.73  

Hypothetical

        1,000.00          1,016.22          8.65          1.73  

Class I

                    

Actual

        1,000.00          1,080.30          5.11          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

Class R2

                    

Actual

        1,000.00          1,077.80          7.68          1.49  

Hypothetical

        1,000.00          1,017.41          7.45          1.49  

Class R3

                    

Actual

        1,000.00          1,079.20          6.39          1.24  

Hypothetical

        1,000.00          1,018.65          6.21          1.24  

Class R4

                    

Actual

        1,000.00          1,080.50          5.11          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         89  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

       

Beginning

Account Value

January 1, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Small Cap Core Fund (continued)

                    

Class R5

                    

Actual

      $ 1,000.00        $ 1,081.40        $ 4.13          0.80 % 

Hypothetical

        1,000.00          1,020.83          4.01          0.80  

Class R6

                    

Actual

        1,000.00          1,081.80          3.82          0.74  

Hypothetical

        1,000.00          1,021.12          3.71          0.74  

JPMorgan Small Cap Equity Fund

                    

Class A

                    

Actual

        1,000.00          1,056.20          6.27          1.23  

Hypothetical

        1,000.00          1,018.70          6.16          1.23  

Class C

                    

Actual

        1,000.00          1,053.60          8.81          1.73  

Hypothetical

        1,000.00          1,016.22          8.65          1.73  

Class I

                    

Actual

        1,000.00          1,057.50          5.00          0.98  

Hypothetical

        1,000.00          1,019.93          4.91          0.98  

Class R2

                    

Actual

        1,000.00          1,054.70          7.54          1.48  

Hypothetical

        1,000.00          1,017.46          7.40          1.48  

Class R3

                    

Actual

        1,000.00          1,056.30          6.27          1.23  

Hypothetical

        1,000.00          1,018.70          6.16          1.23  

Class R4

                    

Actual

        1,000.00          1,057.60          5.00          0.98  

Hypothetical

        1,000.00          1,019.93          4.91          0.98  

Class R5

                    

Actual

        1,000.00          1,058.40          4.03          0.79  

Hypothetical

        1,000.00          1,020.88          3.96          0.79  

Class R6

                    

Actual

        1,000.00          1,058.80          3.73          0.73  

Hypothetical

        1,000.00          1,021.17          3.66          0.73  

JPMorgan Small Cap Growth Fund

                    

Class A

                    

Actual

        1,000.00          1,147.40          6.55          1.23  

Hypothetical

        1,000.00          1,018.70          6.16          1.23  

Class C

                    

Actual

        1,000.00          1,145.40          9.20          1.73  

Hypothetical

        1,000.00          1,016.22          8.65          1.73  

Class I

                    

Actual

        1,000.00          1,149.10          5.22          0.98  

Hypothetical

        1,000.00          1,019.93          4.91          0.98  

Class L

                    

Actual

        1,000.00          1,149.80          4.48          0.84  

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

Class R2

                    

Actual

        1,000.00          1,146.50          7.88          1.48  

Hypothetical

        1,000.00          1,017.46          7.40          1.48  

Class R3

                    

Actual

        1,000.00          1,147.40          6.55          1.23  

Hypothetical

        1,000.00          1,018.70          6.16          1.23  

Class R4

                    

Actual

        1,000.00          1,149.10          5.28          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

 

 
90       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

Table of Contents
       

Beginning

Account Value

January 1, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Small Cap Growth Fund (continued)

                    

Class R5

                    

Actual

      $ 1,000.00        $ 1,149.80        $ 4.48          0.84 % 

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

Class R6

                    

Actual

        1,000.00          1,150.60          3.95          0.74  

Hypothetical

        1,000.00          1,021.12          3.71          0.74  

JPMorgan Small Cap Value Fund

                    

Class A

                    

Actual

        1,000.00          1,054.60          6.32          1.24  

Hypothetical

        1,000.00          1,018.65          6.21          1.24  

Class C

                    

Actual

        1,000.00          1,051.80          8.85          1.74  

Hypothetical

        1,000.00          1,016.17          8.70          1.74  

Class I

                    

Actual

        1,000.00          1,056.00          5.05          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

Class R2

                    

Actual

        1,000.00          1,053.40          7.59          1.49  

Hypothetical

        1,000.00          1,017.41          7.45          1.49  

Class R3

                    

Actual

        1,000.00          1,054.70          6.32          1.24  

Hypothetical

        1,000.00          1,018.65          6.21          1.24  

Class R4

                    

Actual

        1,000.00          1,055.80          5.05          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

Class R5

                    

Actual

        1,000.00          1,056.40          4.28          0.84  

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

Class R6

                    

Actual

        1,000.00          1,057.10          3.77          0.74  

Hypothetical

        1,000.00          1,021.12          3.71          0.74  

JPMorgan U.S. Small Company Fund

                    

Class A

                    

Actual

        1,000.00          1,070.50          6.26          1.22  

Hypothetical

        1,000.00          1,018.74          6.11          1.22  

Class C

                    

Actual

        1,000.00          1,068.00          8.87          1.73  

Hypothetical

        1,000.00          1,016.22          8.65          1.73  

Class I

                    

Actual

        1,000.00          1,072.20          4.93          0.96  

Hypothetical

        1,000.00          1,020.03          4.81          0.96  

Class L

                    

Actual

        1,000.00          1,073.30          4.16          0.81  

Hypothetical

        1,000.00          1,020.78          4.06          0.81  

Class R2

                    

Actual

        1,000.00          1,069.00          7.59          1.48  

Hypothetical

        1,000.00          1,017.46          7.40          1.48  

Class R3

                    

Actual

        1,000.00          1,070.80          6.21          1.21  

Hypothetical

        1,000.00          1,018.79          6.06          1.21  

Class R4

                    

Actual

        1,000.00          1,071.90          5.24          1.02  

Hypothetical

        1,000.00          1,019.74          5.11          1.02  

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         91  

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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

       

Beginning

Account Value

January 1, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan U.S. Small Company Fund (continued)

                    

Class R5

                    

Actual

      $ 1,000.00        $ 1,072.90        $ 4.32          0.84 % 

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

Class R6

                    

Actual

        1,000.00          1,073.80          3.65          0.71  

Hypothetical

        1,000.00          1,021.27          3.56          0.71  

 

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

 

 
92       J.P. MORGAN SMALL CAP FUNDS   JUNE 30, 2018

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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, 2018. 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, 2018. The information necessary to complete your income tax returns for the calendar year ending December 31, 2018 will be provided under separate cover.

Dividends Received Deduction (DRD)

Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2018:

 

      Dividends
Received
Deduction		  

JPMorgan Small Cap Blend Fund

      8.83 % 

JPMorgan Small Cap Core Fund

      54.11  

JPMorgan Small Cap Equity Fund

      100.00  

JPMorgan Small Cap Growth Fund

      10.80  

JPMorgan Small Cap Value Fund

      100.00  

JPMorgan U.S. Small Company Fund

      41.50  

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, 2018 (amounts in thousands):

 

      Long-Term
Capital Gain
Distribution		  

JPMorgan Small Cap Blend Fund

    $ 24,431  

JPMorgan Small Cap Core Fund

      17,269  

JPMorgan Small Cap Equity Fund

      224,115  

JPMorgan Small Cap Growth Fund

      111,200  

JPMorgan Small Cap Value Fund

      110,341  

JPMorgan U.S. Small Company Fund

      98,178  

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, 2018 (amounts in thousands):

 

      Qualified
Dividend
Income		  

JPMorgan Small Cap Blend Fund

    $ 819  

JPMorgan Small Cap Core Fund

      3,259  

JPMorgan Small Cap Equity Fund

      89,078  

JPMorgan Small Cap Growth Fund

      563  

JPMorgan Small Cap Value Fund

      19,757  

JPMorgan U.S. Small Company Fund

      17,256  
 

 

 
JUNE 30, 2018   J.P. MORGAN SMALL CAP FUNDS         93  

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LOGO

Rev. January 2011

 

 

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

 

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

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

◾  Social Security number and account balances

 

◾  transaction history and account transactions

 

◾  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

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

 

Reasons we can share your personal information   Does J.P. Morgan
Funds share?		   Can you limit  this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

   Yes   No

For marketing purposes —

to offer our products and services to you

   Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

   No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

   No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

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

 

LOGO

Table of Contents

LOGO

 

Page 2

    

 

 

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

 

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

How does J.P. Morgan

Funds collect my personal

information?

  

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

 

◾  open an account or provide contact information

 

◾  give us your account information or pay us by check

 

◾  make a wire transfer

 

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

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

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

 

◾  affiliates from using your information to market to you

 

◾  sharing for nonaffiliates to market to you

 

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

 

Definitions
Affiliates  

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

 

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

Nonaffiliates  

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

 

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

Joint Marketing  

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

 

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

Table of Contents

 

 

 

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

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

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

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

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

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

 

LOGO

Table of Contents

 

 

LOGO

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

 

  © JPMorgan Chase & Co., 2018. All rights reserved. June 2018.   AN-SC-618

Table of Contents
 

Annual Report

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

June 30, 2018

JPMorgan Growth Advantage Fund

JPMorgan Mid Cap Equity Fund

JPMorgan Mid Cap Growth Fund

JPMorgan Mid Cap Value Fund

JPMorgan Value Advantage Fund

LOGO

Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

     

JPMorgan Growth Advantage Fund

        3  

JPMorgan Mid Cap Equity Fund

        5  

JPMorgan Mid Cap Growth Fund

        7  

JPMorgan Mid Cap Value Fund

        9  

JPMorgan Value Advantage Fund

        11  
Schedules of Portfolio Investments        13  
Financial Statements        28  
Financial Highlights        44  
Notes to Financial Statements        54  
Report of Independent Registered Public Accounting Firm        63  
Trustees        64  
Officers        67  
Schedule of Shareholder Expenses        68  
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’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

Table of Contents

CEO’S LETTER

August 1, 2018 (Unaudited)

 

Dear Shareholder,

The U.S. economy largely outpaced growth in other developed market nations during the twelve months ended June 30, 2018, and U.S. equity markets provided strong returns on the back of record corporate profits and historically low interest rates.

 

LOGO   

 

“Corporate earnings for the first and second quarters of 2018 reached record highs, with a sizeable majority of companies reporting better-than-expected results.” — George C.W. Gatch

During the first half of the reporting period, synchronized global economic growth helped the U.S. economy achieve its second-longest expansion on record. By the final months of 2017, U.S. unemployment had fallen to 4.1% and U.S. consumer confidence rose to its highest levels in nearly 17 years. Notably, U.S. equity prices climbed to record highs in every month from June through December and financial market volatility remained at historically low levels. In response to a tightening labor market and early signs of inflationary pressure, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017.

In January 2018, U.S. equity prices continued to rise, aided somewhat by recently-enacted tax cut legislation. The Standard & Poor’s 500 Index (the “S&P 500”) reached fourteen record closing highs during the month, the last on January 26th.

Early February 2018 was marked by a sharp sell-off in both equities and bonds in the U.S., and the selling quickly spread to other financial markets. Stronger-than-expected economic data sparked investor fears of rapidly rising inflation and accelerated interest rate increases by the Fed. Over several days, the S&P 500 lost more than 10% of its value, a decline that was one of the fastest peak-to-trough drops in the history of the index. The sell-off in bonds led to a spike in yields on benchmark 10-year U.S. Treasury bonds that further roiled markets.

While U.S. equity prices had rebounded somewhat by the end of the reporting period, leading equity indexes never fully recovered. Financial market volatility rose sharply during the February sell-off and remained elevated through June 2018.

Meanwhile, the U.S. economy continued to expand in 2018, even as signs emerged of economic sluggishness in Europe and weakness in select emerging market nations. U.S. GDP rose 2.2% in the first quarter before jumping an estimated 4.1% in the second quarter, the largest increase in nearly four years. Corporate earnings for the first and second quarters of 2018 reached record levels, with a sizeable majority of companies reporting better-than-expected results. In response, the Fed raised interest rates again in March and June.

However, the U.S. imposition of import tariffs on billions of dollars’ worth of goods, and reciprocal trade sanctions from China and other leading U.S. trading partners, increasingly weighed on global financial markets in the first half of 2018. The economies of China, Japan, the European Union and the U.K. are more dependent on exports than the U.S., and the impact of a potentially escalating trade war on the global economy remained a concern among policy makers, economists and investors.

At the end of the reporting period, the world’s leading economies appeared to be on pace for continued, moderate growth. The outlook for corporate earnings remained positive amid tame inflationary pressure, historically low interest rates and buoyant consumer demand. While the Fed was further along in its monetary tightening cycle than its counterparts in other developed markets, the European Central Bank, the Bank of England and the Bank of Japan were all moving in some measure to reduce economic stimulus.

We believe that investors who hold a properly diversified portfolio and a long-term outlook may benefit from a largely positive environment for economic growth and financial markets. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         1  

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

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

Global equity markets provided strong positive returns for the reporting period, with U.S. equities largely outperforming developed market and emerging market equities. Overall, equity prices were supported by synchronized global growth, rising corporate profits and accommodative policies from leading central banks. While the U.S. Federal Reserve raised interest rates twice during the first half of 2018, interest rates remained relatively low by historical standards. The Standard & Poor’s 500 Index (the “S&P 500”) reached record high closings in every month from July 2017 through January 2018.

In early February 2018, both equity and bond prices fell sharply. The S&P 500 lost more than 10% of its value over nine trading sessions and yields on 10-year U.S. Treasury bonds, which serve as a benchmark for a broad range of financial assets, spiked higher. While equity markets rebounded somewhat in subsequent weeks, financial market volatility remained elevated through June 2018.

Overall, growth stocks generally outperformed value stocks and small cap stocks slightly outperformed large cap and mid cap stocks. For the twelve months ended June 30, 2018, the S&P 500 returned 14.37% and the Russell Midcap Index returned 12.33%.

 

 
2       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

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JPMorgan Growth Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      26.22%  
Russell 3000 Growth Index      22.47%  
Net Assets as of 6/30/2018 (In Thousands)    $ 8,691,587  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class A Shares, without a sales charge, outperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the health care sector and its security selection and overweight position in the technology sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the producer durables and materials & processing sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Kite Pharma Inc., Netflix Corp. and Amazon.com Inc. Shares of Kite Pharma, a drug maker, rose ahead of its October 2017 acquisition by Gilead Sciences Inc. Shares of Netflix, an Internet provider of entertainment, rose amid growth in subscriptions and revenue. Shares of Amazon.com, an Internet retailer, rose with continued growth in sales, earnings and market share.

Leading individual detractors from relative performance included the Fund’s overweight positions in Mohawk Industries Inc. and Acadia Healthcare Co. and its underweight position in Microsoft Corp. Shares of Mohawk Industries, a maker of commercial and residential flooring, fell amid competitive pressure from lower cost imports and shrinking demand for the company’s ceramic tiles. Shares of Acadia Healthcare, a provider of behavioral health care services that was not held in the Benchmark, fell early in the reporting period after the company posted lower-than-expected earnings and revenue in the third quarter of 2017. Shares of Microsoft, a computer software and hardware provider, rose on continued growth in earnings and revenue.

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.      Amazon.com, Inc.      5.9 % 
  2.      Alphabet, Inc., Class C      5.7  
  3.      Apple, Inc.      5.7  
  4.      UnitedHealth Group, Inc.      3.5  
  5.      Facebook, Inc., Class A      3.0  
  6.      Waste Connections, Inc.      2.6  
  7.      Microsoft Corp.      2.4  
  8.      Mastercard, Inc., Class A      2.3  
  9.      Visa, Inc., Class A      2.1  
  10.      Netflix, Inc.      1.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      44.9 % 
Health Care      14.3  
Industrials      13.3  
Consumer Discretionary      13.2  
Financials      8.2  
Energy      2.0  
Others (each less than 1.0%)      1.6  
Short-Term Investments      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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         3  

Table of Contents

JPMorgan Growth Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    October 29, 1999               

With Sales Charge*

           19.62 %         16.32 %         11.59 % 

Without Sales Charge

           26.22          17.58          12.20  

CLASS C SHARES

    May 1, 2006               

With CDSC**

           24.60          16.99          11.63  

Without CDSC

           25.60          16.99          11.63  

CLASS I SHARES

    May 1, 2006        26.56          17.80          12.44  

CLASS R2 SHARES

    July 31, 2017        25.90          17.29          11.94  

CLASS R3 SHARES

    May 31, 2017        26.27          17.59          12.22  

CLASS R4 SHARES

    May 31, 2017        26.56          17.86          12.50  

CLASS R5 SHARES

    January 8, 2009        26.74          18.04          12.64  

CLASS R6 SHARES

    December 23, 2013        26.86          18.14          12.69  

 

*  

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 (6/30/08 TO 6/30/18)

 

LOGO

 

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

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

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2008 to

June 30, 2018. 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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

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

 

 

 
4       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

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JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      12.70%  
Russell Midcap Index      12.33%  
Net Assets as of 6/30/2018 (In Thousands)    $ 2,733,708  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares outperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection and overweight position in the technology sector and its security selection in the health care sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the energy and materials & processing sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Kite Pharma Inc., Energen Corp. and Kohl’s Corp. Shares of Kite Pharma, a drug maker not held in the Benchmark, rose ahead of its October 2017 acquisition by Gilead Sciences Inc. Shares of Energen, an oil and natural gas exploration and production company, rose amid investor expectations that activist investors would seek to acquire the company, as well as better-than-expected earnings. Shares of Kohl’s, an apparel retailer, rose amid better-than-expected sales and earnings.

Leading individual detractors from relative performance included the Fund’s overweight positions in Mohawk Industries Inc., Dish Network Inc. and Fortune Brands Home & Security Inc. Shares of Mohawk Industries, a maker of commercial and residential flooring, fell amid increased competition from lower cost imports and shrinking demand for the company’s ceramic tile products. Shares of Dish Network, a subscription TV service, fell after the company reported a drop in earnings and subscriptions. Shares of Fortune Brands, a manufacturer of home furnishings and home security systems, fell after the company reported lower-than-expected earnings and sales for the first quarter of 2018.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary

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

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Hilton Worldwide Holdings, Inc.      1.5 % 
  2.      Waste Connections, Inc.      1.5  
  3.      Amphenol Corp., Class A      1.3  
  4.      Ross Stores, Inc.      1.2  
  5.      CBRE Group, Inc., Class A      1.1  
  6.      Energen Corp.      1.1  
  7.      Global Payments, Inc.      1.1  
  8.      S&P Global, Inc.      1.0  
  9.      ServiceNow, Inc.      1.0  
  10.      EQT Corp.      1.0  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      20.4 % 
Consumer Discretionary      16.3
Financials      14.9
Industrials      12.4
Health Care      11.2
Real Estate      6.4
Energy      4.0
Materials      3.9
Utilities      3.8
Consumer Staples      3.7
Short-Term Investments      3.0  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         5  

Table of Contents

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    November 2, 2009               

With Sales Charge*

           6.49 %         10.89 %         9.44 % 

Without Sales Charge

           12.39          12.09          10.04  

CLASS C SHARES

    November 2, 2009               

With CDSC**

           10.80          11.53          9.56  

Without CDSC

           11.80          11.53          9.56  

CLASS I SHARES

    January 1, 1997        12.70          12.47          10.36  

CLASS R2 SHARES

    March 14, 2014        12.09          11.85          9.92  

CLASS R5 SHARES

    March 14, 2014        12.85          12.57          10.41  

CLASS R6 SHARES

    March 14, 2014        12.93          12.63          10.44  

 

*   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 (6/30/08 TO 6/30/18)

 

LOGO

 

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

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

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

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

The graph illustrates comparative performance for $1,000,000 invested in the Class I Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index, the Lipper Multi-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2008 to June 30, 2018. The performance of the Fund

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

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

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

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

 

 

 
6       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      18.75%  
Russell Midcap Growth Index      18.52%  
Net Assets as of 6/30/2018 (In Thousands)    $ 3,917,244  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares outperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection and overweight position in the technology sector and its underweight position in the materials & processing sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the producer durables and consumer discretionary sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Kite Pharma Inc., Splunk Inc. and Copart Inc. Shares of Kite Pharma, a drug maker that was not held in the Benchmark, rose ahead of its October 2017 acquisition by Gilead Sciences Inc. Shares of Splunk, a data analytics software provider, rose amid consistent better-than-expected earnings and sales during the reporting period. Shares of Copart, an online automotive auction service, rose after the company reported consecutive quarters of better-than-expected earnings and sales.

Leading individual detractors from relative performance included the Fund’s overweight positions in Mohawk Industries Inc. and Acadia Healthcare Inc. and its underweight position in Align Technology Inc. Shares of Mohawk Industries, a maker of commercial and residential flooring, fell amid increased competition from lower cost imports and shrinking demand for the company’s ceramic tile products. Shares of Acadia Healthcare, a provider of behavioral health care services that was not held in the Benchmark, fell early in the reporting period after the company posted lower-than-expected earnings and revenue in the third quarter of 2017. Shares of Align Technology, a maker of dental devices, rose after the company raised its revenue growth target and increased its share repurchase program.

HOW WAS THE FUND POSITIONED?

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

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

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Waste Connections, Inc.      3.0 % 
  2.      Ross Stores, Inc.      2.3  
  3.      Global Payments, Inc.     
 2.1
  
  4.      S&P Global, Inc.     
 2.0
  
  5.      ServiceNow, Inc.     
 2.0
  
  6.      GoDaddy, Inc., Class A     
 1.8
  
  7.      O’Reilly Automotive, Inc.     
 1.7
  
  8.      Palo Alto Networks, Inc.     
 1.6
  
  9.      Hilton Worldwide Holdings, Inc.     
 1.6
  
  10.      Jazz Pharmaceuticals plc     
 1.6
  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology     
 32.8
 % 
Industrials     
 17.3
Consumer Discretionary     
 16.0
Health Care     
 15.9
Financials     
 8.8
Materials     
 3.5
Energy     
 1.5
Real Estate     
 1.3
Short-Term Investments     
 2.9
  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         7  

Table of Contents

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992               

With Sales Charge*

           12.17 %         12.58 %        9.38 %

Without Sales Charge

           18.39        13.80        9.97

CLASS C SHARES

    November 4, 1997               

With CDSC**

           16.81        13.24        9.40

Without CDSC

           17.81        13.24        9.40

CLASS I SHARES

    March 2, 1989        18.75        14.15        10.30

CLASS R2 SHARES

    June 19, 2009        18.10        13.59        9.78

CLASS R3 SHARES

    September 9, 2016        18.38          13.79          9.97  

CLASS R4 SHARES

    September 9, 2016        18.66        14.08        10.24

CLASS R5 SHARES

    November 1, 2011        18.89        14.30        10.41

CLASS R6 SHARES

    November 1, 2011        18.95        14.37        10.45

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index and the Lipper Mid-Cap Growth Funds Index from June 30, 2008 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain

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

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

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

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

 

 

 
8       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class L Shares)*      6.73%  
Russell Midcap Value Index      7.60%  
Net Assets as of 6/30/2018 (In Thousands)    $ 18,283,851  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class L Shares underperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the materials sector and its security selection and underweight position in the energy sector were leading detractors from performance relative to the Benchmark, while the Fund’s underweight position and security selection in the real estate sector and its security selection in the financials sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Dish Network Inc., EQT Corp. and Newell Brands Inc.Shares of Dish Network, a subscription TV service, fell after the company reported a drop in earnings and subscriptions. Shares of EQT, a natural gas production and transmission company, fell as natural gas prices declined during the reporting period and the company reported a loss for the first quarter of 2018. Shares of Newell Brands, a maker of household products, fell amid a proxy battle with activist investors seeking to replace the company’s board of directors.

Leading individual contributors to relative performance included the Fund’s overweight positions in Kohl’s Corp., Dr. Pepper Snapple Group Inc. and T. Rowe Price Group Inc.Shares of Kohl’s, an apparel retailer, rose amid better-than-expected sales and earnings. Shares of Dr. Pepper Snapple Group, a soft drinks maker, rose ahead of the company’s acquisition by Keurig Co. Shares of T. Rowe Price Group, a financial services provider, rose amid consecutive quarters of better-than-expected earnings during the reporting period.

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.      Energen Corp.      2.1 % 
  2.      EQT Corp.      2.0  
  3.      M&T Bank Corp.      1.8  
  4.      Williams Cos., Inc. (The)      1.7  
  5.      Mohawk Industries, Inc.      1.7  
  6.      Loews Corp.      1.7  
  7.      CMS Energy Corp.      1.7  
  8.      Dr Pepper Snapple Group, Inc.      1.6  
  9.      WEC Energy Group, Inc.      1.6  
  10.      Xcel Energy, Inc.      1.6  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      21.4 % 
Consumer Discretionary      16.6
Real Estate      11.2
Information Technology      8.3
Utilities      7.6
Industrials      7.5
Consumer Staples      7.3
Health Care      6.6
Energy      6.5
Materials      4.2
Short-Term Investments      2.8  

 

 

*   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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         9  

Table of Contents

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		        1 YEAR        5 YEAR        10 YEAR  
                 

CLASS A SHARES

      April 30, 2001                 

With Sales Charge*

           0.64 %         9.14 %         9.50 % 

Without Sales Charge

           6.20          10.32          10.09  

CLASS C SHARES

      April 30, 2001                 

With CDSC**

           4.68          9.76          9.54  

Without CDSC

           5.68          9.76          9.54  

CLASS I SHARES

      October 31, 2001          6.47          10.60          10.37  

CLASS L SHARES

      November 13, 1997          6.73          10.87          10.63  

CLASS R2 SHARES

      November 3, 2008          5.93          10.04          9.82  

CLASS R3 SHARES

      September 9, 2016          6.20          10.32          10.09  

CLASS R4 SHARES

      September 9, 2016          6.48          10.60          10.36  

CLASS R5 SHARES

      September 9, 2016          6.61          10.83          10.62  

CLASS R6 SHARES

      September 9, 2016          6.71          10.87          10.63  

 

*   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 (6/30/08 TO 6/30/18)

 

LOGO

 

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

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

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

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Mid Cap Value Fund, the Russell Midcap Value Index, the Lipper Mid-Cap Value Funds Index and the Lipper Mid-Cap Core Funds Index from June 30, 2008 to June 30, 2018. 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 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 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 Mid-Cap Core Funds Index are indices based on total returns of certain mutual funds within designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
10       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Value Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)*      8.26%  
Russell 3000 Value Index      7.25%  
Net Assets as of 6/30/2018 (In Thousands)    $ 11,384,237  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class L Shares outperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection and underweight position in the industrials and consumer staples sectors were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the materials sector and its underweight position in the energy sector were leading detractors from relative performance.

Leading individual contributors to performance relative to the Benchmark included the Fund’s underweight position in General Electric Co. and its overweight positions in T. Rowe Price Group Inc. and Kohl’s Corp. Shares of General Electric, an industrial conglomerate not held in the Fund, fell amid the company’s restructuring efforts and in June 2018, the stock was removed from the Dow Jones Industrial Average after 111 consecutive years on the index. Shares of T. Rowe Price Group, a financial services provider, rose amid consecutive quarters of better-than-expected earnings during the reporting period.Shares of Kohl’s, an apparel retailer, rose amid better-than-expected sales and earnings.

Leading individual detractors from relative performance included the Fund’s overweight positions in Dish Network Corp. and Ball Corp. and its underweight position in Intel Corp.Shares of Dish Network, a subscription TV service, fell after the company reported a drop in earnings and subscriptions. Shares of Ball, a metal packaging maker, fell after the company reported weakness in its key North and Central American markets. Shares of Intel, a semiconductor manufacturer not held in the Fund, rose amid gains in the broader semiconductor sector.

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 overweight position was in the consumer discretionary sector and the Fund’s largest underweight position was in the health care sector.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Bank of America Corp.      3.0 % 
  2.      Wells Fargo & Co.      2.9  
  3.      Pfizer, Inc.      2.4  
  4.      Capital One Financial Corp.      2.1  
  5.      Exxon Mobil Corp.      1.9  
  6.      Loews Corp.      1.6  
  7.      PNC Financial Services Group, Inc. (The)      1.6  
  8.      M&T Bank Corp.      1.5  
  9.      Johnson & Johnson      1.5  
  10.      Texas Instruments, Inc.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      29.5 % 
Consumer Discretionary      12.7
Health Care      9.2
Energy      9.0
Real Estate      7.7
Consumer Staples      6.7
Information Technology      6.6
Industrials      6.2
Utilities      4.7
Materials      4.4
Telecommunication Services      1.1
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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         11  

Table of Contents

JPMorgan Value Advantage Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

     INCEPTION DATE OF
CLASS		        1 YEAR        5 YEAR        10 YEAR  
                 

CLASS A SHARES

      February 28, 2005                 

With Sales Charge*

           2.15 %         8.68 %         9.37 % 

Without Sales Charge

           7.81          9.86          9.96  

CLASS C SHARES

      February 28, 2005                 

With CDSC**

           6.27          9.31          9.41  

Without CDSC

           7.27          9.31          9.41  

CLASS I SHARES

      February 28, 2005          8.07          10.13          10.24  

CLASS L SHARES

      February 28, 2005          8.26          10.39          10.51  

CLASS R2 SHARES

      July 31, 2017          7.51          9.58          9.68  

CLASS R3 SHARES

      September 9, 2016          7.82          9.86          9.96  

CLASS R4 SHARES

      September 9, 2016          8.07          10.13          10.24  

CLASS R5 SHARES

      September 9, 2016          8.25          10.38          10.50  

CLASS R6 SHARES

      September 9, 2016          8.35          10.41          10.52  

 

*   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 (6/30/08 TO 6/30/18)

 

LOGO

 

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

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

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

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from June 30, 2008 to June 30, 2018. 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.

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

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

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

 

 

 
12       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Growth Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 18, 2018

 

INVESTMENTS   

SHARES

(000)

      VALUE
($000)		  

Common Stocks — 96.8%

      

Aerospace & Defense — 1.6%

      

Boeing Co. (The)

      418        140,344  
     

 

 

  

Airlines — 0.6%

      

Delta Air Lines, Inc.

      974        48,247  
     

 

 

  

Automobiles — 0.4%

      

Tesla, Inc.*

      107        36,833  
     

 

 

  

Banks — 2.3%

      

Comerica, Inc.

      696        63,299  

East West Bancorp, Inc.

      1,432        93,340  

First Republic Bank

      462        44,678  
     

 

 

  
        201,317  
     

 

 

  

Biotechnology — 3.1%

      

Exact Sciences Corp.*

      707        42,296  

Exelixis, Inc.*

      1,367        29,422  

Intercept Pharmaceuticals, Inc.*

      381        31,961  

Sage Therapeutics, Inc.*

      194        30,351  

Spark Therapeutics, Inc.*

      584        48,299  

Vertex Pharmaceuticals, Inc.*

      503        85,473  
     

 

 

  
        267,802  
     

 

 

  

Building Products — 1.8%

      

Fortune Brands Home & Security, Inc.

      913        48,997  

Lennox International, Inc.

      538        107,721  
     

 

 

  
        156,718  
     

 

 

  

Capital Markets — 4.9%

      

BlackRock, Inc.

      129        64,127  

Charles Schwab Corp. (The)

      2,849        145,584  

Nasdaq, Inc.

      766        69,894  

S&P Global, Inc.

      702        143,070  
     

 

 

  
        422,675  
     

 

 

  

Commercial Services & Supplies — 3.6%

      

Copart, Inc.*

      1,494        84,507  

Waste Connections, Inc.

      3,037        228,659  
     

 

 

  
        313,166  
     

 

 

  

Communications Equipment — 1.9%

      

Arista Networks, Inc.*

      244        62,712  

Palo Alto Networks, Inc.*

      492        101,030  
     

 

 

  
        163,742  
     

 

 

  

Construction Materials — 0.7%

      

Eagle Materials, Inc.

      584        61,323  
     

 

 

  

Distributors — 0.8%

      

LKQ Corp.*

      2,050        65,385  
     

 

 

  
INVESTMENTS   

SHARES

(000)

      VALUE
($000)		  
     

Electronic Equipment, Instruments & Components — 1.6%

 

Amphenol Corp., Class A

      781        68,064  

Corning, Inc.

      2,655        73,028  
     

 

 

  
        141,092  
     

 

 

  

Health Care Equipment & Supplies — 1.3%

      

DexCom, Inc.*

      337        32,046  

Intuitive Surgical, Inc.*

      164        78,280  
     

 

 

  
        110,326  
     

 

 

  

Health Care Providers & Services — 5.3%

      

Acadia Healthcare Co., Inc.*

      1,510        61,770  

AmerisourceBergen Corp.

      296        25,274  

Centene Corp.*

      596        73,372  

UnitedHealth Group, Inc.

      1,228        301,277  
     

 

 

  
        461,693  
     

 

 

  

Health Care Technology — 1.7%

      

Evolent Health, Inc., Class A*

      2,141        45,062  

Teladoc, Inc.*

      786        45,633  

Veeva Systems, Inc., Class A*

      704        54,109  
     

 

 

  
        144,804  
     

 

 

  

Hotels, Restaurants & Leisure — 1.0%

      

Hilton Worldwide Holdings, Inc.

      1,139        90,142  
     

 

 

  

Insurance — 1.0%

      

Progressive Corp. (The)

      1,462        86,495  
     

 

 

  

Internet & Direct Marketing Retail — 9.3%

      

Amazon.com, Inc.*

      300        510,280  

Booking Holdings, Inc.*

      44        88,989  

Netflix, Inc.*

      427        167,102  

Wayfair, Inc., Class A*

      386        45,853  
     

 

 

  
        812,224  
     

 

 

  

Internet Software & Services — 10.8%

      

Alphabet, Inc., Class C*

      443        494,573  

DocuSign, Inc.*

      259        13,714  

Facebook, Inc., Class A*

      1,344        261,225  

GoDaddy, Inc., Class A*

      1,540        108,745  

Spotify Technology SA*

      383        64,419  
     

 

 

  
        942,676  
     

 

 

  

IT Services — 9.3%

      

Gartner, Inc.*

      592        78,690  

Global Payments, Inc.

      1,062        118,369  

Mastercard, Inc., Class A

      992        195,007  

PayPal Holdings, Inc.*

      1,263        105,187  

Square, Inc., Class A*

      690        42,556  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         13  

Table of Contents

JPMorgan Growth Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   

SHARES

(000)

      VALUE
($000)		  

Common Stocks — continued

      

IT Services — continued

      

Visa, Inc., Class A

      1,362        180,370  

Worldpay, Inc.*

      1,036        84,757  
     

 

 

  
        804,936  
     

 

 

  

Life Sciences Tools & Services — 1.1%

      

Illumina, Inc.*

      336        93,869  
     

 

 

  

Machinery — 4.4%

      

Deere & Co.

      506        70,767  

Nordson Corp.

      336        43,197  

Oshkosh Corp.

      1,236        86,944  

Parker-Hannifin Corp.

      265        41,316  

Stanley Black & Decker, Inc.

      649        86,233  

WABCO Holdings, Inc.*

      475        55,561  
     

 

 

  
        384,018  
     

 

 

  

Oil, Gas & Consumable Fuels — 1.9%

      

Concho Resources, Inc.*

      689        95,268  

EOG Resources, Inc.

      590        73,351  
     

 

 

  
        168,619  
     

 

 

  

Pharmaceuticals — 1.8%

      

Jazz Pharmaceuticals plc*

      482        83,014  

Revance Therapeutics, Inc.*

      1,172        32,177  

TherapeuticsMD, Inc.*

      6,047        37,735  
     

 

 

  
        152,926  
     

 

 

  

Real Estate Management & Development — 0.9%

 

   

CBRE Group, Inc., Class A*

      1,663        79,368  
     

 

 

  

Road & Rail — 0.9%

      

Old Dominion Freight Line, Inc.

      496        73,892  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.6%

 

   

Applied Materials, Inc.

      1,404        64,869  

Broadcom, Inc.

      424        102,758  

Cavium, Inc.*

      969        83,844  

NVIDIA Corp.

      607        143,704  
     

 

 

  
        395,175  
     

 

 

  

Software — 10.8%

      

Adobe Systems, Inc.*

      514        125,294  

Electronic Arts, Inc.*

      887        125,057  
INVESTMENTS   

SHARES

(000)

      VALUE
($000)		  

Software — continued

      

Guidewire Software, Inc.*

      527        46,769  

Microsoft Corp.

      2,076        204,744  

Red Hat, Inc.*

      416        55,871  

SailPoint Technologies Holding, Inc.*

      891        21,863  

salesforce.com, Inc.*

      1,169        159,493  

ServiceNow, Inc.*

      573        98,808  

Splunk, Inc.*

      669        66,324  

Take-Two Interactive Software, Inc.*

      295        34,957  
     

 

 

  
        939,180  
     

 

 

  

Specialty Retail — 0.9%

      

Ross Stores, Inc.

      957        81,123  
     

 

 

  

Technology Hardware, Storage & Peripherals — 5.6%

 

   

Apple, Inc.

      2,637        488,089  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.6%

      

Lululemon Athletica, Inc.*

      450        56,182  
     

 

 

  

Trading Companies & Distributors — 0.3%

      

Fastenal Co.

      568        27,323  
     

 

 

  

Total Common Stocks
(Cost $4,789,301)

         8,411,704  
     

 

 

  

Short-Term Investments — 2.5%

      

Investment Companies — 2.5%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $218,911)

      218,911        218,911  
     

 

 

  

Total Investments — 99.3%
(Cost $5,008,212)

         8,630,615  

Other Assets Less Liabilities — 0.7%

         60,972  
     

 

 

  

NET ASSETS — 100.0%

       $ 8,691,587  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.1%

      

Aerospace & Defense — 0.5%

      

HEICO Corp., Class A

      227        13,837  
     

 

 

  

Air Freight & Logistics — 0.5%

      

XPO Logistics, Inc.*

      138        13,775  
     

 

 

  

Auto Components — 1.0%

      

Aptiv plc

      192        17,611  

BorgWarner, Inc.

      223        9,631  
     

 

 

  
        27,242  
     

 

 

  

Automobiles — 0.4%

      

Tesla, Inc.*

      8        2,743  

Thor Industries, Inc.

      80        7,811  
     

 

 

  
        10,554  
     

 

 

  

Banks — 5.1%

      

Citizens Financial Group, Inc.

      302        11,759  

Comerica, Inc.

      129        11,747  

East West Bancorp, Inc.

      246        16,052  

Fifth Third Bancorp

      689        19,771  

First Republic Bank

      194        18,779  

Huntington Bancshares, Inc.

      752        11,094  

M&T Bank Corp.

      143        24,290  

SunTrust Banks, Inc.

      311        20,514  

Zions Bancorp

      105        5,547  
     

 

 

  
        139,553  
     

 

 

  

Beverages — 1.6%

      

Constellation Brands, Inc., Class A

      57        12,384  

Dr Pepper Snapple Group, Inc.

      183        22,299  

Molson Coors Brewing Co., Class B

      119        8,109  
     

 

 

  
        42,792  
     

 

 

  

Biotechnology — 2.0%

      

BioMarin Pharmaceutical, Inc.*

      78        7,348  

Exact Sciences Corp.*

      138        8,257  

Exelixis, Inc.*

      390        8,397  

Intercept Pharmaceuticals, Inc.*

      78        6,536  

Sage Therapeutics, Inc.*

      50        7,858  

Spark Therapeutics, Inc.*

      89        7,332  

Vertex Pharmaceuticals, Inc.*

      56        9,586  
     

 

 

  
        55,314  
     

 

 

  

Building Products — 1.5%

      

Fortune Brands Home & Security, Inc.

      367        19,700  

Lennox International, Inc.

      106        21,204  
     

 

 

  
        40,904  
     

 

 

  

Capital Markets — 5.3%

      

Affiliated Managers Group, Inc.

      46        6,898  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Capital Markets — continued

      

Ameriprise Financial, Inc.

      147        20,518  

Invesco Ltd.

      351        9,328  

Nasdaq, Inc.

      191        17,424  

Northern Trust Corp.

      145        14,888  

Raymond James Financial, Inc.

      141        12,610  

S&P Global, Inc.

      135        27,484  

T. Rowe Price Group, Inc.

      181        20,955  

TD Ameritrade Holding Corp.

      253        13,835  
     

 

 

  
        143,940  
     

 

 

  

Chemicals — 0.4%

      

Sherwin-Williams Co. (The)

      29        11,622  
     

 

 

  

Commercial Services & Supplies — 2.2%

      

Copart, Inc.*

      376        21,255  

Waste Connections, Inc.

      537        40,418  
     

 

 

  
        61,673  
     

 

 

  

Communications Equipment — 1.9%

      

Arista Networks, Inc.*

      68        17,584  

CommScope Holding Co., Inc.*

      384        11,210  

Palo Alto Networks, Inc.*

      108        22,203  
     

 

 

  
        50,997  
     

 

 

  

Construction Materials — 1.2%

      

Eagle Materials, Inc.

      122        12,775  

Vulcan Materials Co.

      147        19,010  
     

 

 

  
        31,785  
     

 

 

  

Consumer Finance — 0.5%

      

Ally Financial, Inc.

      493        12,959  
     

 

 

  

Containers & Packaging — 2.3%

      

Avery Dennison Corp.

      148        15,121  

Ball Corp.

      605        21,513  

Silgan Holdings, Inc.

      437        11,726  

WestRock Co.

      244        13,935  
     

 

 

  
        62,295  
     

 

 

  

Distributors — 0.9%

      

Genuine Parts Co.

      122        11,182  

LKQ Corp.*

      393        12,540  
     

 

 

  
        23,722  
     

 

 

  

Diversified Consumer Services — 0.4%

      

Bright Horizons Family Solutions, Inc.*

      114        11,698  
     

 

 

  

Electric Utilities — 1.2%

      

Edison International

      109        6,916  

Evergy, Inc.

      83        4,681  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         15  

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Electric Utilities — continued

      

Xcel Energy, Inc.

      467        21,316  
     

 

 

  
        32,913  
     

 

 

  

Electrical Equipment — 1.1%

      

Acuity Brands, Inc.

      86        10,011  

AMETEK, Inc.

      178        12,821  

Hubbell, Inc.

      68        7,150  
     

 

 

  
        29,982  
     

 

 

  

Electronic Equipment, Instruments & Components — 3.8%

 

Amphenol Corp., Class A

      411        35,802  

Arrow Electronics, Inc.*

      197        14,815  

CDW Corp.

      190        15,368  

Corning, Inc.

      485        13,329  

IPG Photonics Corp.*

      52        11,406  

Keysight Technologies, Inc.*

      207        12,211  
     

 

 

  
        102,931  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 5.3%

 

American Campus Communities, Inc.

      157        6,713  

American Homes 4 Rent, Class A

      307        6,813  

AvalonBay Communities, Inc.

      82        14,082  

Boston Properties, Inc.

      112        13,992  

Brixmor Property Group, Inc.

      548        9,552  

Essex Property Trust, Inc.

      35        8,478  

Federal Realty Investment Trust

      95        12,072  

JBG SMITH Properties

      143        5,219  

Kimco Realty Corp.

      464        7,879  

Outfront Media, Inc.

      438        8,510  

Park Hotels & Resorts, Inc.

      132        4,033  

Rayonier, Inc.

      303        11,706  

Regency Centers Corp.

      119        7,373  

Vornado Realty Trust

      186        13,737  

Weyerhaeuser Co.

      281        10,261  

WP Carey, Inc.

      76        5,070  
     

 

 

  
        145,490  
     

 

 

  

Food & Staples Retailing — 0.6%

      

Kroger Co. (The)

      550        15,637  
     

 

 

  

Food Products — 0.7%

      

Pinnacle Foods, Inc.

      167        10,847  

Post Holdings, Inc.*

      113        9,707  
     

 

 

  
        20,554  
     

 

 

  

Gas Utilities — 0.5%

      

National Fuel Gas Co.

      238        12,601  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Health Care Equipment & Supplies — 2.0%

      

DexCom, Inc.*

      150        14,209  

Edwards Lifesciences Corp.*

      82        11,944  

ResMed, Inc.

      130        13,507  

Zimmer Biomet Holdings, Inc.

      139        15,491  
     

 

 

  
        55,151  
     

 

 

  

Health Care Providers & Services — 4.8%

      

Acadia Healthcare Co., Inc.*

      261        10,669  

AmerisourceBergen Corp.

      254        21,678  

Centene Corp.*

      148        18,261  

Cigna Corp.

      89        15,090  

Henry Schein, Inc.*

      133        9,661  

Humana, Inc.

      39        11,646  

Laboratory Corp. of America Holdings*

      74        13,282  

Premier, Inc., Class A*

      233        8,484  

Universal Health Services, Inc., Class B

      101        11,240  

WellCare Health Plans, Inc.*

      42        10,224  
     

 

 

  
        130,235  
     

 

 

  

Health Care Technology — 0.9%

      

Teladoc, Inc.*

      188        10,913  

Veeva Systems, Inc., Class A*

      169        13,005  
     

 

 

  
        23,918  
     

 

 

  

Hotels, Restaurants & Leisure — 2.7%

      

Hilton Worldwide Holdings, Inc.

      534        42,235  

Marriott International, Inc., Class A

      33        4,218  

Red Rock Resorts, Inc., Class A

      404        13,548  

Vail Resorts, Inc.

      48        13,024  
     

 

 

  
        73,025  
     

 

 

  

Household Durables — 1.2%

      

Mohawk Industries, Inc.*

      110        23,493  

Newell Brands, Inc.

      379        9,776  
     

 

 

  
        33,269  
     

 

 

  

Household Products — 0.2%

      

Energizer Holdings, Inc.

      93        5,866  
     

 

 

  

Industrial Conglomerates — 0.5%

      

Carlisle Cos., Inc.

      129        13,931  
     

 

 

  

Insurance — 4.1%

      

Alleghany Corp.

      13        7,328  

Chubb Ltd.

      25        3,137  

Hartford Financial Services Group, Inc. (The)

      352        18,015  

Loews Corp.

      481        23,235  

Marsh & McLennan Cos., Inc.

      138        11,347  

Principal Financial Group, Inc.

      135        7,169  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Insurance — continued

      

Progressive Corp. (The)

      371        21,948  

Unum Group

      176        6,522  

WR Berkley Corp.

      98        7,088  

XL Group Ltd. (Bermuda)

      122        6,840  
     

 

 

  
        112,629  
     

 

 

  

Internet & Direct Marketing Retail — 1.0%

      

Expedia Group, Inc.

      142        17,068  

Wayfair, Inc., Class A*

      79        9,418  
     

 

 

  
        26,486  
     

 

 

  

Internet Software & Services — 2.5%

      

DocuSign, Inc.*

      46        2,457  

GoDaddy, Inc., Class A*

      339        23,948  

GrubHub, Inc.*

      113        11,865  

Match Group, Inc.*

      165        6,407  

Spotify Technology SA*

      60        10,094  

Twitter, Inc.*

      325        14,184  
     

 

 

  
        68,955  
     

 

 

  

IT Services — 3.9%

      

Fiserv, Inc.*

      242        17,952  

Gartner, Inc.*

      141        18,699  

Global Payments, Inc.

      261        29,132  

Jack Henry & Associates, Inc.

      110        14,392  

Square, Inc., Class A*

      241        14,843  

Worldpay, Inc.*

      150        12,267  
     

 

 

  
        107,285  
     

 

 

  

Life Sciences Tools & Services — 0.4%

      

Illumina, Inc.*

      40        11,110  
     

 

 

  

Machinery — 4.3%

      

Fortive Corp.

      246        18,946  

IDEX Corp.

      99        13,466  

Middleby Corp. (The)*

      52        5,428  

Nordson Corp.

      110        14,125  

Oshkosh Corp.

      208        14,591  

Parker-Hannifin Corp.

      45        6,998  

Snap-on, Inc.

      111        17,903  

Stanley Black & Decker, Inc.

      109        14,423  

WABCO Holdings, Inc.*

      101        11,795  
     

 

 

  
        117,675  
     

 

 

  

Marine — 0.2%

      

Kirby Corp.*

      82        6,889  
     

 

 

  

Media — 0.6%

      

CBS Corp. (Non-Voting), Class B

      164        9,239  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Media — continued

      

DISH Network Corp., Class A*

      234        7,872  
     

 

 

  
        17,111  
     

 

 

  

Multiline Retail — 1.0%

      

Kohl’s Corp.

      257        18,719  

Nordstrom, Inc.

      146        7,579  
     

 

 

  
        26,298  
     

 

 

  

Multi-Utilities — 2.1%

      

CMS Energy Corp.

      487        23,041  

Sempra Energy

      115        13,407  

WEC Energy Group, Inc.

      335        21,678  
     

 

 

  
        58,126  
     

 

 

  

Oil, Gas & Consumable Fuels — 4.0%

      

Concho Resources, Inc.*

      148        20,434  

Energen Corp.*

      400        29,135  

EQT Corp.

      495        27,327  

PBF Energy, Inc., Class A

      213        8,947  

Williams Cos., Inc. (The)

      910        24,672  
     

 

 

  
        110,515  
     

 

 

  

Personal Products — 0.6%

      

Coty, Inc., Class A

      579        8,162  

Edgewell Personal Care Co.*

      153        7,713  
     

 

 

  
        15,875  
     

 

 

  

Pharmaceuticals — 1.1%

      

Catalent, Inc.*

      228        9,547  

Jazz Pharmaceuticals plc*

      123        21,262  
     

 

 

  
        30,809  
     

 

 

  

Professional Services — 0.1%

      

Verisk Analytics, Inc.*

      26        2,838  
     

 

 

  

Real Estate Management & Development —1.1%

 

CBRE Group, Inc., Class A*

      615        29,342  
     

 

 

  

Road & Rail — 0.5%

      

Old Dominion Freight Line, Inc.

      101        15,030  
     

 

 

  

Semiconductors & Semiconductor Equipment — 2.3%

 

   

Analog Devices, Inc.

      120        11,471  

Broadcom, Inc.

      38        9,099  

Cavium, Inc.*

      225        19,462  

Lam Research Corp.

      89        15,401  

Teradyne, Inc.

      236        8,992  
     

 

 

  
        64,425  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         17  

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Software — 6.0%

      

Autodesk, Inc.*

      123        16,072  

Electronic Arts, Inc.*

      113        15,992  

Guidewire Software, Inc.*

      111        9,846  

Paycom Software, Inc.*

      107        10,604  

Proofpoint, Inc.*

      108        12,477  

Red Hat, Inc.*

      147        19,806  

ServiceNow, Inc.*

      159        27,388  

Splunk, Inc.*

      162        16,056  

Synopsys, Inc.*

      141        12,044  

Take-Two Interactive Software, Inc.*

      95        11,197  

Tyler Technologies, Inc.*

      58        12,815  
     

 

 

  
        164,297  
     

 

 

  

Specialty Retail — 5.2%

      

AutoZone, Inc.*

      23        15,694  

Best Buy Co., Inc.

      193        14,372  

Floor & Decor Holdings, Inc., Class A*

      76        3,747  

Gap, Inc. (The)

      434        14,057  

O’Reilly Automotive, Inc.*

      83        22,734  

Ross Stores, Inc.

      373        31,603  

Tiffany & Co.

      122        16,035  

Tractor Supply Co.

      163        12,430  

Ulta Beauty, Inc.*

      47        10,973  
     

 

 

  
        141,645  
     

 

 

  

Textiles, Apparel & Luxury Goods — 2.0%

      

Lululemon Athletica, Inc.*

      132        16,430  

PVH Corp.

      111        16,639  

Ralph Lauren Corp.

      88        11,081  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Textiles, Apparel & Luxury Goods — continued

 

   

Tapestry, Inc.

      203        9,487  
     

 

 

  
        53,637  
     

 

 

  

Trading Companies & Distributors — 0.9%

      

Fastenal Co.

      174        8,363  

MSC Industrial Direct Co., Inc., Class A

      151        12,811  

WW Grainger, Inc.

      9        2,745  
     

 

 

  
        23,919  
     

 

 

  

Total Common Stocks
(Cost $1,777,264)

         2,655,061  
     

 

 

  

Short-Term Investments — 3.0%

 

Investment Companies — 3.0%

 

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $80,883)

      80,883        80,883  
     

 

 

  

Total Investments — 100.1%
(Cost $1,858,147)

         2,735,944  

Liabilities in Excess of
Other Assets — (0.1%)

         (2,236 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 2,733,708  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 96.3%

      

Aerospace & Defense — 1.0%

      

HEICO Corp., Class A

      650        39,614  
     

 

 

  

Air Freight & Logistics — 1.0%

      

XPO Logistics, Inc.*

      394        39,441  
     

 

 

  

Auto Components — 1.3%

      

Aptiv plc

      550        50,397  
     

 

 

  

Automobiles — 0.8%

      

Tesla, Inc.*

      23        7,870  

Thor Industries, Inc.

      230        22,371  
     

 

 

  
        30,241  
     

 

 

  

Banks — 2.5%

      

Comerica, Inc.

      370        33,631  

East West Bancorp, Inc.

      700        45,650  

First Republic Bank

      201        19,406  
     

 

 

  
        98,687  
     

 

 

  

Biotechnology — 4.0%

      

BioMarin Pharmaceutical, Inc.*

      223        21,035  

Exact Sciences Corp.*

      396        23,647  

Exelixis, Inc.*

      1,117        24,044  

Intercept Pharmaceuticals, Inc.*

      223        18,718  

Sage Therapeutics, Inc.*

      144        22,525  

Spark Therapeutics, Inc.*

      254        20,988  

Vertex Pharmaceuticals, Inc.*

      162        27,464  
     

 

 

  
        158,421  
     

 

 

  

Building Products — 2.2%

      

Fortune Brands Home & Security, Inc.

      446        23,967  

Lennox International, Inc.

      303        60,712  
     

 

 

  
        84,679  
     

 

 

  

Capital Markets — 5.4%

      

Affiliated Managers Group, Inc.

      133        19,745  

Ameriprise Financial, Inc.

      167        23,346  

Nasdaq, Inc.

      547        49,879  

S&P Global, Inc.

      386        78,687  

TD Ameritrade Holding Corp.

      723        39,601  
     

 

 

  
        211,258  
     

 

 

  

Commercial Services & Supplies — 4.5%

      

Copart, Inc.*

      1,076        60,842  

Waste Connections, Inc.

      1,537        115,681  
     

 

 

  
        176,523  
     

 

 

  

Communications Equipment — 2.9%

      

Arista Networks, Inc.*

      196        50,370  

Palo Alto Networks, Inc.*

      309        63,576  
     

 

 

  
        113,946  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Construction Materials — 2.3%

      

Eagle Materials, Inc.

      348        36,574  

Vulcan Materials Co.

      422        54,433  
     

 

 

  
        91,007  
     

 

 

  

Containers & Packaging — 1.1%

      

Avery Dennison Corp.

      424        43,270  
     

 

 

  

Distributors — 0.9%

      

LKQ Corp.*

      1,125        35,897  
     

 

 

  

Diversified Consumer Services — 0.9%

      

Bright Horizons Family Solutions, Inc.*

      327        33,473  
     

 

 

  

Electronic Equipment, Instruments & Components — 3.3%

 

Amphenol Corp., Class A

      678        59,073  

Corning, Inc.

      1,387        38,154  

IPG Photonics Corp.*

      148        32,653  
     

 

 

  
        129,880  
     

 

 

  

Health Care Equipment & Supplies — 2.9%

      

DexCom, Inc.*

      428        40,680  

Edwards Lifesciences Corp.*

      235        34,194  

ResMed, Inc.

      373        38,666  
     

 

 

  
        113,540  
     

 

 

  

Health Care Providers & Services — 4.0%

      

Acadia Healthcare Co., Inc.*

      747        30,549  

AmerisourceBergen Corp.

      236        20,098  

Centene Corp.*

      424        52,253  

Premier, Inc., Class A*

      662        24,069  

WellCare Health Plans, Inc.*

      118        29,130  
     

 

 

  
        156,099  
     

 

 

  

Health Care Technology — 1.7%

      

Teladoc, Inc.*

      538        31,243  

Veeva Systems, Inc., Class A*

      484        37,227  
     

 

 

  
        68,470  
     

 

 

  

Hotels, Restaurants & Leisure — 3.5%

      

Hilton Worldwide Holdings, Inc.

      793        62,801  

Red Rock Resorts, Inc., Class A

      1,158        38,786  

Vail Resorts, Inc.

      136        37,290  
     

 

 

  
        138,877  
     

 

 

  

Insurance — 0.8%

      

Progressive Corp. (The)

      534        31,580  
     

 

 

  

Internet & Direct Marketing Retail — 0.7%

      

Wayfair, Inc., Class A*

      227        26,949  
     

 

 

  

Internet Software & Services — 4.6%

      

DocuSign, Inc.*

      133        7,053  

GoDaddy, Inc., Class A*

      971        68,538  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         19  

Table of Contents

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Internet Software & Services — continued

      

GrubHub, Inc.*

      324        33,970  

Spotify Technology SA*

      172        28,904  

Twitter, Inc.*

      930        40,600  
     

 

 

  
        179,065  
     

 

 

  

IT Services — 6.8%

      

Fiserv, Inc.*

      694        51,389  

Gartner, Inc.*

      403        53,516  

Global Payments, Inc.

      748        83,383  

Square, Inc., Class A*

      689        42,488  

Worldpay, Inc.*

      429        35,112  
     

 

 

  
        265,888  
     

 

 

  

Life Sciences Tools & Services — 0.8%

      

Illumina, Inc.*

      114        31,804  
     

 

 

  

Machinery — 5.9%

      

Fortive Corp.

      703        54,224  

Nordson Corp.

      315        40,436  

Oshkosh Corp.

      594        41,763  

Parker-Hannifin Corp.

      129        20,042  

Stanley Black & Decker, Inc.

      311        41,277  

WABCO Holdings, Inc.*

      289        33,784  
     

 

 

  
        231,526  
     

 

 

  

Marine — 0.5%

      

Kirby Corp.*

      236        19,721  
     

 

 

  

Oil, Gas & Consumable Fuels — 1.5%

      

Concho Resources, Inc.*

      423        58,484  
     

 

 

  

Pharmaceuticals — 2.3%

      

Catalent, Inc.*

      650        27,224  

Jazz Pharmaceuticals plc*

      353        60,869  
     

 

 

  
        88,093  
     

 

 

  

Professional Services — 0.2%

      

Verisk Analytics, Inc.*

      76        8,206  
     

 

 

  

Real Estate Management & Development — 1.2%

 

CBRE Group, Inc., Class A*

      1,020        48,706  
     

 

 

  

Road & Rail — 1.1%

      

Old Dominion Freight Line, Inc.

      289        43,049  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.9%

 

Broadcom, Inc.

      107        26,019  

Cavium, Inc.*

      644        55,697  

Lam Research Corp.

      255        44,075  

Teradyne, Inc.

      671        25,557  
     

 

 

  
        151,348  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Software — 11.1%

      

Autodesk, Inc.*

      351        46,026  

Electronic Arts, Inc.*

      325        45,790  

Guidewire Software, Inc.*

      318        28,190  

Paycom Software, Inc.*

      307        30,350  

Proofpoint, Inc.*

      310        35,723  

Red Hat, Inc.*

      422        56,691  

ServiceNow, Inc.*

      454        78,366  

Splunk, Inc.*

      464        45,971  

Take-Two Interactive Software, Inc.*

      271        32,052  

Tyler Technologies, Inc.*

      165        36,713  
     

 

 

  
        435,872  
     

 

 

  

Specialty Retail — 6.0%

      

Floor & Decor Holdings, Inc., Class A*

      217        10,691  

O’Reilly Automotive, Inc.*

      238        65,045  

Ross Stores, Inc.

      1,067        90,461  

Tractor Supply Co.

      465        35,583  

Ulta Beauty, Inc.*

      135        31,439  
     

 

 

  
        233,219  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.9%

      

Lululemon Athletica, Inc.*

      377        47,031  

Tapestry, Inc.

      582        27,167  
     

 

 

  
        74,198  
     

 

 

  

Trading Companies & Distributors — 0.8%

      

Fastenal Co.

      492        23,694  

WW Grainger, Inc.

      26        8,019  
     

 

 

  
        31,713  
     

 

 

  

Total Common Stocks
(Cost $2,786,436)

         3,773,141  
  

 

 

  

Short-Term Investments — 2.9%

 

Investment Companies — 2.9%

 

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $114,331)

      114,331        114,331  
     

 

 

  

Total Investments — 99.2%
(Cost $2,900,767)

         3,887,472  

Other Assets Less Liabilities — 0.8%

         29,772  
     

 

 

  

NET ASSETS — 100.0%

       $ 3,917,244  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.2%

 

Auto Components — 0.7%

      

BorgWarner, Inc.

      2,984        128,800  
     

 

 

  

Banks — 7.6%

      

Citizens Financial Group, Inc.

      4,040        157,148  

Fifth Third Bancorp

      8,833        253,512  

First Republic Bank

      1,651        159,781  

Huntington Bancshares, Inc.

      9,638        142,256  

M&T Bank Corp.

      1,905        324,101  

SunTrust Banks, Inc.

      4,147        273,795  

Zions Bancorp

      1,412        74,401  
     

 

 

  
        1,384,994  
     

 

 

  

Beverages — 3.1%

      

Constellation Brands, Inc., Class A

      756        165,450  

Dr Pepper Snapple Group, Inc.

      2,439        297,584  

Molson Coors Brewing Co., Class B

      1,530        104,097  
     

 

 

  
        567,131  
     

 

 

  

Building Products — 0.8%

      

Fortune Brands Home & Security, Inc.

      2,806        150,665  
     

 

 

  

Capital Markets — 5.1%

      

Ameriprise Financial, Inc.

      1,181        165,200  

Invesco Ltd.

      4,698        124,784  

Northern Trust Corp.

      1,933        198,837  

Raymond James Financial, Inc.

      1,886        168,495  

T. Rowe Price Group, Inc.

      2,409        279,667  
     

 

 

  
        936,983  
     

 

 

  

Chemicals — 0.9%

      

Sherwin-Williams Co. (The)

      381        155,324  
     

 

 

  

Communications Equipment — 0.8%

      

CommScope Holding Co., Inc.*

      5,131        149,858  
     

 

 

  

Consumer Finance — 1.0%

      

Ally Financial, Inc.

      6,591        173,157  
     

 

 

  

Containers & Packaging — 3.4%

      

Ball Corp.

      7,766        276,088  

Silgan Holdings, Inc.

      5,842        156,730  

WestRock Co.

      3,265        186,154  
     

 

 

  
        618,972  
     

 

 

  

Distributors — 0.8%

      

Genuine Parts Co.

      1,628        149,476  
     

 

 

  

Electric Utilities — 2.4%

      

Edison International

      1,464        92,649  

Evergy, Inc.

      1,108        62,227  

Xcel Energy, Inc.

      6,228        284,478  
     

 

 

  
        439,354  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Electrical Equipment — 2.0%

      

Acuity Brands, Inc.

      914        105,909  

AMETEK, Inc.

      2,374        171,311  

Hubbell, Inc.

      906        95,764  
     

 

 

  
        372,984  
     

 

 

  

Electronic Equipment, Instruments & Components — 4.2%

 

Amphenol Corp., Class A

      2,323        202,468  

Arrow Electronics, Inc.*

      2,629        197,881  

CDW Corp.

      2,540        205,228  

Keysight Technologies, Inc.*

      2,764        163,183  
     

 

 

  
        768,760  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 10.3%

 

American Campus Communities, Inc.

      2,098        89,942  

American Homes 4 Rent, Class A

      4,115        91,275  

AvalonBay Communities, Inc.

      1,094        188,094  

Boston Properties, Inc.

      1,490        186,905  

Brixmor Property Group, Inc.

      7,330        127,759  

Essex Property Trust, Inc.

      475        113,449  

Federal Realty Investment Trust

      1,275        161,331  

JBG SMITH Properties

      1,921        70,043  

Kimco Realty Corp.

      6,208        105,480  

Outfront Media, Inc.

      5,855        113,878  

Park Hotels & Resorts, Inc.

      1,771        54,260  

Rayonier, Inc.

      4,044        156,463  

Regency Centers Corp.

      1,590        98,735  

Vornado Realty Trust

      2,483        183,519  

Weyerhaeuser Co.

      3,764        137,217  
     

 

 

  
        1,878,350  
     

 

 

  

Food & Staples Retailing — 1.1%

      

Kroger Co. (The)

      7,340        208,822  
     

 

 

  

Food Products — 1.5%

      

Pinnacle Foods, Inc.

      2,229        145,021  

Post Holdings, Inc.*

      1,509        129,814  
     

 

 

  
        274,835  
     

 

 

  

Gas Utilities — 0.9%

      

National Fuel Gas Co.

      3,179        168,385  
     

 

 

  

Health Care Equipment & Supplies — 1.1%

      

Zimmer Biomet Holdings, Inc.

      1,788        199,234  
     

 

 

  

Health Care Providers & Services — 5.5%

      

AmerisourceBergen Corp.

      2,296        195,809  

Cigna Corp.

      1,186        201,531  

Henry Schein, Inc.*

      1,779        129,220  

Humana, Inc.

      523        155,676  

Laboratory Corp. of America Holdings*

      988        177,458  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         21  

Table of Contents

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Health Care Providers & Services — continued

 

Universal Health Services, Inc., Class B

      1,348        150,245  
     

 

 

  
        1,009,939  
     

 

 

  

Hotels, Restaurants & Leisure — 1.8%

      

Hilton Worldwide Holdings, Inc.

      3,422        270,887  

Marriott International, Inc., Class A

      448        56,711  
     

 

 

  
        327,598  
     

 

 

  

Household Durables — 2.4%

      

Mohawk Industries, Inc.*

      1,463        313,486  

Newell Brands, Inc.

      5,070        130,746  
     

 

 

  
        444,232  
     

 

 

  

Household Products — 0.4%

      

Energizer Holdings, Inc.

      1,249        78,661  
     

 

 

  

Industrial Conglomerates — 1.0%

      

Carlisle Cos., Inc.

      1,718        186,098  
     

 

 

  

Insurance — 7.4%

      

Alleghany Corp.

      171        98,107  

Chubb Ltd.

      333        42,310  

Hartford Financial Services Group, Inc. (The)

      4,736        242,144  

Loews Corp.

      6,422        310,036  

Marsh & McLennan Cos., Inc.

      1,850        151,685  

Principal Financial Group, Inc.

      1,736        91,924  

Progressive Corp. (The)

      2,467        145,943  

Unum Group

      2,363        87,407  

WR Berkley Corp.

      1,311        94,933  

XL Group Ltd. (Bermuda)

      1,638        91,634  
     

 

 

  
        1,356,123  
     

 

 

  

Internet & Direct Marketing Retail — 1.3%

      

Expedia Group, Inc.

      1,896        227,883  
     

 

 

  

Internet Software & Services — 0.5%

      

Match Group, Inc.*

      2,216        85,861  
     

 

 

  

IT Services — 1.1%

      

Jack Henry & Associates, Inc.

      1,475        192,237  
     

 

 

  
     

Machinery — 2.7%

      

IDEX Corp.

      1,318        179,900  

Middleby Corp. (The)*

      697        72,829  

Snap-on, Inc.

      1,487        238,996  
     

 

 

  
        491,725  
     

 

 

  

Media — 1.3%

      

CBS Corp. (Non-Voting), Class B

      2,198        123,594  

DISH Network Corp., Class A*

      3,136        105,385  
     

 

 

  
        228,979  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Mortgage Real Estate Investment Trusts (REITs) — 0.4%

 

Starwood Property Trust, Inc.

      3,091        67,110  
     

 

 

  

Multiline Retail — 1.9%

      

Kohl’s Corp.

      3,428        249,876  

Nordstrom, Inc.

      1,960        101,477  
     

 

 

  
        351,353  
     

 

 

  

Multi-Utilities — 4.2%

      

CMS Energy Corp.

      6,503        307,456  

Sempra Energy

      1,543        179,116  

WEC Energy Group, Inc.

      4,475        289,284  
     

 

 

  
        775,856  
     

 

 

  

Oil, Gas & Consumable Fuels — 6.5%

      

Energen Corp.*

      5,337        388,647  

EQT Corp.

      6,606        364,540  

PBF Energy, Inc., Class A

      2,855        119,705  

Williams Cos., Inc. (The)

      11,684        316,748  
     

 

 

  
        1,189,640  
     

 

 

  

Personal Products — 1.2%

      

Coty, Inc., Class A

      7,748        109,251  

Edgewell Personal Care Co.*

      2,047        103,279  
     

 

 

  
        212,530  
     

 

 

  

Real Estate Management & Development — 0.9%

 

CBRE Group, Inc., Class A*

      3,451        164,732  
     

 

 

  

Semiconductors & Semiconductor Equipment — 0.8%

 

Analog Devices, Inc.

      1,598        153,323  
     

 

 

  

Software — 0.9%

      

Synopsys, Inc.*

      1,881        160,965  
     

 

 

  

Specialty Retail — 4.4%

      

AutoZone, Inc.*

      312        209,612  

Best Buy Co., Inc.

      2,574        191,974  

Gap, Inc. (The)

      5,797        187,765  

Tiffany & Co.

      1,627        214,126  
     

 

 

  
        803,477  
     

 

 

  

Textiles, Apparel & Luxury Goods — 2.0%

      

PVH Corp.

      1,484        222,158  

Ralph Lauren Corp.

      1,178        148,124  
     

 

 

  
        370,282  
     

 

 

  

Trading Companies & Distributors — 0.9%

      

MSC Industrial Direct Co., Inc., Class A

      2,017        171,180  
     

 

 

  

Total Common Stocks
(Cost $11,226,264)

         17,775,868  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 2.8%

 

Investment Companies — 2.8%

 

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $511,256)

      511,256        511,256  
     

 

 

  

Total Investments — 100.0%
(Cost $11,737,520)

         18,287,124  

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

         (3,273 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 18,283,851  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown is the current yield as of June 30, 2018.

(c)  

   Amount rounds to less than 0.05% of net assets.

*  

   Non-income producing security.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         23  

Table of Contents

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — 98.3%

   

Aerospace & Defense — 1.0%

 

   

United Technologies Corp.

      933        116,711  
     

 

 

  

Airlines — 2.0%

 

Delta Air Lines, Inc.

      3,205        158,795  

Southwest Airlines Co.

      1,356        68,988  
     

 

 

  
        227,783  
     

 

 

  

Banks — 14.8%

 

Bank of America Corp.

      12,346        348,034  

Citigroup, Inc.

      2,142        143,352  

Citizens Financial Group, Inc.

      2,363        91,917  

Fifth Third Bancorp

      2,539        72,865  

First Republic Bank

      570        55,147  

M&T Bank Corp.

      1,043        177,469  

PNC Financial Services Group, Inc. (The)

      1,336        180,558  

SunTrust Banks, Inc.

      2,253        148,761  

US Bancorp

      2,560        128,076  

Wells Fargo & Co.

      6,056        335,751  
     

 

 

  
        1,681,930  
     

 

 

  

Beverages — 2.0%

 

Dr Pepper Snapple Group, Inc.

      1,063        129,695  

Molson Coors Brewing Co., Class B

      1,420        96,648  
     

 

 

  
        226,343  
     

 

 

  

Capital Markets — 4.2%

 

Charles Schwab Corp. (The)

      1,772        90,574  

Invesco Ltd.

      1,786        47,446  

Morgan Stanley

      1,978        93,768  

Northern Trust Corp.

      762        78,377  

T. Rowe Price Group, Inc.

      1,419        164,678  
     

 

 

  
        474,843  
     

 

 

  

Chemicals — 0.3%

 

AdvanSix, Inc.*

      929        34,040  
     

 

 

  

Communications Equipment — 1.7%

 

Cisco Systems, Inc.

      2,924        125,841  

CommScope Holding Co., Inc.*

      2,182        63,737  
     

 

 

  
        189,578  
     

 

 

  

Construction Materials — 1.1%

 

Martin Marietta Materials, Inc.

      542        121,062  
     

 

 

  

Consumer Finance — 3.3%

 

Ally Financial, Inc.

      1,994        52,370  

American Express Co.

      880        86,250  

Capital One Financial Corp.

      2,583        237,395  
     

 

 

  
        376,015  
     

 

 

  
INVESTMENTS   

SHARES

(000)

     

VALUE

($000)

  
     

Containers & Packaging — 2.5%

 

Ball Corp.

      4,121        146,511  

Graphic Packaging Holding Co.

      4,081        59,218  

WestRock Co.

      1,479        84,314  
     

 

 

  
        290,043  
     

 

 

  

Distributors — 0.5%

 

Genuine Parts Co.

      598        54,876  
     

 

 

  

Diversified Telecommunication Services — 1.1%

 

AT&T, Inc.

      1,059        34,002  

Verizon Communications, Inc.

      1,753        88,197  
     

 

 

  
        122,199  
     

 

 

  

Electric Utilities — 4.8%

 

American Electric Power Co., Inc.

      1,785        123,605  

Duke Energy Corp.

      726        57,411  

Edison International

      921        58,266  

Eversource Energy

      988        57,901  

NextEra Energy, Inc.

      734        122,565  

Xcel Energy, Inc.

      2,681        122,448  
     

 

 

  
        542,196  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.6%

 

Arrow Electronics, Inc.*

      986        74,257  
     

 

 

  

Energy Equipment & Services — 0.2%

 

Apergy Corp.*

      500        20,879  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 6.9%

 

American Homes 4 Rent, Class A

      3,395        75,309  

Brixmor Property Group, Inc.

      4,784        83,377  

CorePoint Lodging, Inc.*

      1,449        37,516  

EastGroup Properties, Inc.

      542        51,755  

Federal Realty Investment Trust

      435        55,037  

Kimco Realty Corp.

      4,279        72,696  

Mid-America Apartment Communities, Inc.

      1,062        106,896  

Outfront Media, Inc.

      3,339        64,938  

Public Storage

      489        110,844  

Rayonier, Inc.

      2,065        79,894  

Weyerhaeuser Co.

      1,357        49,469  
     

 

 

  
        787,731  
     

 

 

  

Food & Staples Retailing — 1.5%

 

Kroger Co. (The)

      2,429        69,112  

Walgreens Boots Alliance, Inc.

      1,716        102,980  
     

 

 

  
        172,092  
     

 

 

  

Food Products — 0.9%

 

Post Holdings, Inc.*

      1,175        101,065  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

      

Health Care Equipment & Supplies — 0.5%

 

Medtronic plc

      609        52,162  
     

 

 

  

Health Care Providers & Services — 2.4%

 

Aetna, Inc.

      390        71,633  

CVS Health Corp.

      453        29,175  

HCA Healthcare, Inc.

      543        55,695  

UnitedHealth Group, Inc.

      465        113,994  
     

 

 

  
        270,497  
     

 

 

  

Hotels, Restaurants & Leisure — 1.3%

 

Brinker International, Inc.

      1,356        64,553  

Hilton Worldwide Holdings, Inc.

      1,050        83,127  
     

 

 

  
        147,680  
     

 

 

  

Household Products — 1.8%

 

Clorox Co. (The)

      298        40,345  

Energizer Holdings, Inc.

      1,121        70,551  

Procter & Gamble Co. (The)

      1,261        98,421  
     

 

 

  
        209,317  
     

 

 

  

Industrial Conglomerates — 1.7%

 

Carlisle Cos., Inc.

      642        69,493  

Honeywell International, Inc.

      879        126,623  
     

 

 

  
        196,116  
     

 

 

  

Insurance — 7.4%

 

Alleghany Corp.

      73        42,085  

American International Group, Inc.

      2,453        130,036  

Chubb Ltd.

      654        83,102  

Fairfax Financial Holdings Ltd. (Canada)

      106        59,637  

Hartford Financial Services Group, Inc. (The)

      2,075        106,119  

Loews Corp.

      3,856        186,183  

Marsh & McLennan Cos., Inc.

      506        41,480  

Prudential Financial, Inc.

      397        37,128  

Travelers Cos., Inc. (The)

      935        114,347  

Unum Group

      1,215        44,950  
     

 

 

  
        845,067  
     

 

 

  

Internet & Direct Marketing Retail — 0.5%

 

Expedia Group, Inc.

      507        60,959  
     

 

 

  

Machinery — 1.5%

 

Dover Corp.

      1,000        73,215  

Illinois Tool Works, Inc.

      413        57,283  

Middleby Corp. (The)*

      392        40,933  
     

 

 

  
        171,431  
     

 

 

  

Media — 4.2%

 

CBS Corp. (Non-Voting), Class B

      1,223        68,784  

Charter Communications, Inc., Class A*

      437        128,217  
INVESTMENTS   

SHARES

(000)

     

VALUE

($000)

  
     

Media — continued

 

Clear Channel Outdoor Holdings, Inc., Class A

      483        2,076  

DISH Network Corp., Class A*

      4,393        147,659  

Entercom Communications Corp., Class A

      6,373        48,118  

Nexstar Media Group, Inc., Class A

      1,203        88,285  
     

 

 

  
        483,139  
     

 

 

  

Multiline Retail — 1.8%

 

Kohl’s Corp.

      1,593        116,160  

Nordstrom, Inc.

      1,790        92,692  
     

 

 

  
        208,852  
     

 

 

  

Oil, Gas & Consumable Fuels — 8.9%

 

ConocoPhillips

      1,849        128,711  

EQT Corp.

      1,813        100,063  

Exxon Mobil Corp.

      2,668        220,683  

Kinder Morgan, Inc.

      6,961        122,999  

Marathon Petroleum Corp.

      1,270        89,069  

Occidental Petroleum Corp.

      1,517        126,959  

PBF Energy, Inc., Class A

      1,010        42,356  

Phillips 66

      1,068        119,911  

Williams Cos., Inc. (The)

      2,256        61,147  
     

 

 

  
        1,011,898  
     

 

 

  

Paper & Forest Products — 0.5%

 

KapStone Paper and Packaging Corp.

      1,524        52,561  
     

 

 

  

Personal Products — 0.5%

 

Coty, Inc., Class A

      4,168        58,770  
     

 

 

  

Pharmaceuticals — 6.4%

 

Allergan plc

      678        112,983  

Johnson & Johnson

      1,405        170,522  

Merck & Co., Inc.

      2,754        167,170  

Pfizer, Inc.

      7,655        277,724  
     

 

 

  
        728,399  
     

 

 

  

Real Estate Management & Development — 0.8%

 

CBRE Group, Inc., Class A*

      2,010        95,938  
     

 

 

  

Semiconductors & Semiconductor Equipment — 2.7%

 

Analog Devices, Inc.

      761        73,033  

QUALCOMM, Inc.

      1,096        61,515  

Texas Instruments, Inc.

      1,526        168,260  
     

 

 

  
        302,808  
     

 

 

  

Software — 1.2%

 

Microsoft Corp.

      1,413        139,348  
     

 

 

  

Specialty Retail — 3.8%

 

AutoZone, Inc.*

      199        133,820  

Best Buy Co., Inc.

      725        54,091  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         25  

Table of Contents

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

      

Specialty Retail — continued

 

Dick’s Sporting Goods, Inc.

      791        27,883  

Home Depot, Inc. (The)

      387        75,585  

Murphy USA, Inc.*

      957        71,082  

Tiffany & Co.

      524        69,010  
     

 

 

  
        431,471  
     

 

 

  

Technology Hardware, Storage & Peripherals — 0.4%

 

Hewlett Packard Enterprise Co.

      2,998        43,795  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.6%

 

Columbia Sportswear Co.

      691        63,164  
     

 

 

  

Total Common Stocks
(Cost $8,291,115)

         11,187,015  
  

 

 

  
      NO. OF
RIGHTS		          

Rights — 0.0% (a)

   

Media — 0.0% (a)

 

Media General, Inc., CVR*‡
(Cost $ —)

      2,982        147  
     

 

 

  
INVESTMENTS   

SHARES

(000)

     

VALUE

($000)

  

Short-Term Investments — 2.2%

 

Investment Companies — 2.2%

 

JPMorgan U.S. Government Money Market Fund Institutional Class Shares, 1.80% (b)(c)
(Cost $253,654)

      253,654        253,654  
     

 

 

  

Total Investments — 100.5%
(Cost $8,544,769)

         11,440,816  

Liabilities in Excess of
Other Assets — (0.5%)

         (56,579 ) 
  

 

 

  

NET ASSETS — 100.0%

       $ 11,384,237  
     

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

 

CVR  

   Contingent Value Rights

(a)  

   Amount rounds to less than 0.05% of net assets.

(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.

(c)  

   The rate shown is the current yield as of June 30, 2018.

*  

   Non-income producing security.

‡  

   Value determined using significant unobservable inputs.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         27  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Growth
Advantage
Fund		        JPMorgan
Mid Cap
Equity Fund		      JPMorgan
Mid Cap
Growth Fund		  

ASSETS:

             

Investments in non-affiliates, at value

      $ 8,411,704        $ 2,655,061      $ 3,773,141  

Investments in affiliates, at value

        218,911          80,883        114,331  

Cash

        —          3        —  

Receivables:

             

Investment securities sold

        85,021          75,146        82,370  

Fund shares sold

        8,219          1,479        7,558  

Dividends from non-affiliates

        1,163          2,386        1,052  

Dividends from affiliates

        280          101        165  
    

 

 

       

 

 

     

 

 

  

Total Assets

        8,725,298          2,815,059        3,978,617  
    

 

 

       

 

 

     

 

 

  

LIABILITIES:

             

Payables:

             

Investment securities purchased

        13,254          10,527        53,625  

Fund shares redeemed

        14,107          68,851        4,390  

Accrued liabilities:

             

Investment advisory fees

        4,105          1,356        2,088  

Administration fees

        201          88        248  

Distribution fees

        836          102        273  

Service fees

        860          155        324  

Custodian and accounting fees

        40          13        19  

Trustees’ and Chief Compliance Officer’s fees

        —          — (a)       —  

Other

        308          259        406  
    

 

 

       

 

 

     

 

 

  

Total Liabilities

        33,711          81,351        61,373  
    

 

 

       

 

 

     

 

 

  

Net Assets

      $ 8,691,587        $ 2,733,708      $ 3,917,244  
    

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

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

NET ASSETS:

               

Paid-in-Capital

      $ 4,681,911        $ 1,667,630        $ 2,760,321  

Accumulated undistributed (distributions in excess of) net investment income

        (10,288 )         5,278          (6,360 ) 

Accumulated net realized gains (losses)

        397,561          183,003          176,578  

Net unrealized appreciation (depreciation)

        3,622,403          877,797          986,705  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 8,691,587        $ 2,733,708        $ 3,917,244  
    

 

 

       

 

 

       

 

 

  

Net Assets:

               

Class A

      $ 1,724,681        $ 402,897        $ 934,982  

Class C

        740,817          27,666          82,939  

Class I

        1,753,505          326,026          1,140,704  

Class R2

        43          443          38,486  

Class R3

        266          —          26,638  

Class R4

        12,005          —          14,320  

Class R5

        112,830          6,499          313,336  

Class R6

        4,347,440          1,970,177          1,365,839  
    

 

 

       

 

 

       

 

 

  

Total

      $ 8,691,587        $ 2,733,708        $ 3,917,244  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

               

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

               

Class A

        79,353          7,813          30,321  

Class C

        38,665          557          3,404  

Class I

        78,408          6,231          32,187  

Class R2

        2          9          1,149  

Class R3

        12          —          756  

Class R4

        537          —          405  

Class R5

        4,958          124          8,740  

Class R6

        190,068          37,607          37,939  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 21.73        $ 51.57        $ 30.84  

Class C — Offering price per share (b)

        19.16          49.66          24.37  

Class I — Offering and redemption price per share

        22.36          52.32          35.44  

Class R2 — Offering and redemption price per share

        21.68          51.08          33.49  

Class R3 — Offering and redemption price per share

        21.74          —          35.23  

Class R4 — Offering and redemption price per share

        22.36          —          35.40  

Class R5 — Offering and redemption price per share

        22.76          52.35          35.85  

Class R6 — Offering and redemption price per share

        22.87          52.39          36.00  

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)]

      $ 22.93        $ 54.43        $ 32.55  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 4,789,301        $ 1,777,264        $ 2,786,436  

Cost of investments in affiliates

        218,911          80,883          114,331  

 

(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, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         29  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018 (continued)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Mid Cap
Value Fund		        JPMorgan
Value
Advantage
Fund		  

ASSETS:

          

Investments in non-affiliates, at value

      $ 17,775,868        $ 11,187,162  

Investments in affiliates, at value

        511,256          253,654  

Receivables:

          

Investment securities sold

        —          2,045  

Fund shares sold

        28,991          7,984  

Dividends from non-affiliates

        26,485          9,596  

Dividends from affiliates

        666          417  
    

 

 

       

 

 

  

Total Assets

        18,343,266          11,460,858  
    

 

 

       

 

 

  

LIABILITIES:

          

Payables:

          

Due to custodian

        2          —  

Fund shares redeemed

        45,670          68,214  

Accrued liabilities:

          

Investment advisory fees

        9,565          5,545  

Administration fees

        1,158          353  

Distribution fees

        595          654  

Service fees

        1,038          1,149  

Custodian and accounting fees

        84          55  

Trustees’ and Chief Compliance Officer’s fees

        23          3  

Other

        1,280          648  
    

 

 

       

 

 

  

Total Liabilities

        59,415          76,621  
    

 

 

       

 

 

  

Net Assets

      $ 18,283,851        $ 11,384,237  
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
       

JPMorgan

Mid Cap

Value Fund

       

JPMorgan

Value

Advantage

Fund

  

NET ASSETS:

          

Paid-in-Capital

      $ 11,036,559        $ 8,124,426  

Accumulated undistributed (distributions in excess of) net investment income

        79,148          67,136  

Accumulated net realized gains (losses)

        618,540          296,628  

Net unrealized appreciation (depreciation)

        6,549,604          2,896,047  
    

 

 

       

 

 

  

Total Net Assets

      $ 18,283,851        $ 11,384,237  
    

 

 

       

 

 

  

Net Assets:

          

Class A

      $ 1,967,162        $ 1,346,080  

Class C

        214,331          591,602  

Class I

        2,985,882          2,296,056  

Class L

        11,795,588          3,255,993  

Class R2

        82,108          38  

Class R3

        62,576          1,132  

Class R4

        17,859          17,231  

Class R5

        84,457          6,114  

Class R6

        1,073,888          3,869,991  
    

 

 

       

 

 

  

Total

      $ 18,283,851        $ 11,384,237  
    

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

          

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

          

Class A

        50,128          38,050  

Class C

        5,688          16,808  

Class I

        75,204          64,498  

Class L

        293,343          91,422  

Class R2

        2,181          1  

Class R3

        1,606          32  

Class R4

        452          486  

Class R5

        2,104          172  

Class R6

        26,721          108,694  

Net Asset Value (a):

          

Class A — Redemption price per share

      $ 39.24        $ 35.38  

Class C — Offering price per share (b)

        37.68          35.20  

Class I — Offering and redemption price per share

        39.70          35.60  

Class L — Offering and redemption price per share

        40.21          35.62  

Class R2 — Offering and redemption price per share

        37.64          35.22  

Class R3 — Offering and redemption price per share

        38.97          35.11  

Class R4 — Offering and redemption price per share

        39.56          35.47  

Class R5 — Offering and redemption price per share

        40.15          35.57  

Class R6 — Offering and redemption price per share

        40.19          35.60  

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)]

      $ 41.41        $ 37.34  
    

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 11,226,264        $ 8,291,115  

Cost of investments in affiliates

        511,256          253,654  

 

(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, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         31  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

(Amounts in thousands)

 

        JPMorgan
Growth
Advantage
Fund		      JPMorgan
Mid Cap
Equity Fund		      JPMorgan
Mid Cap
Growth
Fund		  

INVESTMENT INCOME:

           

Interest income from non-affiliates

      $ — (a)     $ — (a)     $ — (a) 

Interest income from affiliates

        5        1        1  

Dividend income from non-affiliates

        44,154        33,091        20,376  

Dividend income from affiliates

        3,073        1,049        1,500  
    

 

 

     

 

 

     

 

 

  

Total investment income

        47,232        34,141        21,877  
    

 

 

     

 

 

     

 

 

  

EXPENSES:

           

Investment advisory fees

        51,756        18,856        22,981  

Administration fees

        6,470        2,358        2,873  

Distribution fees:

           

Class A

        4,241        991        2,330  

Class C

        4,969        220        641  

Class R2 (b)

        — (a)       2        191  

Class R3

        1        —        17  

Service fees:

           

Class A

        4,241        991        2,330  

Class C

        1,656        73        214  

Class I

        3,722        1,067        2,727  

Class R2 (b)

        — (a)       1        95  

Class R3

        1        —        17  

Class R4

        12        —        13  

Class R5

        108        6        283  

Custodian and accounting fees

        219        76        108  

Interest expense to affiliates

        —        — (a)       —  

Professional fees

        147        83        94  

Trustees’ and Chief Compliance Officer’s fees

        35        35        37  

Printing and mailing costs

        383        152        194  

Registration and filing fees

        381        144        213  

Transfer agency fees (See Note 2.C.)

        261        54        564  

Other

        178        48        69  
    

 

 

     

 

 

     

 

 

  

Total expenses

        78,781        25,157        35,991  
    

 

 

     

 

 

     

 

 

  

Less fees waived

        (6,794 )       (2,565 )       (1,980 ) 

Less earnings credits

        — (a)       —        — (a) 

Less expense reimbursements

        (23 )       —        (41 ) 
    

 

 

     

 

 

     

 

 

  

Net expenses

        71,964        22,592        33,970  
    

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        (24,732 )       11,549        (12,093 ) 
    

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

           

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

        694,039        280,150        321,274  

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

        1,184,781        63,890        272,913  
    

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        1,878,820        344,040        594,187  
    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 1,854,088      $ 355,589      $ 582,094  
    

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Growth Advantage Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Mid Cap
Value Fund		      JPMorgan
Value
Advantage
Fund		  

INVESTMENT INCOME:

        

Interest income from non-affiliates

      $ — (a)     $ — (a) 

Interest income from affiliates

        7        9  

Dividend income from non-affiliates

        319,092        250,315  

Dividend income from affiliates

        6,352        4,089  
    

 

 

     

 

 

  

Total investment income

        325,451        254,413  
    

 

 

     

 

 

  

EXPENSES:

        

Investment advisory fees

        120,919        75,968  

Administration fees

        15,119        9,498  

Distribution fees:

        

Class A

        5,237        3,633  

Class C

        2,347        5,040  

Class R2 (b)

        431        — (a) 

Class R3

        115        2  

Service fees:

        

Class A

        5,237        3,633  

Class C

        782        1,680  

Class I

        7,518        6,001  

Class L

        12,236        3,837  

Class R2 (b)

        216        — (a) 

Class R3

        114        2  

Class R4

        30        18  

Class R5

        79        5  

Custodian and accounting fees

        486        311  

Professional fees

        235        198  

Trustees’ and Chief Compliance Officer’s fees

        18        19  

Printing and mailing costs

        1,568        581  

Registration and filing fees

        583        456  

Transfer agency fees (See Note 2.C.)

        1,032        271  

Other

        423        179  
    

 

 

     

 

 

  

Total expenses

        174,725        111,332  
    

 

 

     

 

 

  

Less fees waived

        (14,187 )       (10,541 ) 

Less earnings credits

        —        — (a) 

Less expense reimbursements

        (539 )       (35 ) 
    

 

 

     

 

 

  

Net expenses

        159,999        100,756  
    

 

 

     

 

 

  

Net investment income (loss)

        165,452        153,657  
    

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

        

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

        714,557        371,543  

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

        323,839        415,090  
    

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        1,038,396        786,633  
    

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 1,203,848      $ 940,290  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Value Advantage Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         33  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

           
JPMorgan Growth Advantage Fund		        JPMorgan Mid Cap Equity Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                    

Net investment income (loss)

      $ (24,732 )       $ (20,857 )       $ 11,549        $ 8,576  

Net realized gain (loss)

        694,039          258,483          280,150          120,548  

Change in net unrealized appreciation/depreciation

        1,184,781          1,188,472          63,890          282,160  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        1,854,088          1,426,098          355,589          411,284  
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

                    

From net investment income

        —          —          —          (356 ) 

From net realized gains

        (69,162 )         —          (21,659 )         (10,459 ) 

Class C

                    

From net realized gains

        (29,276 )         —          (1,665 )         (964 ) 

Class I

                    

From net investment income

        —          —          (521 )         (2,165 ) 

From net realized gains

        (52,479 )         —          (19,740 )         (20,374 ) 

Class R2 (a)

                    

From net investment income

        —          —          —          — (b) 

From net realized gains

        (1 )         —          (22 )         (19 ) 

Class R3 (c)

                    

From net realized gains

        (11 )         —          —          —  

Class R4 (c)

                    

From net realized gains

        (1 )         —          —          —  

Class R5

                    

From net investment income

        —          —          (17 )         (11 ) 

From net realized gains

        (4,273 )         —          (300 )         (84 ) 

Class R6

                    

From net investment income

        —          —          (7,565 )         (6,472 ) 

From net realized gains

        (165,239 )         —          (118,825 )         (46,392 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (320,442 )         —          (170,314 )         (87,296 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                    

Change in net assets resulting from capital transactions

        60,031          (291,788 )         (260,045 )         120,141  
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

                    

Change in net assets

        1,593,677          1,134,310          (74,770 )         444,129  

Beginning of period

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

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 8,691,587        $ 7,097,910        $ 2,733,708        $ 2,808,478  
    

 

 

       

 

 

       

 

 

       

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (10,288 )       $ (9,977 )       $ 5,278        $ 2,627  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Growth Advantage Fund.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective May 31, 2017 for JPMorgan Growth Advantage Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
           
JPMorgan Mid Cap Growth Fund		      JPMorgan Mid Cap Value Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                  

Net investment income (loss)

      $ (12,093 )       $ (9,289 )     $ 165,452        $ 140,662  

Net realized gain (loss)

        321,274          128,903        714,557          458,502  

Change in net unrealized appreciation/depreciation

        272,913          403,806        323,839          1,674,398  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

        582,094          523,420        1,203,848          2,273,562  
    

 

 

       

 

 

     

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                  

Class A

                  

From net investment income

        —          —        (10,151 )         (9,018 ) 

From net realized gains

        (64,175 )         (449 )       (40,349 )         (135,546 ) 

Class C

                  

From net realized gains

        (6,964 )         (55 )       (4,819 )         (33,147 ) 

Class I

                  

From net investment income

        —          —        (21,474 )         (17,549 ) 

From net realized gains

        (64,653 )         (390 )       (54,995 )         (155,821 ) 

Class L

                  

From net investment income

        —          —        (115,010 )         (100,129 ) 

From net realized gains

        —          —        (224,024 )         (669,173 ) 

Class R2

                  

From net investment income

        —          —        (285 )         (133 ) 

From net realized gains

        (2,500 )         (11 )       (1,680 )         (4,114 ) 

Class R3 (a)

                  

From net investment income

        —          —        (401 )         — (b) 

From net realized gains

        (102 )         — (b)       (954 )         (1 ) 

Class R4 (a)

                  

From net investment income

        —          —        (124 )         — (b) 

From net realized gains

        (242 )         — (b)       (261 )         (1 ) 

Class R5 (c)

                  

From net investment income

        —          —        (715 )         — (b) 

From net realized gains

        (16,962 )         (96 )       (1,450 )         (1 ) 

Class R6 (c)

                  

From net investment income

        —          —        (6,725 )         (437 ) 

From net realized gains

        (63,898 )         (275 )       (12,644 )         (2,480 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

        (219,496 )         (1,276 )       (496,061 )         (1,127,550 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                  

Change in net assets resulting from capital transactions

        466,368          (285,349 )       (826,948 )         1,692,858  
    

 

 

       

 

 

     

 

 

       

 

 

  

NET ASSETS:

                  

Change in net assets

        828,966          236,795        (119,161 )         2,838,870  

Beginning of period

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

 

 

       

 

 

     

 

 

       

 

 

  

End of period

      $ 3,917,244        $ 3,088,278      $ 18,283,851        $ 18,403,012  
    

 

 

       

 

 

     

 

 

       

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (6,360 )       $ (5,294 )     $ 79,148        $ 72,501  
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Mid Cap Growth and JPMorgan Mid Cap Value Fund.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Mid Cap Value Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         35  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

           
JPMorgan Value Advantage Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

        

Net investment income (loss)

      $ 153,657      $ 120,170  

Net realized gain (loss)

        371,543        526,307  

Change in net unrealized appreciation/depreciation

        415,090        1,078,370  
    

 

 

     

 

 

  

Change in net assets resulting from operations

        940,290        1,724,847  
    

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

        

Class A

        

From net investment income

        (12,114 )       (17,004 ) 

From net realized gains

        (14,662 )       —  

Class C

        

From net investment income

        (1,306 )       (4,071 ) 

From net realized gains

        (6,508 )       —  

Class I

        

From net investment income

        (27,074 )       (17,338 ) 

From net realized gains

        (23,851 )       —  

Class L

        

From net investment income

        (51,294 )       (51,645 ) 

From net realized gains

        (38,934 )       —  

Class R2 (a)

        

From net investment income

        — (b)       —  

From net realized gains

        — (b)       —  

Class R3 (c)

        

From net investment income

        (9 )       — (b) 

From net realized gains

        (8 )       —  

Class R4 (c)

        

From net investment income

        (24 )       — (b) 

From net realized gains

        (19 )       —  

Class R5 (c)

        

From net investment income

        (65 )       — (b) 

From net realized gains

        (50 )       —  

Class R6 (c)

        

From net investment income

        (44,453 )       (44,017 ) 

From net realized gains

        (33,205 )       —  
    

 

 

     

 

 

  

Total distributions to shareholders

        (253,576 )       (134,075 ) 
    

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

        

Change in net assets resulting from capital transactions

        (360,503 )       (623,697 ) 
    

 

 

     

 

 

  

NET ASSETS:

        

Change in net assets

        326,211        967,075  

Beginning of period

        11,058,026        10,090,951  
    

 

 

     

 

 

  

End of period

      $ 11,384,237      $ 11,058,026  
    

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 67,136      $ 57,021  
    

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective July 31, 2017.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective September 9, 2016.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
           
JPMorgan Growth Advantage Fund		        JPMorgan Mid Cap Equity Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 385,379        $ 381,174        $ 69,668        $ 121,592  

Distributions reinvested

        67,889          —          21,589          10,791  

Cost of shares redeemed

        (604,708 )         (822,569 )         (90,548 )         (133,304 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (151,440 )       $ (441,395 )       $ 709        $ (921 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 167,812        $ 114,033        $ 2,589        $ 7,205  

Distributions reinvested

        27,785          —          1,665          964  

Cost of shares redeemed

        (179,201 )         (227,966 )         (8,820 )         (13,282 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ 16,396        $ (113,933 )       $ (4,566 )       $ (5,113 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Proceeds from shares issued

      $ 820,383        $ 917,922        $ 67,824        $ 289,476  

Distributions reinvested

        48,329          —          19,948          19,559  

Cost of shares redeemed

        (1,088,919 )         (424,343 )         (567,749 )         (241,418 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (220,207 )       $ 493,579        $ (479,977 )       $ 67,617  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2 (a)

                   

Proceeds from shares issued

      $ 40        $ —        $ 75        $ 107  

Distributions reinvested

        1          —          19          13  

Cost of shares redeemed

        (2 )         —          (284 )         (284 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ 39        $ —        $ (190 )       $ (164 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R3 (b)

                    

Proceeds from shares issued

      $ 379        $ 20        $ —        $ —  

Distributions reinvested

        11          —          —          —  

Cost of shares redeemed

        (187 )         —          —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 203        $ 20        $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R4 (b)

                   

Proceeds from shares issued

      $ 12,768        $ 20        $ —        $ —  

Distributions reinvested

        1          —          —          —  

Cost of shares redeemed

        (1,127 )         —          —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 11,642        $ 20        $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Proceeds from shares issued

      $ 22,793        $ 17,853        $ 4,460        $ 831  

Distributions reinvested

        4,273          —          317          95  

Cost of shares redeemed

        (31,002 )         (23,614 )         (361 )         (2,320 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (3,936 )       $ (5,761 )       $ 4,416        $ (1,394 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ 1,307,512        $ 161,959        $ 659,956        $ 173,778  

Distributions reinvested

        165,238          —          126,386          52,511  

Cost of shares redeemed

        (1,065,416 )         (386,277 )         (566,779 )         (166,173 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 407,334        $ (224,318 )       $ 219,563        $ 60,116  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 60,031        $ (291,788 )       $ (260,045 )       $ 120,141  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         37  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

           
JPMorgan Growth Advantage Fund		        JPMorgan Mid Cap Equity Fund  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

                

Class A

                

Issued

        19,063        23,931          1,371        2,680  

Reinvested

        3,464        —          435        244  

Redeemed

        (29,518 )       (51,511 )         (1,784 )       (2,942 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        (6,991 )       (27,580 )         22        (18 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class C

                

Issued

        9,329        7,911          52        164  

Reinvested

        1,603        —          35        22  

Redeemed

        (10,165 )       (16,036 )         (180 )       (302 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        767        (8,125 )         (93 )       (116 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class I

                

Issued

        39,183        55,638          1,338        6,309  

Reinvested

        2,400        —          396        436  

Redeemed

        (55,106 )       (26,275 )         (11,347 )       (5,239 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class I Shares

        (13,523 )       29,363          (9,613 )       1,506  
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R2 (a)

                

Issued

        2        —          3        2  

Reinvested

        — (b)       —          — (b)       — (b) 

Redeemed

        — (b)       —          (6 )       (6 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R2 Shares

        2        —          (3 )       (4 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R3 (c)

                

Issued

        20        1          —        —  

Reinvested

        — (b)       —          —        —  

Redeemed

        (9 )       —          —        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R3 Shares

        11        1          —        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R4 (c)

                

Issued

        587        1          —        —  

Reinvested

        — (b)       —          —        —  

Redeemed

        (51 )       —          —        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R4 Shares

        536        1          —        —  
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R5

                

Issued

        1,072        1,062          88        19  

Reinvested

        209        —          6        2  

Redeemed

        (1,457 )       (1,434 )         (7 )       (49 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        (176 )       (372 )         87        (28 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R6

                

Issued

        63,769        9,786          13,118        3,807  

Reinvested

        8,033        —          2,502        1,169  

Redeemed

        (49,818 )       (23,089 )         (10,935 )       (3,615 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        21,984        (13,303 )         4,685        1,361  
    

 

 

     

 

 

       

 

 

     

 

 

  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
           
JPMorgan Mid Cap Growth Fund		      JPMorgan Mid Cap Value Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                  

Class A

                  

Proceeds from shares issued

      $ 118,397        $ 98,041      $ 363,088        $ 419,157  

Distributions reinvested

        61,743          434        45,299          131,659  

Cost of shares redeemed

        (251,332 )         (295,300 )       (671,647 )         (852,023 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (71,192 )       $ (196,825 )     $ (263,260 )       $ (301,207 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class C

                  

Proceeds from shares issued

      $ 14,077        $ 16,838      $ 7,880        $ 23,292  

Distributions reinvested

        6,179          49        4,180          26,948  

Cost of shares redeemed

        (35,034 )         (38,935 )       (263,384 )         (180,218 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (14,778 )       $ (22,048 )     $ (251,324 )       $ (129,978 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class I

                  

Proceeds from shares issued

      $ 339,754        $ 310,137      $ 751,430        $ 963,041  

Distributions reinvested

        61,456          339        70,707          157,140  

Cost of shares redeemed

        (427,645 )         (362,253 )       (851,133 )         (727,688 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (26,435 )       $ (51,777 )     $ (28,996 )       $ 392,493  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class L

                  

Proceeds from shares issued

      $ —        $ —      $ 1,968,939        $ 3,537,449  

Distributions reinvested

        —          —        306,493          668,445  

Cost of shares redeemed

        —          —        (3,432,839 )         (2,817,548 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class L capital transactions

      $ —        $ —      $ (1,157,407 )       $ 1,388,346  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R2

                  

Proceeds from shares issued

      $ 14,239        $ 17,018      $ 17,627        $ 37,304  

Distributions reinvested

        2,362          10        1,815          3,910  

Cost of shares redeemed

        (17,165 )         (19,788 )       (25,651 )         (26,653 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (564 )       $ (2,760 )     $ (6,209 )       $ 14,561  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R3 (a)

                  

Proceeds from shares issued

      $ 27,693        $ 154      $ 51,385        $ 19,636  

Distributions reinvested

        102          — (b)       1,347          1  

Cost of shares redeemed

        (1,822 )         (12 )       (10,294 )         (706 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 25,973        $ 142      $ 42,438        $ 18,931  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R4 (a)

                 

Proceeds from shares issued

      $ 14,393        $ 122      $ 18,175        $ 3,529  

Distributions reinvested

        242          — (b)       385          1  

Cost of shares redeemed

        (897 )         (2 )       (4,544 )         (38 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 13,738        $ 120      $ 14,016        $ 3,492  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R5 (c)

                  

Proceeds from shares issued

      $ 79,191        $ 40,930      $ 70,982        $ 30,405  

Distributions reinvested

        15,915          91        2,165          1  

Cost of shares redeemed

        (59,057 )         (60,912 )       (21,198 )         (421 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ 36,049        $ (19,891 )     $ 51,949        $ 29,985  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R6 (c)

                 

Proceeds from shares issued

      $ 649,363        $ 197,543      $ 924,565        $ 292,949  

Distributions reinvested

        63,657          274        18,935          2,917  

Cost of shares redeemed

        (209,443 )         (190,127 )       (171,655 )         (19,631 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 503,577        $ 7,690      $ 771,845        $ 276,235  
    

 

 

       

 

 

     

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 466,368        $ (285,349 )     $ (826,948 )       $ 1,692,858  
    

 

 

       

 

 

     

 

 

       

 

 

  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         39  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

           
JPMorgan Mid Cap Growth Fund		      JPMorgan Mid Cap Value Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

                  

Class A

                  

Issued

        3,941          3,890        9,353          11,445  

Reinvested

        2,145          18        1,153          3,648  

Redeemed

        (8,462 )         (11,718 )       (17,242 )         (23,250 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class A Shares

        (2,376 )         (7,810 )       (6,736 )         (8,157 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class C

                  

Issued

        586          818        210          663  

Reinvested

        271          3        111          778  

Redeemed

        (1,457 )         (1,896 )       (7,079 )         (5,080 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class C Shares

        (600 )         (1,075 )       (6,758 )         (3,639 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class I

                  

Issued

        9,954          10,786        19,096          26,028  

Reinvested

        1,861          12        1,778          4,300  

Redeemed

        (12,666 )         (12,803 )       (21,586 )         (19,566 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class I Shares

        (851 )         (2,005 )       (712 )         10,762  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class L

                  

Issued

        —          —        49,400          94,419  

Reinvested

        —          —        7,611          18,060  

Redeemed

        —          —        (86,072 )         (75,042 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class L Shares

        —          —        (29,061 )         37,437  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R2

                  

Issued

        437          629        472          1,050  

Reinvested

        75          — (a)       48          113  

Redeemed

        (526 )         (729 )       (686 )         (754 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R2 Shares

        (14 )         (100 )       (166 )         409  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R3 (b)

 

Issued

        799          5        1,326          530  

Reinvested

        3          — (a)       34          — (a) 

Redeemed

        (51 )         — (a)       (265 )         (19 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R3 Shares

        751          5        1,095          511  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R4 (b)

                  

Issued

        419          4        464          94  

Reinvested

        7          — (a)       10          — (a) 

Redeemed

        (25 )         — (a)       (115 )         (1 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R4 Shares

        401          4        359          93  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R5 (c)

                  

Issued

        2,258          1,404        1,800          795  

Reinvested

        477          3        54          — (a) 

Redeemed

        (1,695 )         (2,103 )       (534 )         (11 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R5 Shares

        1,040          (696 )       1,320          784  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R6 (c)

                  

Issued

        18,762          6,766        23,270          7,706  

Reinvested

        1,899          10        471          79  

Redeemed

        (6,005 )         (6,595 )       (4,290 )         (515 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R6 Shares

        14,656          181        19,451          7,270  
    

 

 

       

 

 

     

 

 

       

 

 

  

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
           
JPMorgan Value Advantage Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

        

Class A

        

Proceeds from shares issued

      $ 302,187      $ 526,758  

Distributions reinvested

        25,163        16,190  

Cost of shares redeemed

        (497,550 )       (1,438,824 ) 
    

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (170,200 )     $ (895,876 ) 
    

 

 

     

 

 

  

Class C

        

Proceeds from shares issued

      $ 58,391      $ 124,351  

Distributions reinvested

        7,029        3,544  

Cost of shares redeemed

        (261,978 )       (223,429 ) 
    

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (196,558 )     $ (95,534 ) 
    

 

 

     

 

 

  

Class I

        

Proceeds from shares issued

      $ 844,644      $ 1,247,895  

Distributions reinvested

        44,769        12,528  

Cost of shares redeemed

        (897,538 )       (728,849 ) 
    

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (8,125 )     $ 531,574  
    

 

 

     

 

 

  

Class L

        

Proceeds from shares issued

      $ 1,135,519      $ 1,631,959  

Distributions reinvested

        85,647        45,687  

Cost of shares redeemed

        (1,811,163 )       (3,876,760 ) 

Redemptions in-kind (See Note 7)

        —        (644,712 ) 
    

 

 

     

 

 

  

Change in net assets resulting from Class L capital transactions

      $ (589,997 )     $ (2,843,826 ) 
    

 

 

     

 

 

  

Class R2 (a)

        

Proceeds from shares issued

      $ 38      $ —  

Distributions reinvested

        — (b)       —  

Cost of shares redeemed

        (1 )       —  
    

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ 37      $ —  
    

 

 

     

 

 

  

Class R3 (c)

        

Proceeds from shares issued

      $ 793      $ 393  

Distributions reinvested

        14        — (b) 

Cost of shares redeemed

        (103 )       (15 ) 
    

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 704      $ 378  
    

 

 

     

 

 

  

Class R4 (c)

        

Proceeds from shares issued

      $ 19,694      $ 31  

Distributions reinvested

        43        — (b) 

Cost of shares redeemed

        (2,597 )       — (b) 
    

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 17,140      $ 31  
    

 

 

     

 

 

  

Class R5 (c)

        

Proceeds from shares issued

      $ 6,381      $ 415  

Distributions reinvested

        115        — (b) 

Cost of shares redeemed

        (1,014 )       — (b) 
    

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ 5,482      $ 415  
    

 

 

     

 

 

  

Class R6 (c)

        

Proceeds from shares issued

      $ 1,235,372      $ 2,989,115  

Distributions reinvested

        77,658        44,017  

Cost of shares redeemed

        (732,016 )       (353,991 ) 
    

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 581,014      $ 2,679,141  
    

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

      $ (360,503 )     $ (623,697 ) 
    

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective July 31, 2017.
(b) Amount rounds to less than one thousand.
(c) Commencement of offering of class of shares effective September 9, 2016.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         41  

SEE NOTES TO FINANCIAL STATEMENTS.

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

           
JPMorgan Value Advantage Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

        

Class A

        

Issued

        8,673        16,726  

Reinvested

        704        497  

Redeemed

        (14,215 )       (45,710 ) 
    

 

 

     

 

 

  

Change in Class A Shares

        (4,838 )       (28,487 ) 
    

 

 

     

 

 

  

Class C

        

Issued

        1,674        3,919  

Reinvested

        198        109  

Redeemed

        (7,551 )       (7,093 ) 
    

 

 

     

 

 

  

Change in Class C Shares

        (5,679 )       (3,065 ) 
    

 

 

     

 

 

  

Class I

        

Issued

        24,044        38,266  

Reinvested

        1,245        383  

Redeemed

        (25,207 )       (23,245 ) 
    

 

 

     

 

 

  

Change in Class I Shares

        82        15,404  
    

 

 

     

 

 

  

Class L

        

Issued

        32,262        51,361  

Reinvested

        2,380        1,397  

Redeemed

        (51,546 )       (129,686 ) 

Redemptions in-kind (See Note 7)

        —        (19,228 ) 
    

 

 

     

 

 

  

Change in Class L Shares

        (16,904 )       (96,156 ) 
    

 

 

     

 

 

  

Class R2 (a)

        

Issued

        1        —  

Reinvested

        — (b)       —  

Redeemed

        — (b)       —  
    

 

 

     

 

 

  

Change in Class R2 Shares

        1        —  
    

 

 

     

 

 

  

Class R3 (c)

        

Issued

        22        12  

Reinvested

        1        — (b) 

Redeemed

        (3 )       — (b) 
    

 

 

     

 

 

  

Change in Class R3 Shares

        20        12  
    

 

 

     

 

 

  

Class R4 (c)

        

Issued

        558        1  

Reinvested

        1        — (b) 

Redeemed

        (74 )       —  
    

 

 

     

 

 

  

Change in Class R4 Shares

        485        1  
    

 

 

     

 

 

  

Class R5 (c)

        

Issued

        186        12  

Reinvested

        3        — (b) 

Redeemed

        (29 )       — (b) 
    

 

 

     

 

 

  

Change in Class R5 Shares

        160        12  
    

 

 

     

 

 

  

Class R6 (c)

        

Issued

        35,495        100,995  

Reinvested

        2,160        1,347  

Redeemed

        (20,295 )       (11,008 ) 
    

 

 

     

 

 

  

Change in Class R6 Shares

        17,360        91,334  
    

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective July 31, 2017.
(b) Amount rounds to less than one thousand.
(c) Commencement of offering of class of shares effective September 9, 2016.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         43  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

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

JPMorgan Growth Advantage Fund

                       

Class A

                       

Year Ended June 30, 2018

      $ 17.95        $ (0.12 )     $ 4.74        $ 4.62        $ (0.84 ) 

Year Ended June 30, 2017

        14.42          (0.09 )       3.62          3.53          —  

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        14.24          (0.10 )       2.17          2.07          (0.57 ) 

Year Ended June 30, 2014

        11.43          (0.07 )       3.52          3.45          (0.64 ) 

Class C

                       

Year Ended June 30, 2018

        15.99          (0.19 )       4.20          4.01          (0.84 ) 

Year Ended June 30, 2017

        12.91          (0.15 )       3.23          3.08          —  

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        12.98          (0.15 )       1.96          1.81          (0.57 ) 

Year Ended June 30, 2014

        10.51          (0.12 )       3.23          3.11          (0.64 ) 

Class I

                       

Year Ended June 30, 2018

        18.40          (0.07 )       4.87          4.80          (0.84 ) 

Year Ended June 30, 2017

        14.75          (0.05 )       3.70          3.65          —  

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        14.50          (0.07 )       2.20          2.13          (0.57 ) 

Year Ended June 30, 2014

        11.60          (0.04 )       3.58          3.54          (0.64 ) 

Class R2

                       

July 31, 2017 (f) through June 30, 2018

        18.47          (0.14 )       4.19          4.05          (0.84 ) 

Class R3

                       

Year Ended June 30, 2018

        17.96          (0.11 )       4.73          4.62          (0.84 ) 

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

        17.85          (0.01 )       0.12          0.11          —  

Class R4

                       

Year Ended June 30, 2018

        18.40          (0.03 )       4.83          4.80          (0.84 ) 

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

        18.29          — (g)       0.11          0.11          —  

Class R5

                       

Year Ended June 30, 2018

        18.69          (0.04 )       4.95          4.91          (0.84 ) 

Year Ended June 30, 2017

        14.96          (0.03 )       3.76          3.73          —  

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        14.63          (0.04 )       2.23          2.19          (0.57 ) 

Year Ended June 30, 2014

        11.68          (0.02 )       3.61          3.59          (0.64 ) 

Class R6

                       

Year Ended June 30, 2018

        18.76          (0.02 )       4.97          4.95          (0.84 ) 

Year Ended June 30, 2017

        15.00          (0.01 )       3.77          3.76          —  

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        14.64          (0.03 )       2.23          2.20          (0.57 ) 

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

        13.86          (0.01 )       0.79          0.78          —  

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Commencement of offering of class of shares.

(g)

Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 21.73       26.22 %    $ 1,724,681       1.16 %      (0.57 )%      1.25 %      31 % 
  17.95       24.48       1,550,092       1.24       (0.56 )      1.32       34  
  14.42       (5.07 )      1,643,136       1.25       (0.55 )      1.35       46  
  15.74       14.99       1,174,260       1.24       (0.65 )      1.35       46  
  14.24       30.69       717,564       1.24       (0.51 )      1.31       62  
           
  19.16       25.60       740,817       1.66       (1.07 )      1.76       31  
  15.99       23.86       605,999       1.74       (1.06 )      1.82       34  
  12.91       (5.55 )      594,190       1.75       (1.04 )      1.85       46  
  14.22       14.43       321,500       1.74       (1.14 )      1.84       46  
  12.98       30.12       144,229       1.74       (1.01 )      1.81       62  
           
  22.36       26.56       1,753,505       0.92       (0.32 )      1.00       31  
  18.40       24.75       1,691,899       1.00       (0.31 )      1.04       34  
  14.75       (4.91 )      922,981       1.08       (0.41 )      1.09       46  
  16.06       15.14       1,219,501       1.09       (0.48 )      1.09       46  
  14.50       31.03       975,175       1.05       (0.30 )      1.06       62  
           
  21.68       22.39       43       1.41       (0.77 )      1.59       31  
           
  21.74       26.20       266       1.15       (0.53 )      1.28       31  
  17.96       0.62       20       1.25       (0.55 )      1.25       34  
           
  22.36       26.56       12,005       0.88       (0.16 )      1.00       31  
  18.40       0.60       20       0.99       (0.29 )      1.00       34  
           
  22.76       26.74       112,830       0.77       (0.18 )      0.85       31  
  18.69       24.93       95,952       0.85       (0.17 )      0.88       34  
  14.96       (4.72 )      82,358       0.89       (0.20 )      0.90       46  
  16.25       15.42       58,686       0.86       (0.25 )      0.87       46  
  14.63       31.25       1,453,864       0.85       (0.11 )      0.86       62  
           
  22.87       26.86       4,347,440       0.67       (0.07 )      0.75       31  
  18.76       25.07       3,153,928       0.74       (0.06 )      0.75       34  
  15.00       (4.59 )      2,720,935       0.76       (0.07 )      0.76       46  
  16.27       15.48       2,414,333       0.76       (0.17 )      0.77       46  
  14.64       5.63       271,958       0.80       (0.15 )      0.82       62  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         45  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Mid Cap Equity Fund

                    

Class A

                    

Year Ended June 30, 2018

    $ 48.53      $ — (f)    $ 5.89      $ 5.89      $ —      $ (2.85 )     $ (2.85 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class C

                    

Year Ended June 30, 2018

      47.05        (0.24 )      5.70        5.46        —        (2.85 )       (2.85 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class I

                    

Year Ended June 30, 2018

      49.13        0.14       5.97        6.11        (0.07 )       (2.85 )       (2.92 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class R2

                    

Year Ended June 30, 2018

      48.21        (0.14 )      5.86        5.72        —        (2.85 )       (2.85 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

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

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

Class R5

                    

Year Ended June 30, 2018

      49.17        0.24       5.94        6.18        (0.15 )       (2.85 )       (3.00 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

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

      43.14        0.04       2.02        2.06        (0.05 )       —        (0.05 ) 

Class R6

                    

Year Ended June 30, 2018

      49.18        0.27       5.96        6.23        (0.17 )       (2.85 )       (3.02 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

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

      43.14        0.04       2.02        2.06        (0.05 )       —        (0.05 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Amount rounds to less than $0.005.

(g)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 51.57       12.37 %    $ 402,897       1.17 %      0.01 %      1.25 %      31 % 
  48.53       16.61       378,055       1.24       (0.05 )      1.37       38  
  42.95       (4.17 )      335,424       1.25       (0.03 )      1.43       39  
  47.12       9.99       232,320       1.24       (0.06 )      1.44       41  
  44.91       27.96       156,016       1.24       (0.08 )      1.41       47  
           
  49.66       11.83       27,666       1.67       (0.50 )      1.76       31  
  47.05       16.01       30,596       1.74       (0.56 )      1.92       38  
  41.85       (4.64 )      32,045       1.75       (0.54 )      1.96       39  
  46.16       9.44       25,597       1.74       (0.56 )      1.91       41  
  44.21       27.34       20,018       1.74       (0.57 )      1.93       47  
           
  52.32       12.68       326,026       0.89       0.26       1.00       31  
  49.13       17.01       778,378       0.89       0.30       1.08       38  
  43.41       (3.81 )      622,440       0.90       0.25       1.20       39  
  47.47       10.35       1,773,929       0.89       0.29       1.16       41  
  45.15       28.45       1,773,321       0.89       0.27       1.18       47  
           
  51.08       12.09       443       1.43       (0.28 )      1.57       31  
  48.21       16.30       600       1.49       (0.31 )      1.69       38  
  42.75       (4.38 )      688       1.50       (0.30 )      1.81       39  
  46.98       9.71       823       1.49       (0.31 )      1.69       41  
  44.87       4.56       688       1.47       (0.41 )      1.60       47  
           
  52.35       12.83       6,499       0.75       0.47       0.85       31  
  49.17       17.14       1,804       0.79       0.40       0.87       38  
  43.43       (3.73 )      2,840       0.80       0.42       0.91       39  
  47.49       10.49       1,636       0.79       0.43       0.88       41  
  45.15       4.77       91       0.78       0.27       0.91       47  
           
  52.39       12.93       1,970,177       0.67       0.51       0.75       31  
  49.18       17.18       1,619,045       0.74       0.45       0.75       38  
  43.44       (3.66 )      1,370,912       0.74       0.46       0.77       39  
  47.49       10.53       1,268,988       0.74       0.45       0.80       41  
  45.15       4.78       823,036       0.73       0.34       0.86       47  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         47  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Mid Cap Growth Fund

                      

Class A

                      

Year Ended June 30, 2018

      $ 27.99        $ (0.19 )    $ 5.18        $ 4.99        $ (2.14 ) 

Year Ended June 30, 2017

        23.43          (0.14 )      4.71          4.57          (0.01 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        27.49          (0.18 )      3.19          3.01          (2.79 ) 

Year Ended June 30, 2014

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

Class C

                      

Year Ended June 30, 2018

        22.64          (0.27 )      4.14          3.87          (2.14 ) 

Year Ended June 30, 2017

        19.05          (0.22 )      3.82          3.60          (0.01 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        23.35          (0.26 )      2.63          2.37          (2.79 ) 

Year Ended June 30, 2014

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

Class I

                      

Year Ended June 30, 2018

        31.79          (0.10 )      5.89          5.79          (2.14 ) 

Year Ended June 30, 2017

        26.52          (0.07 )      5.35          5.28          (0.01 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        30.39          (0.11 )      3.57          3.46          (2.79 ) 

Year Ended June 30, 2014

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

Class R2

                      

Year Ended June 30, 2018

        30.31          (0.28 )      5.60          5.32          (2.14 ) 

Year Ended June 30, 2017

        25.41          (0.21 )      5.12          4.91          (0.01 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        29.54          (0.24 )      3.45          3.21          (2.79 ) 

Year Ended June 30, 2014

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

Class R3

                      

Year Ended June 30, 2018

        31.71          (0.19 )      5.85          5.66          (2.14 ) 

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

        27.06          (0.13 )      4.79          4.66          (0.01 ) 

Class R4

                      

Year Ended June 30, 2018

        31.77          (0.12 )      5.89          5.77          (2.14 ) 

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

        27.06          (0.06 )      4.78          4.72          (0.01 ) 

Class R5

                      

Year Ended June 30, 2018

        32.09          (0.06 )      5.96          5.90          (2.14 ) 

Year Ended June 30, 2017

        26.74          (0.03 )      5.39          5.36          (0.01 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        30.52          (0.07 )      3.60          3.53          (2.79 ) 

Year Ended June 30, 2014

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

Class R6

                      

Year Ended June 30, 2018

        32.20          (0.04 )      5.98          5.94          (2.14 ) 

Year Ended June 30, 2017

        26.82          (0.02 )      5.41          5.39          (0.01 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

        30.57          (0.06 )      3.61          3.55          (2.79 ) 

Year Ended June 30, 2014

        25.17          — (f)(h)      8.19          8.19          (2.79 ) 

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 30.84       18.39 %    $ 934,982       1.23 %      (0.62 )%      1.30 %      56 % 
  27.99       19.52       915,226       1.23       (0.56 )      1.36       41  
  23.43       (10.29 )      949,148       1.24       (0.59 )      1.40       56  
  27.71       12.37       984,262       1.23       (0.68 )      1.35       57  
  27.49       33.44       765,310       1.24       (0.51 )(f)      1.37       69  
           
  24.37       17.76       82,939       1.73       (1.12 )      1.76       56  
  22.64       18.92       90,640       1.73       (1.06 )      1.85       41  
  19.05       (10.70 )      96,729       1.74       (1.08 )      1.90       56  
  22.93       11.78       75,494       1.73       (1.19 )      1.86       57  
  23.35       32.85       41,047       1.73       (1.01 )(f)      1.86       69  
           
  35.44       18.72       1,140,704       0.92       (0.30 )      1.00       56  
  31.79       19.92       1,050,151       0.92       (0.25 )      1.08       41  
  26.52       (10.01 )      929,489       0.93       (0.31 )      1.13       56  
  31.06       12.68       1,562,284       0.92       (0.37 )      1.12       57  
  30.39       33.91       1,254,748       0.93       (0.20 )(f)      1.12       69  
           
  33.49       18.06       38,486       1.48       (0.87 )      1.57       56  
  30.31       19.34       35,242       1.42       (0.74 )      1.69       41  
  25.41       (10.42 )      32,092       1.40       (0.71 )      1.71       56  
  29.96       12.18       9,868       1.39       (0.85 )      1.64       57  
  29.54       33.25       1,852       1.40       (0.71 )(f)      1.59       69  
           
  35.23       18.34       26,638       1.23       (0.54 )      1.26       56  
  31.71       17.24       152       1.23       (0.54 )      1.42       41  
           
  35.40       18.66       14,320       0.98       (0.33 )      1.01       56  
  31.77       17.46       129       0.98       (0.23 )      1.10       41  
           
  35.85       18.89       313,336       0.78       (0.16 )      0.85       56  
  32.09       20.06       247,068       0.78       (0.10 )      0.89       41  
  26.74       (9.87 )      224,498       0.79       (0.13 )      0.91       56  
  31.26       12.87       164,713       0.78       (0.25 )      0.87       57  
  30.52       34.06       27,454       0.79       (0.06 )(f)      0.92       69  
           
  36.00       18.95       1,365,839       0.73       (0.11 )      0.76       56  
  32.20       20.11       749,670       0.73       (0.06 )      0.76       41  
  26.82       (9.82 )      619,527       0.73       (0.06 )      0.77       56  
  31.33       12.92       265,905       0.73       (0.19 )      0.78       57  
  30.57       34.16       86,150       0.74       (0.01 )(f)      0.86       69  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         49  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance     

 

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

JPMorgan Mid Cap Value Fund

                    

Class A

                    

Year Ended June 30, 2018

    $ 37.80      $ 0.20      $ 2.14      $ 2.34      $ (0.18 )    $ (0.72 )     $ (0.90 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class C

                    

Year Ended June 30, 2018

      36.35        (0.02 )       2.07        2.05        —       (0.72 )       (0.72 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

      35.79        0.01        0.32        0.33        —       (1.95 )       (1.95 ) 

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class I

                    

Year Ended June 30, 2018

      38.24        0.30        2.16        2.46        (0.28 )      (0.72 )       (1.00 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class L

                    

Year Ended June 30, 2018

      38.70        0.40        2.20        2.60        (0.37 )      (0.72 )       (1.09 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class R2

                    

Year Ended June 30, 2018

      36.33        0.10        2.05        2.15        (0.12 )      (0.72 )       (0.84 ) 

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class R3

                    

Year Ended June 30, 2018

      37.67        0.21        2.11        2.32        (0.30 )      (0.72 )       (1.02 ) 

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

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

Class R4

                    

Year Ended June 30, 2018

      38.16        0.33        2.13        2.46        (0.34 )      (0.72 )       (1.06 ) 

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

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

Class R5

                    

Year Ended June 30, 2018

      38.67        0.38        2.17        2.55        (0.35 )      (0.72 )       (1.07 ) 

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

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

Class R6

                    

Year Ended June 30, 2018

      38.69        0.43        2.16        2.59        (0.37 )      (0.72 )       (1.09 ) 

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

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

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

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

(g)

Amount rounds to less than $0.005.

(h)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

 

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

Net assets,
end of

period
(000’s)

     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 39.24       6.20 %    $ 1,967,162       1.23 %      0.51 %      1.26 %      13 % 
  37.80       13.83       2,149,689       1.23       0.45       1.36       23  
  35.41       1.85       2,302,567       1.24       0.54       1.41       20  
  36.98       7.68       2,623,772       1.23       0.53       1.38       18  
  37.25       23.25       3,404,974       1.23       0.42 (f)      1.37       25  
           
  37.68       5.65       214,331       1.74       (0.06 )      1.75       13  
  36.35       13.27       452,351       1.74       (0.06 )      1.80       23  
  34.17       1.35       549,619       1.75       0.03       1.83       20  
  35.79       7.12       595,385       1.74       0.03       1.84       18  
  36.19       22.63       608,283       1.74       (0.09 )(f)      1.87       25  
           
  39.70       6.44       2,985,882       0.98       0.77       1.00       13  
  38.24       14.15       2,902,646       0.98       0.72       1.07       23  
  35.79       2.11       2,332,160       0.99       0.80       1.11       20  
  37.36       7.92       2,347,703       0.98       0.75       1.10       18  
  37.61       23.59       2,967,759       0.98       0.67 (f)      1.12       25  
           
  40.21       6.73       11,795,588       0.74       1.00       0.86       13  
  38.70       14.39       12,478,637       0.74       0.96       0.91       23  
  36.19       2.35       10,313,629       0.75       1.04       0.94       20  
  37.76       8.19       10,320,516       0.74       1.05       0.94       18  
  37.99       23.88       8,581,992       0.74       0.92 (f)      0.97       25  
           
  37.64       5.93       82,108       1.49       0.26       1.51       13  
  36.33       13.53       85,287       1.49       0.21       1.65       23  
  34.14       1.61       66,167       1.50       0.29       1.75       20  
  35.73       7.38       71,697       1.49       0.28       1.71       18  
  36.14       22.94       71,958       1.49       0.17 (f)      1.62       25  
           
  38.97       6.17       62,576       1.24       0.55       1.25       13  
  37.67       12.70       19,262       1.24       0.87       1.35       23  
           
  39.56       6.45       17,859       0.99       0.83       1.00       13  
  38.16       12.89       3,537       0.99       1.26       1.10       23  
           
  40.15       6.61       84,457       0.84       0.96       0.85       13  
  38.67       13.06       30,334       0.84       1.18       1.02       23  
           
  40.19       6.71       1,073,888       0.74       1.08       0.75       13  
  38.69       13.13       281,269       0.74       1.05       0.75       23  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         51  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance     

 

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

JPMorgan Value Advantage Fund

                     

Class A

                     

Year Ended June 30, 2018

    $ 33.40      $ 0.35 (f)     $ 2.26      $ 2.61      $ (0.28 )     $ (0.35 )     $ (0.63 ) 

Year Ended June 30, 2017

      28.66        0.27        4.77        5.04        (0.30 )       —        (0.30 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class C

                     

Year Ended June 30, 2018

      33.20        0.18 (f)       2.24        2.42        (0.07 )       (0.35 )       (0.42 ) 

Year Ended June 30, 2017

      28.52        0.11        4.74        4.85        (0.17 )       —        (0.17 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class I

                     

Year Ended June 30, 2018

      33.62        0.44 (f)       2.28        2.72        (0.39 )       (0.35 )       (0.74 ) 

Year Ended June 30, 2017

      28.86        0.35        4.80        5.15        (0.39 )       —        (0.39 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class L

                     

Year Ended June 30, 2018

      33.63        0.50 (f)       2.29        2.79        (0.45 )       (0.35 )       (0.80 ) 

Year Ended June 30, 2017

      28.86        0.41        4.82        5.23        (0.46 )       —        (0.46 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Year Ended June 30, 2014

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

Class R2

                     

July 31, 2017 (g) through June 30, 2018

      34.04        0.25 (f)       1.64        1.89        (0.36 )       (0.35 )       (0.71 ) 

Class R3

                     

Year Ended June 30, 2018

      33.24        0.35 (f)       2.26        2.61        (0.39 )       (0.35 )       (0.74 ) 

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

      29.33        0.29        4.06        4.35        (0.44 )       —        (0.44 ) 

Class R4

                     

Year Ended June 30, 2018

      33.55        0.51 (f)       2.20        2.71        (0.44 )       (0.35 )       (0.79 ) 

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

      29.56        0.27        4.18        4.45        (0.46 )       —        (0.46 ) 

Class R5

                     

Year Ended June 30, 2018

      33.59        0.50 (f)       2.28        2.78        (0.45 )       (0.35 )       (0.80 ) 

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

      29.57        0.30        4.20        4.50        (0.48 )       —        (0.48 ) 

Class R6

                     

Year Ended June 30, 2018

      33.61        0.54 (f)       2.26        2.80        (0.46 )       (0.35 )       (0.81 ) 

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

      29.57        0.36        4.17        4.53        (0.49 )       —        (0.49 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

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

(g)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

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     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 35.38       7.81 %    $ 1,346,080       1.17 %      1.01 %(f)      1.25 %      23 % 
  33.40       17.60       1,432,370       1.24       0.85       1.36       24  
  28.66       (2.34 )      2,045,698       1.24       0.98       1.43       26  
  29.84       5.78       2,440,061       1.24       0.64       1.41       17  
  29.15       22.19       1,701,250       1.24       1.26       1.33       36  
           
  35.20       7.27       591,602       1.67       0.51 (f)      1.75       23  
  33.20       17.02       746,521       1.74       0.34       1.81       24  
  28.52       (2.82 )      728,800       1.74       0.49       1.85       26  
  29.72       5.26       701,023       1.73       0.14       1.83       17  
  29.08       21.58       402,880       1.74       0.74       1.83       36  
           
  35.60       8.07       2,296,056       0.92       1.26 (f)      1.00       23  
  33.62       17.89       2,165,577       0.99       1.09       1.04       24  
  28.86       (2.10 )      1,414,635       0.99       1.16       1.05       26  
  29.99       6.05       3,095,251       0.99       0.89       1.05       17  
  29.27       22.49       2,546,808       0.99       1.53       1.08       36  
           
  35.62       8.29       3,255,993       0.74       1.42 (f)      0.85       23  
  33.63       18.17       3,643,327       0.75       1.32       0.87       24  
  28.86       (1.87 )      5,901,818       0.74       1.50       0.88       26  
  30.06       6.36       5,058,172       0.74       1.15       0.90       17  
  29.31       22.77       3,042,506       0.74       1.77       0.93       36  
           
  35.22       5.54       38       1.41       0.78 (f)      1.61       23  
           
  35.11       7.82       1,132       1.15       1.01 (f)      1.28       23  
  33.24       14.87       385       1.24       1.09       1.36       24  
           
  35.47       8.07       17,231       0.89       1.43 (f)      1.00       23  
  33.55       15.10       34       1.00       1.05       1.08       24  
           
  35.57       8.25       6,114       0.76       1.41 (f)      0.88       23  
  33.59       15.27       422       0.83       1.14       0.89       24  
           
  35.60       8.31       3,869,991       0.67       1.52 (f)      0.75       23  
  33.61       15.35       3,069,390       0.74       1.39       0.75       24  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         53  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018

 

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”, and 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 5 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

 

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

 

*   Class R2 Shares commenced operations on July 31, 2017 for JPMorgan Growth Advantage Fund and JPMorgan Value Advantage Fund.
**   Class R3 and Class R4 Shares commenced operations on May 31, 2017 for JPMorgan Growth Advantage Fund.
***   Class R3 and Class R4 Shares commenced operations on September 9, 2016 for JPMorgan Mid Cap Growth Fund, JPMorgan Mid Cap Value Fund and JPMorgan Value Advantage Fund.
****   Class R5 and Class R6 Shares commenced operations on September 9, 2016 for JPMorgan Mid Cap Value Fund and JPMorgan Value Advantage Fund.

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

The investment objective of JPMorgan Mid Cap Growth Fund (“Mid Cap Growth Fund”) is to seek growth of capital.

The investment objective of JPMorgan Mid Cap Value Fund (“Mid Cap Value Fund”) is to seek growth from capital appreciation.

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

Effective as of the close of business on December 1, 2016, Class L Shares of the Value Advantage Fund are publicly offered only on a limited basis. Investors are not eligible to purchase Class L Shares of the Fund unless they meet certain requirements as described in the Fund’s prospectuses.

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

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

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

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

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards

 

 
54       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

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 Boards of Trustees (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at 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 Boards.

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

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 Boards. 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.

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)

      $ 8,630,615        $ —        $     —        $ 8,630,615  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 2,735,944        $ —        $ —        $ 2,735,944  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         55  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

Mid Cap Growth Fund                    
       

Level 1

Quoted prices

       

Level 2

Other significant
observable inputs

       

Level 3

Significant
unobservable inputs

        Total  

Total Investments in Securities (a)

      $ 3,887,472        $ —        $ —        $ 3,887,472  
    

 

 

       

 

 

       

 

 

       

 

 

  

Mid Cap Value Fund

                    
       

Level 1

Quoted prices

       

Level 2

Other significant
observable inputs

       

Level 3

Significant
unobservable inputs

        Total  

Total Investments in Securities (a)

      $ 18,287,124        $ —        $ —        $ 18,287,124  
    

 

 

       

 

 

       

 

 

       

 

 

  

Value Advantage Fund

 

       

Level 1

Quoted prices

       

Level 2

Other significant
observable inputs

       

Level 3

Significant
unobservable inputs

        Total  

Total Investments in Securities (b)

      $ 11,440,669        $ —        $ 147        $ 11,440,816  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

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

(b)

All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of portfolio holdings.

There were no transfers among any levels for the year ended June 30, 2018.

B. 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.

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

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the year ended June 30, 2018 are as follows (amounts in thousands):

 

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

Growth Advantage Fund

                          

Transfer agency fees

    $ 112      $ 57      $ 55        n/a      $ — (a)    $ — (a)    $ — (a)    $ 5     $ 32      $ 261  

Mid Cap Equity Fund

                          

Transfer agency fees

      22        3        14        n/a        — (a)      n/a       n/a       — (a)      15        54  

Mid Cap Growth Fund

                          

Transfer agency fees

      435        9        39        n/a        26       — (a)      — (a)      7       48        564  

Mid Cap Value Fund

                          

Transfer agency fees

      154        19        46      $ 790        10       — (a)      — (a)      — (a)      13        1,032  

Value Advantage Fund

                          

Transfer agency fees

      80        56        38        64        — (a)      —  (a)      1       2       30        271  

 

(a)

Amount rounds to less than one thousand.

 

 
56       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

D. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2018, 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.

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

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

 

        Paid-in-Capital        Accumulated
undistributed
(distributions
in excess of)
Net investment
income		        Accumulated
net realized
gains (losses)		  

Growth Advantage Fund

      $ (9,925 )       $ 24,421        $ (14,496 ) 

Mid Cap Equity Fund

        2          (795 )         793  

Mid Cap Growth Fund

        3          11,027          (11,030 ) 

Mid Cap Value Fund

        —          (3,920 )         3,920  

Value Advantage Fund

        192          (7,203 )         7,011  

The reclassifications for the Funds relate primarily to investments in partnerships, non-taxable dividends and net operating losses.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to 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:

 

Growth Advantage Fund

      0.65 % 

Mid Cap Equity Fund

      0.65  

Mid Cap Growth Fund

      0.65  

Mid Cap Value Fund

      0.65  

Value Advantage Fund

      0.65  

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

B. Administration Fee — Pursuant to Administration Agreements, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2018, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         57  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Class R3  

Growth Advantage Fund

        0.25 %         0.75 %         0.50 %         0.25 % 

Mid Cap Equity Fund

        0.25          0.75          0.50          n/a  

Mid Cap Growth Fund

        0.25          0.75          0.50          0.25  

Mid Cap Value Fund

        0.25          0.75          0.50          0.25  

Value Advantage Fund

        0.25          0.75          0.50          0.25  

In addition, JPMDS is entitled to receive 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, 2018, JPMDS retained the following (amounts in thousands):

 

      Front-End Sales Charge        CDSC  

Growth Advantage Fund

    $ 401        $ 2  

Mid Cap Equity Fund

      111          — (a) 

Mid Cap Growth Fund

      71          — (a) 

Mid Cap Value Fund

      21          1  

Value Advantage Fund

      187          1  

 

(a)

Amount rounds to less than one thousand.

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

 

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

Growth Advantage Fund

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

Mid Cap Equity Fund

        0.25        0.25        0.25        n/a        0.25        n/a        n/a        0.10  

Mid Cap Growth Fund

        0.25        0.25        0.25        n/a        0.25        0.25        0.25        0.10  

Mid Cap Value Fund

        0.25        0.25        0.25        0.10 %       0.25        0.25        0.25        0.10  

Value Advantage Fund

        0.25        0.25        0.25        0.10        0.25        0.25        0.25        0.10  

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

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

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

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

 

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

Growth Advantage Fund

        1.14 %^      1.64 %^      0.89 %^      n/a        1.39 %^      1.14 %^      0.89 %^      0.74 %^      0.64 %^ 

Mid Cap Equity Fund

        1.14 ^^      1.64 ^^      0.89 ^^      n/a        1.39 ^^      n/a       n/a       0.74 ^^      0.64 ^^ 

Mid Cap Growth Fund

        1.24       1.74       0.93       n/a        1.49       1.24       0.99       0.79       0.74  

Mid Cap Value Fund

        1.24       1.75       0.99       0.75 %       1.50       1.25       1.00       0.85       0.75  

Value Advantage Fund

        1.14 ^^^      1.64 ^^^      0.89 ^^^      0.75        1.39 ^^^      1.14 ^^^      0.89 ^^^      0.74 ^^^      0.64 ^^^ 

 

^

The contractual expense percentages for Growth Advantage Fund in the table above are in place until at least October 31, 2019. Prior to November 1, 2017, the contractual expense limitations for Growth Advantage Fund were 1.24%, 1.74%, 0.99%, 1.50%, 1.25%, 1.00%, 0.85% and 0.75% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively.

 

 
58       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

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^^

The contractual expense percentages for Mid Cap Equity Fund in the table above are in place until at least October 31, 2019. Prior to November 1, 2017, the contractual expense limitations for Mid Cap Equity Fund were 1.25%, 1.75%, 0.90%, 1.50%, 0.80% and 0.75% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively.

^^^

The contractual expense percentages for Value Advantage Fund in the table above are in place until at least October 31, 2019. Prior to November 1, 2017, the contractual expense limitations for Value Advantage Fund were 1.24%, 1.74%, 0.99%, 1.50%, 1.25%, 1.00%, 0.85% and 0.75% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively.

Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2018 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2018.

For the year ended June 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

 

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

Growth Advantage Fund

      $ 3,557        $ 2,373        $ 324        $ 6,254        $ 23  

Mid Cap Equity Fund

        1,286          857          229          2,372          —  

Mid Cap Growth Fund

        264          169          1,293          1,726          41  

Mid Cap Value Fund

        86          58          12,861          13,005          539  

Value Advantage Fund

        4,933          3,288          1,568          9,789          35  

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

The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2018 was as follows (amounts in thousands):

 

Growth Advantage Fund

    $ 540  

Mid Cap Equity Fund

      193  

Mid Cap Growth Fund

      254  

Mid Cap Value Fund

      1,182  

Value Advantage Fund

      752  

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

The Boards 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, 2018, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended June 30, 2018, 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

      — (a) 

Mid Cap Growth Fund

      1  

Mid Cap Value Fund

      2  

Value Advantage Fund

      2  

 

(a)

Amount rounds to less than one thousand.

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.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

4. Investment Transactions

During the year ended June 30, 2018, 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)

  

Growth Advantage Fund

    $ 2,400,519        $ 2,774,236  

Mid Cap Equity Fund

      859,465          1,260,936  

Mid Cap Growth Fund

      2,090,895          1,887,561  

Mid Cap Value Fund

      2,341,631          3,175,091  

Value Advantage Fund

      2,545,962          2,832,086  

During the year ended June 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows (amounts in thousands):

 

      Aggregate
Cost		        Gross
Unrealized
Appreciation		        Gross
Unrealized
Depreciation		        Net
Unrealized
Appreciation
(Depreciation)		  

Growth Advantage Fund

    $ 5,039,544        $ 3,654,216        $ 63,145        $ 3,591,071  

Mid Cap Equity Fund

      1,885,077          889,907          39,040          850,867  

Mid Cap Growth Fund

      2,929,533          996,741          38,802          957,939  

Mid Cap Value Fund

      11,783,601          6,862,407          358,884          6,503,523  

Value Advantage Fund

      8,586,699          3,101,808          247,691        2,854,117

For the Funds, 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, 2018 was as follows (amounts in thousands):

 

      Ordinary
Income*		       

Net

Long-Term
Capital Gains

        Total
Distributions
Paid		  

Growth Advantage Fund

    $ 10,634        $ 309,808        $ 320,442  

Mid Cap Equity Fund

      46,277          124,037          170,314  

Mid Cap Growth Fund

      —          219,496          219,496  

Mid Cap Value Fund

      175,864          320,197          496,061  

Value Advantage Fund

      136,339          117,237          253,576  

 

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

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

 

     

Ordinary

Income*

       

Net

Long-Term

Capital Gains

       

Total

Distribution

Paid

  

Mid Cap Equity Fund

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

Mid Cap Growth Fund

      —          1,276          1,276  

Mid Cap Value Fund

      143,520          984,030          1,127,550  

Value Advantage Fund

      134,075          —          134,075  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

 

 
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As of June 30, 2018, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

      Current
Distributable
Ordinary
Income		        Current
Distributable
Long-Term
Capital Gain		        Unrealized
Appreciation
(Depreciation)		  

Growth Advantage Fund

    $ 34,608        $ 394,284        $ 3,591,071  

Mid Cap Equity Fund

      31,100          184,155          850,867  

Mid Cap Growth Fund

      22,962          182,385          957,939  

Mid Cap Value Fund

      80,523          663,571          6,503,523  

Value Advantage Fund

      106,126          299,647          2,854,117  

For the Funds, the cumulative timing differences primarily consist of late year ordinary loss deferrals and wash sale loss deferrals.

During the year ended June 30, 2018, the following Fund utilized net capital loss carryforwards as follows (amounts in thousands):

 

Mid Cap Value Fund

    $ 7,367  

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, 2018, the following Funds deferred to July 1, 2018 late year ordinary losses and post-October capital losses of (amounts in thousands):

 

      Late Year Ordinary
Loss Deferral		  

Growth Advantage Fund

    $ 10,229  

Mid Cap Growth Fund

      6,257

6. Borrowings

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

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2018. Average borrowings from the Facility during the year ended June 30, 2018, were as follows (amounts in thousands, except number of days outstanding):

 

     

Average

Borrowings

       

Average Interest

Rate Paid

       

Number of

Days Outstanding

       

Interest

Paid

  

Mid Cap Equity Fund

    $ 6,018          2.50 %         1        $  — (a) 

 

(a)

Amount rounds to less than one thousand.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         61  

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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

The Funds did not utilize the Credit Facility during the year ended June 30, 2018.

7. Redemptions in-Kind

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

 

March 17, 2017

    Value       

Realized

Gains (Losses)

        Type  

Class L

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

 

*

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

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, 2018, the Funds had omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

     

Number of

Affiliated

Omnibus

Accounts

        % of the Fund       

Number of

Non-affiliated

Omnibus

Accounts

        % of the Fund  

Growth Advantage Fund

      4          12.4 %         3          14.0 % 

Mid Cap Equity Fund

      —          —          4          22.1  

Mid Cap Growth Fund

      —          —          7          15.7  

Mid Cap Value Fund

      —          —          7          20.5  

Value Advantage Fund

      —          —          4          11.1  

As of June 30, 2018, the JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the following Funds:

 

       

JPMorgan

SmartRetirement

Funds

  

Growth Advantage Fund

        29.5 % 

Mid Cap Equity Fund

        47.7  

Value Advantage Fund

        20.9  

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

9. Investment Company Reporting Modernization

In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of June 30, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

 

 
62       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Boards 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 Shareholders of JPMorgan Growth Advantage Fund, JPMorgan Mid Cap Equity Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Mid Cap Value Fund and JPMorgan Value Advantage Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Mid Cap Equity Fund and JPMorgan Value Advantage Fund (two of the funds constituting JPMorgan Trust I), JPMorgan Mid Cap Growth Fund (one of the funds constituting JPMorgan Trust II), JPMorgan Growth Advantage Fund (constituting J.P. Morgan Mutual Fund Investment Trust) and JPMorgan Mid Cap Value Fund (constituting J.P. Morgan Fleming Mutual Fund Group, Inc.) (hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, 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 ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

New York, New York

August 28, 2018

We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         63  

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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 Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees

     
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    135    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).
Stephen P. Fisher (1959); Trustee of Trusts since 2018.    Retired; Chairman and Chief Executive Officer (2014-2017), President and Chief Operating Officer, NYLIFE Distributors LLC (registered broker-dealer) (2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); President (2015-2017), Co-President (2014-2015) and Senior Managing Director, New York Life Investment Management LLC (registered investment adviser) (2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (formerly MainStay VP Series Fund, Inc.) (registered investment companies) (2007-2017); President, MainStay DefinedTerm Municipal Opportunities Fund (registered investment company) (2011-2017); President, MainStay Funds Trust (registered investment companies) (2009-2017); President, The MainStay Funds (registered investment companies) (2007-2017).    135    Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield (non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).
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).    135    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Dennis P. Harrington* (1950); Trustee of Trusts since 2017.    Retired; Partner, Deloitte LLP (1984-2012).    135    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).    135    None

Raymond Kanner** (1953);

Trustee of Trusts since 2017.

    Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016).    135    Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-2017; Advisory Board Member, Betterment for Business (2016-2017) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-2017) (index creator); Member, Russell Index Client Advisory Board (2001-2015); Advisory Board Member, State Street Global Advisors’ OCIO Board (2017-present).

 

 
64       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

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Name (Year of Birth);

Positions With

the Funds (1)

   

Principal Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees (continued)

     
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).		    135    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).    135    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).    135   

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) (1985-2005).    135    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).    135    Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Trout Unlimited (2017-present).
Marian U. Pardo**** (1946); Trustee of Trusts since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    135    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    135    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 eleven registered investment companies (135 funds).

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         65  

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TRUSTEES (continued)

(Unaudited)

 

 

     * Two family members of Mr. Harrington are partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee.

 

    ** A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof.

 

  *** 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.

 

 
66       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trusts (Since)

    Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)		    Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014).

Timothy J. Clemens (1975),

Treasurer and Principal Financial Officer (2018)*

    Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016; Chief Financial Officer and Head of Valuation, Aberdeen Asset Management PLC (previously Artio Global Management) (2009 to September 2013).
Noah Greenhill (1969),
Secretary (2018)		    Managing Director and General Counsel, JPMorgan Asset Management (2015 – Present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015).
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)		    Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)**

    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)**		    Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.
Carmine Lekstutis (1980),
Assistant Secretary (2011)		    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015.
Gregory S. Samuels (1980),
Assistant Secretary (2010)		    Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014.
Pamela L. Woodley (1971),
Assistant Secretary (2012)		    Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Zachary E. Vonnegut-Gabovitch (1986),

Assistant Secretary (2017)

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

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

    Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014.

Jeffrey D. House (1972),

Assistant Treasurer (2017)**

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 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.

Gillian I. Sands (1969),

Assistant Treasurer (2012)*

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012.

 

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 4 New York Plaza, New York, NY 10004.

 

  **

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

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         67  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2018, and continued to hold your shares at the end of the reporting period, June 30, 2018.

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, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Growth Advantage Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,104.70        $ 5.90          1.13 % 

Hypothetical

        1,000.00          1,019.19          5.66          1.13  

Class C

                    

Actual

        1,000.00          1,101.80          8.49          1.63  

Hypothetical

        1,000.00          1,016.71          8.15          1.63  

Class I

                    

Actual

        1,000.00          1,105.80          4.59          0.88  

Hypothetical

        1,000.00          1,020.43          4.41          0.88  

Class R2

                    

Actual

        1,000.00          1,103.30          7.20          1.38  

Hypothetical

        1,000.00          1,017.95          6.90          1.38  

Class R3

                    

Actual

        1,000.00          1,104.70          5.90          1.13  

Hypothetical

        1,000.00          1,019.19          5.66          1.13  

Class R4

                    

Actual

        1,000.00          1,106.40          4.60          0.88  

Hypothetical

        1,000.00          1,020.43          4.41          0.88  

Class R5

                    

Actual

        1,000.00          1,107.00          3.81          0.73  

Hypothetical

        1,000.00          1,021.17          3.66          0.73  

Class R6

                    

Actual

        1,000.00          1,107.50          3.29          0.63  

Hypothetical

        1,000.00          1,021.67          3.16          0.63  

 

 
68       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents
       

Beginning

Account Value

January 1, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Mid Cap Equity Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,028.10        $ 5.68          1.13 % 

Hypothetical

        1,000.00          1,019.19          5.66          1.13  

Class C

                    

Actual

        1,000.00          1,025.40          8.19          1.63  

Hypothetical

        1,000.00          1,016.71          8.15          1.63  

Class I

                    

Actual

        1,000.00          1,029.30          4.43          0.88  

Hypothetical

        1,000.00          1,020.43          4.41          0.88  

Class R2

                    

Actual

        1,000.00          1,026.70          6.93          1.38  

Hypothetical

        1,000.00          1,017.95          6.90          1.38  

Class R5

                    

Actual

        1,000.00          1,030.10          3.67          0.73  

Hypothetical

        1,000.00          1,021.17          3.66          0.73  

Class R6

                    

Actual

        1,000.00          1,030.70          3.17          0.63  

Hypothetical

        1,000.00          1,021.67          3.16          0.63  

JPMorgan Mid Cap Growth Fund

                    

Class A

                    

Actual

        1,000.00          1,058.70          6.28          1.23  

Hypothetical

        1,000.00          1,018.70          6.16          1.23  

Class C

                    

Actual

        1,000.00          1,055.90          8.82          1.73  

Hypothetical

        1,000.00          1,016.22          8.65          1.73  

Class I

                    

Actual

        1,000.00          1,060.10          4.70          0.92  

Hypothetical

        1,000.00          1,020.23          4.61          0.92  

Class R2

                    

Actual

        1,000.00          1,057.10          7.55          1.48  

Hypothetical

        1,000.00          1,017.46          7.40          1.48  

Class R3

                    

Actual

        1,000.00          1,058.60          6.28          1.23  

Hypothetical

        1,000.00          1,018.70          6.16          1.23  

Class R4

                    

Actual

        1,000.00          1,059.90          5.01          0.98  

Hypothetical

        1,000.00          1,019.93          4.91          0.98  

Class R5

                    

Actual

        1,000.00          1,061.00          3.99          0.78  

Hypothetical

        1,000.00          1,020.93          3.91          0.78  

Class R6

                    

Actual

        1,000.00          1,061.30          3.73          0.73  

Hypothetical

        1,000.00          1,021.17          3.66          0.73  

JPMorgan Mid Cap Value Fund

                    

Class A

                    

Actual

        1,000.00          995.70          6.14          1.24  

Hypothetical

        1,000.00          1,018.65          6.21          1.24  

Class C

                    

Actual

        1,000.00          993.40          8.65          1.75  

Hypothetical

        1,000.00          1,016.12          8.75          1.75  

Class I

                    

Actual

        1,000.00          997.00          4.90          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         69  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

       

Beginning

Account Value

January 1, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Mid Cap Value Fund (continued)

                    

Class L

                    

Actual

      $ 1,000.00        $ 998.30        $ 3.72          0.75 % 

Hypothetical

        1,000.00          1,021.08          3.76          0.75  

Class R2

                    

Actual

        1,000.00          994.50          7.42          1.50  

Hypothetical

        1,000.00          1,017.36          7.50          1.50  

Class R3

                    

Actual

        1,000.00          995.70          6.14          1.24  

Hypothetical

        1,000.00          1,018.65          6.21          1.24  

Class R4

                    

Actual

        1,000.00          997.00          4.90          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

Class R5

                    

Actual

        1,000.00          997.80          4.16          0.84  

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

Class R6

                    

Actual

        1,000.00          998.30          3.72          0.75  

Hypothetical

        1,000.00          1,021.08          3.76          0.75  

JPMorgan Value Advantage Fund

                    

Class A

                    

Actual

        1,000.00          987.20          5.62          1.14  

Hypothetical

        1,000.00          1,019.14          5.71          1.14  

Class C

                    

Actual

        1,000.00          984.90          8.07          1.64  

Hypothetical

        1,000.00          1,016.66          8.20          1.64  

Class I

                    

Actual

        1,000.00          988.30          4.34          0.88  

Hypothetical

        1,000.00          1,020.43          4.41          0.88  

Class L

                    

Actual

        1,000.00          989.20          3.65          0.74  

Hypothetical

        1,000.00          1,021.12          3.71          0.74  

Class R2

                    

Actual

        1,000.00          986.00          6.80          1.38  

Hypothetical

        1,000.00          1,017.95          6.90          1.38  

Class R3

                    

Actual

        1,000.00          987.30          5.57          1.13  

Hypothetical

        1,000.00          1,019.19          5.66          1.13  

Class R4

                    

Actual

        1,000.00          988.60          4.39          0.89  

Hypothetical

        1,000.00          1,020.38          4.46          0.89  

Class R5

                    

Actual

        1,000.00          989.20          3.60          0.73  

Hypothetical

        1,000.00          1,021.17          3.66          0.73  

Class R6

                    

Actual

        1,000.00          989.40          3.11          0.63  

Hypothetical

        1,000.00          1,021.67          3.16          0.63  

 

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

 

 
70       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   JUNE 30, 2018

Table of Contents

 

TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2018. 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, 2018. The information necessary to complete your income tax returns for the calendar year ending December 31, 2018 will be provided under separate cover.

Dividends Received Deduction (DRD)

Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2018:

 

     

Dividends

Received

Deduction

  

JPMorgan Growth Advantage Fund

      88.90 % 

JPMorgan Mid Cap Equity Fund

      61.95  

JPMorgan Mid Cap Value Fund

      100.00  

JPMorgan 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, 2018 (amounts in thousands):

 

     

Long-Term

Capital Gain

Distribution

  

JPMorgan Growth Advantage Fund

    $ 309,808  

JPMorgan Mid Cap Equity Fund

      124,037  

JPMorgan Mid Cap Growth Fund

      219,496  

JPMorgan Mid Cap Value Fund

      320,197  

JPMorgan Value Advantage Fund

      117,237  

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, 2018 (amounts in thousands):

 

     

Qualified

Dividend

Income

  

JPMorgan Growth Advantage Fund

    $ 10,634  

JPMorgan Mid Cap Equity Fund

      33,173  

JPMorgan Mid Cap Value Fund

      175,864  

JPMorgan Value Advantage Fund

      136,339  
 

 

 
JUNE 30, 2018   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         71  

Table of Contents

LOGO

Rev. January 2011

 

 

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

 

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

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

◾  Social Security number and account balances

 

◾  transaction history and account transactions

 

◾  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

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

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?		   Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

   Yes   No

For marketing purposes —

to offer our products and services to you

   Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

   No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

   No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

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

 

LOGO

Table of Contents

LOGO

 

Page 2

    

 

 

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

 

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

How does J.P. Morgan

Funds collect my personal

information?

  

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

 

◾  open an account or provide contact information

 

◾  give us your account information or pay us by check

 

◾  make a wire transfer

 

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

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

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

 

◾  affiliates from using your information to market to you

 

◾  sharing for nonaffiliates to market to you

 

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

 

Definitions
Affiliates  

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

 

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

Nonaffiliates  

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

 

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

Joint Marketing  

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

 

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

Table of Contents

 

 

 

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

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

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

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

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

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

 

LOGO

Table of Contents

 

 

 

LOGO

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

 

  © JPMorgan Chase & Co., 2018. All rights reserved. June 2018.   AN-MC-618

Table of Contents
 

Annual Report

J.P. Morgan Large Cap Funds

June 30, 2018

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

JPMorgan U.S. Research Enhanced Equity Fund

(formerly known as JPMorgan Disciplined Equity Fund)

LOGO

Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

     

JPMorgan Equity Focus Fund

        3  

JPMorgan Equity Income Fund

        5  

JPMorgan Growth and Income Fund

        7  

JPMorgan Hedged Equity Fund

        9  

JPMorgan Large Cap Growth Fund

        11  

JPMorgan Large Cap Value Fund

        13  

JPMorgan U.S. Equity Fund.

        15  

JPMorgan U.S. Research Enhanced Equity Fund (formerly known as JPMorgan Disciplined Equity Fund)

        17  
Schedules of Portfolio Investments        19  
Financial Statements        42  
Financial Highlights        60  
Notes to Financial Statements        76  
Report of Independent Registered Public Accounting Firm        90  
Trustees        91  
Officers        94  
Schedule of Shareholder Expenses        95  
Tax Letter        99  
Privacy Policy — Located at the back of this Annual Report     

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

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

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

Table of Contents

CEO’S LETTER

August 1, 2018 (Unaudited)

 

Dear Shareholder,

The U.S. economy largely outpaced growth in other developed market nations during the twelve months ended June 30, 2018, and U.S. equity markets provided strong returns on the back of record corporate profits and historically low interest rates.

 

LOGO   

 

“Corporate earnings for the first and second quarters of 2018 reached record highs, with a sizeable majority of companies reporting better-than-expected results.” — George C.W. Gatch

During the first half of the reporting period, synchronized global economic growth helped the U.S. economy achieve its second-longest expansion on record. By the final months of 2017, U.S. unemployment had fallen to 4.1% and U.S. consumer confidence rose to its highest levels in nearly 17 years. Notably, U.S. equity prices climbed to record highs in every month from June through December and financial market volatility remained at historically low levels. In response to a tightening labor market and early signs of inflationary pressure, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017.

In January 2018, U.S. equity prices continued to rise, aided somewhat by recently-enacted tax cut legislation. The Standard & Poor’s 500 Index (the “S&P 500”) reached fourteen record closing highs during the month, the last on January 26th.

Early February 2018 was marked by a sharp sell-off in both equities and bonds in the U.S., and the selling quickly spread to other financial markets. Stronger-than-expected economic data sparked investor fears of rapidly rising inflation and accelerated interest rate increases by the Fed. Over several days, the S&P 500 lost more than 10% of its value, a decline that was one of the fastest peak-to-trough drops in the history of the index. The sell-off in bonds led to a spike in yields on benchmark 10-year U.S. Treasury bonds that further roiled markets.

While U.S. equity prices had rebounded somewhat by the end of the reporting period, leading equity indexes never fully recovered. Financial market volatility rose sharply during the February sell-off and remained elevated through June 2018.

Meanwhile, the U.S. economy continued to expand in 2018, even as signs emerged of economic sluggishness in Europe and weakness in select emerging market nations. U.S. GDP rose 2.2% in the first quarter before jumping an estimated 4.1% in the second quarter, the largest increase in nearly four years. Corporate earnings for the first and second quarters of 2018 reached record levels, with a sizeable majority of companies reporting better-than-expected results. In response, the Fed raised interest rates again in March and June.

However, the U.S. imposition of import tariffs on billions of dollars’ worth of goods, and reciprocal trade sanctions from China and other leading U.S. trading partners, increasingly weighed on global financial markets in the first half of 2018. The economies of China, Japan, the European Union and the U.K. are more dependent on exports than the U.S., and the impact of a potentially escalating trade war on the global economy remained a concern among policy makers, economists and investors.

At the end of the reporting period, the world’s leading economies appeared to be on pace for continued, moderate growth. The outlook for corporate earnings remained positive amid tame inflationary pressure, historically low interest rates and buoyant consumer demand. While the Fed was further along in its monetary tightening cycle than its counterparts in other developed markets, the European Central Bank, the Bank of England and the Bank of Japan were all moving in some measure to reduce economic stimulus.

We believe that investors who hold a properly diversified portfolio and a long-term outlook may benefit from a largely positive environment for economic growth and financial markets. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         1  

Table of Contents

J.P. Morgan Large Cap Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

Global equity markets provided strong positive returns for the reporting period, with U.S. equities largely outperforming developed market and emerging market equities.

Overall, equity prices were supported by synchronized global growth, rising corporate profits and accommodative policies from leading central banks. While the U.S. Federal Reserve raised interest rates twice during the first half of 2018, interest rates remained relatively low by historical standards. The Standard & Poor’s 500 Index (the “S&P 500”) reached record high closings in every month from July 2017 through January 2018.

In early February 2018, both equity and bond prices fell sharply. The S&P 500 lost more than 10% of its value over nine trading sessions and yields on 10-year U.S. Treasury bonds, which serve as a benchmark for a broad range of financial assets, spiked higher. While equity markets rebounded somewhat in subsequent weeks, financial market volatility remained elevated through June 2018.

Overall, growth stocks generally outperformed value stocks and small cap stocks slightly outperformed large cap and mid cap stocks. For the twelve months ended June 30, 2018, the S&P 500 returned 14.37%.

 

 
2       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Equity Focus Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      15.31%  
S&P 500 Index      14.37%  
Net Assets as of 6/30/2018 (In Thousands)    $ 253,370  

 

INVESTMENT OBJECTIVE**

The JPMorgan Equity Focus Fund (the “Fund”) seeks long term capital appreciation.

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

The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the financial services sector and its security selection and underweight position in the health care sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and materials & processing sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Kohl’s Corp., T. Rowe Price Group Inc. and Mastercard Inc. Shares of Kohl’s, an apparel retailer, rose amid better-than-expected sales and earnings. Shares of T. Rowe Price Group, a financial services provider, rose amid consecutive quarters of better-than-expected earnings during the reporting period. Shares of Mastercard, a credit card and payments transfer service, rose amid increased revenue from growth in consumer spending.

Leading individual detractors from relative performance included the Fund’s overweight positions in Dish Network Corp., American International Group Inc. and Walgreens Boots Alliance Inc. Shares of Dish Network, a subscription TV service, fell after the company reported a drop in earnings and subscriptions. Shares of American International Group, a property and casualty insurer, fell after the company reported lower-than-expected earnings in the first quarter of 2018 due to the impact of winter storms across the U.S. and mudslides in California. Shares of Walgreens Boots Alliance, a retail and wholesale pharmacy chain, fell amid investor concerns that its wholesale pharmacy business would lose market share to Amazon.com Inc.

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 were in the financial services and technology sectors and the Fund’s smallest positions were in the utilities and consumer staples sectors.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Amazon.com, Inc.

      5.1 % 
  2.     

Alphabet, Inc., Class C

      4.9  
  3.     

Apple, Inc.

      4.4  
  4.     

Mastercard, Inc., Class A

      4.0  
  5.     

UnitedHealth Group, Inc.

      3.9  
  6.     

AutoZone, Inc.

      3.6  
  7.     

Kinder Morgan, Inc.

      3.4  
  8.     

American International Group, Inc.

      3.2  
  9.     

Ball Corp.

      3.1  
  10.     

Federal Realty Investment Trust

      3.1  

 

PORTFOLIO COMPOSITION BY SECTOR***

  

Information Technology

      24.6 % 

Financials

      19.2

Consumer Discretionary

      13.0

Health Care

      9.6

Industrials

      7.0

Energy

      6.6

Real Estate

      5.4

Materials

      4.6

Consumer Staples

      3.6

Utilities

      2.4

Short-Term Investments

      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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         3  

Table of Contents

JPMorgan Equity Focus Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		        1 YEAR        3 YEAR        5 YEAR        SINCE
INCEPTION		  

CLASS A SHARES

      July 29, 2011                      

With Sales Charge*

           8.99 %         10.00 %         12.09 %         12.53 % 

Without Sales Charge

           15.02          11.99          13.30          13.41  

CLASS C SHARES

      July 29, 2011                      

With CDSC**

           13.49          11.43          12.74          12.85  

Without CDSC

           14.49          11.43          12.74          12.85  

CLASS I SHARES

      July 29, 2011          15.31          12.27          13.59          13.69  

 

*   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.

LIFE OF FUND PERFORMANCE (7/29/11 TO 6/30/18)

 

 

LOGO

 

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

The Fund commenced operations on July 29, 2011.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Focus Fund, the S&P 500 Index, the Lipper Large-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index from July 29, 2011 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index

generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index are indexes based on the total returns of certain mutual funds within designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

Subsequent to the inception date of the Fund and through July 31, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

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

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

 

 

 
4       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Equity Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      10.22%  
Russell 1000 Value Index      6.77%  
Net Assets as of 6/30/2018 (In Thousands)    $ 17,254,495  

 

INVESTMENT OBJECTIVE**

The JPMorgan Equity Income Fund (the “Fund”) seeks capital appreciation and current income.

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

The Fund’s Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection and overweight position in the information technology sector and its security selection in the industrials sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the materials and consumer discretionary sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s underweight position in General Electric Co. and its overweight positions in Microsoft Corp. and CME Group Inc. Shares of General Electric, an industrial conglomerate not held in the Fund, fell amid the company’s restructuring efforts and in June 2018 the stock was removed from the Dow Jones Industrial Average after 111 consecutive years in the index. Shares of Microsoft, a computer software and hardware provider, rose on continued growth in earnings and revenue. Shares of CME Group, an operator of security and commodities exchanges, rose amid trading volume growth and investor demand for Bitcoin.

Leading individual detractors from relative performance included the Fund’s underweight positions in Intel Corp. and Cisco Systems Inc. and its overweight position in Comcast Corp. Shares of Intel, a semiconductor manufacturer not held in the Fund, rose amid gains in the broader semiconductor sector. Shares of Cisco Systems, a provider of computer networking products and services not held in the Fund, rose as its move to a subscription-based business led to better-than-expected earnings and revenue for the first quarter of 2018. Shares of Comcast, a cable TV service, fell during a bidding war with rival Walt Disney Co. for the entertainment assets of 21st Century Fox Inc.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers’ focus remained on stock selection, as they believed that quality companies trading at

attractive valuations have the greatest potential to outperform in the long term. As the Fund aimed to purchase stocks with above average dividend yields, the research process was designed to identify companies with predictable and durable business models deemed capable of generating sustainable free cash flow.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Bank of America Corp.

      3.0 % 
  2.     

Chevron Corp.

      2.9  
  3.     

Microsoft Corp.

      2.8  
  4.     

Apple, Inc.

      2.4  
  5.     

Occidental Petroleum Corp.

      2.4  
  6.     

ConocoPhillips

      2.3  
  7.     

Merck & Co., Inc.

      2.3  
  8.     

CME Group, Inc.

      2.3  
  9.     

BlackRock, Inc.

      2.2  
  10.     

Home Depot, Inc. (The)

      2.2  

 

PORTFOLIO COMPOSITION BY SECTOR***

  

Financials

      25.7 % 

Health Care

      12.7

Information Technology

      12.3

Industrials

      10.2

Energy

      9.5

Consumer Discretionary

      7.4

Consumer Staples

      6.7

Utilities

      3.9

Materials

      3.9

Real Estate

      2.8

Telecommunication Services

      1.4

Short-Term Investments

      3.5  

 

*   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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         5  

Table of Contents

JPMorgan Equity Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992               

With Sales Charge*

           4.15 %         9.64 %         9.43 % 

Without Sales Charge

           9.94          10.83          10.01  

CLASS C SHARES

    November 4, 1997               

With CDSC**

           8.35          10.26          9.45  

Without CDSC

           9.35          10.26          9.45  

CLASS I SHARES

    July 2, 1987        10.22          11.10          10.31  

CLASS R2 SHARES

    February 28, 2011        9.66          10.53          9.79  

CLASS R3 SHARES

    September 9, 2016        9.90          10.82          10.01  

CLASS R4 SHARES

    September 9, 2016        10.18          11.10          10.31  

CLASS R5 SHARES

    February 28, 2011        10.38          11.30          10.47  

CLASS R6 SHARES

    January 31, 2012        10.49          11.39          10.51  

 

*   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 (6/30/08 TO 6/30/18)

 

LOGO

 

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

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

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

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to February 28, 2011, Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 and Class I Shares.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Income Fund, the Russell 1000 Value Index and the Lipper Equity Income Funds Index from June 30, 2008 to June 30, 2018.

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.

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

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

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

 

 

 
6       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Growth and Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      12.04%  
Russell 1000 Value Index      6.77%  
Net Assets as of 6/30/2018 (In Thousands)    $ 610,763  

 

INVESTMENT OBJECTIVE**

The JPMorgan Growth and Income Fund (the “Fund”) seeks to provide capital growth over the long term and earn income from dividends.

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

The Fund’s Class A Shares, without a sales charge, outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection and overweight position in the information technology sector and its security selection in the energy sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the materials sector was the sole sector detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Macy’s Inc., T. Rowe Price Group Inc. and Microsoft Corp. Shares of Macy’s, a department store chains operator, rose after the company reported better-than-expected earnings and sales for the first quarter for 2018. Shares of T. Rowe Price Group, a financial services provider, rose amid consecutive quarters of better-than-expected earnings during the reporting period. Shares of Microsoft, a computer software and hardware provider, rose on continued growth in earnings and revenue.

Leading individual detractors from relative performance included the Fund’s overweight positions in Dish Network Co. and Invesco Ltd., and its underweight position in Intel Corp. Shares of Dish Network, a subscription TV service, fell after the company reported a drop in earnings and subscriptions. Shares of Invesco, and investment management company, fell after the company reported weak monthly growth in assets under management and lower-than-expected revenue for the first quarter of 2018. Shares of Intel, a semiconductor manufacturer not held in the Fund, rose amid gains in the broader semiconductor sector.

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 positions were in the financials and information technology sectors and its smallest positions were in the telecommunication services and materials sectors.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Bank of America Corp.      3.1 % 
  2.      Microsoft Corp.      2.8  
  3.      Home Depot, Inc. (The)      2.4  
  4.      Honeywell International, Inc.      2.2  
  5.      Merck & Co., Inc.      2.1  
  6.      Chevron Corp.      2.0  
  7.      BlackRock, Inc.      2.0  
  8.      Morgan Stanley      2.0  
  9.      Berkshire Hathaway, Inc., Class B      1.8  
  10.      Occidental Petroleum Corp.      1.8  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      28.2 % 
Health Care      13.6
Information Technology      11.2
Energy      10.9
Consumer Discretionary      9.1
Industrials      8.4
Consumer Staples      4.8
Real Estate      4.2
Utilities      2.5
Materials      1.4
Telecommunication Services      1.2
Short-Term Investments      4.5  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         7  

Table of Contents

JPMorgan Growth and Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
       INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      September 23, 1987               

With Sales Charge*

             6.15 %         10.20 %         8.59 % 

Without Sales Charge

             12.04          11.39          9.17  

CLASS C SHARES

      January 2, 1998               

With CDSC**

             10.48          10.83          8.63  

Without CDSC

             11.48          10.83          8.63  

CLASS I SHARES

      January 25, 1996        12.31          11.66          9.48  

CLASS R2 SHARES

      November 2, 2015        11.76          11.24          9.10  

CLASS R3 SHARES

      July 31, 2017        12.08          11.40          9.18  

CLASS R4 SHARES

      July 31, 2017        12.33          11.66          9.48  

CLASS R5 SHARES

      November 2, 2015        12.52          11.77          9.53  

CLASS R6 SHARES

      November 2, 2015        12.59          11.81          9.55  

 

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

TEN YEAR PERFORMANCE (6/30/08 TO 6/30/18)

LOGO

 

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

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

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

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth and Income Fund, the Russell 1000 Value Index, the Lipper Large-Cap Value Funds Index and the Lipper Large-Cap Core Funds

Index from June 30, 2008 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmarks, if applicable. The performance of the Lipper Large-Cap Value Funds Index and the 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 Value Funds Index and the Lipper Large-Cap Core Funds Index are indexes based on the total returns of certain mutual funds within designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
8       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Hedged Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      7.52%  
S&P 500 Index      14.37%  
Net Assets as of 6/30/2018 (In Thousands)    $ 2,428,392  

 

INVESTMENT OBJECTIVE**

The JPMorgan Hedged Equity Fund (the “Fund”) seeks to provide capital appreciation.

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

The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s options hedge allowed the Fund to generally perform as designed, delivering returns with less volatility than the Benchmark during the reporting period. The Fund captured 44% of the Benchmark’s total return with about 45% of the Benchmark’s volatility during the twelve month reporting period.

The Fund’s security selection in the telecommunications and financials sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the technology and energy sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s underweight positions in Boeing Co., Netflix.com Inc. and Mastercard Inc. Shares of Boeing, a commercial aircraft manufacturer, rose amid growth in new orders and continued earnings growth. Shares of Netflix, a provider of online entertainment, rose amid growth in subscriptions and revenue. Shares of Mastercard, a credit card and payments transfer service, rose amid increased revenue from growth in consumer spending.

Leading individual contributors to relative performance included the Fund’s overweight positions in Adobe Systems Inc., UnitedHealth Group Inc. and Union Pacific Corp. Shares of Adobe Systems, a software developer, rose after the company reported better-than-expected first quarter earnings and revenue. Shares of UnitedHealth Group, a health insurer, rose amid continued growth in earnings and revenue. Shares of Union Pacific, a railroad operator, rose after the company reported better-than-expected earnings and growth in revenue for the first quarter of 2018.

HOW WAS THE FUND POSITIONED?

The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call

options. The option overlay is known as a “Put/Spread Collar” strategy. The combination of the diversified portfolio of equity securities, downside protection from index put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments, while exposing the Fund to less risk than traditional long-only equity strategies.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Microsoft Corp.      4.0 % 
  2.      Apple, Inc.      3.7  
  3.      Amazon.com, Inc.      3.0  
  4.      Facebook, Inc., Class A      2.1  
  5.      Bank of America Corp.      1.8  
  6.      UnitedHealth Group, Inc.      1.8  
  7.      Alphabet, Inc., Class A      1.7  
  8.      Alphabet, Inc., Class C      1.6  
  9.      Visa, Inc., Class A      1.5  
  10.      Berkshire Hathaway, Inc., Class B      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      24.7 % 
Consumer Discretionary      14.3
Health Care      13.1
Financials      13.0
Industrials      9.5
Energy      6.0
Consumer Staples      5.8
Utilities      2.8
Materials      2.6
Real Estate      2.1
Put Options Purchased      1.4
Telecommunication Services      1.0
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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         9  

Table of Contents

JPMorgan Hedged Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
       INCEPTION DATE OF
CLASS		        1 YEAR        3 YEAR        SINCE
INCEPTION		  

CLASS A SHARES

        December 13, 2013                 

With Sales Charge*

             1.59 %         4.77 %         5.69 % 

Without Sales Charge

             7.22          6.66          6.95  

CLASS C SHARES

        December 13, 2013                 

With CDSC**

             5.73          6.15          6.42  

Without CDSC

             6.73          6.15          6.42  

CLASS I SHARES

       December 13, 2013          7.52          6.96          7.23  

CLASS R5 SHARES

        December 13, 2013          7.64          7.14          7.42  

CLASS R6 SHARES

        December 13, 2013          7.75          7.19          7.47  

 

*   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 6/30/18)

 

LOGO

 

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

The Fund commenced operations on December 13, 2013.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Hedged Equity Fund, the S&P 500 Index, the ICE BofAML 3-Month U.S. Treasury Bill Index (formerly 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, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and the ICE BofAML 3-Month U.S. Treasury Bill Index (formerly 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 incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The ICE BofAML 3-Month U.S. Treasury Bill Index (formerly 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 ICE BofAML 3-Month U.S. Treasury Bill Index (formerly BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index. The Lipper Alternative Long/Short Equity Funds Average is an average based on the total returns of all mutual funds within the Fund’s designated category as determined by Lipper, Inc.

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

Subsequent to the inception date of the Fund and through May 30, 2014, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.

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

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

 

 

 
10       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Large Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      28.77%  
Russell 1000 Growth Index      22.51%  
Net Assets as of 6/30/2018 (In Thousands)    $ 14,350,587  

 

INVESTMENT OBJECTIVE**

The JPMorgan Large Cap Growth Fund (the “Fund”) seeks long-term capital appreciation.

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

The Fund’s Class I Shares outperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s overweight position and security selection in the financial services sector and its security selection in the health care sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the producer durables and energy sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Netflix.com Inc., Mastercard Inc. and Nvidia Corp. Shares of Netflix, a provider of online entertainment, rose amid growth in subscriptions and revenue. Shares of Mastercard, a credit card and payments transfer service, rose amid increased revenue from growth in consumer spending. Shares of Nvidia, a maker of semiconductors and software, rose amid better-than-expected earnings and continued strong demand for its products in the gaming and data center businesses.

Leading individual detractors from relative performance included the Fund’s overweight positions in Ulta Beauty Inc. and Delta Air Lines Inc. and its underweight position in Microsoft Corp. Shares of Ulta Beauty, a retailer of cosmetics and other personal care products, fell after the company reported lower-than-expected earnings and weakness in quarterly sales. Shares of Delta Air Lines, an airline operator, fell along with the broader airlines sector amid investor expectations of rising fuel prices. Shares of Microsoft, a computer software and hardware provider, rose on growth in earnings and 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.      Amazon.com, Inc.      6.0 % 
  2.      Mastercard, Inc., Class A      5.3  
  3.      Alphabet, Inc., Class C      4.8  
  4.      Intuitive Surgical, Inc.      4.2  
  5.      Apple, Inc.      4.1  
  6.      Netflix, Inc.      3.5  
  7.      Home Depot, Inc. (The)      3.2  
  8.      Adobe Systems, Inc.      2.9  
  9.      Microsoft Corp.      2.9  
  10.      Charles Schwab Corp. (The)      2.6  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      46.9 % 
Consumer Discretionary      16.5
Health Care      13.5
Industrials      8.0
Financials      7.6
Consumer Staples      3.6
Materials      1.5
Real Estate      0.6  
Short-Term Investments      1.8  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         11  

Table of Contents

JPMorgan Large Cap Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

 
       INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      February 22, 1994               

With Sales Charge*

             21.73 %         15.96 %         10.86 % 

Without Sales Charge

             28.48          17.22          11.46  

CLASS C SHARES

      November 4, 1997               

With CDSC**

             26.83          16.63          10.89  

Without CDSC

             27.83          16.63          10.89  

CLASS I SHARES

      February 28, 1992        28.77          17.42          11.68  

CLASS R2 SHARES

      November 3, 2008        28.11          16.91          11.18  

CLASS R3 SHARES

      September 9, 2016        28.43          17.17          11.47  

CLASS R4 SHARES

      September 9, 2016        28.74          17.42          11.68  

CLASS R5 SHARES

     April 14, 2009        28.96          17.64          11.87  

CLASS R6 SHARES

      November 30, 2010        29.11          17.74          11.94  

 

*   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 (6/30/08 TO 6/30/18)

 

LOGO

 

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

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

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to April 14, 2009, Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 and Class I Shares.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Large Cap Growth Fund, the Russell 1000 Growth Index and the Lipper Large-Cap Growth Funds Index from June 30, 2008 to June 30, 2018. 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.

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

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

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

 

 

 
12       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Large Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      6.81%  
Russell 1000 Value Index      6.77%  
Net Assets as of 6/30/2018 (In Thousands)    $ 1,652,352  

 

INVESTMENT OBJECTIVE**

The JPMorgan Large Cap Value Fund (the “Fund”) seeks capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.

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

The Fund’s Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the energy sector and its security selection and overweight position in the auto & transportation sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the industrial cyclical sector and its underweight position and security selection in the semiconductors & hardware sector were leading detractors from relative performance.

Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in D.R. Horton Inc., Diamondback Energy Inc. and its underweight position in Exxon Mobil Corp. Shares of D.R. Horton, a home builder, rose on better-than-expected earnings and revenue for several consecutive quarters during the reporting period. Shares of Diamondback Energy, an oil and natural gas producer, rose early in the reporting period after the company reported better-than-expected earnings and raised its production forecast. Shares of Exxon Mobil, a petroleum and natural gas producer not held in the Fund, fell after the company reported lower-than-expected earnings for the first quarter of 2018.

Leading individual detractors from relative performance included the Fund’s overweight positions in Allergan PLC, Dish Network Corp. and CommScope Holding Co. Shares of Allergan, a drug maker, fell after a U.S. court ruled against a key patent claim and after news reports that the company would bid to acquire Shire PLC. Shares of Dish Network, a subscription TV service, fell after the company reported a drop in earnings and subscriptions. Shares of CommScope Holding, a maker of communications infrastructure and networking products, fell after the company reported a fourth-quarter loss due to acquisition costs and lower sales in its wireless and broadband businesses.

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.      Bank of America Corp.      3.8 % 
  2.      Cigna Corp.      3.1  
  3.      Lennar Corp., Class A      3.0  
  4.      Citigroup, Inc.      2.8  
  5.      Wells Fargo & Co.      2.4  
  6.      General Motors Co.      2.3  
  7.      Occidental Petroleum Corp.      2.2  
  8.      Pioneer Natural Resources Co.      2.1  
  9.      KeyCorp      2.1  
  10.      Broadcom, Inc.      2.0  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      28.0 % 
Consumer Discretionary      14.5
Health Care      13.3
Energy      13.1
Industrials      9.3
Information Technology      6.9
Materials      5.4
Consumer Staples      2.4
Real Estate      1.1
Others (each less than 1.0%)      0.7  
Short-Term Investments      5.3  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         13  

Table of Contents

JPMorgan Large Cap Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992               

With Sales Charge*

           0.91 %         11.06 %         9.01 % 

Without Sales Charge

           6.52          12.27          9.60  

CLASS C SHARES

    March 22, 1999               

With CDSC**

           5.01          11.69          9.05  

Without CDSC

           6.01          11.69          9.05  

CLASS I SHARES

    March 1, 1991        6.81          12.45          9.80  

CLASS R2 SHARES

    November 3, 2008        6.28          11.95          9.32  

CLASS R5 SHARES

    May 15, 2006        6.98          12.66          10.02  

CLASS R6 SHARES

    November 30, 2010        7.04          12.72          10.06  

 

*   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 (6/30/08 TO 6/30/18)

 

LOGO

 

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

Returns for Class R2 Shares prior to their inception date are based on the performance of Class I 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 Class I Shares of the JPMorgan Large Cap Value Fund, the Russell 1000 Value Index and the Lipper Large-Cap Value Funds Index from June 30, 2008 to June 30, 2018. 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.

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

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

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

 

 

 
14       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan U.S. Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)*      13.63%  
S&P 500 Index      14.37%  
Net Assets as of 6/30/2018 (In Thousands)    $ 15,058,097  

 

INVESTMENT OBJECTIVE**

The JPMorgan U.S. Equity Fund (the “Fund”) seeks to provide high total return from a portfolio of selected equity securities.

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

The Fund’s Class L Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the industrial cyclical and pharmaceutical/medical technology sector was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the energy and software & services sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight position in Walt Disney Co. and its underweight positions in Netflix.com Inc. and Boeing Co. Shares of Walt Disney, an entertainment and media company, fell amid a bidding war with rival Comcast Corp. for the entertainment assets of 21st Century Fox Inc. Shares of Netflix, a provider of online entertainment, rose amid growth in subscriptions and revenue. Shares of Boeing, a commercial aircraft manufacturer, rose amid growth in new orders and continued earnings growth.

Leading individual contributors to relative performance included the Fund’s overweight positions in UnitedHealth Group Inc., Northrop Grumman Corp. and EOG Resources Inc. Shares of UnitedHealth Group, a health insurer, rose amid continued growth in earnings and revenue. Shares of Northrop Grumman, an aerospace and defense company, rose after the company reported better-than-expected revenue growth for the first quarter of 2018 and raised its earnings forecast for the full year 2018. Shares of EOG Resources, an oil and natural gas exploration company, rose amid an increase in global energy prices during the reporting period.

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 overweight positions relative to the Benchmark for the twelve months ended June 30, 2018 were in the insurance and media sectors, while the Fund’s largest underweight positions were in the real estate investment trusts and financial sectors.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Microsoft Corp.      4.2 % 
  2.      Alphabet, Inc., Class A      3.7  
  3.      Amazon.com, Inc.      3.4  
  4.      Apple, Inc.      3.2  
  5.      UnitedHealth Group, Inc.      2.7  
  6.      Bank of America Corp.      2.7  
  7.      Pfizer, Inc.      2.2  
  8.      Visa, Inc., Class A      2.1  
  9.      Johnson & Johnson      2.0  
  10.      Citigroup, Inc.      1.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      27.3 % 
Health Care      15.1
Consumer Discretionary      13.9
Financials      13.4
Industrials      10.8
Energy      6.8
Consumer Staples      4.9
Utilities      2.7
Materials      1.9
Telecommunication Services      1.3
Real Estate      0.9  
Short-Term Investments      1.0  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         15  

Table of Contents

JPMorgan U.S. Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
       INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      September 10, 2001               

With Sales Charge*

             7.23 %         11.74 %         9.75 % 

Without Sales Charge

             13.20          12.95          10.34  

CLASS C SHARES

      September 10, 2001               

With CDSC**

             11.66          12.37          9.79  

Without CDSC

             12.66          12.37          9.79  

CLASS I SHARES

      September 10, 2001        13.44          13.15          10.57  

CLASS L SHARES

      September 17, 1993        13.63          13.31          10.73  

CLASS R2 SHARES

      November 3, 2008        12.88          12.66          10.07  

CLASS R3 SHARES

      September 9, 2016        13.18          12.94          10.33  

CLASS R4 SHARES

      September 9, 2016        13.48          13.16          10.57  

CLASS R5 SHARES

      May 15, 2006        13.66          13.37          10.78  

CLASS R6 SHARES

      November 30, 2010        13.75          13.44          10.84  

 

*   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 (6/30/08 TO 6/30/18)

 

LOGO

 

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

Returns for Class R2 Shares and Class R3 Shares prior to their inception dates 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 actual returns of Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.

Returns for Class 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.

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from June 30, 2008 to June 30, 2018. The

performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
16       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

(formerly known as JPMorgan Disciplined Equity Fund)

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)*      13.20%  
S&P 500 Index      14.37%  
Net Assets as of 6/30/2018 (In Thousands)    $ 6,737,090  

 

INVESTMENT OBJECTIVE**

The JPMorgan U.S. Research Enhanced Equity Fund (the “Fund”) seeks to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the Standard & Poor’s 500 Composite Stock Price Index (S&P 500 Index).

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

The Fund’s Class L Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the telecommunications and financials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and energy sectors was a leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s underweight positions in Boeing Co., Netflix.com Inc. and Mastercard Inc. Shares of Boeing, a commercial aircraft manufacturer, rose amid growth in new orders and continued earnings growth. Shares of Netflix, a provider of online entertainment, rose amid growth in subscriptions and revenue. Shares of Mastercard, a credit card and payments transfer service, rose amid increased revenue from growth in consumer spending.

Leading individual contributors to relative performance included the Fund’s overweight positions in Adobe Systems Inc., UnitedHealth Group Inc. and Union Pacific Corp. Shares of Adobe Systems, a software developer, rose after the company reported better-than-expected first quarter earnings and revenue. Shares of UnitedHealth Group, a health insurer, rose amid continued growth in earnings and revenue. Shares of Union Pacific, a railroad operator, rose after the company reported better-than-expected earnings and growth in revenue for the first quarter of 2018.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the principal source of poten-

tial excess return. The Fund’s portfolio managers sought investment opportunities in companies that they believed were attractive based on valuation and strong fundamentals.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Microsoft Corp.      4.1 % 
  2.      Apple, Inc.      3.8  
  3.      Amazon.com, Inc.      3.1  
  4.      Facebook, Inc., Class A      2.2  
  5.      Bank of America Corp.      1.9  
  6.      UnitedHealth Group, Inc.      1.8  
  7.      Alphabet, Inc., Class A      1.8  
  8.      Alphabet, Inc., Class C      1.7  
  9.      Visa, Inc., Class A      1.5  
  10.      Berkshire Hathaway, Inc., Class B      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      25.6 % 
Consumer Discretionary      14.8
Health Care      13.6
Financials      13.5
Industrials      9.8
Energy      6.2
Consumer Staples      6.0
Utilities      2.9
Materials      2.6
Real Estate      2.2
Telecommunication Services      1.1
Short-Term Investments      1.7  

 

*   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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         17  

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

(formerly known as JPMorgan Disciplined Equity Fund)

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
       INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      September 28, 2001               

With Sales Charge*

             6.98 %         10.74 %         9.35 % 

Without Sales Charge

             12.92        11.94        9.94

CLASS I SHARES

      September 10, 2001        13.19        12.22        10.22

CLASS L SHARES

      January 3, 1997        13.20        12.33        10.36

CLASS R6 SHARES

      March 24, 2003        13.28        12.44        10.47

 

*   Sales Charge for Class A Shares is 5.25%.

TEN YEAR PERFORMANCE (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Research Enhanced Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from June 30, 2008 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to

the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 

 
18       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Equity Focus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 96.0%

     

Airlines — 2.8%

 

   

Delta Air Lines, Inc.

     144        7,155  
    

 

 

  

Banks — 3.1%

     

Wells Fargo & Co.

     142        7,888  
    

 

 

  

Beverages — 1.8%

     

Molson Coors Brewing Co., Class B

     66        4,469  
    

 

 

  

Biotechnology — 1.4%

     

Vertex Pharmaceuticals, Inc.*

     21        3,583  
    

 

 

  

Capital Markets — 6.6%

     

Charles Schwab Corp. (The)

     108        5,498  

S&P Global, Inc.

     26        5,297  

T. Rowe Price Group, Inc.

     52        6,013  
    

 

 

  
       16,808  
    

 

 

  

Commercial Services & Supplies — 1.7%

     

Waste Connections, Inc.

     58        4,330  
    

 

 

  

Consumer Finance — 3.9%

     

Ally Financial, Inc.

     101        2,656  

Capital One Financial Corp.

     78        7,132  
    

 

 

  
       9,788  
    

 

 

  

Containers & Packaging — 4.6%

 

   

Ball Corp.

     224        7,967  

WestRock Co.

     65        3,695  
    

 

 

  
       11,662  
    

 

 

  

Electric Utilities — 2.4%

 

   

Xcel Energy, Inc.

     133        6,063  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 5.4%

 

   

Federal Realty Investment Trust

     63        7,913  

Public Storage

     25        5,684  
    

 

 

  
       13,597  
    

 

 

  

Food & Staples Retailing — 1.8%

 

   

Walgreens Boots Alliance, Inc.

     77        4,615  
    

 

 

  

Health Care Equipment & Supplies — 1.5%

 

   

Intuitive Surgical, Inc.*

     8        3,715  
    

 

 

  

Health Care Providers & Services — 4.6%

 

   

Acadia Healthcare Co., Inc.*

     44        1,817  

UnitedHealth Group, Inc.

     40        9,774  
    

 

 

  
       11,591  
    

 

 

  

Insurance — 5.6%

 

   

American International Group, Inc.

     152        8,060  

Loews Corp.

     127        6,122  
    

 

 

  
       14,182  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Internet & Direct Marketing Retail — 5.1%

 

   

Amazon.com, Inc.*

     8        12,918  
    

 

 

  

Internet Software & Services — 4.9%

 

   

Alphabet, Inc., Class C*

     11        12,350  
    

 

 

  

IT Services — 3.9%

 

   

Mastercard, Inc., Class A

     51        10,009  
    

 

 

  

Machinery — 2.4%

 

   

Parker-Hannifin Corp.

     16        2,553  

Stanley Black & Decker, Inc.

     27        3,568  
    

 

 

  
       6,121  
    

 

 

  

Media — 2.2%

     

DISH Network Corp., Class A*

     167        5,625  
    

 

 

  

Multiline Retail — 2.0%

     

Kohl’s Corp.

     71        5,143  
    

 

 

  

Oil, Gas & Consumable Fuels — 6.6%

     

Concho Resources, Inc.*

     32        4,426  

Kinder Morgan, Inc.

     482        8,522  

Marathon Petroleum Corp.

     55        3,873  
    

 

 

  
       16,821  
    

 

 

  

Pharmaceuticals — 2.2%

     

Pfizer, Inc.

     153        5,548  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.7%

 

   

Broadcom, Inc.

     22        5,265  

NVIDIA Corp.

     17        4,006  
    

 

 

  
       9,271  
    

 

 

  

Software — 7.8%

     

Electronic Arts, Inc.*

     31        4,360  

Microsoft Corp.

     71        6,989  

salesforce.com, Inc.*

     31        4,179  

ServiceNow, Inc.*

     24        4,134  
    

 

 

  
       19,662  
    

 

 

  

Specialty Retail — 3.6%

     

AutoZone, Inc.*

     14        9,114  
    

 

 

  

Technology Hardware, Storage & Peripherals — 4.4%

 

   

Apple, Inc.

     60        11,038  
    

 

 

  

Total Common Stocks
(Cost $194,322)

        243,066  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         19  

Table of Contents

JPMorgan Equity Focus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 4.0%

     

Investment Companies — 4.0%

     

JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 1.80% (a) (b)
(Cost $10,204)

     10,204        10,204  
    

 

 

  

Total Investments — 100.0%
(Cost $204,526)

        253,270  

Other Assets Less Liabilities — 0.0% (c)

        100  
    

 

 

  

NET ASSETS — 100.0%

      $ 253,370  
    

 

 

  

 

Percentages indicated are based on net assets.

(a)   Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of June 30, 2018.
(c)   Amount rounds to less than 0.05% of net assets.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		     

VALUE

($000)

  

Common Stocks — 96.6%

     

Aerospace & Defense — 1.4%

 

   

General Dynamics Corp.

     1,321        246,297  
    

 

 

  

Banks — 9.7%

     

Bank of America Corp.

     18,100        510,231  

BB&T Corp.

     3,565        179,821  

Cullen/Frost Bankers, Inc.

     996        107,849  

M&T Bank Corp.

     443        75,324  

PNC Financial Services Group, Inc. (The)

     2,709        365,985  

US Bancorp

     3,590        179,562  

Wells Fargo & Co.

     4,487        248,763  
    

 

 

  
       1,667,535  
    

 

 

  

Beverages — 2.7%

     

Coca-Cola Co. (The)

     3,004        131,739  

Dr Pepper Snapple Group, Inc.

     1,067        130,135  

Molson Coors Brewing Co., Class B

     1,208        82,212  

PepsiCo, Inc.

     1,169        127,243  
    

 

 

  
       471,329  
    

 

 

  

Biotechnology — 0.8%

     

Gilead Sciences, Inc.

     1,923        136,238  
    

 

 

  

Capital Markets — 6.8%

     

BlackRock, Inc.

     762        380,100  

CME Group, Inc.

     2,388        391,478  

Northern Trust Corp.

     1,332        137,043  

S&P Global, Inc.

     232        47,366  

T. Rowe Price Group, Inc.

     1,916        222,380  
    

 

 

  
       1,178,367  
    

 

 

  

Chemicals — 3.9%

     

Air Products & Chemicals, Inc.

     1,361        211,976  

DowDuPont, Inc.

     2,531        166,851  

PPG Industries, Inc.

     1,874        194,390  

RPM International, Inc.

     1,605        93,585  
    

 

 

  
       666,802  
    

 

 

  

Commercial Services & Supplies — 1.4%

     

Republic Services, Inc.

     3,557        243,188  
    

 

 

  

Consumer Finance — 1.5%

     

Capital One Financial Corp.

     1,526        140,194  

Discover Financial Services

     1,780        125,349  
    

 

 

  
       265,543  
    

 

 

  

Distributors — 1.0%

     

Genuine Parts Co.

     1,854        170,145  
    

 

 

  

Diversified Telecommunication Services — 1.4%

 

   

Verizon Communications, Inc.

     4,864        244,714  
    

 

 

  
INVESTMENTS   SHARES
(000)		     

VALUE

($000)

  
    

Electric Utilities — 2.2%

     

NextEra Energy, Inc.

     1,303        217,640  

Xcel Energy, Inc.

     3,380        154,413  
    

 

 

  
       372,053  
    

 

 

  

Energy Equipment & Services — 0.6%

     

Apergy Corp.*

     525        21,900  

Schlumberger Ltd.

     1,292        86,594  
    

 

 

  
       108,494  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.8%

 

   

Alexandria Real Estate Equities, Inc.

     347        43,776  

AvalonBay Communities, Inc.

     925        159,044  

Boston Properties, Inc.

     636        79,800  

Simon Property Group, Inc.

     856        145,720  

Vornado Realty Trust

     756        55,884  
    

 

 

  
       484,224  
    

 

 

  

Food Products — 1.6%

     

Kraft Heinz Co. (The)

     1,455        91,424  

Mondelez International, Inc., Class A

     4,383        179,717  
    

 

 

  
       271,141  
    

 

 

  

Health Care Equipment & Supplies — 2.9%

     

Abbott Laboratories

     1,963        119,705  

Becton Dickinson and Co.

     837        200,490  

Medtronic plc

     2,135        182,806  
    

 

 

  
       503,001  
    

 

 

  

Health Care Providers & Services — 0.8%

     

CVS Health Corp.

     2,108        135,670  
    

 

 

  

Hotels, Restaurants & Leisure — 2.0%

     

McDonald’s Corp.

     1,240        194,248  

Starbucks Corp.

     1,797        87,806  

Wyndham Destinations, Inc.

     484        21,420  

Wyndham Hotels & Resorts, Inc.

     809        47,578  
    

 

 

  
       351,052  
    

 

 

  

Industrial Conglomerates — 1.6%

     

3M Co.

     560        110,258  

Honeywell International, Inc.

     1,127        162,305  
    

 

 

  
       272,563  
    

 

 

  

Insurance — 7.7%

     

Arthur J Gallagher & Co.

     1,620        105,724  

Chubb Ltd.

     1,168        148,420  

Cincinnati Financial Corp.

     975        65,218  

Hartford Financial Services Group, Inc. (The)

     4,908        250,937  

MetLife, Inc.

     4,227        184,310  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         21  

Table of Contents

JPMorgan Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		     

VALUE

($000)

  

Common Stocks — continued

     

Insurance — continued

     

Progressive Corp. (The)

     1,291        76,383  

Prudential Financial, Inc.

     2,046        191,358  

Travelers Cos., Inc. (The)

     2,470        302,220  
    

 

 

  
       1,324,570  
    

 

 

  

IT Services — 2.3%

     

Accenture plc, Class A

     570        93,269  

Automatic Data Processing, Inc.

     833        111,792  

Fidelity National Information Services, Inc.

     1,808        191,667  
    

 

 

  
       396,728  
    

 

 

  

Leisure Products — 0.5%

     

Hasbro, Inc.

     869        80,221  
    

 

 

  

Machinery — 4.0%

     

Dover Corp.

     3,073        224,908  

Illinois Tool Works, Inc.

     1,894        262,351  

Snap-on, Inc.

     217        34,926  

Stanley Black & Decker, Inc.

     1,241        164,869  
    

 

 

  
       687,054  
    

 

 

  

Media — 1.1%

 

Comcast Corp., Class A

     5,580        183,092  
    

 

 

  

Multiline Retail — 0.4%

     

Target Corp.

     894        68,073  
    

 

 

  

Multi-Utilities — 1.8%

     

CMS Energy Corp.

     2,803        132,543  

DTE Energy Co.

     261        27,026  

NiSource, Inc.

     3,563        93,624  

Public Service Enterprise Group, Inc.

     1,027        55,618  
    

 

 

  
       308,811  
    

 

 

  

Oil, Gas & Consumable Fuels — 8.9%

     

Chevron Corp.

     3,941        498,232  

ConocoPhillips

     5,665        394,431  

Exxon Mobil Corp.

     1,795        148,486  

Occidental Petroleum Corp.

     4,852        406,020  

Valero Energy Corp.

     776        86,015  
    

 

 

  
       1,533,184  
    

 

 

  

Pharmaceuticals — 8.2%

     

Bristol-Myers Squibb Co.

     3,378        186,920  

Eli Lilly & Co.

     2,735        233,375  

Johnson & Johnson

     2,699        327,465  

Merck & Co., Inc.

     6,455        391,841  

Pfizer, Inc.

     7,469        270,969  
    

 

 

  
       1,410,570  
    

 

 

  
INVESTMENTS   SHARES
(000)		     

VALUE

($000)

  
    

Road & Rail — 1.8%

     

Norfolk Southern Corp.

     976        147,213  

Union Pacific Corp.

     1,135        160,814  
    

 

 

  
       308,027  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.7%

 

   

Analog Devices, Inc.

     2,863        274,666  

KLA-Tencor Corp.

     1,075        110,266  

QUALCOMM, Inc.

     1,210        67,910  

Texas Instruments, Inc.

     3,326        366,721  
    

 

 

  
       819,563  
    

 

 

  

Software — 2.8%

     

Microsoft Corp.

     4,975        490,545  
    

 

 

  

Specialty Retail — 2.2%

     

Home Depot, Inc. (The)

     1,923        375,129  
    

 

 

  

Technology Hardware, Storage & Peripherals — 2.4%

 

   

Apple, Inc.

     2,280        422,034  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.3%

     

VF Corp.

     671        54,707  
    

 

 

  

Tobacco — 2.4%

     

Altria Group, Inc.

     4,141        235,177  

Philip Morris International, Inc.

     2,175        175,587  
    

 

 

  
       410,764  
    

 

 

  

Total Common Stocks
(Cost $12,274,772)

        16,661,428  
    

 

 

  

Short-Term Investments — 3.5%

 

Investment Companies — 3.5%

 

   

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $608,619)

     608,619        608,619  
    

 

 

  

Total Investments — 100.1%
(Cost $12,883,391)

        17,270,047  

Liabilities in Excess of
Other Assets — (0.1%)

        (15,552 ) 
    

 

 

  

NET ASSETS — 100.0%

      $ 17,254,495  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of June 30, 2018.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Growth and Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		     

VALUE

($000)

  

Common Stocks — 96.1%

     

Aerospace & Defense — 1.6%

 

   

General Dynamics Corp.

     27        5,108  

United Technologies Corp.

     36        4,513  
    

 

 

  
       9,621  
    

 

 

  

Banks — 11.5%

     

Bank of America Corp.

     679        19,130  

BB&T Corp.

     121        6,088  

Citigroup, Inc.

     90        6,013  

Cullen/Frost Bankers, Inc.

     36        3,886  

M&T Bank Corp.

     37        6,245  

PNC Financial Services Group, Inc. (The)

     62        8,376  

SunTrust Banks, Inc.

     114        7,513  

US Bancorp

     125        6,233  

Wells Fargo & Co.

     128        7,107  
    

 

 

  
       70,591  
    

 

 

  

Beverages — 1.9%

     

Dr Pepper Snapple Group, Inc.

     34        4,136  

Molson Coors Brewing Co., Class B

     113        7,709  
    

 

 

  
       11,845  
    

 

 

  

Biotechnology — 1.0%

     

Gilead Sciences, Inc.

     84        5,979  
    

 

 

  

Capital Markets — 8.3%

     

BlackRock, Inc.

     25        12,326  

Charles Schwab Corp. (The)

     69        3,500  

Goldman Sachs Group, Inc. (The)

     31        6,860  

Invesco Ltd.

     197        5,238  

Morgan Stanley

     255        12,096  

T. Rowe Price Group, Inc.

     91        10,576  
    

 

 

  
       50,596  
    

 

 

  

Chemicals — 1.4%

     

Air Products & Chemicals, Inc.

     19        2,912  

DowDuPont, Inc.

     82        5,392  
    

 

 

  
       8,304  
    

 

 

  

Consumer Finance — 2.2%

     

Capital One Financial Corp.

     72        6,617  

Discover Financial Services

     98        6,893  
    

 

 

  
       13,510  
    

 

 

  

Distributors — 0.7%

     

Genuine Parts Co.

     45        4,121  
    

 

 

  

Diversified Financial Services — 1.8%

     

Berkshire Hathaway, Inc., Class B*

     60        11,143  
    

 

 

  

Diversified Telecommunication Services — 1.2%

     

Verizon Communications, Inc.

     148        7,427  
    

 

 

  
INVESTMENTS   SHARES
(000)		     

VALUE

($000)

  
    

Electric Utilities — 1.2%

     

NextEra Energy, Inc.

     24        3,942  

Xcel Energy, Inc.

     77        3,508  
    

 

 

  
       7,450  
    

 

 

  

Energy Equipment & Services — 0.2%

     

Apergy Corp.*

     24        1,019  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 4.2%

 

   

AvalonBay Communities, Inc.

     20        3,438  

Crown Castle International Corp.

     44        4,722  

Macerich Co. (The)

     56        3,200  

Simon Property Group, Inc.

     28        4,799  

Ventas, Inc.

     79        4,488  

Vornado Realty Trust

     69        5,130  
    

 

 

  
       25,777  
    

 

 

  

Food Products — 0.4%

     

Mondelez International, Inc., Class A

     62        2,558  
    

 

 

  

Health Care Equipment & Supplies — 1.7%

     

Becton Dickinson and Co.

     25        6,085  

Medtronic plc

     50        4,263  
    

 

 

  
       10,348  
    

 

 

  

Health Care Providers & Services — 4.7%

     

Aetna, Inc.

     35        6,331  

AmerisourceBergen Corp.

     69        5,918  

CVS Health Corp.

     85        5,444  

Humana, Inc.

     15        4,554  

UnitedHealth Group, Inc.

     27        6,501  
    

 

 

  
       28,748  
    

 

 

  

Hotels, Restaurants & Leisure — 0.6%

     

Royal Caribbean Cruises Ltd.

     35        3,585  
    

 

 

  

Household Products — 0.9%

     

Colgate-Palmolive Co.

     85        5,489  
    

 

 

  

Industrial Conglomerates — 3.5%

     

3M Co.

     41        7,967  

Honeywell International, Inc.

     92        13,224  
    

 

 

  
       21,191  
    

 

 

  

Insurance — 4.5%

     

Chubb Ltd.

     51        6,499  

Hartford Financial Services Group, Inc. (The)

     195        9,945  

Loews Corp.

     56        2,704  

MetLife, Inc.

     82        3,575  

Prudential Financial, Inc.

     53        4,956  
    

 

 

  
       27,679  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         23  

Table of Contents

JPMorgan Growth and Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		     

VALUE

($000)

  

Common Stocks — continued

     

Internet Software & Services — 1.2%

     

Alphabet, Inc., Class C*

     7        7,273  
    

 

 

  

IT Services — 0.9%

     

Fidelity National Information Services, Inc.

     51        5,386  
    

 

 

  

Machinery — 1.7%

     

Dover Corp.

     49        3,572  

Parker-Hannifin Corp.

     44        6,904  
    

 

 

  
       10,476  
    

 

 

  

Media — 2.0%

     

Comcast Corp., Class A

     73        2,398  

DISH Network Corp., Class A*

     128        4,316  

Walt Disney Co. (The)

     51        5,293  
    

 

 

  
       12,007  
    

 

 

  

Multiline Retail — 1.7%

     

Macy’s, Inc.

     152        5,693  

Target Corp.

     60        4,575  
    

 

 

  
       10,268  
    

 

 

  

Multi-Utilities — 1.3%

 

CMS Energy Corp.

     169        7,986  
    

 

 

  

Oil, Gas & Consumable Fuels — 10.8%

     

Chevron Corp.

     98        12,441  

ConocoPhillips

     143        9,961  

EOG Resources, Inc.

     47        5,879  

Exxon Mobil Corp.

     82        6,799  

Marathon Petroleum Corp.

     36        2,540  

Occidental Petroleum Corp.

     132        11,062  

Phillips 66

     43        4,852  

Pioneer Natural Resources Co.

     14        2,574  

Valero Energy Corp.

     50        5,575  

Williams Cos., Inc. (The)

     167        4,524  
    

 

 

  
       66,207  
    

 

 

  

Pharmaceuticals — 6.3%

     

Bristol-Myers Squibb Co.

     168        9,275  

Eli Lilly & Co.

     51        4,352  

Johnson & Johnson

     43        5,218  

Merck & Co., Inc.

     213        12,909  

Pfizer, Inc.

     184        6,686  
    

 

 

  
       38,440  
    

 

 

  

Road & Rail — 0.7%

     

CSX Corp.

     34        2,175  

Kansas City Southern

     19        2,055  
    

 

 

  
       4,230  
    

 

 

  
INVESTMENTS   SHARES
(000)		     

VALUE

($000)

  
    

Semiconductors & Semiconductor Equipment — 4.9%

 

   

Analog Devices, Inc.

     77        7,405  

Applied Materials, Inc.

     97        4,480  

Broadcom, Inc.

     18        4,295  

KLA-Tencor Corp.

     35        3,599  

Texas Instruments, Inc.

     92        10,121  
    

 

 

  
       29,900  
    

 

 

  

Software — 2.8%

     

Microsoft Corp.

     174        17,158  
    

 

 

  

Specialty Retail — 3.2%

     

AutoZone, Inc.*

     7        4,435  

Home Depot, Inc. (The)

     77        15,003  
    

 

 

  
       19,438  
    

 

 

  

Technology Hardware, Storage & Peripherals — 1.4%

 

   

Apple, Inc.

     48        8,885  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.1%

     

NIKE, Inc., Class B

     82        6,550  
    

 

 

  

Tobacco — 1.6%

     

Altria Group, Inc.

     84        4,754  

Philip Morris International, Inc.

     60        4,828  
    

 

 

  
       9,582  
    

 

 

  

Trading Companies & Distributors — 1.0%

     

Watsco, Inc.

     35        6,311  
    

 

 

  

Total Common Stocks
(Cost $386,992)

        587,078  
    

 

 

  

Short-Term Investments — 4.6%

 

Investment Companies — 4.6%

 

JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 1.80% (a) (b)
(Cost $27,866)

     27,866        27,866  
    

 

 

  

Total Investments — 100.7%
(Cost $414,858)

 

      614,944  

Liabilities in Excess of
Other Assets — (0.7%)

 

      (4,181 ) 
    

 

 

  

NET ASSETS — 100.0%

 

    $ 610,763  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of June 30, 2018.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — 98.7%

     

Aerospace & Defense — 2.1%

 

   

Boeing Co. (The)

     23        7,738  

General Dynamics Corp. (a)

     74        13,764  

Harris Corp.

     12        1,698  

Northrop Grumman Corp. (a)

     44        13,398  

United Technologies Corp. (a)

     114        14,312  
    

 

 

  
       50,910  
    

 

 

  

Airlines — 0.5%

     

Delta Air Lines, Inc.

     218        10,820  

United Continental Holdings, Inc.*

     26        1,781  
    

 

 

  
       12,601  
    

 

 

  

Auto Components — 0.3%

     

Aptiv plc

     52        4,743  

Delphi Technologies plc

     58        2,647  
    

 

 

  
       7,390  
    

 

 

  

Automobiles — 0.5%

     

Ford Motor Co.

     1,079        11,944  
    

 

 

  

Banks — 5.7%

     

Bank of America Corp. (a)

     1,649        46,479  

BB&T Corp.

     130        6,576  

Citigroup, Inc.

     487        32,572  

Fifth Third Bancorp

     55        1,571  

Huntington Bancshares, Inc.

     325        4,797  

KeyCorp

     360        7,035  

SunTrust Banks, Inc.

     127        8,408  

SVB Financial Group*

     5        1,559  

Wells Fargo & Co. (a)

     542        30,042  
    

 

 

  
       139,039  
    

 

 

  

Beverages — 2.7%

     

Coca-Cola Co. (The)

     353        15,486  

Constellation Brands, Inc., Class A

     28        6,072  

Molson Coors Brewing Co., Class B (a)

     230        15,664  

PepsiCo, Inc.

     257        27,970  
    

 

 

  
       65,192  
    

 

 

  

Biotechnology — 2.4%

     

AbbVie, Inc.

     112        10,342  

Alexion Pharmaceuticals, Inc.*

     23        2,876  

Amgen, Inc.

     38        7,090  

Biogen, Inc.*

     35        10,208  

Celgene Corp.*

     81        6,433  

Gilead Sciences, Inc.

     179        12,714  

Vertex Pharmaceuticals, Inc.*

     49        8,335  
    

 

 

  
       57,998  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Building Products — 0.7%

     

Allegion plc

     91        7,028  

Masco Corp.

     243        9,098  
    

 

 

  
       16,126  
    

 

 

  

Capital Markets — 3.2%

     

Bank of New York Mellon Corp. (The)

     145        7,812  

BlackRock, Inc.

     6        3,073  

Charles Schwab Corp. (The) (a)

     221        11,301  

CME Group, Inc.

     15        2,424  

Intercontinental Exchange, Inc.

     127        9,362  

Morgan Stanley (a)

     461        21,855  

State Street Corp. (a)

     199        18,559  

T. Rowe Price Group, Inc.

     29        3,413  
    

 

 

  
       77,799  
    

 

 

  

Chemicals — 2.0%

     

Celanese Corp., Series A

     52        5,728  

DowDuPont, Inc. (a)

     456        30,054  

Eastman Chemical Co.

     122        12,149  
    

 

 

  
       47,931  
    

 

 

  

Communications Equipment — 0.3%

     

Cisco Systems, Inc.

     150        6,435  

Motorola Solutions, Inc.

     11        1,241  
    

 

 

  
       7,676  
    

 

 

  

Consumer Finance — 0.8%

     

American Express Co.

     27        2,690  

Capital One Financial Corp.

     173        15,883  
    

 

 

  
       18,573  
    

 

 

  

Containers & Packaging — 0.4%

     

Crown Holdings, Inc.*

     79        3,516  

WestRock Co.

     110        6,294  
    

 

 

  
       9,810  
    

 

 

  

Diversified Consumer Services — 0.0% (b)

     

H&R Block, Inc.

     43        978  
    

 

 

  

Diversified Financial Services — 1.5%

     

Berkshire Hathaway, Inc., Class B* (a)

     185        34,567  

Voya Financial, Inc.

     25        1,181  
    

 

 

  
       35,748  
    

 

 

  

Diversified Telecommunication Services — 0.8%

     

AT&T, Inc.

     288        9,263  

Verizon Communications, Inc. (a)

     192        9,643  
    

 

 

  
       18,906  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         25  

Table of Contents

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

     

Electric Utilities — 2.2%

     

American Electric Power Co., Inc.

     101        6,968  

Exelon Corp.

     268        11,437  

NextEra Energy, Inc. (a)

     142        23,640  

PG&E Corp.

     51        2,189  

Xcel Energy, Inc.

     204        9,340  
    

 

 

  
       53,574  
    

 

 

  

Electrical Equipment — 0.6%

     

Eaton Corp. plc (a)

     194        14,475  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.2%

 

   

AvalonBay Communities, Inc.

     59        10,111  

Brixmor Property Group, Inc.

     59        1,022  

Digital Realty Trust, Inc.

     16        1,821  

Equinix, Inc.

     9        4,023  

Equity Residential

     134        8,557  

Federal Realty Investment Trust

     32        4,041  

Prologis, Inc.

     37        2,463  

Public Storage

     48        10,969  

Ventas, Inc.

     57        3,240  

Vornado Realty Trust

     99        7,284  
    

 

 

  
       53,531  
    

 

 

  

Food & Staples Retailing — 0.4%

 

Walgreens Boots Alliance, Inc.

     167        10,045  
    

 

 

  

Food Products — 0.9%

     

Mondelez International, Inc., Class A

     506        20,727  
    

 

 

  

Health Care Equipment & Supplies — 3.1%

     

Abbott Laboratories (a)

     207        12,640  

Becton Dickinson and Co.

     59        14,113  

Boston Scientific Corp.* (a)

     494        16,164  

Danaher Corp.

     63        6,186  

Intuitive Surgical, Inc.*

     9        4,133  

Medtronic plc

     139        11,917  

Zimmer Biomet Holdings, Inc.

     100        11,127  
    

 

 

  
       76,280  
    

 

 

  

Health Care Providers & Services — 2.9%

     

AmerisourceBergen Corp.

     53        4,544  

Cigna Corp.

     88        14,995  

CVS Health Corp.

     105        6,745  

UnitedHealth Group, Inc. (a)

     184        45,044  
    

 

 

  
       71,328  
    

 

 

  

Hotels, Restaurants & Leisure — 0.7%

     

Hilton Worldwide Holdings, Inc.

     107        8,499  

Royal Caribbean Cruises Ltd.

     24        2,488  

Yum! Brands, Inc.

     93        7,259  
    

 

 

  
       18,246  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Household Durables — 0.3%

     

Lennar Corp., Class A

     130        6,844  

Toll Brothers, Inc. (a)

     37        1,365  
    

 

 

  
       8,209  
    

 

 

  

Household Products — 0.7%

     

Colgate-Palmolive Co.

     90        5,858  

Procter & Gamble Co. (The)

     128        9,993  
    

 

 

  
       15,851  
    

 

 

  

Industrial Conglomerates — 1.1%

     

Honeywell International, Inc.

     184        26,438  
    

 

 

  

Insurance — 2.4%

     

American International Group, Inc.

     331        17,536  

Chubb Ltd.

     12        1,484  

Everest Re Group Ltd.

     10        2,202  

Hartford Financial Services Group, Inc. (The)

     187        9,579  

Lincoln National Corp.

     114        7,105  

Marsh & McLennan Cos., Inc.

     39        3,191  

MetLife, Inc. (a)

     247        10,748  

Principal Financial Group, Inc.

     27        1,430  

Prudential Financial, Inc.

     50        4,656  
    

 

 

  
       57,931  
    

 

 

  

Internet & Direct Marketing Retail — 3.7%

     

Amazon.com, Inc.* (a)

     44        75,237  

Booking Holdings, Inc.*

     2        5,041  

Expedia Group, Inc.

     23        2,815  

Netflix, Inc.*

     18        6,864  
    

 

 

  
       89,957  
    

 

 

  

Internet Software & Services — 5.7%

     

Alphabet, Inc., Class A* (a)

     38        43,432  

Alphabet, Inc., Class C* (a)

     37        41,499  

Facebook, Inc., Class A* (a)

     272        52,920  
    

 

 

  
       137,851  
    

 

 

  

IT Services — 3.9%

     

Accenture plc, Class A (a)

     107        17,439  

Alliance Data Systems Corp.

     14        3,351  

Fidelity National Information Services, Inc.

     123        12,995  

International Business Machines Corp.

     48        6,668  

Mastercard, Inc., Class A

     47        9,268  

PayPal Holdings, Inc.*

     57        4,721  

Visa, Inc., Class A (a)

     279        36,945  

Worldpay, Inc.*

     44        3,572  
    

 

 

  
       94,959  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

     

Life Sciences Tools & Services — 0.6%

     

Agilent Technologies, Inc.

     34        2,118  

Illumina, Inc.*

     16        4,422  

Thermo Fisher Scientific, Inc.

     41        8,498  
    

 

 

  
       15,038  
    

 

 

  

Machinery — 2.7%

     

Caterpillar, Inc.

     49        6,680  

Cummins, Inc.

     59        7,797  

Deere & Co.

     21        2,909  

Ingersoll-Rand plc (a)

     192        17,214  

PACCAR, Inc. (a)

     108        6,722  

Parker-Hannifin Corp. (a)

     14        2,228  

Snap-on, Inc.

     49        7,903  

Stanley Black & Decker, Inc.

     114        15,185  
    

 

 

  
       66,638  
    

 

 

  

Media — 3.9%

     

Charter Communications, Inc., Class A* (a)

     66        19,221  

Comcast Corp., Class A (a)

     875        28,704  

Discovery, Inc., Class A*

     51        1,394  

DISH Network Corp., Class A*

     137        4,614  

Sirius XM Holdings, Inc.

     587        3,975  

Twenty-First Century Fox, Inc., Class A

     278        13,826  

Walt Disney Co. (The)

     212        22,270  
    

 

 

  
       94,004  
    

 

 

  

Metals & Mining — 0.3%

     

Alcoa Corp.*

     25        1,152  

Freeport-McMoRan, Inc.

     206        3,552  

Newmont Mining Corp.

     50        1,894  
    

 

 

  
       6,598  
    

 

 

  

Multiline Retail — 0.9%

     

Dollar General Corp.

     100        9,845  

Dollar Tree, Inc.*

     136        11,526  
    

 

 

  
       21,371  
    

 

 

  

Multi-Utilities — 0.7%

     

Public Service Enterprise Group, Inc.

     220        11,918  

WEC Energy Group, Inc.

     72        4,635  
    

 

 

  
       16,553  
    

 

 

  

Oil, Gas & Consumable Fuels — 6.3%

     

Andeavor

     36        4,682  

Chevron Corp. (a)

     228        28,775  

Concho Resources, Inc.*

     60        8,301  

Diamondback Energy, Inc.

     78        10,244  

EOG Resources, Inc. (a)

     195        24,235  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Oil, Gas & Consumable Fuels — continued

     

EQT Corp.

     100        5,501  

Exxon Mobil Corp. (a)

     220        18,240  

Marathon Petroleum Corp.

     201        14,113  

Occidental Petroleum Corp.

     173        14,455  

ONEOK, Inc.

     69        4,787  

Pioneer Natural Resources Co. (a)

     99        18,789  
    

 

 

  
       152,122  
    

 

 

  

Personal Products — 0.4%

     

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

     63        9,032  
    

 

 

  

Pharmaceuticals — 4.6%

     

Allergan plc

     49        8,247  

Bristol-Myers Squibb Co.

     188        10,408  

Eli Lilly & Co.

     171        14,600  

Johnson & Johnson (a)

     219        26,584  

Merck & Co., Inc. (a)

     279        16,933  

Mylan NV*

     85        3,090  

Pfizer, Inc. (a)

     815        29,557  

Zoetis, Inc.

     14        1,179  
    

 

 

  
       110,598  
    

 

 

  

Road & Rail — 1.9%

     

Norfolk Southern Corp. (a)

     127        19,200  

Union Pacific Corp.

     196        27,829  
    

 

 

  
       47,029  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.3%

 

   

Analog Devices, Inc. (a)

     238        22,824  

Broadcom, Inc.

     82        19,898  

Intel Corp.

     100        4,950  

Microchip Technology, Inc.

     96        8,718  

Micron Technology, Inc.*

     64        3,361  

NVIDIA Corp. (a)

     97        22,971  

Texas Instruments, Inc. (a)

     208        22,892  
    

 

 

  
       105,614  
    

 

 

  

Software — 6.8%

     

Activision Blizzard, Inc.

     18        1,358  

Adobe Systems, Inc.*

     52        12,631  

Intuit, Inc.

     47        9,659  

Microsoft Corp. (a)

     1,016        100,219  

Oracle Corp. (a)

     282        12,446  

salesforce.com, Inc.*

     163        22,205  

Workday, Inc., Class A*

     45        5,510  
    

 

 

  
       164,028  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         27  

Table of Contents

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

     

Specialty Retail — 3.3%

     

AutoZone, Inc.*

     17        11,479  

Best Buy Co., Inc.

     99        7,418  

Home Depot, Inc. (The)

     157        30,542  

Lowe’s Cos., Inc.

     87        8,278  

O’Reilly Automotive, Inc.*

     36        9,758  

Ross Stores, Inc.

     112        9,482  

TJX Cos., Inc. (The)

     27        2,544  
    

 

 

  
       79,501  
    

 

 

  

Technology Hardware, Storage & Peripherals — 4.6%

 

   

Apple, Inc. (a)

     502        92,897  

Hewlett Packard Enterprise Co.

     637        9,301  

HP, Inc. (a)

     439        9,950  
    

 

 

  
       112,148  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.1%

     

NIKE, Inc., Class B

     189        15,075  

PVH Corp.

     70        10,469  

Ralph Lauren Corp.

     19        2,363  
    

 

 

  
       27,907  
    

 

 

  

Tobacco — 1.1%

     

Altria Group, Inc.

     97        5,512  

Philip Morris International, Inc.

     252        20,355  
    

 

 

  
       25,867  
    

 

 

  

Trading Companies & Distributors — 0.2%

     

Fastenal Co.

     99        4,757  

United Rentals, Inc.*

     7        980  
    

 

 

  
       5,737  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Wireless Telecommunication Services — 0.3%

 

   

T-Mobile US, Inc.*

     121        7,209  
    

 

 

  

Total Common Stocks
(Cost $2,189,916)

 

      2,395,017  
    

 

 

  
     NO. OF
CONTRACTS		          

Options Purchased — 1.4%

     

Put Options Purchased — 1.4%

     

Index Funds — 1.4%

     

S&P 500 Index
9/28/2018 at USD 2,585.00, European Style Notional Amount: 2,419,349 Counterparty: Exchange Traded*

     8,900        34,221  
    

 

 

  

Total Put Options Purchased

        34,221  
    

 

 

  

Total Options Purchased
(Cost $33,735)

        34,221  
    

 

 

  
    

SHARES

(000)

          

Short-Term Investments — 3.8%

     

Investment Companies — 3.8%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (c) (d)
(Cost $92,778)

     92,778        92,778  
    

 

 

  

Total Investments — 103.9%
(Cost $2,316,429)

 

      2,522,016  

Liabilities in Excess of
Other Assets — (3.9%)

 

      (93,624 ) 
    

 

 

  

NET ASSETS — 100.0%

 

    $ 2,428,392  
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		        EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

 

S&P 500 E-Mini Index        140          09/2018          USD          19,051          (3 ) 
                        

 

 

  
                           (3 ) 
                        

 

 

  

 

Written Call Options Contracts as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      COUNTERPARTY        NUMBER OF
CONTRACTS		        NOTIONAL
AMOUNT		        EXERCISE
PRICE		        EXPIRATION
DATE		        VALUE ($)  

S&P 500 Index

        Exchange Traded          4,450          USD 1,209,675          USD 2,805.00          9/28/2018          (12,594 ) 

S&P 500 Index

        Exchange Traded          4,450          USD 1,209,675          USD 2,810.00          9/28/2018          (11,703 ) 
                             

 

 

  
                 (24,297 ) 
                             

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
Written Put Options Contracts as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      COUNTERPARTY        NUMBER OF
CONTRACTS		        NOTIONAL
AMOUNT		        EXERCISE
PRICE		        EXPIRATION
DATE		        VALUE ($)  

S&P 500 Index

        Exchange Traded          8,900          USD 2,419,349          USD 2,180.00          9/28/2018          (6,631 ) 
                             

 

 

  

Total Written Options Contracts (Premiums Received $31,964)

 

        (30,928 ) 
                             

 

 

  

 

Abbreviations

 

USD   United States Dollar
(a)   All or a portion of the security is segregated for options written.
(b)   Amount rounds to less than 0.05% of net assets.
(c)   Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of June 30, 2018.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         29  

Table of Contents

JPMorgan Large Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — 98.1%

     

Aerospace & Defense — 3.2%

 

   

Boeing Co. (The)

     904        303,402  

Northrop Grumman Corp.

     491        151,019  
    

 

 

  
       454,421  
    

 

 

  

Airlines — 0.6%

     

Delta Air Lines, Inc.

     297        14,733  

Southwest Airlines Co.

     1,423        72,379  
    

 

 

  
       87,112  
    

 

 

  

Automobiles — 0.6%

     

Tesla, Inc.*

     265        90,710  
    

 

 

  

Banks — 0.8%

     

SVB Financial Group*

     376        108,516  
    

 

 

  

Beverages — 2.0%

     

Constellation Brands, Inc., Class A

     754        165,071  

Monster Beverage Corp.*

     2,110        120,929  
    

 

 

  
       286,000  
    

 

 

  

Biotechnology — 1.4%

     

Alnylam Pharmaceuticals, Inc.*

     427        42,055  

Regeneron Pharmaceuticals, Inc.*

     17        5,900  

Vertex Pharmaceuticals, Inc.*

     910        154,677  
    

 

 

  
       202,632  
    

 

 

  

Capital Markets — 6.8%

     

Charles Schwab Corp. (The)

     7,374        376,808  

Intercontinental Exchange, Inc.

     2,542        186,988  

Morgan Stanley

     2,315        109,707  

S&P Global, Inc.

     1,504        306,650  
    

 

 

  
       980,153  
    

 

 

  

Chemicals — 1.2%

     

Ecolab, Inc.

     412        57,802  

Sherwin-Williams Co. (The)

     287        116,850  
    

 

 

  
       174,652  
    

 

 

  

Construction Materials — 0.2%

     

Vulcan Materials Co.

     266        34,317  
    

 

 

  

Electrical Equipment — 0.6%

     

Rockwell Automation, Inc.

     523        86,988  
    

 

 

  

Electronic Equipment, Instruments & Components — 0.3%

 

Amphenol Corp., Class A

     547        47,654  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 0.6%

 

   

Equinix, Inc.

     211        90,728  
    

 

 

  

Health Care Equipment & Supplies — 8.9%

     

ABIOMED, Inc.*

     245        100,381  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Health Care Equipment & Supplies — continued

     

Becton Dickinson and Co.

     1,317        315,405  

Boston Scientific Corp.*

     5,640        184,418  

DexCom, Inc.*

     832        78,985  

Intuitive Surgical, Inc.*

     1,251        598,806  
    

 

 

  
       1,277,995  
    

 

 

  

Health Care Providers & Services — 2.5%

     

UnitedHealth Group, Inc.

     1,478        362,570  
    

 

 

  

Hotels, Restaurants & Leisure — 0.4%

     

Las Vegas Sands Corp.

     682        52,068  
    

 

 

  

Industrial Conglomerates — 2.4%

     

Honeywell International, Inc.

     875        126,015  

Roper Technologies, Inc.

     764        210,768  
    

 

 

  
       336,783  
    

 

 

  

Internet & Direct Marketing Retail — 10.5%

     

Amazon.com, Inc.*

     508        863,677  

Booking Holdings, Inc.*

     53        107,416  

Netflix, Inc.*

     1,267        495,746  

Wayfair, Inc., Class A*

     334        39,701  
    

 

 

  
       1,506,540  
    

 

 

  

Internet Software & Services — 10.2%

     

Alphabet, Inc., Class C*

     610        680,950  

Facebook, Inc., Class A*

     1,805        350,714  

GrubHub, Inc.*

     619        64,971  

Match Group, Inc.*

     1,141        44,198  

MercadoLibre, Inc. (Argentina)

     498        148,927  

Shopify, Inc., Class A (Canada)*

     506        73,879  

Twitter, Inc.*

     2,238        97,729  
    

 

 

  
       1,461,368  
    

 

 

  

IT Services — 12.0%

     

Mastercard, Inc., Class A

     3,843        755,148  

PayPal Holdings, Inc.*

     4,481        373,154  

Square, Inc., Class A*

     1,601        98,685  

Visa, Inc., Class A

     2,578        341,443  

Worldpay, Inc.*

     1,941        158,751  
    

 

 

  
       1,727,181  
    

 

 

  

Life Sciences Tools & Services — 0.7%

     

Illumina, Inc.*

     178        49,762  

Thermo Fisher Scientific, Inc.

     229        47,365  
    

 

 

  
       97,127  
    

 

 

  

Personal Products — 1.6%

     

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

     1,637        233,555  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

     

Professional Services — 0.5%

     

CoStar Group, Inc.*

     174        71,715  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.7%

 

   

Applied Materials, Inc.

     3,471        160,308  

Broadcom, Inc.

     848        205,680  

NVIDIA Corp.

     1,322        313,245  
    

 

 

  
       679,233  
    

 

 

  

Software — 15.5%

     

Activision Blizzard, Inc.

     4,668        356,285  

Adobe Systems, Inc.*

     1,727        421,011  

Atlassian Corp. plc, Class A*

     841        52,604  

Electronic Arts, Inc.*

     2,055        289,778  

Microsoft Corp.

     4,243        418,373  

salesforce.com, Inc.*

     2,302        313,966  

ServiceNow, Inc.*

     2,123        366,197  
    

 

 

  
       2,218,214  
    

 

 

  

Specialty Retail — 4.3%

 

Home Depot, Inc. (The)

     2,353        459,059  

Ross Stores, Inc.

     1,864        157,980  
    

 

 

  
       617,039  
    

 

 

  

Technology Hardware, Storage & Peripherals — 4.1%

 

   

Apple, Inc.

     3,172        587,246  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.7%

     

Lululemon Athletica, Inc.*

     746        93,113  
    

 

 

  

Trading Companies & Distributors — 0.8%

     

United Rentals, Inc.*

     764        112,789  
    

 

 

  

Total Common Stocks
(Cost $6,976,089)

 

      14,078,419  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Short-Term Investments — 1.8%

     

Investment Companies — 1.8%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $255,806)

     255,806        255,806  
    

 

 

  

Total Investments — 99.9%
(Cost $7,231,895)

 

      14,334,225  

Other Assets Less Liabilities — 0.1%

 

      16,362  
    

 

 

  

NET ASSETS — 100.0%

 

    $ 14,350,587  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of June 30, 2018.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         31  

Table of Contents

JPMorgan Large Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.9%

     

Aerospace & Defense — 0.4%

 

   

General Dynamics Corp.

     41        7,550  
    

 

 

  

Airlines — 3.2%

     

Delta Air Lines, Inc.

     589        29,154  

Southwest Airlines Co.

     326        16,597  

United Continental Holdings, Inc.*

     94        6,579  
    

 

 

  
       52,330  
    

 

 

  

Auto Components — 1.0%

     

Adient plc

     111        5,436  

American Axle & Manufacturing Holdings, Inc.*

     733        11,405  
    

 

 

  
       16,841  
    

 

 

  

Automobiles — 4.0%

     

Ford Motor Co.

     2,493        27,600  

General Motors Co.

     988        38,923  
    

 

 

  
       66,523  
    

 

 

  

Banks — 14.5%

     

Bank of America Corp.

     2,324        65,516  

Citigroup, Inc.

     717        47,950  

Huntington Bancshares, Inc.

     787        11,622  

IBERIABANK Corp.

     82        6,246  

ING Groep NV, ADR (Netherlands)

     746        10,688  

KeyCorp

     1,813        35,430  

Signature Bank*

     80        10,282  

SunTrust Banks, Inc.

     172        11,322  

Wells Fargo & Co.

     741        41,080  
    

 

 

  
       240,136  
    

 

 

  

Biotechnology — 1.1%

     

Biogen, Inc.*

     28        8,214  

Gilead Sciences, Inc.

     132        9,358  
    

 

 

  
       17,572  
    

 

 

  

Capital Markets — 5.0%

     

Ameriprise Financial, Inc.

     30        4,140  

Bank of New York Mellon Corp. (The)

     215        11,568  

Goldman Sachs Group, Inc. (The)

     27        6,022  

Morgan Stanley

     710        33,673  

State Street Corp.

     303        28,178  
    

 

 

  
       83,581  
    

 

 

  

Chemicals — 4.1%

     

Celanese Corp., Series A

     150        16,681  

DowDuPont, Inc.

     294        19,350  

Eastman Chemical Co.

     280        27,999  

Mosaic Co. (The)

     149        4,166  
    

 

 

  
       68,196  
    

 

 

  
INVESTMENTS   SHARES
(000)		     VALUE
($000)		  
   

Consumer Finance — 1.0%

    

Capital One Financial Corp.

     177       16,230  
   

 

 

  

Containers & Packaging — 0.5%

    

Crown Holdings, Inc.*

     189       8,446  
   

 

 

  

Diversified Financial Services — 1.3%

    

Berkshire Hathaway, Inc., Class B*

     73       13,588  

Voya Financial, Inc.

     156       7,313  
   

 

 

  
      20,901  
   

 

 

  

Diversified Telecommunication Services — 0.0% (a)

 

  

AT&T, Inc.

     — (b)      — (b) 
   

 

 

  

Electric Utilities — 0.8%

    

American Electric Power Co., Inc.

     94       6,482  

Xcel Energy, Inc.

     141       6,450  
   

 

 

  
      12,932  
   

 

 

  

Electrical Equipment — 1.7%

    

Eaton Corp. plc

     387       28,887  
   

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.2%

 

  

Brixmor Property Group, Inc.

     323       5,625  

Iron Mountain, Inc.

     141       4,919  

Ventas, Inc.

     103       5,843  

Vornado Realty Trust

     49       3,600  
   

 

 

  
      19,987  
   

 

 

  

Food & Staples Retailing — 1.3%

    

Walgreens Boots Alliance, Inc.

     349       20,933  
   

 

 

  

Health Care Equipment & Supplies — 1.7%

    

Zimmer Biomet Holdings, Inc.

     254       28,306  
   

 

 

  

Health Care Providers & Services — 6.3%

    

AmerisourceBergen Corp.

     325       27,696  

Cigna Corp.

     311       52,872  

CVS Health Corp.

     358       23,037  
   

 

 

  
      103,605  
   

 

 

  

Hotels, Restaurants & Leisure — 0.6%

    

Caesars Entertainment Corp.*

     1,007       10,778  
   

 

 

  

Household Durables — 4.1%

    

Lennar Corp., Class A

     983       51,629  

Lennar Corp., Class B

     — (b)      9  

Mohawk Industries, Inc.*

     39       8,335  

Taylor Morrison Home Corp., Class A*

     343       7,125  
   

 

 

  
      67,098  
   

 

 

  

Insurance — 7.4%

    

American International Group, Inc.

     432       22,889  

Athene Holding Ltd., Class A*

     523       22,941  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Insurance — continued

     

Hartford Financial Services Group, Inc. (The)

     209        10,681  

Lincoln National Corp.

     351        21,850  

MetLife, Inc.

     296        12,924  

Principal Financial Group, Inc.

     194        10,246  

Prudential Financial, Inc.

     216        20,198  
    

 

 

  
       121,729  
    

 

 

  

Internet & Direct Marketing Retail — 0.7%

     

Expedia Group, Inc.

     91        10,985  
    

 

 

  

Internet Software & Services — 0.4%

 

Alphabet, Inc., Class A*

     5        6,098  
    

 

 

  

Machinery — 4.3%

     

Ingersoll-Rand plc

     247        22,163  

PACCAR, Inc.

     322        19,976  

Snap-on, Inc.

     59        9,467  

Stanley Black & Decker, Inc.

     151        20,001  
    

 

 

  
       71,607  
    

 

 

  

Media — 4.3%

     

Altice USA, Inc., Class A

     347        5,913  

Charter Communications, Inc., Class A*

     92        26,887  

Comcast Corp., Class A

     805        26,402  

DISH Network Corp., Class A*

     138        4,653  

Walt Disney Co. (The)

     67        6,970  
    

 

 

  
       70,825  
    

 

 

  

Metals & Mining — 1.0%

     

AK Steel Holding Corp.*

     2,004        8,699  

United States Steel Corp.

     230        7,978  
    

 

 

  
       16,677  
    

 

 

  

Oil, Gas & Consumable Fuels — 13.7%

     

Chevron Corp.

     215        27,132  

Concho Resources, Inc.*

     178        24,585  

Diamondback Energy, Inc.

     264        34,708  

EOG Resources, Inc.

     221        27,474  

EQT Corp.

     352        19,401  

Marathon Petroleum Corp.

     111        7,816  

Occidental Petroleum Corp.

     454        37,982  

Parsley Energy, Inc., Class A*

     346        10,462  

Pioneer Natural Resources Co.

     195        36,883  
    

 

 

  
       226,443  
    

 

 

  

Pharmaceuticals — 4.8%

     

Allergan plc

     71        11,771  

Johnson & Johnson

     138        16,684  

Merck & Co., Inc.

     355        21,524  

Pfizer, Inc.

     809        29,336  
    

 

 

  
       79,315  
    

 

 

  
INVESTMENTS   SHARES
(000)		     VALUE
($000)		  
   

Semiconductors & Semiconductor Equipment — 4.7%

 

  

Analog Devices, Inc.

     192       18,445  

Broadcom, Inc.

     143       34,770  

Microchip Technology, Inc.

     191       17,408  

Teradyne, Inc.

     137       5,231  

Universal Display Corp.

     31       2,649  
   

 

 

  
      78,503  
   

 

 

  

Software — 2.1%

    

Microsoft Corp.

     67       6,577  

Oracle Corp.

     628       27,652  
   

 

 

  
      34,229  
   

 

 

  

Specialty Retail — 0.4%

    

AutoZone, Inc.*

     10       6,642  
   

 

 

  

Tobacco — 1.3%

    

Philip Morris International, Inc.

     260       21,017  
   

 

 

  

Total Common Stocks
(Cost $1,555,196)

 

     1,634,902  
   

 

 

  
    

NO. OF
WARRANTS

(000)

         

WARRANTS — 0.0% (a)

    

Consumer Finance — 0.0% (a)

    

Emergent Capital, Inc.

    

expiring 10/1/2019, price 10.75*‡
(Cost $—)

     36       — (b) 
   

 

 

  
     SHARES
(000)		         

Short-term Investments — 5.5%

    

Investment Companies — 5.5%

    

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (c) (d)
(Cost $90,740)

     90,740       90,740  
   

 

 

  

Total Investments — 104.4%
(Cost $1,645,936)

 

     1,725,642  

Liabilities in Excess of
Other Assets — (4.4%)

 

     (73,290 ) 
   

 

 

  

NET ASSETS — 100.0%

 

   $ 1,652,352  
   

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

 

ADR   American Depositary Receipt
(a)   Amount rounds to less than 0.05% of net assets.
(b)   Amount rounds to less than one thousand.
(c)   Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of June 30, 2018.
*   Non-income producing security.
‡   Value determined using significant unobservable inputs.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         33  

Table of Contents

JPMorgan U.S. Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — 98.9%

 

Aerospace & Defense — 3.7%

 

Boeing Co. (The)

     546        183,261  

General Dynamics Corp.

     969        180,608  

L3 Technologies, Inc.

     235        45,152  

Northrop Grumman Corp.

     461        141,713  
    

 

 

  
       550,734  
    

 

 

  

Airlines — 0.2%

     

Delta Air Lines, Inc.

     666        32,971  
    

 

 

  

Auto Components — 0.2%

     

Aptiv plc

     146        13,373  

Delphi Technologies plc

     310        14,074  
    

 

 

  
       27,447  
    

 

 

  

Automobiles — 0.1%

     

Ford Motor Co.

     2,124        23,517  
    

 

 

  

Banks — 6.7%

     

Bank of America Corp.

     14,166        399,336  

Citigroup, Inc.

     4,244        283,983  

East West Bancorp, Inc.

     57        3,690  

First Republic Bank

     387        37,453  

Huntington Bancshares, Inc.

     4,033        59,528  

KeyCorp

     548        10,708  

SunTrust Banks, Inc.

     964        63,661  

SVB Financial Group*

     81        23,320  

Wells Fargo & Co.

     1,406        77,958  

Zions Bancorp

     894        47,126  
    

 

 

  
       1,006,763  
    

 

 

  

Beverages — 3.3%

     

Coca-Cola Co. (The)

     5,322        233,410  

Molson Coors Brewing Co., Class B

     353        24,036  

PepsiCo, Inc.

     2,145        233,498  
    

 

 

  
       490,944  
    

 

 

  

Biotechnology — 1.8%

     

Alexion Pharmaceuticals, Inc.*

     25        3,134  

Biogen, Inc.*

     377        109,343  

Celgene Corp.*

     45        3,583  

Gilead Sciences, Inc.

     460        32,558  

Incyte Corp.*

     325        21,804  

Vertex Pharmaceuticals, Inc.*

     617        104,834  
    

 

 

  
       275,256  
    

 

 

  

Building Products — 0.3%

     

Allegion plc

     341        26,348  

Masco Corp.

     394        14,733  
    

 

 

  
       41,081  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Capital Markets — 2.6%

     

Bank of New York Mellon Corp. (The)

     1,776        95,794  

Charles Schwab Corp. (The)

     463        23,650  

Goldman Sachs Group, Inc. (The)

     41        9,137  

Intercontinental Exchange, Inc.

     446        32,811  

Morgan Stanley

     4,863        230,510  

S&P Global, Inc.

     29        5,948  
    

 

 

  
       397,850  
    

 

 

  

Chemicals — 0.6%

     

DowDuPont, Inc.

     1,140        75,151  

Eastman Chemical Co.

     129        12,937  
    

 

 

  
       88,088  
    

 

 

  

Commercial Services & Supplies — 0.1%

     

Waste Management, Inc.

     107        8,701  
    

 

 

  

Consumer Finance — 0.3%

     

Capital One Financial Corp.

     511        46,952  
    

 

 

  

Containers & Packaging — 1.3%

     

Crown Holdings, Inc.*

     2,114        94,617  

WestRock Co.

     1,708        97,391  
    

 

 

  
       192,008  
    

 

 

  

Diversified Financial Services — 0.2%

     

Berkshire Hathaway, Inc., Class B*

     62        11,554  

Voya Financial, Inc.

     449        21,108  
    

 

 

  
       32,662  
    

 

 

  

Diversified Telecommunication Services — 1.0%

 

   

Verizon Communications, Inc.

     2,918        146,795  
    

 

 

  

Electric Utilities — 2.2%

     

American Electric Power Co., Inc.

     270        18,672  

NextEra Energy, Inc.

     1,105        184,605  

Xcel Energy, Inc.

     2,793        127,596  
    

 

 

  
       330,873  
    

 

 

  

Electrical Equipment — 1.2%

     

Eaton Corp. plc

     2,392        178,742  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 0.9%

 

   

AvalonBay Communities, Inc.

     356        61,134  

Ventas, Inc.

     955        54,359  

Vornado Realty Trust

     369        27,268  
    

 

 

  
       142,761  
    

 

 

  

Food Products — 1.3%

     

Mondelez International, Inc., Class A

     4,672        191,557  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

 

Health Care Equipment & Supplies — 2.4%

     

Becton Dickinson and Co.

     121        29,054  

Boston Scientific Corp.*

     3,856        126,092  

Danaher Corp.

     88        8,671  

Medtronic plc

     1,769        151,455  

Zimmer Biomet Holdings, Inc.

     389        43,387  
    

 

 

  
       358,659  
    

 

 

  

Health Care Providers & Services — 4.8%

     

Aetna, Inc.

     481        88,283  

AmerisourceBergen Corp.

     185        15,806  

Cigna Corp.

     255        43,403  

CVS Health Corp.

     2,611        168,021  

UnitedHealth Group, Inc.

     1,640        402,383  
    

 

 

  
       717,896  
    

 

 

  

Hotels, Restaurants & Leisure — 0.2%

     

Hilton Worldwide Holdings, Inc.

     81        6,377  

Yum! Brands, Inc.

     244        19,109  
    

 

 

  
       25,486  
    

 

 

  

Household Durables — 1.0%

     

DR Horton, Inc.

     1,497        61,360  

Lennar Corp., Class A

     1,606        84,311  
    

 

 

  
       145,671  
    

 

 

  

Industrial Conglomerates — 0.4%

 

Honeywell International, Inc.

     466        67,182  
    

 

 

  

Insurance — 3.5%

     

American International Group, Inc.

     3,280        173,906  

Brighthouse Financial, Inc.*

     482        19,304  

Hartford Financial Services Group, Inc. (The)

     2,696        137,852  

Lincoln National Corp.

     944        58,765  

Principal Financial Group, Inc.

     1,193        63,165  

Prudential Financial, Inc.

     779        72,818  
    

 

 

  
       525,810  
    

 

 

  

Internet & Direct Marketing Retail — 3.7%

     

Amazon.com, Inc.*

     298        507,057  

Expedia Group, Inc.

     161        19,322  

Netflix, Inc.*

     100        39,179  
    

 

 

  
       565,558  
    

 

 

  

Internet Software & Services — 6.2%

     

Alphabet, Inc., Class A*

     487        550,292  

Alphabet, Inc., Class C*

     163        181,503  

Facebook, Inc., Class A*

     1,030        200,097  
    

 

 

  
       931,892  
    

 

 

  
INVESTMENTS  

SHARES

(000)

    

VALUE

($000)

  
   

IT Services — 4.7%

    

Accenture plc, Class A

     1,078       176,286  

Alliance Data Systems Corp.

     319       74,432  

Fidelity National Information Services, Inc.

     123       13,033  

Mastercard, Inc., Class A

     100       19,566  

PayPal Holdings, Inc.*

     1,050       87,433  

Visa, Inc., Class A

     2,420       320,466  

WEX, Inc.*

     52       9,952  

Worldpay, Inc.*

     58       4,764  
   

 

 

  
      705,932  
   

 

 

  

Life Sciences Tools & Services — 0.4%

    

Agilent Technologies, Inc.

     — (a)      6  

Thermo Fisher Scientific, Inc.

     288       59,667  
   

 

 

  
      59,673  
   

 

 

  

Machinery — 1.6%

    

Caterpillar, Inc.

     1,264       171,499  

Deere & Co.

     121       16,925  

Parker-Hannifin Corp.

     61       9,471  

Stanley Black & Decker, Inc.

     346       45,999  
   

 

 

  
      243,894  
   

 

 

  

Media — 3.8%

    

Charter Communications, Inc., Class A*

     531       155,796  

Comcast Corp., Class A

     1,018       33,385  

Discovery, Inc., Class A*

     1,493       41,071  

DISH Network Corp., Class A*

     1,603       53,862  

Twenty-First Century Fox, Inc., Class A

     125       6,221  

Walt Disney Co. (The)

     2,698       282,748  
   

 

 

  
      573,083  
   

 

 

  

Multiline Retail — 0.6%

    

Dollar Tree, Inc.*

     1,118       95,052  
   

 

 

  

Multi-Utilities — 0.5%

    

Public Service Enterprise Group, Inc.

     1,330       72,013  
   

 

 

  

Oil, Gas & Consumable Fuels — 6.8%

    

Andeavor

     72       9,459  

Chevron Corp.

     64       8,065  

Diamondback Energy, Inc.

     969       127,490  

EOG Resources, Inc.

     2,063       256,659  

EQT Corp.

     467       25,776  

Marathon Petroleum Corp.

     1,361       95,472  

Occidental Petroleum Corp.

     2,415       202,050  

Parsley Energy, Inc., Class A*

     2,559       77,475  

Pioneer Natural Resources Co.

     1,198       226,785  
   

 

 

  
      1,029,231  
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         35  

Table of Contents

JPMorgan U.S. Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

 

Pharmaceuticals — 5.7%

     

Allergan plc

     58        9,614  

Bristol-Myers Squibb Co.

     445        24,605  

Eli Lilly & Co.

     520        44,358  

Johnson & Johnson

     2,481        301,015  

Merck & Co., Inc.

     1,896        115,104  

Mylan NV*

     108        3,890  

Nektar Therapeutics*

     419        20,475  

Pfizer, Inc.

     9,273        336,441  
    

 

 

  
       855,502  
    

 

 

  

Road & Rail — 2.8%

     

Norfolk Southern Corp.

     1,777        268,091  

Union Pacific Corp.

     1,038        147,049  
    

 

 

  
       415,140  
    

 

 

  

Semiconductors & Semiconductor Equipment — 6.8%

 

   

Analog Devices, Inc.

     1,760        168,834  

Broadcom, Inc.

     969        235,040  

Microchip Technology, Inc.

     1,161        105,619  

NVIDIA Corp.

     946        224,200  

Texas Instruments, Inc.

     2,413        266,002  

Universal Display Corp.

     254        21,876  
    

 

 

  
       1,021,571  
    

 

 

  

Software — 6.3%

     

Adobe Systems, Inc.*

     37        8,953  

Electronic Arts, Inc.*

     58        8,204  

Intuit, Inc.

     20        4,179  

Microsoft Corp.

     6,463        637,341  

Oracle Corp.

     1,020        44,954  

salesforce.com, Inc.*

     1,451        197,901  

Workday, Inc., Class A*

     352        42,627  
    

 

 

  
       944,159  
    

 

 

  

Specialty Retail — 3.3%

     

AutoZone, Inc.*

     234        157,014  

Home Depot, Inc. (The)

     689        134,504  

Lowe’s Cos., Inc.

     41        3,963  

O’Reilly Automotive, Inc.*

     478        130,652  

Ross Stores, Inc.

     852        72,168  
    

 

 

  
       498,301  
    

 

 

  

Technology Hardware, Storage & Peripherals — 3.3%

 

   

Apple, Inc.

     2,575        476,749  

Hewlett Packard Enterprise Co.

     1,491        21,778  
    

 

 

  
       498,527  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Textiles, Apparel & Luxury Goods — 0.9%

     

NIKE, Inc., Class B

     1,657        132,041  

PVH Corp.

     51        7,590  
    

 

 

  
       139,631  
    

 

 

  

Tobacco — 0.4%

     

Altria Group, Inc.

     244        13,875  

Philip Morris International, Inc.

     555        44,833  
    

 

 

  
       58,708  
    

 

 

  

Trading Companies & Distributors — 0.5%

     

Fastenal Co.

     1,714        82,501  
    

 

 

  

Wireless Telecommunication Services — 0.3%

 

T-Mobile US, Inc.*

     896        53,533  
    

 

 

  

Total Common Stocks
(Cost $10,906,091)

 

      14,890,307  
    

 

 

  
     NO. OF
WARRANTS
(000)		          

Warrants — 0.0% (b)

     

Consumer Finance — 0.0% (b)

     

Emergent Capital, Inc.
expiring 10/1/2019, price 10.75*‡
(Cost $ —)

     24        — (a) 
    

 

 

  
     SHARES
(000)		          

Short-Term Investments — 1.0%

     

Investment Companies — 1.0%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (c) (d)
(Cost $152,987)

     152,987        152,987  
    

 

 

  

Total Investments — 99.9%
(Cost $11,059,078)

 

      15,043,294  

Other Assets Less Liabilities — 0.1%

 

      14,803  
    

 

 

  

NET ASSETS — 100.0%

 

    $ 15,058,097  
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		        EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

 

S&P 500 E-Mini Index

        534          09/2018          USD          72,667          (1,246 ) 
                        

 

 

  
                           (1,246 ) 
                        

 

 

  

 

Abbreviations

 

USD   United States Dollar
(a)   Amount rounds to less than one thousand.
(b)   Amount rounds to less than 0.05% of net assets.
(c)   Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of June 30, 2018.
*   Non-income producing security.
‡   Value determined using significant unobservable inputs.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         37  

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

(formerly known as JPMorgan Disciplined Equity Fund)

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.9%

 

Aerospace & Defense — 2.1%

 

Boeing Co. (The)

     64        21,540  

General Dynamics Corp.

     205        38,289  

Harris Corp.

     32        4,683  

Northrop Grumman Corp.

     121        37,232  

United Technologies Corp.

     318        39,759  
    

 

 

  
       141,503  
    

 

 

  

Airlines — 0.5%

     

Delta Air Lines, Inc.

     607        30,066  

United Continental Holdings, Inc.*

     71        4,944  
    

 

 

  
       35,010  
    

 

 

  

Auto Components — 0.3%

     

Aptiv plc

     144        13,177  

Delphi Technologies plc

     163        7,387  
    

 

 

  
       20,564  
    

 

 

  

Automobiles — 0.5%

     

Ford Motor Co.

     2,998        33,185  
    

 

 

  

Banks — 5.7%

     

Bank of America Corp.

     4,581        129,133  

BB&T Corp.

     362        18,269  

Citigroup, Inc.

     1,352        90,496  

Fifth Third Bancorp

     152        4,362  

Huntington Bancshares, Inc.

     903        13,327  

KeyCorp

     1,000        19,548  

SunTrust Banks, Inc.

     354        23,358  

SVB Financial Group*

     15        4,274  

Wells Fargo & Co.

     1,506        83,470  
    

 

 

  
       386,237  
    

 

 

  

Beverages — 2.7%

     

Coca-Cola Co. (The)

     981        43,031  

Constellation Brands, Inc., Class A

     77        16,875  

Molson Coors Brewing Co., Class B

     640        43,519  

PepsiCo, Inc.

     714        77,722  
    

 

 

  
       181,147  
    

 

 

  

Biotechnology — 2.4%

     

AbbVie, Inc.

     310        28,740  

Alexion Pharmaceuticals, Inc.*

     64        7,995  

Amgen, Inc.

     107        19,696  

Biogen, Inc.*

     98        28,356  

Celgene Corp.*

     225        17,854  

Gilead Sciences, Inc.

     499        35,328  

Vertex Pharmaceuticals, Inc.*

     136        23,132  
    

 

 

  
       161,101  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Building Products — 0.7%

     

Allegion plc

     252        19,510  

Masco Corp.

     676        25,277  
    

 

 

  
       44,787  
    

 

 

  

Capital Markets — 3.2%

     

Bank of New York Mellon Corp. (The)

     402        21,701  

BlackRock, Inc.

     17        8,534  

Charles Schwab Corp. (The)

     615        31,401  

CME Group, Inc.

     41        6,737  

Intercontinental Exchange, Inc.

     354        26,015  

Morgan Stanley

     1,281        60,724  

State Street Corp.

     554        51,581  

T. Rowe Price Group, Inc.

     82        9,473  
    

 

 

  
       216,166  
    

 

 

  

Chemicals — 2.0%

     

Celanese Corp., Series A

     143        15,904  

DowDuPont, Inc.

     1,267        83,508  

Eastman Chemical Co.

     342        34,196  
    

 

 

  
       133,608  
    

 

 

  

Communications Equipment — 0.3%

     

Cisco Systems, Inc.

     416        17,887  

Motorola Solutions, Inc.

     30        3,468  
    

 

 

  
       21,355  
    

 

 

  

Consumer Finance — 0.8%

     

American Express Co.

     76        7,477  

Capital One Financial Corp.

     480        44,140  
    

 

 

  
       51,617  
    

 

 

  

Containers & Packaging — 0.4%

     

Crown Holdings, Inc.*

     218        9,766  

WestRock Co.

     307        17,494  
    

 

 

  
       27,260  
    

 

 

  

Diversified Consumer Services — 0.0% (a)

     

H&R Block, Inc.

     119        2,713  
    

 

 

  

Diversified Financial Services — 1.5%

     

Berkshire Hathaway, Inc., Class B*

     515        96,031  

Voya Financial, Inc.

     70        3,276  
    

 

 

  
       99,307  
    

 

 

  

Diversified Telecommunication Services — 0.8%

     

AT&T, Inc.

     802        25,742  

Verizon Communications, Inc.

     533        26,790  
    

 

 

  
       52,532  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Electric Utilities — 2.2%

     

American Electric Power Co., Inc.

     281        19,473  

Exelon Corp.

     768        32,717  

NextEra Energy, Inc.

     393        65,659  

PG&E Corp.

     144        6,112  

Xcel Energy, Inc.

     568        25,946  
    

 

 

  
       149,907  
    

 

 

  

Electrical Equipment — 0.6%

     

Eaton Corp. plc

     538        40,218  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.2%

 

   

AvalonBay Communities, Inc.

     163        28,070  

Brixmor Property Group, Inc.

     163        2,837  

Digital Realty Trust, Inc.

     45        5,066  

Equinix, Inc.

     26        11,134  

Equity Residential

     373        23,763  

Federal Realty Investment Trust

     89        11,225  

Prologis, Inc.

     104        6,845  

Public Storage

     134        30,467  

Ventas, Inc.

     158        9,004  

Vornado Realty Trust

     274        20,239  
    

 

 

  
       148,650  
    

 

 

  

Food & Staples Retailing — 0.4%

 

Walgreens Boots Alliance, Inc.

     465        27,907  
    

 

 

  

Food Products — 0.8%

     

Mondelez International, Inc., Class A

     1,405        57,593  
    

 

 

  

Health Care Equipment & Supplies — 3.2%

     

Abbott Laboratories

     571        34,850  

Becton Dickinson and Co.

     168        40,270  

Boston Scientific Corp.*

     1,373        44,900  

Danaher Corp.

     174        17,180  

Intuitive Surgical, Inc.*

     24        11,388  

Medtronic plc

     387        33,123  

Zimmer Biomet Holdings, Inc.

     277        30,913  
    

 

 

  
       212,624  
    

 

 

  

Health Care Providers & Services — 2.9%

     

AmerisourceBergen Corp.

     148        12,628  

Cigna Corp.

     245        41,655  

CVS Health Corp.

     291        18,739  

UnitedHealth Group, Inc.

     510        125,148  
    

 

 

  
       198,170  
    

 

 

  

Hotels, Restaurants & Leisure — 0.7%

     

Hilton Worldwide Holdings, Inc.

     298        23,606  

Royal Caribbean Cruises Ltd.

     67        6,910  

Yum! Brands, Inc.

     258        20,173  
    

 

 

  
       50,689  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Household Durables — 0.3%

     

Lennar Corp., Class A

     362        19,016  

Toll Brothers, Inc.

     103        3,791  
    

 

 

  
       22,807  
    

 

 

  

Household Products — 0.6%

     

Colgate-Palmolive Co.

     251        16,280  

Procter & Gamble Co. (The)

     356        27,751  
    

 

 

  
       44,031  
    

 

 

  

Industrial Conglomerates — 1.1%

     

Honeywell International, Inc.

     510        73,451  
    

 

 

  

Insurance — 2.4%

     

American International Group, Inc.

     919        48,725  

Chubb Ltd.

     32        4,090  

Everest Re Group Ltd.

     27        6,108  

Hartford Financial Services Group, Inc. (The)

     521        26,618  

Lincoln National Corp.

     317        19,740  

Marsh & McLennan Cos., Inc.

     108        8,869  

MetLife, Inc.

     685        29,862  

Principal Financial Group, Inc.

     78        4,135  

Prudential Financial, Inc.

     139        12,951  
    

 

 

  
       161,098  
    

 

 

  

Internet & Direct Marketing Retail — 3.7%

     

Amazon.com, Inc.*

     123        209,245  

Booking Holdings, Inc.*

     7        13,784  

Expedia Group, Inc.

     65        7,837  

Netflix, Inc.*

     49        19,063  
    

 

 

  
       249,929  
    

 

 

  

Internet Software & Services — 5.7%

     

Alphabet, Inc., Class A*

     107        120,677  

Alphabet, Inc., Class C*

     103        115,358  

Facebook, Inc., Class A*

     757        147,042  
    

 

 

  
       383,077  
    

 

 

  

IT Services — 4.0%

     

Accenture plc, Class A

     296        48,455  

Alliance Data Systems Corp.

     42        9,748  

Fidelity National Information Services, Inc.

     341        36,114  

International Business Machines Corp.

     133        18,552  

Mastercard, Inc., Class A

     131        25,764  

PayPal Holdings, Inc.*

     152        12,648  

Visa, Inc., Class A

     792        104,874  

Worldpay, Inc.*

     129        10,579  
    

 

 

  
       266,734  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         39  

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

(formerly known as JPMorgan Disciplined Equity Fund)

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Life Sciences Tools & Services — 0.6%

     

Agilent Technologies, Inc.

     95        5,887  

Illumina, Inc.*

     44        12,261  

Thermo Fisher Scientific, Inc.

     114        23,635  
    

 

 

  
       41,783  
    

 

 

  

Machinery — 2.7%

     

Caterpillar, Inc.

     137        18,519  

Cummins, Inc.

     163        21,639  

Deere & Co.

     58        8,081  

Ingersoll-Rand plc

     533        47,826  

PACCAR, Inc.

     302        18,681  

Parker-Hannifin Corp.

     40        6,187  

Snap-on, Inc.

     137        21,938  

Stanley Black & Decker, Inc.

     318        42,194  
    

 

 

  
       185,065  
    

 

 

  

Media — 3.9%

     

Charter Communications, Inc., Class A*

     182        53,393  

Comcast Corp., Class A

     2,431        79,758  

Discovery, Inc., Class A*

     141        3,875  

DISH Network Corp., Class A*

     381        12,809  

Sirius XM Holdings, Inc.

     1,631        11,045  

Twenty-First Century Fox, Inc., Class A

     773        38,425  

Walt Disney Co. (The)

     591        61,901  
    

 

 

  
       261,206  
    

 

 

  

Metals & Mining — 0.3%

     

Alcoa Corp.*

     68        3,202  

Freeport-McMoRan, Inc.

     572        9,873  

Newmont Mining Corp.

     140        5,264  
    

 

 

  
       18,339  
    

 

 

  

Multiline Retail — 0.9%

     

Dollar General Corp.

     277        27,352  

Dollar Tree, Inc.*

     377        32,028  
    

 

 

  
       59,380  
    

 

 

  

Multi-Utilities — 0.7%

     

Public Service Enterprise Group, Inc.

     612        33,107  

WEC Energy Group, Inc.

     206        13,311  
    

 

 

  
       46,418  
    

 

 

  

Oil, Gas & Consumable Fuels — 6.3%

     

Andeavor

     99        13,013  

Chevron Corp.

     632        79,954  

Concho Resources, Inc.*

     167        23,077  

Diamondback Energy, Inc.

     216        28,432  

EOG Resources, Inc.

     541        67,317  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Oil, Gas & Consumable Fuels — continued

     

EQT Corp.

     277        15,279  

Exxon Mobil Corp.

     613        50,681  

Marathon Petroleum Corp.

     559        39,198  

Occidental Petroleum Corp.

     480        40,150  

ONEOK, Inc.

     197        13,745  

Pioneer Natural Resources Co.

     276        52,230  
    

 

 

  
       423,076  
    

 

 

  

Personal Products — 0.4%

     

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

     177        25,213  
    

 

 

  

Pharmaceuticals — 4.6%

     

Allergan plc

     137        22,907  

Bristol-Myers Squibb Co.

     522        28,910  

Eli Lilly & Co.

     475        40,566  

Johnson & Johnson

     609        73,896  

Merck & Co., Inc.

     775        47,049  

Mylan NV*

     238        8,583  

Pfizer, Inc.

     2,264        82,123  

Zoetis, Inc.

     39        3,288  
    

 

 

  
       307,322  
    

 

 

  

Road & Rail — 1.9%

     

Norfolk Southern Corp.

     354        53,347  

Union Pacific Corp.

     546        77,315  
    

 

 

  
       130,662  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.4%

 

   

Analog Devices, Inc.

     662        63,518  

Broadcom, Inc.

     228        55,273  

Intel Corp.

     277        13,750  

Microchip Technology, Inc.

     267        24,238  

Micron Technology, Inc.*

     178        9,350  

NVIDIA Corp.

     270        63,845  

Texas Instruments, Inc.

     577        63,636  
    

 

 

  
       293,610  
    

 

 

  

Software — 6.8%

     

Activision Blizzard, Inc.

     50        3,778  

Adobe Systems, Inc.*

     144        35,084  

Intuit, Inc.

     135        27,622  

Microsoft Corp.

     2,824        278,456  

Oracle Corp.

     785        34,565  

salesforce.com, Inc.*

     452        61,694  

Workday, Inc., Class A*

     126        15,309  
    

 

 

  
       456,508  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Specialty Retail — 3.3%

     

AutoZone, Inc.*

     48        32,003  

Best Buy Co., Inc.

     276        20,592  

Home Depot, Inc. (The)

     435        84,771  

Lowe’s Cos., Inc.

     244        23,300  

O’Reilly Automotive, Inc.*

     103        28,041  

Ross Stores, Inc.

     311        26,357  

TJX Cos., Inc. (The)

     74        7,081  
    

 

 

  
       222,145  
    

 

 

  

Technology Hardware, Storage & Peripherals — 4.6%

 

   

Apple, Inc.

     1,394        258,117  

Hewlett Packard Enterprise Co.

     1,769        25,842  

HP, Inc.

     1,218        27,646  
    

 

 

  
       311,605  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.2%

     

NIKE, Inc., Class B

     526        41,888  

PVH Corp.

     198        29,584  

Ralph Lauren Corp.

     54        6,789  
    

 

 

  
       78,261  
    

 

 

  

Tobacco — 1.1%

     

Altria Group, Inc.

     279        15,816  

Philip Morris International, Inc.

     700        56,542  
    

 

 

  
       72,358  
    

 

 

  

Trading Companies & Distributors — 0.2%

     

Fastenal Co.

     275        13,221  

United Rentals, Inc.*

     19        2,731  
    

 

 

  
       15,952  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Wireless Telecommunication Services — 0.3%

 

   

T-Mobile US, Inc.*

     335        20,028  
    

 

 

  

Total Common Stocks
(Cost $4,804,917)

 

      6,663,908  
    

 

 

  

Short-Term Investments — 1.7%

     

Investment Companies — 1.6%

     

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (b) (c)
(Cost $106,088)

     106,088        106,088  
    

 

 

  
     PRINCIPAL
AMOUNT
($000)		          

U.S. Treasury Obligations — 0.1%

     

U.S. Treasury Bills
2.01%, 1/31/2019 (d) (e)
(Cost $5,724)

     5,792        5,721  
    

 

 

  

Total Short-Term Investments
(Cost $111,812)

        111,809  
    

 

 

  

Total Investments — 100.6%
(Cost $4,916,729)

 

      6,775,717  

Liabilities in Excess of
Other Assets — (0.6%)

 

      (38,627 ) 
    

 

 

  

NET ASSETS — 100.0%

 

    $ 6,737,090  
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		        EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

 

S&P 500 E-Mini Index

        501          09/2018          USD          68,176          (1,431 ) 
                        

 

 

  
                           (1,431 ) 
                        

 

 

  

Abbreviations

 

USD   United States Dollar
(a)   Amount rounds to less than 0.05% of net assets.
(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.
(c)   The rate shown is the current yield as of June 30, 2018.
(d)   All or a portion of this security is deposited with the broker as initial margin for future contracts.
(e)   The rate shown is the effective yield as of June 30, 2018.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         41  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Equity
Focus Fund		      JPMorgan
Equity
Income Fund		      JPMorgan
Growth and
Income Fund		     

JPMorgan
Hedged
Equity Fund

  

ASSETS:

              

Investments in non-affiliates, at value

      $ 243,066      $ 16,661,428      $ 587,078      $ 2,395,017  

Investments in affiliates, at value

        10,204        608,619        27,866        92,778  

Options purchased, at value

        —        —        —        34,221  

Deposits at broker for futures contracts

        —        —        —        3,219  

Receivables:

              

Investment securities sold

        —        —        613        56,632  

Fund shares sold

        268        37,178        616        11,881  

Dividends from non-affiliates

        105        29,045        725        1,691  

Dividends from affiliates

        13        870        37        66  

Variation margin on futures contracts

        —        —        —        503  

Other assets

        11        —        —        —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

        253,667        17,337,140        616,935        2,596,008  
    

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES:

              

Payables:

              

Due to custodian

        —        — (a)       — (a)       46  

Distributions

        —        — (a)       —        —  

Investment securities purchased

        —        40,617        5,498        132,904  

Fund shares redeemed

        108        30,438        149        2,580  

Outstanding options written, at fair value

        —        —        —        30,928  

Accrued liabilities:

              

Investment advisory fees

        90        5,623        167        372  

Administration fees

        —        1,148        20        88  

Distribution fees

        3        1,506        113        105  

Service fees

        52        2,326        58        463  

Custodian and accounting fees

        5        80        6        24  

Trustees’ and Chief Compliance Officer’s fees

        — (a)       — (a)       — (a)       — (a) 

Audit fees

        20        25        20        32  

Printing and mailing cost

        17        462        24        26  

Other

        2        420        117        48  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total Liabilities

        297        82,645        6,172        167,616  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net Assets

      $ 253,370      $ 17,254,495      $ 610,763      $ 2,428,392  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Equity
Focus Fund		      JPMorgan
Equity
Income Fund		      JPMorgan
Growth and
Income Fund		     

JPMorgan
Hedged
Equity Fund

  

NET ASSETS:

              

Paid-in-Capital

      $ 195,594      $ 12,652,623      $ 389,264      $ 2,302,455  

Accumulated undistributed (distributions in excess of) net investment income

        740        12,076        242        902  

Accumulated net realized gains (losses)

        8,292        203,140        21,171        (81,585 ) 

Net unrealized appreciation (depreciation)

        48,744        4,386,656        200,086        206,620  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total Net Assets

      $ 253,370      $ 17,254,495      $ 610,763      $ 2,428,392  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net Assets:

              

Class A

      $ 4,077      $ 3,022,879      $ 476,090      $ 277,898  

Class C

        3,017        1,303,731        23,034        81,030  

Class I

        246,276        6,320,979        77,737        1,947,444  

Class R2

        —        80,330        41        —  

Class R3

        —        91,267        22        —  

Class R4

        —        23,451        22        —  

Class R5

        —        1,097,476        43        123  

Class R6

        —        5,314,382        33,774        121,897  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total

      $ 253,370      $ 17,254,495      $ 610,763      $ 2,428,392  
    

 

 

     

 

 

     

 

 

     

 

 

  

Outstanding units of beneficial interest (shares)

              

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

              

Class A

        128        179,758        9,567        14,306  

Class C

        98        79,010        513        4,192  

Class I

        7,664        369,643        1,483        100,039  

Class R2

        —        4,799        1        —  

Class R3

        —        5,431        — (a)       —  

Class R4

        —        1,372        — (a)       —  

Class R5

        —        64,138        1        6  

Class R6

        —        310,795        640        6,254  

Net Asset Value (b):

              

Class A — Redemption price per share

      $ 31.83      $ 16.82      $ 49.77      $ 19.43  

Class C — Offering price per share (c)

        30.75        16.50        44.91        19.33  

Class I — Offering and redemption price per share

        32.13        17.10        52.41        19.47  

Class R2 — Offering and redemption price per share

        —        16.74        49.98        —  

Class R3 — Offering and redemption price per share

        —        16.80        52.41        —  

Class R4 — Offering and redemption price per share

        —        17.09        52.41        —  

Class R5 — Offering and redemption price per share

        —        17.11        52.74        19.50  

Class R6 — Offering and redemption price per share

        —        17.10        52.75        19.49  

Class A maximum sales charge

        5.25 %       5.25 %       5.25 %       5.25 % 

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

      $ 33.59      $ 17.75      $ 52.53      $ 20.51  
    

 

 

     

 

 

     

 

 

     

 

 

  

Cost of investments in non-affiliates

      $ 194,322      $ 12,274,772      $ 386,992      $ 2,189,916  

Cost of investments in affiliates

        10,204        608,619        27,866        92,778  

Cost of options purchased

        —        —        —        33,735  

Premiums received from options written

        —        —        —        31,964  

 

(a)

Amount rounds to less than one thousand.

(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, 2018   J.P. MORGAN LARGE CAP FUNDS         43  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018 (continued)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Large Cap
Growth Fund		      JPMorgan
Large Cap
Value Fund		     

JPMorgan

U.S. Equity
Fund

     

JPMorgan

U.S. Research
Enhanced

Equity Fund

(formerly

known as

JPMorgan

Disciplined

Equity Fund)

  

ASSETS:

              

Investments in non-affiliates, at value

      $ 14,078,419      $ 1,634,902      $ 14,890,307      $ 6,669,629  

Investments in affiliates, at value

        255,806        90,740        152,987        106,088  

Deposits at broker for futures contracts

        —        —        3,250        625  

Receivables:

              

Investment securities sold

        32,150        5,554        156,311        294,958  

Fund shares sold

        17,177        2,176        15,988        2,441  

Dividends from non-affiliates

        406        1,510        10,829        5,033  

Dividends from affiliates

        284        69        252        141  

Variation margin on futures contracts

        —        —        56        60  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

        14,384,242        1,734,951        15,229,980        7,078,975  
    

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES:

              

Payables:

              

Due to custodian

        —        — (a)       18        — (a) 

Distributions

        —        —        — (a)       —  

Investment securities purchased

        —        79,987        130,083        73,566  

Fund shares redeemed

        24,785        1,737        34,190        266,621  

Accrued liabilities:

              

Investment advisory fees

        4,880        444        4,528        1,096  

Administration fees

        255        47        697        246  

Distribution fees

        954        101        594        59  

Service fees

        1,549        131        915        79  

Custodian and accounting fees

        67        12        83        41  

Trustees’ and Chief Compliance Officer’s fees

        — (a)       —        10        2  

Audit fees

        15        25        22        22  

Printing and mailing cost

        609        35        498        79  

Other

        541        80        245        74  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total Liabilities

        33,655        82,599        171,883        341,885  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net Assets

      $ 14,350,587      $ 1,652,352      $ 15,058,097      $ 6,737,090  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a) Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Large Cap
Growth Fund		      JPMorgan
Large Cap
Value Fund		     

JPMorgan

U.S. Equity

Fund

     

JPMorgan

U.S. Research
Enhanced

Equity Fund

(formerly

known as

JPMorgan

Disciplined

Equity Fund)

  

NET ASSETS:

              

Paid-in-Capital

      $ 6,339,923      $ 1,494,488      $ 10,099,680      $ 4,533,570  

Accumulated undistributed (distributions in excess of) net investment income

        541        813        4,632        2,513  

Accumulated net realized gains (losses)

        907,793        77,345        970,815        343,450  

Net unrealized appreciation (depreciation)

        7,102,330        79,706        3,982,970        1,857,557  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total Net Assets

      $ 14,350,587      $ 1,652,352      $ 15,058,097      $ 6,737,090  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net Assets:

              

Class A

      $ 2,481,816      $ 236,470      $ 1,340,858      $ 278,766  

Class C

        534,199        69,445        302,297        —  

Class I

        4,413,908        378,058        1,521,535        268,898  

Class L

        —        —        1,679,995        476,809  

Class R2

        156,775        17,046        265,675        —  

Class R3

        6,865        —        61,413        —  

Class R4

        5,930        —        10,531        —  

Class R5

        788,766        23,166        938,744        —  

Class R6

        5,962,328        928,167        8,937,049        5,712,617  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total

      $ 14,350,587      $ 1,652,352      $ 15,058,097      $ 6,737,090  
    

 

 

     

 

 

     

 

 

     

 

 

  

Outstanding units of beneficial interest (shares)

              

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

              

Class A

        58,478        15,653        81,375        9,826  

Class C

        15,620        4,785        18,905        —  

Class I

        102,989        25,458        92,136        9,399  

Class L

        —        —        101,604        16,690  

Class R2

        3,808        1,137        16,259        —  

Class R3

        161        —        3,738        —  

Class R4

        138        —        638        —  

Class R5

        18,069        1,546        56,757        —  

Class R6

        135,672        62,312        539,536        199,926  

Net Asset Value (a):

              

Class A — Redemption price per share

      $ 42.44      $ 15.11      $ 16.48      $ 28.37  

Class C — Offering price per share (b)

        34.20        14.51        15.99        —  

Class I — Offering and redemption price per share

        42.86        14.85        16.51        28.61  

Class L — Offering and redemption price per share

        —        —        16.53        28.57  

Class R2 — Offering and redemption price per share

        41.17        14.99        16.34        —  

Class R3 — Offering and redemption price per share

        42.64        —        16.43        —  

Class R4 — Offering and redemption price per share

        42.85        —        16.50        —  

Class R5 — Offering and redemption price per share

        43.65        14.99        16.54        —  

Class R6 — Offering and redemption price per share

        43.95        14.90        16.56        28.57  

Class A maximum sales charge

        5.25 %       5.25 %       5.25 %       5.25 % 

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

      $ 44.79      $ 15.95      $ 17.39      $ 29.94  
    

 

 

     

 

 

     

 

 

     

 

 

  

Cost of investments in non-affiliates

      $ 6,976,089      $ 1,555,196      $ 10,906,091      $ 4,810,641  

Cost of investments in affiliates

        255,806        90,740        152,987        106,088  

 

(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, 2018   J.P. MORGAN LARGE CAP FUNDS         45  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

(Amounts in thousands)

 

        JPMorgan
Equity
Focus Fund		      JPMorgan
Equity
Income Fund		      JPMorgan
Growth and
Income Fund		          
    
    
    
    
    
JPMorgan
Hedged
Equity Fund		  

INVESTMENT INCOME:

              

Interest income from non-affiliates

      $ —      $ — (a)     $ —      $ 13  

Interest income from affiliates

        — (a)       9        — (a)       6  

Dividend income from non-affiliates

        2,957        412,676        12,884        27,508  

Dividend income from affiliates

        107        4,694        152        534  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total investment income

        3,064        417,379        13,036        28,061  
    

 

 

     

 

 

     

 

 

     

 

 

  

EXPENSES:

              

Investment advisory fees

        1,338        65,216        2,303        3,966  

Administration fees

        181        13,249        468        1,288  

Distribution fees:

              

Class A

        10        7,937        1,153        554  

Class C

        25        10,114        188        421  

Class R2

        —        439        — (a)       —  

Class R3 (b)

        —        164        — (a)       —  

Service fees:

              

Class A

        10        7,937        1,153        554  

Class C

        9        3,371        63        140  

Class I

        539        14,977        181        3,216  

Class R2

        —        219        — (a)       —  

Class R3 (b)

        —        164        — (a)       —  

Class R4 (b)

        —        40        — (a)       —  

Class R5

        —        1,028        — (a)       — (a) 

Custodian and accounting fees

        27        435        33        118  

Professional fees

        52        218        64        93  

Trustees’ and Chief Compliance Officer’s fees

        26        79        27        29  

Printing and mailing costs

        57        769        25        120  

Registration and filing fees

        43        522        99        263  

Transfer agency fees (See Note 2.E.)

        7        673        265        48  

Other

        8        297        20        28  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses

        2,332        127,848        6,042        10,838  
    

 

 

     

 

 

     

 

 

     

 

 

  

Less fees waived

        (385 )       (791 )       (607 )       (476 ) 

Less expense reimbursements

        —        —        — (a)       (7 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Net expenses

        1,947        127,057        5,435        10,355  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        1,117        290,322        7,601        17,706  
    

 

 

     

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

              

Net realized gain (loss) on transactions from:

              

Investments in non-affiliates

        10,273        305,643        36,587        (1,135 ) 

Options purchased

        —        —        —        (81,493 ) 

Futures contracts

        —        —        —        4,852  

Options written

        —        —        —        25,056  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

        10,273        305,643        36,587        (52,720 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

              

Investments in non-affiliates

        18,485        913,007        20,167        129,215  

Options purchased

        —        —        —        717  

Futures contracts

        —        —        —        8  

Options written

        —        —        —        1,086  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        18,485        913,007        20,167        131,026  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        28,758        1,218,650        56,754        78,306  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 29,875      $ 1,508,972      $ 64,355      $ 96,012  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Growth and Income Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Large Cap
Growth Fund		      JPMorgan
Large Cap
Value Fund		      JPMorgan
U.S. Equity
Fund		       

JPMorgan

U.S. Research
Enhanced

Equity Fund

(formerly

known as

JPMorgan

Disciplined

Equity Fund)

  

INVESTMENT INCOME:

                

Interest income from non-affiliates

      $ — (a)     $ — (a)     $ —        $ 66  

Interest income from affiliates

        4        3        5          — (a) 

Dividend income from non-affiliates

        91,380        25,573        244,332          127,144  

Dividend income from affiliates

        2,991        432        1,780          811  
    

 

 

     

 

 

     

 

 

       

 

 

  

Total investment income

        94,375        26,008        246,117          128,021  
    

 

 

     

 

 

     

 

 

       

 

 

  

EXPENSES:

                

Investment advisory fees

        65,677        5,574        60,466          18,367  

Administration fees

        10,674        1,132        12,285          5,971  

Distribution fees:

                

Class A

        6,562        602        3,486          922  

Class C

        3,808        457        2,318          —  

Class R2

        762        57        1,362          —  

Class R3

        11        —        120          —  

Service fees:

                

Class A

        6,562        602        3,486          922  

Class C

        1,269        152        772          —  

Class I

        10,025        733        3,660          702  

Class L

        —        —        1,931          748  

Class R2

        381        29        681          —  

Class R3

        11        —        120          —  

Class R4

        26        —        15          —  

Class R5

        822        21        941          —  

Custodian and accounting fees

        346        57        467          212  

Interest expense to affiliates

        — (a)       — (a)       —          —  

Professional fees

        212        67        238          139  

Trustees’ and Chief Compliance Officer’s fees

        70        30        22          17  

Printing and mailing costs

        616        78        761          219  

Registration and filing fees

        181        203        319          46  

Transfer agency fees (See Note 2.E.)

        687        110        466          110  

Other

        333        28        273          135  
    

 

 

     

 

 

     

 

 

       

 

 

  

Total expenses

        109,035        9,932        94,189          28,510  
    

 

 

     

 

 

     

 

 

       

 

 

  

Less fees waived

        (15,344 )       (1,001 )       (6,444 )         (7,876 ) 

Less expense reimbursements

        (32 )       (10 )       (61 )         (53 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Net expenses

        93,659        8,921        87,684          20,581  
    

 

 

     

 

 

     

 

 

       

 

 

  

Net investment income (loss)

        716        17,087        158,433          107,440  
    

 

 

     

 

 

     

 

 

       

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

                

Net realized gain (loss) on transactions from:

                

Investments in non-affiliates

        1,428,027        104,778        1,674,351          645,281  

Futures contracts

        —        —        5,637          6,811  
    

 

 

     

 

 

     

 

 

       

 

 

  

Net realized gain (loss)

        1,428,027        104,778        1,679,988          652,092  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in net unrealized appreciation/depreciation on:

                

Investments in non-affiliates

        1,838,302        (52,694 )       110,906          215,587  

Futures contracts

        —        —        (993 )         (1,195 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in net unrealized appreciation/depreciation

        1,838,302        (52,694 )       109,913          214,392  
    

 

 

     

 

 

     

 

 

       

 

 

  

Net realized/unrealized gains (losses)

        3,266,329        52,084        1,789,901          866,484  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

      $ 3,267,045      $ 69,171      $ 1,948,334        $ 973,924  
    

 

 

     

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         47  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Equity Focus Fund          
    
JPMorgan Equity Income Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

              

Net investment income (loss)

      $ 1,117      $ 321      $ 290,322      $ 241,554  

Net realized gain (loss)

        10,273        11,379        305,643        138,214  

Change in net unrealized appreciation/depreciation

        18,485        20,067        913,007        1,463,818  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        29,875        31,767        1,508,972        1,843,586  
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

              

From net investment income

        (1 )       (1 )       (46,891 )       (55,085 ) 

From net realized gains

        (185 )       (25 )       (29,140 )       (21,407 ) 

Class C

              

From net investment income

        —        —        (15,879 )       (17,029 ) 

From net realized gains

        (170 )       (19 )       (12,420 )       (8,532 ) 

Class I

              

From net investment income

        (511 )       (370 )       (99,810 )       (100,491 ) 

From net realized gains

        (10,199 )       (1,646 )       (50,622 )       (31,653 ) 

Class R2

              

From net investment income

        —        —        (1,158 )       (1,197 ) 

From net realized gains

        —        —        (836 )       (512 ) 

Class R3 (a)

              

From net investment income

        —        —        (1,008 )       (81 ) 

From net realized gains

        —        —        (750 )       — (b) 

Class R4 (a)

              

From net investment income

        —        —        (300 )       (5 ) 

From net realized gains

        —        —        (153 )       — (b) 

Class R5

              

From net investment income

        —        —        (19,165 )       (18,214 ) 

From net realized gains

        —        —        (9,994 )       (5,543 ) 

Class R6

              

From net investment income

        —        —        (91,009 )       (49,266 ) 

From net realized gains

        —        —        (42,337 )       (13,934 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (11,066 )       (2,061 )       (421,472 )       (322,949 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        47,717        17,649        1,214,083        1,365,954  
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        66,526        47,355        2,301,583        2,886,591  

Beginning of period

        186,844        139,489        14,952,912        12,066,321  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 253,370      $ 186,844      $ 17,254,495      $ 14,952,912  
    

 

 

     

 

 

     

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of)
net investment income

      $ 740      $ 135      $ 12,076      $ (82 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Equity Income Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Growth and Income Fund         
    
JPMorgan Hedged Equity  Fund		  
        Year Ended
June 30, 2018		     Year Ended
June 30, 2017		     Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

            

Net investment income (loss)

      $ 7,601     $ 6,531     $ 17,706      $ 4,860  

Net realized gain (loss)

        36,587       21,022       (52,720 )       (9,989 ) 

Change in net unrealized appreciation/depreciation

        20,167       49,974       131,026        53,211  
    

 

 

    

 

 

    

 

 

     

 

 

  

Change in net assets resulting from operations

        64,355       77,527       96,012        48,082  
    

 

 

    

 

 

    

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

            

Class A

            

From net investment income

        (5,773 )      (5,553 )      (1,774 )       (966 ) 

From net realized gains

        (19,237 )      (21,085 )      —        —  

Class C

            

From net investment income

        (226 )      (261 )      (200 )       (102 ) 

From net realized gains

        (1,089 )      (1,409 )      —        —  

Class I

            

From net investment income

        (1,045 )      (757 )      (14,219 )       (4,137 ) 

From net realized gains

        (2,984 )      (2,037 )      —        —  

Class R2

            

From net investment income

        — (a)      — (a)      —        —  

From net realized gains

        (1 )      (1 )      —        —  

Class R3 (b)

            

From net investment income

        — (a)      —       —        —  

From net realized gains

        (1 )      —       —        —  

Class R4 (b)

            

From net investment income

        — (a)      —       —        —  

From net realized gains

        (1 )      —       —        —  

Class R5

            

From net investment income

        (1 )      — (a)      (1 )       — (a) 

From net realized gains

        (2 )      (1 )      —        —  

Class R6

            

From net investment income

        (304 )      (24 )      (485 )       (12 ) 

From net realized gains

        (197 )      (1 )      —        —  
    

 

 

    

 

 

    

 

 

     

 

 

  

Total distributions to shareholders

        (30,861 )      (31,129 )      (16,679 )       (5,217 ) 
    

 

 

    

 

 

    

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

            

Change in net assets resulting from capital transactions

        37,564       5,487       1,585,763        480,228  
    

 

 

    

 

 

    

 

 

     

 

 

  

NET ASSETS:

            

Change in net assets

        71,058       51,885       1,665,096        523,093  

Beginning of period

        539,705       487,820       763,296        240,203  
    

 

 

    

 

 

    

 

 

     

 

 

  

End of period

      $ 610,763     $ 539,705     $ 2,428,392      $ 763,296  
    

 

 

    

 

 

    

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 242     $ 107     $ 902      $ 32  
    

 

 

    

 

 

    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Growth and Income Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         49  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Large Cap Growth Fund          
    
JPMorgan Large Cap Value Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

              

Net investment income (loss)

      $ 716      $ (2,632 )     $ 17,087      $ 11,242  

Net realized gain (loss)

        1,428,027        2,090,043        104,778        104,157  

Change in net unrealized appreciation/depreciation

        1,838,302        995,654        (52,694 )       88,765  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        3,267,045        3,083,065        69,171        204,164  
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

              

From net investment income

        —        —        (1,957 )       (1,507 ) 

From net realized gains

        (341,736 )       (325,496 )       (18,331 )       (5,231 ) 

Class C

              

From net investment income

        —        —        (250 )       (170 ) 

From net realized gains

        (78,411 )       (53,436 )       (4,679 )       (1,032 ) 

Class I

              

From net investment income

        —        —        (3,416 )       (950 ) 

From net realized gains

        (495,445 )       (328,427 )       (22,920 )       (1,643 ) 

Class R2

              

From net investment income

        —        —        (82 )       (33 ) 

From net realized gains

        (20,556 )       (15,873 )       (855 )       (201 ) 

Class R3 (a)

              

From net realized gains

        (239 )       (2 )       —        —  

Class R4 (a)

              

From net realized gains

        (1,429 )       (2 )       —        —  

Class R5

              

From net investment income

        —        —        (276 )       (98 ) 

From net realized gains

        (107,511 )       (98,724 )       (1,739 )       (290 ) 

Class R6

              

From net investment income

        —        —        (10,517 )       (8,323 ) 

From net realized gains

        (610,039 )       (289,943 )       (58,205 )       (26,620 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (1,655,366 )       (1,111,903 )       (123,227 )       (46,098 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        462,204        (3,398,594 )       654,144        184,252  
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        2,073,883        (1,427,432 )       600,088        342,318  

Beginning of period

        12,276,704        13,704,136        1,052,264        709,946  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 14,350,587      $ 12,276,704      $ 1,652,352      $ 1,052,264  
    

 

 

     

 

 

     

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of)
net investment income

      $ 541      $ (164 )     $ 813      $ 374  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Large Cap Growth Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan U.S. Equity Fund      JPMorgan U.S. Research Enhanced
Equity Fund (formerly known as
JPMorgan Disciplined Equity Fund)		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

              

Net investment income (loss)

      $ 158,433      $ 136,643      $ 107,440      $ 117,738  

Net realized gain (loss)

        1,679,988        1,274,052        652,092        335,947  

Change in net unrealized appreciation/depreciation

        109,913        949,838        214,392        874,786  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        1,948,334        2,360,533        973,924        1,328,471  
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

              

From net investment income

        (9,388 )       (10,446 )       (3,827 )       (6,106 ) 

From net realized gains

        (103,922 )       (51,421 )       —        —  

Return of capital

        —        —        —        (379 ) 

Class C

              

From net investment income

        (716 )       (888 )       —        —  

From net realized gains

        (22,636 )       (11,601 )       —        —  

Class I

              

From net investment income

        (13,503 )       (10,661 )       (3,737 )       (4,149 ) 

From net realized gains

        (108,901 )       (39,119 )       —        —  

Return of capital

        —        —        —        (215 ) 

Class L

              

From net investment income

        (17,778 )       (35,018 )       (9,307 )       (13,394 ) 

From net realized gains

        (128,936 )       (116,356 )       —        —  

Return of capital

        —        —        —        (677 ) 

Class R2

              

From net investment income

        (1,146 )       (1,117 )       —        —  

From net realized gains

        (20,307 )       (7,793 )       —        —  

Class R3 (a)

              

From net investment income

        (344 )       (52 )       —        —  

From net realized gains

        (3,695 )       (1 )       —        —  

Class R4 (a)

              

From net investment income

        (64 )       (2 )       —        —  

From net realized gains

        (440 )       (1 )       —        —  

Class R5

              

From net investment income

        (10,060 )       (9,792 )       —        —  

From net realized gains

        (68,930 )       (30,659 )       —        —  

Class R6

              

From net investment income

        (104,163 )       (66,331 )       (86,761 )       (105,888 ) 

From net realized gains

        (674,676 )       (182,725 )       —        —  

Return of capital

        —        —        —        (4,975 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (1,289,605 )       (573,983 )       (103,632 )       (135,783 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        102,375        127,956        (1,539,735 )       (2,007,733 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        761,104        1,914,506        (669,443 )       (815,045 ) 

Beginning of period

        14,296,993        12,382,487        7,406,533        8,221,578  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 15,058,097      $ 14,296,993      $ 6,737,090      $ 7,406,533  
    

 

 

     

 

 

     

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of)
net investment income

      $ 4,632      $ 6,113      $ 2,513      $ (62 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan U.S. Equity Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         51  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Equity Focus Fund          
    
JPMorgan Equity Income Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

              

Class A

              

Proceeds from shares issued

      $ 1,177      $ 2,075      $ 525,531      $ 894,583  

Distributions reinvested

        186        26        71,651        72,244  

Cost of shares redeemed

        (971 )       (1,176 )       (975,605 )       (1,551,451 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 392      $ 925      $ (378,423 )     $ (584,624 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class C

              

Proceeds from shares issued

      $ 529      $ 2,311      $ 158,580      $ 285,012  

Distributions reinvested

        170        19        25,015        21,767  

Cost of shares redeemed

        (1,305 )       (668 )       (358,771 )       (377,726 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (606 )     $ 1,662      $ (175,176 )     $ (70,947 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class I

              

Proceeds from shares issued

      $ 81,292      $ 77,581      $ 1,983,704      $ 2,752,194  

Distributions reinvested

        10,677        500        131,986        91,463  

Cost of shares redeemed

        (44,038 )       (63,019 )       (2,734,993 )       (1,583,974 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 47,931      $ 15,062      $ (619,303 )     $ 1,259,683  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

              

Proceeds from shares issued

      $ —      $ —      $ 18,053      $ 25,628  

Distributions reinvested

        —        —        1,710        1,465  

Cost of shares redeemed

        —        —        (33,335 )       (26,181 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ —      $ —      $ (13,572 )     $ 912  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R3 (a)

              

Proceeds from shares issued

      $ —      $ —      $ 82,515      $ 25,864  

Distributions reinvested

        —        —        1,736        81  

Cost of shares redeemed

        —        —        (19,935 )       (1,061 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ —      $ —      $ 64,316      $ 24,884  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R4 (a)

              

Proceeds from shares issued

      $ —      $ —      $ 29,460      $ 1,348  

Distributions reinvested

        —        —        452        5  

Cost of shares redeemed

        —        —        (8,782 )       (22 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ —      $ —      $ 21,130      $ 1,331  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R5

              

Proceeds from shares issued

      $ —      $ —      $ 468,882      $ 335,193  

Distributions reinvested

        —        —        26,960        20,248  

Cost of shares redeemed

        —        —        (382,098 )       (265,692 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ —      $ —      $ 113,744      $ 89,749  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R6

              

Proceeds from shares issued

      $ —      $ —      $ 2,906,484      $ 944,610  

Distributions reinvested

        —        —        124,146        58,534  

Cost of shares redeemed

        —        —        (829,263 )       (358,178 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ —      $ —      $ 2,201,367      $ 644,966  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

      $ 47,717      $ 17,649      $ 1,214,083      $ 1,365,954  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Equity Income Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Equity Focus Fund          
    
JPMorgan Equity Income Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

              

Class A

              

Issued

        38        77        31,499        60,548  

Reinvested

        6        1        4,281        4,819  

Redeemed

        (32 )       (44 )       (58,701 )       (103,227 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class A Shares

        12        34        (22,921 )       (37,860 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class C

              

Issued

        17        87        9,654        19,503  

Reinvested

        6        1        1,521        1,474  

Redeemed

        (43 )       (25 )       (22,050 )       (25,612 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class C Shares

        (20 )       63        (10,875 )       (4,635 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class I

              

Issued

        2,578        2,794        116,951        180,530  

Reinvested

        345        18        7,758        5,980  

Redeemed

        (1,399 )       (2,369 )       (165,937 )       (104,537 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class I Shares

        1,524        443        (41,228 )       81,973  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

              

Issued

        —        —        1,087        1,732  

Reinvested

        —        —        103        98  

Redeemed

        —        —        (1,990 )       (1,759 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R2 Shares

        —        —        (800 )       71  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R3 (a)

              

Issued

        —        —        4,897        1,673  

Reinvested

        —        —        103        5  

Redeemed

        —        —        (1,179 )       (68 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R3 Shares

        —        —        3,821        1,610  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R4 (a)

              

Issued

        —        —        1,791        85  

Reinvested

        —        —        27        — (b) 

Redeemed

        —        —        (530 )       (1 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R4 Shares

        —        —        1,288        84  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R5

              

Issued

        —        —        27,638        22,474  

Reinvested

        —        —        1,584        1,327  

Redeemed

        —        —        (22,367 )       (17,279 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R5 Shares

        —        —        6,855        6,522  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R6

              

Issued

        —        —        174,849        62,362  

Reinvested

        —        —        7,288        3,831  

Redeemed

        —        —        (48,541 )       (23,492 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R6 Shares

        —        —        133,596        42,701  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Equity Income Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         53  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Growth and Income Fund         
    
JPMorgan Hedged Equity Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		     Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

             

Class A

             

Proceeds from shares issued

      $ 63,584      $ 26,975     $ 245,722      $ 108,278  

Distributions reinvested

        24,233        25,772       1,770        963  

Cost of shares redeemed

        (85,887 )       (69,807 )      (115,928 )       (56,579 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 1,930      $ (17,060 )    $ 131,564      $ 52,662  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class C

             

Proceeds from shares issued

      $ 3,673      $ 7,478     $ 56,798      $ 21,214  

Distributions reinvested

        1,171        1,487       200        102  

Cost of shares redeemed

        (11,728 )       (8,463 )      (7,913 )       (3,586 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (6,884 )     $ 502     $ 49,085      $ 17,730  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class I

             

Proceeds from shares issued

      $ 34,111      $ 29,950     $ 1,593,492      $ 479,420  

Distributions reinvested

        3,841        2,468       13,345        4,026  

Cost of shares redeemed

        (28,585 )       (12,449 )      (320,018 )       (76,819 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 9,367      $ 19,969     $ 1,286,819      $ 406,627  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R2

             

Proceeds from shares issued

      $ 15      $ — (a)    $ —      $ —  

Distributions reinvested

        1        1       —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ 16      $ 1     $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R3 (b)

             

Proceeds from shares issued

      $ 20      $ —     $ —      $ —  

Distributions reinvested

        1        —       —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 21      $ —     $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R4 (b)

            

Proceeds from shares issued

      $ 20      $ —     $ —      $ —  

Distributions reinvested

        1        —       —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 21      $ —     $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R5

             

Proceeds from shares issued

      $ 6      $ 13     $ 152      $ 11  

Distributions reinvested

        3        1       1        — (a) 

Cost of shares redeemed

        (6 )       (1 )      (72 )       (2 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ 3      $ 13     $ 81      $ 9  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R6

             

Proceeds from shares issued

      $ 34,075      $ 2,071     $ 128,229      $ 3,711  

Distributions reinvested

        501        25       199        12  

Cost of shares redeemed

        (1,486 )       (34 )      (10,214 )       (523 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 33,090      $ 2,062     $ 118,214      $ 3,200  
    

 

 

     

 

 

    

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

      $ 37,564      $ 5,487     $ 1,585,763      $ 480,228  
    

 

 

     

 

 

    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Growth and Income Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Growth and Income Fund         
    
JPMorgan Hedged Equity Fund		  
        Year Ended
June 30, 2018		     Year Ended
June 30, 2017		     Year Ended
June 30, 2018		     Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

           

Class A

           

Issued

        1,271       593       12,948       6,104  

Reinvested

        485       563       93       55  

Redeemed

        (1,688 )      (1,532 )      (6,071 )      (3,224 ) 
    

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class A Shares

        68       (376 )      6,970       2,935  
    

 

 

    

 

 

    

 

 

    

 

 

  

Class C

           

Issued

        81       180       2,990       1,195  

Reinvested

        26       36       11       6  

Redeemed

        (259 )      (205 )      (415 )      (205 ) 
    

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class C Shares

        (152 )      11       2,586       996  
    

 

 

    

 

 

    

 

 

    

 

 

  

Class I

           

Issued

        649       619       83,305       27,070  

Reinvested

        73       51       699       227  

Redeemed

        (543 )      (261 )      (16,636 )      (4,393 ) 
    

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class I Shares

        179       409       67,368       22,904  
    

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

           

Issued

        — (a)      —       —       —  

Reinvested

        — (a)      — (a)      —       —  
    

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R2 Shares

        — (a)      — (a)      —       —  
    

 

 

    

 

 

    

 

 

    

 

 

  

Class R3 (b)

           

Issued

        — (a)      —       —       —  

Reinvested

        — (a)      —       —       —  
    

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R3 Shares

        — (a)      —       —       —  
    

 

 

    

 

 

    

 

 

    

 

 

  

Class R4 (b)

           

Issued

        — (a)      —       —       —  

Reinvested

        — (a)      —       —       —  
    

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R4 Shares

        — (a)      —       —       —  
    

 

 

    

 

 

    

 

 

    

 

 

  

Class R5

           

Issued

        — (a)      1       8       1  

Reinvested

        — (a)      — (a)      — (a)      — (a) 

Redeemed

        — (a)      — (a)      (4 )      — (a) 
    

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R5 Shares

        — (a)      1       4       1  
    

 

 

    

 

 

    

 

 

    

 

 

  

Class R6

           

Issued

        615       43       6,591       203  

Reinvested

        10       1       10       1  

Redeemed

        (28 )      (1 )      (527 )      (29 ) 
    

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R6 Shares

        597       43       6,074       175  
    

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 31, 2017 for JPMorgan Growth and Income Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         55  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Large Cap Growth Fund         
    
JPMorgan Large Cap Value Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		     Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

             

Class A

             

Proceeds from shares issued

      $ 495,076      $ 643,833     $ 130,775      $ 168,247  

Net assets acquired in Fund reorganization (See Note 9)

      $ 63,247      $ —     $ —      $ —  

Distributions reinvested

        311,846        303,623       19,806        6,462  

Cost of shares redeemed

        (1,174,028 )       (3,220,124 )      (123,251 )       (78,987 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (303,859 )     $ (2,272,668 )    $ 27,330      $ 95,722  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class C

             

Proceeds from shares issued

      $ 80,665      $ 42,768     $ 38,428      $ 33,013  

Net assets acquired in Fund reorganization (See Note 9)

        13,553        —       —        —  

Distributions reinvested

        59,885        38,865       4,755        1,034  

Cost of shares redeemed

        (152,863 )       (220,512 )      (19,452 )       (7,339 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

      $ 1,240      $ (138,879 )    $ 23,731      $ 26,708  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class I

             

Proceeds from shares issued

      $ 1,263,343      $ 1,980,767     $ 345,159      $ 161,424  

Net assets acquired in Fund reorganization (See Note 9)

        66,379        —       —        —  

Distributions reinvested

        437,623        250,389       25,985        2,254  

Cost of shares redeemed

        (2,608,344 )       (2,307,254 )      (138,314 )       (32,884 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (840,999 )     $ (76,098 )    $ 232,830      $ 130,794  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R2

             

Proceeds from shares issued

      $ 46,028      $ 52,791     $ 13,920      $ 3,523  

Distributions reinvested

        14,353        11,527       689        138  

Cost of shares redeemed

        (68,572 )       (135,753 )      (3,779 )       (1,186 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (8,191 )     $ (71,435 )    $ 10,830      $ 2,475  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R3 (a)

             

Proceeds from shares issued

      $ 5,967      $ 977     $ —      $ —  

Distributions reinvested

        198        2       —        —  

Cost of shares redeemed

        (985 )       (43 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 5,180      $ 936     $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R4 (a)

            

Proceeds from shares issued

      $ 16,616      $ 429     $ —      $ —  

Distributions reinvested

        1,429        2       —        —  

Cost of shares redeemed

        (13,174 )       — (b)      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 4,871      $ 431     $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R5

             

Proceeds from shares issued

      $ 167,961      $ 143,031     $ 21,564      $ 6,133  

Net assets acquired in Fund reorganization (See Note 9)

        201,731        —       —        —  

Distributions reinvested

        99,180        94,629       1,993        376  

Cost of shares redeemed

        (578,359 )       (790,295 )      (9,689 )       (1,640 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (109,487 )     $ (552,635 )    $ 13,868      $ 4,869  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R6

             

Proceeds from shares issued

      $ 2,125,161      $ 678,429     $ 374,045      $ 31,638  

Distributions reinvested

        540,060        283,753       68,661        34,941  

Cost of shares redeemed

        (951,772 )       (1,250,428 )      (97,151 )       (142,895 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 1,713,449      $ (288,246 )    $ 345,555      $ (76,316 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

      $ 462,204      $ (3,398,594 )    $ 654,144      $ 184,252  
    

 

 

     

 

 

    

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Large Cap Growth Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Large Cap Growth Fund         
    
JPMorgan Large Cap Value Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		     Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

             

Class A

             

Issued

        12,491        18,686       8,302        11,164  

Shares issued in connection with Fund reorganization (See Note 9)

        1,736        —       —        —  

Reinvested

        8,728        9,494       1,278        436  

Redeemed

        (28,909 )       (92,834 )      (7,816 )       (5,292 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class A Shares

        (5,954 )       (64,654 )      1,764        6,308  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class C

             

Issued

        2,540        1,492       2,535        2,276  

Shares issued in connection with Fund reorganization (See Note 9)

        460        —       —        —  

Reinvested

        2,073        1,450       319        72  

Redeemed

        (4,716 )       (7,549 )      (1,285 )       (518 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class C Shares

        357        (4,607 )      1,569        1,830  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class I

             

Issued

        30,824        56,465       22,191        10,803  

Shares issued in connection with Fund reorganization (See Note 9)

        1,807        —       —        —  

Reinvested

        12,149        7,786       1,706        153  

Redeemed

        (65,821 )       (66,016 )      (9,034 )       (2,226 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class I Shares

        (21,041 )       (1,765 )      14,863        8,730  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R2

             

Issued

        1,202        1,560       896        240  

Reinvested

        413        368       45        9  

Redeemed

        (1,769 )       (3,925 )      (244 )       (83 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R2 Shares

        (154 )       (1,997 )      697        166  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R3 (a)

             

Issued

        154        27       —        —  

Reinvested

        6        — (b)      —        —  

Redeemed

        (25 )       (1 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R3 Shares

        135        26       —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R4 (a)

             

Issued

        414        11       —        —  

Reinvested

        40        — (b)      —        —  

Redeemed

        (327 )       — (b)      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R4 Shares

        127        11       —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R5

             

Issued

        4,139        4,034       1,379        422  

Shares issued in connection with Fund reorganization (See Note 9)

        5,397        —       —        —  

Reinvested

        2,706        2,903       130        26  

Redeemed

        (14,647 )       (22,615 )      (628 )       (112 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R5 Shares

        (2,405 )       (15,678 )      881        336  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R6

             

Issued

        52,207        19,262       24,088        2,234  

Reinvested

        14,648        8,668       4,491        2,394  

Redeemed

        (23,114 )       (35,193 )      (6,224 )       (9,711 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R6 Shares

        43,741        (7,263 )      22,355        (5,083 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Large Cap Growth Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         57  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan U.S. Equity Fund     JPMorgan U.S. Research Enhanced
Equity Fund (formerly known as
JPMorgan Disciplined Equity Fund)		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		     Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

             

Class A

             

Proceeds from shares issued

      $ 214,993      $ 312,657     $ 52,738      $ 94,963  

Distributions reinvested

        101,906        55,357       3,815        6,471  

Cost of shares redeemed

        (408,599 )       (642,220 )      (247,174 )       (249,037 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (91,700 )     $ (274,206 )    $ (190,621 )     $ (147,603 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Class C

             

Proceeds from shares issued

      $ 53,665      $ 72,492     $ —      $ —  

Distributions reinvested

        22,181        11,726       —        —  

Cost of shares redeemed

        (105,361 )       (103,605 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (29,515 )     $ (19,387 )    $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class I

             

Proceeds from shares issued

      $ 475,037      $ 400,093     $ 41,680      $ 74,063  

Distributions reinvested

        118,776        44,148       3,308        3,996  

Cost of shares redeemed

        (415,816 )       (376,782 )      (93,153 )       (93,896 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 177,997      $ 67,459     $ (48,165 )     $ (15,837 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Class L

             

Proceeds from shares issued

      $ 312,658      $ 711,757     $ 88,724      $ 142,337  

Distributions reinvested

        127,665        128,744       7,140        11,155  

Cost of shares redeemed

        (2,240,979 )       (1,626,435 )      (544,996 )       (270,260 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class L capital transactions

      $ (1,800,656 )     $ (785,934 )    $ (449,132 )     $ (116,768 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R2

             

Proceeds from shares issued

      $ 41,736      $ 74,181     $ —      $ —  

Distributions reinvested

        19,822        8,162       —        —  

Cost of shares redeemed

        (67,632 )       (57,260 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (6,074 )     $ 25,083     $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R3 (a)

             

Proceeds from shares issued

      $ 41,120      $ 25,371     $ —      $ —  

Distributions reinvested

        4,029        52       —        —  

Cost of shares redeemed

        (10,051 )       (546 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 35,098      $ 24,877     $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R4 (a)

             

Proceeds from shares issued

      $ 10,245      $ 1,027     $ —      $ —  

Distributions reinvested

        504        3       —        —  

Cost of shares redeemed

        (1,318 )       — (b)      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 9,431      $ 1,030     $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R5

             

Proceeds from shares issued

      $ 119,546      $ 135,617     $ —      $ —  

Distributions reinvested

        70,680        36,284       —        —  

Cost of shares redeemed

        (181,128 )       (313,018 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ 9,098      $ (141,117 )    $ —      $ —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R6

             

Proceeds from shares issued

      $ 2,759,027      $ 1,524,765     $ 834,134      $ 709,194  

Distributions reinvested

        777,436        247,230       86,745        110,853  

Cost of shares redeemed

        (1,737,767 )       (541,844 )      (1,772,696 )       (2,547,572 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 1,798,696      $ 1,230,151     $ (851,817 )     $ (1,727,525 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

      $ 102,375      $ 127,956     $ (1,539,735 )     $ (2,007,733 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan U.S. Equity Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan U.S. Equity Fund     JPMorgan U.S. Research Enhanced
Equity Fund (formerly known as
JPMorgan Disciplined Equity Fund)		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		     Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

             

Class A

             

Issued

        13,038        20,933       1,931        4,005  

Reinvested

        6,310        3,752       139        270  

Redeemed

        (24,809 )       (43,000 )      (8,885 )       (10,536 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class A Shares

        (5,461 )       (18,315 )      (6,815 )       (6,261 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Class C

             

Issued

        3,347        4,975       —        —  

Reinvested

        1,416        820       —        —  

Redeemed

        (6,567 )       (7,063 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class C Shares

        (1,804 )       (1,268 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class I

             

Issued

        28,752        26,126       1,498        3,033  

Reinvested

        7,333        2,981       119        164  

Redeemed

        (25,267 )       (25,112 )      (3,348 )       (3,949 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class I Shares

        10,818        3,995       (1,731 )       (752 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Class L

             

Issued

        18,949        47,022       3,285        5,950  

Reinvested

        7,871        8,680       259        460  

Redeemed

        (139,241 )       (110,101 )      (19,517 )       (11,410 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class L Shares

        (112,421 )       (54,399 )      (15,973 )       (5,000 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R2

             

Issued

        2,553        4,921       —        —  

Reinvested

        1,239        558       —        —  

Redeemed

        (4,154 )       (3,877 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R2 Shares

        (362 )       1,602       —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R3 (a)

             

Issued

        2,508        1,621       —        —  

Reinvested

        250        3       —        —  

Redeemed

        (610 )       (34 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R3 Shares

        2,148        1,590       —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R4 (a)

             

Issued

        621        65       —        —  

Reinvested

        31        — (b)      —        —  

Redeemed

        (79 )       — (b)      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R4 Shares

        573        65       —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R5

             

Issued

        7,233        9,015       —        —  

Reinvested

        4,355        2,445       —        —  

Redeemed

        (10,982 )       (21,230 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R5 Shares

        606        (9,770 )      —        —  
    

 

 

     

 

 

    

 

 

     

 

 

  

Class R6

             

Issued

        170,342        100,747       29,946        30,002  

Reinvested

        47,843        16,605       3,129        4,586  

Redeemed

        (103,956 )       (36,062 )      (62,298 )       (108,600 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

Change in Class R6 Shares

        114,229        81,290       (29,223 )       (74,012 ) 
    

 

 

     

 

 

    

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan U.S. Equity Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         59  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

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

JPMorgan Equity Focus Fund

                    

Class A

                    

Year Ended June 30, 2018

    $ 29.09      $ 0.08      $ 4.23      $ 4.31      $ (0.01 )    $ (1.56 )     $ (1.57 ) 

Year Ended June 30, 2017

      23.73        (0.01 )       5.70        5.69        (0.01 )      (0.32 )       (0.33 ) 

Year Ended June 30, 2016

      24.78        (0.01 )       (0.38 )       (0.39 )       — (d)      (0.66 )       (0.66 ) 

Year Ended June 30, 2015

      23.56        (0.02 )       1.42        1.40        (0.02 )      (0.16 )       (0.18 ) 

Year Ended June 30, 2014

      19.18        (0.02 )       4.86        4.84        —       (0.46 )       (0.46 ) 

Class C

                    

Year Ended June 30, 2018

      28.28        (0.08 )       4.11        4.03        —       (1.56 )       (1.56 ) 

Year Ended June 30, 2017

      23.18        (0.14 )       5.56        5.42        —       (0.32 )       (0.32 ) 

Year Ended June 30, 2016

      24.34        (0.13 )       (0.37 )       (0.50 )       —       (0.66 )       (0.66 ) 

Year Ended June 30, 2015

      23.24        (0.13 )       1.39        1.26        —       (0.16 )       (0.16 ) 

Year Ended June 30, 2014

      19.01        (0.15 )       4.84        4.69        —       (0.46 )       (0.46 ) 

Class I

                    

Year Ended June 30, 2018

      29.34        0.16        4.27        4.43        (0.08 )      (1.56 )       (1.64 ) 

Year Ended June 30, 2017

      23.92        0.06        5.75        5.81        (0.07 )      (0.32 )       (0.39 ) 

Year Ended June 30, 2016

      24.95        0.06        (0.39 )       (0.33 )       (0.04 )      (0.66 )       (0.70 ) 

Year Ended June 30, 2015

      23.67        0.04        1.44        1.48        (0.04 )      (0.16 )       (0.20 ) 

Year Ended June 30, 2014

      19.22        0.04        4.87        4.91        — (d)      (0.46 )       (0.46 ) 

 

(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)

Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets        

Net asset
value,
end of
period

     Total return
(excludes
sales charge) (b)		     Net assets,
end of
period
(000’s)		     Net
expenses (c)		    

Net

investment
income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate		  
           
           
$ 31.83       15.02 %    $ 4,077       1.11 %      0.26 %      1.31 %      34 % 
  29.09       24.09       3,362       1.17       (0.02 )      1.37       84  
  23.73       (1.60 )      1,937       1.24       (0.03 )      1.55       45  
  24.78       5.98       1,452       1.24       (0.07 )      1.42       52  
  23.56       25.43       423       1.24       (0.10 )      2.11       76  
           
  30.75       14.45       3,017       1.61       (0.26 )      1.80       34  
  28.28       23.49       3,331       1.66       (0.51 )      1.86       84  
  23.18       (2.10 )      1,268       1.74       (0.54 )      1.96       45  
  24.34       5.44       873       1.74       (0.54 )      1.93       52  
  23.24       24.86       133       1.74       (0.67 )      2.82       76  
           
  32.13       15.31       246,276       0.86       0.52       1.03       34  
  29.34       24.43       180,151       0.92       0.23       1.10       84  
  23.92       (1.37 )      136,284       0.99       0.24       1.11       45  
  24.95       6.26       81,179       0.99       0.15       1.12       52  
  23.67       25.75       72,064       0.99       0.19       1.51       76  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         61  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

Net realized
and unrealized

gains
(losses) on
investments

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

JPMorgan Equity Income Fund

                    

Class A

                    

Year Ended June 30, 2018

    $ 15.67      $ 0.26 (e)    $ 1.29      $ 1.55      $ (0.25 )     $ (0.15 )     $ (0.40 ) 

Year Ended June 30, 2017

      14.01        0.24 (e)      1.75        1.99        (0.24 )       (0.09 )       (0.33 ) 

Year Ended June 30, 2016

      13.77        0.25 (e)      0.35        0.60        (0.25 )       (0.11 )       (0.36 ) 

Year Ended June 30, 2015

      13.66        0.25       0.39        0.64        (0.25 )       (0.28 )       (0.53 ) 

Year Ended June 30, 2014

      11.62        0.21 (e)      2.26        2.47        (0.21 )       (0.22 )       (0.43 ) 

Class C

                    

Year Ended June 30, 2018

      15.41        0.17 (e)      1.26        1.43        (0.19 )       (0.15 )       (0.34 ) 

Year Ended June 30, 2017

      13.80        0.16 (e)      1.72        1.88        (0.18 )       (0.09 )       (0.27 ) 

Year Ended June 30, 2016

      13.58        0.18 (e)      0.35        0.53        (0.20 )       (0.11 )       (0.31 ) 

Year Ended June 30, 2015

      13.49        0.18       0.38        0.56        (0.19 )       (0.28 )       (0.47 ) 

Year Ended June 30, 2014

      11.49        0.15 (e)      2.23        2.38        (0.16 )       (0.22 )       (0.38 ) 

Class I

                    

Year Ended June 30, 2018

      15.92        0.31 (e)      1.31        1.62        (0.29 )       (0.15 )       (0.44 ) 

Year Ended June 30, 2017

      14.23        0.28 (e)      1.77        2.05        (0.27 )       (0.09 )       (0.36 ) 

Year Ended June 30, 2016

      13.97        0.28 (e)      0.37        0.65        (0.28 )       (0.11 )       (0.39 ) 

Year Ended June 30, 2015

      13.85        0.29       0.40        0.69        (0.29 )       (0.28 )       (0.57 ) 

Year Ended June 30, 2014

      11.77        0.25 (e)      2.29        2.54        (0.24 )       (0.22 )       (0.46 ) 

Class R2

                    

Year Ended June 30, 2018

      15.62        0.21 (e)      1.28        1.49        (0.22 )       (0.15 )       (0.37 ) 

Year Ended June 30, 2017

      13.97        0.20 (e)      1.75        1.95        (0.21 )       (0.09 )       (0.30 ) 

Year Ended June 30, 2016

      13.74        0.21 (e)      0.35        0.56        (0.22 )       (0.11 )       (0.33 ) 

Year Ended June 30, 2015

      13.64        0.22       0.39        0.61        (0.23 )       (0.28 )       (0.51 ) 

Year Ended June 30, 2014

      11.61        0.18 (e)      2.25        2.43        (0.18 )       (0.22 )       (0.40 ) 

Class R3

                    

Year Ended June 30, 2018

      15.66        0.27 (e)      1.27        1.54        (0.25 )       (0.15 )       (0.40 ) 

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

      14.06        0.19 (e)      1.71        1.90        (0.21 )       (0.09 )       (0.30 ) 

Class R4

                    

Year Ended June 30, 2018

      15.92        0.32 (e)      1.29        1.61        (0.29 )       (0.15 )       (0.44 ) 

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

      14.28        0.29 (e)      1.67        1.96        (0.23 )       (0.09 )       (0.32 ) 

Class R5

                    

Year Ended June 30, 2018

      15.93        0.34 (e)      1.30        1.64        (0.31 )       (0.15 )       (0.46 ) 

Year Ended June 30, 2017

      14.23        0.31 (e)      1.78        2.09        (0.30 )       (0.09 )       (0.39 ) 

Year Ended June 30, 2016

      13.98        0.31 (e)      0.35        0.66        (0.30 )       (0.11 )       (0.41 ) 

Year Ended June 30, 2015

      13.85        0.31       0.41        0.72        (0.31 )       (0.28 )       (0.59 ) 

Year Ended June 30, 2014

      11.78        0.27 (e)      2.29        2.56        (0.27 )       (0.22 )       (0.49 ) 

Class R6

                    

Year Ended June 30, 2018

      15.92        0.35 (e)      1.31        1.66        (0.33 )       (0.15 )       (0.48 ) 

Year Ended June 30, 2017

      14.22        0.32 (e)      1.78        2.10        (0.31 )       (0.09 )       (0.40 ) 

Year Ended June 30, 2016

      13.97        0.33 (e)      0.34        0.67        (0.31 )       (0.11 )       (0.42 ) 

Year Ended June 30, 2015

      13.84        0.33       0.40        0.73        (0.32 )       (0.28 )       (0.60 ) 

Year Ended June 30, 2014

      11.77        0.28 (e)      2.28        2.56        (0.27 )       (0.22 )       (0.49 ) 

 

(a)

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

(b)

Not annualized for periods less than one year.

(c)

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

(d)

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

(e)

Calculated based upon average shares outstanding.

(f)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        

Net asset
value,
end of
period

     Total return
(excludes
sales charge) (b)(c)		     Net assets,
end of
period
(000’s)		     Net
expenses (d)		    

Net
investment

income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (b)		  
           
           
$ 16.82       9.94 %    $ 3,022,879       1.00 %      1.55 %      1.01 %      20 % 
  15.67       14.34       3,176,361       1.04       1.59       1.08       14  
  14.01       4.45       3,370,383       1.04       1.83       1.11       20  
  13.77       4.71       3,014,937       1.04       1.83       1.09       22  
  13.66       21.60       2,360,750       1.04       1.68       1.06       20  
           
  16.50       9.35       1,303,731       1.50       1.05       1.50       20  
  15.41       13.74       1,385,115       1.54       1.09       1.55       14  
  13.80       4.01       1,304,007       1.54       1.33       1.58       20  
  13.58       4.18       1,160,002       1.54       1.32       1.56       22  
  13.49       20.95       805,494       1.54       1.19       1.56       20  
           
  17.10       10.22       6,320,979       0.74       1.81       0.75       20  
  15.92       14.57       6,542,906       0.78       1.84       0.79       14  
  14.23       4.75       4,679,200       0.79       2.07       0.81       20  
  13.97       4.96       4,639,250       0.79       2.08       0.80       22  
  13.85       21.94       3,467,542       0.79       1.92       0.81       20  
           
  16.74       9.59       80,330       1.26       1.29       1.26       20  
  15.62       14.08       87,437       1.29       1.34       1.39       14  
  13.97       4.20       77,230       1.29       1.59       1.45       20  
  13.74       4.44       56,522       1.29       1.59       1.39       22  
  13.64       21.27       28,733       1.29       1.44       1.31       20  
           
  16.80       9.90       91,267       0.99       1.61       0.99       20  
  15.66       13.62       25,209       1.03       1.55       1.05       14  
           
  17.09       10.18       23,451       0.74       1.90       0.75       20  
  15.92       13.85       1,340       0.78       2.28       0.83       14  
           
  17.11       10.38       1,097,476       0.59       1.98       0.60       20  
  15.93       14.84       912,746       0.58       2.05       0.63       14  
  14.23       4.89       722,424       0.59       2.28       0.64       20  
  13.98       5.23       520,660       0.59       2.27       0.63       22  
  13.85       22.06       307,700       0.59       2.11       0.61       20  
           
  17.10       10.49       5,314,382       0.49       2.08       0.50       20  
  15.92       14.95       2,821,798       0.50       2.13       0.50       14  
  14.22       4.98       1,913,077       0.50       2.43       0.50       20  
  13.97       5.31       861,809       0.51       2.35       0.51       22  
  13.84       22.14       551,378       0.54       2.20       0.56       20  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         63  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Growth and Income Fund

                     

Class A

                     

Year Ended June 30, 2018

    $ 46.85      $ 0.64      $ 4.98      $ 5.62      $ (0.62 )     $ (2.08 )     $ (2.70 ) 

Year Ended June 30, 2017

      42.75        0.57        6.31        6.88        (0.57 )       (2.21 )       (2.78 ) 

Year Ended June 30, 2016

      45.46        0.59        (0.27 )       0.32        (0.55 )       (2.48 )       (3.03 ) 

Year Ended June 30, 2015

      44.70        0.59        1.72        2.31        (0.56 )       (0.99 )       (1.55 ) 

Year Ended June 30, 2014

      36.53        0.47        8.17        8.64        (0.47 )       —        (0.47 ) 

Class C

                     

Year Ended June 30, 2018

      42.54        0.35        4.51        4.86        (0.41 )       (2.08 )       (2.49 ) 

Year Ended June 30, 2017

      39.07        0.31        5.76        6.07        (0.39 )       (2.21 )       (2.60 ) 

Year Ended June 30, 2016

      41.83        0.35        (0.25 )       0.10        (0.38 )       (2.48 )       (2.86 ) 

Year Ended June 30, 2015

      41.31        0.32        1.59        1.91        (0.40 )       (0.99 )       (1.39 ) 

Year Ended June 30, 2014

      33.83        0.25        7.55        7.80        (0.32 )       —        (0.32 ) 

Class I

                     

Year Ended June 30, 2018

      49.21        0.81        5.21        6.02        (0.74 )       (2.08 )       (2.82 ) 

Year Ended June 30, 2017

      44.77        0.72        6.62        7.34        (0.69 )       (2.21 )       (2.90 ) 

Year Ended June 30, 2016

      47.45        0.73        (0.27 )       0.46        (0.66 )       (2.48 )       (3.14 ) 

Year Ended June 30, 2015

      46.58        0.73        1.79        2.52        (0.66 )       (0.99 )       (1.65 ) 

Year Ended June 30, 2014

      38.03        0.58        8.52        9.10        (0.55 )       —        (0.55 ) 

Class R2

                     

Year Ended June 30, 2018

      47.06        0.53        4.99        5.52        (0.52 )       (2.08 )       (2.60 ) 

Year Ended June 30, 2017

      42.94        0.46        6.33        6.79        (0.46 )       (2.21 )       (2.67 ) 

November 2, 2015 (f) through June 30, 2016

      45.92        0.40        (0.70 )       (0.30 )       (0.20 )       (2.48 )       (2.68 ) 

Class R3

                     

July 31, 2017 (f) through June 30, 2018

      49.99        0.68        4.46        5.14        (0.64 )       (2.08 )       (2.72 ) 

Class R4

                     

July 31, 2017 (f) through June 30, 2018

      49.99        0.79        4.46        5.25        (0.75 )       (2.08 )       (2.83 ) 

Class R5

                     

Year Ended June 30, 2018

      49.50        0.91        5.23        6.14        (0.82 )       (2.08 )       (2.90 ) 

Year Ended June 30, 2017

      45.01        0.83        6.65        7.48        (0.78 )       (2.21 )       (2.99 ) 

November 2, 2015 (f) through June 30, 2016

      47.95        0.62        (0.73 )       (0.11 )       (0.35 )       (2.48 )       (2.83 ) 

Class R6

                     

Year Ended June 30, 2018

      49.50        1.04        5.16        6.20        (0.87 )       (2.08 )       (2.95 ) 

Year Ended June 30, 2017

      45.01        0.81        6.69        7.50        (0.80 )       (2.21 )       (3.01 ) 

November 2, 2015 (f) through June 30, 2016

      47.95        0.63        (0.72 )       (0.09 )       (0.37 )       (2.48 )       (2.85 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

 

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

Net assets,
end of
period
(000’s)

     Net
expenses (e)		    

Net

investment
income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 49.77       12.04 %    $ 476,090       0.97 %      1.29 %      1.08 %      32 % 
  46.85       16.34       445,078       1.03       1.26       1.10       28  
  42.75       1.02       422,151       1.06       1.38       1.13       39  
  45.46       5.24       434,573       1.10       1.30       1.10       39  
  44.70       23.74       419,465       1.13       1.16       1.15       42  
           
  44.91       11.45       23,034       1.47       0.77       1.55       32  
  42.54       15.76       28,290       1.53       0.76       1.59       28  
  39.07       0.54       25,541       1.56       0.89       1.62       39  
  41.83       4.68       24,647       1.62       0.77       1.63       39  
  41.31       23.12       14,619       1.64       0.66       1.65       42  
           
  52.41       12.29       77,737       0.72       1.55       0.79       32  
  49.21       16.64       64,148       0.78       1.50       0.83       28  
  44.77       1.28       40,068       0.81       1.64       0.86       39  
  47.45       5.48       36,099       0.88       1.53       0.88       39  
  46.58       24.05       27,124       0.89       1.39       0.90       42  
           
  49.98       11.76       41       1.21       1.06       1.49       32  
  47.06       16.04       23       1.28       1.01       2.06       28  
  42.94       (0.40 )      20       1.28       1.44       3.72       39  
           
  52.41       10.33       22       0.94       1.42       1.12       32  
           
  52.41       10.56       22       0.71       1.64       0.87       32  
           
  52.74       12.48       43       0.55       1.72       0.80       32  
  49.50       16.88       37       0.59       1.72       1.23       28  
  45.01       0.05       20       0.59       2.14       3.02       39  
           
  52.75       12.59       33,774       0.44       1.95       0.52       32  
  49.50       16.94       2,129       0.53       1.66       0.55       28  
  45.01       0.08       20       0.53       2.19       2.96       39  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         65  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Hedged Equity Fund

                   

Class A

                   

Year Ended June 30, 2018

    $ 18.24      $ 0.18 (e)    $ 1.15      $ 1.33     $ (0.14 )     $ —      $ (0.14 ) 

Year Ended June 30, 2017

      16.23        0.19 (e)      2.01        2.20       (0.19 )       —        (0.19 ) 

Year Ended June 30, 2016

      16.47        0.20 (e)      (0.28 )       (0.08 )      (0.16 )       —        (0.16 ) 

Year Ended June 30, 2015

      15.74        0.19 (e)      0.67        0.86       (0.13 )       —        (0.13 ) 

December 13, 2013 (g) through June 30, 2014

      15.00        0.07       0.84        0.91       (0.07 )       (0.10 )       (0.17 ) 

Class C

                   

Year Ended June 30, 2018

      18.16        0.08 (e)      1.15        1.23       (0.06 )       —        (0.06 ) 

Year Ended June 30, 2017

      16.17        0.10 (e)      2.01        2.11       (0.12 )       —        (0.12 ) 

Year Ended June 30, 2016

      16.43        0.13 (e)      (0.29 )       (0.16 )      (0.10 )       —        (0.10 ) 

Year Ended June 30, 2015

      15.76        0.10 (e)      0.67        0.77       (0.10 )       —        (0.10 ) 

December 13, 2013 (g) through June 30, 2014

      15.00        0.05       0.83        0.88       (0.02 )       (0.10 )       (0.12 ) 

Class I

                   

Year Ended June 30, 2018

      18.27        0.23 (e)      1.16        1.39       (0.19 )       —        (0.19 ) 

Year Ended June 30, 2017

      16.26        0.23 (e)      2.01        2.24       (0.23 )       —        (0.23 ) 

Year Ended June 30, 2016

      16.50        0.25 (e)      (0.28 )       (0.03 )      (0.21 )       —        (0.21 ) 

Year Ended June 30, 2015

      15.76        0.23 (e)      0.66        0.89       (0.15 )       —        (0.15 ) 

December 13, 2013 (g) through June 30, 2014

      15.00        0.10       0.84        0.94       (0.08 )       (0.10 )       (0.18 ) 

Class R5

                   

Year Ended June 30, 2018

      18.30        0.26 (e)      1.16        1.42       (0.22 )       —        (0.22 ) 

Year Ended June 30, 2017

      16.28        0.26 (e)      2.02        2.28       (0.26 )       —        (0.26 ) 

Year Ended June 30, 2016

      16.51        0.24 (e)      (0.24 )       — (h)      (0.23 )       —        (0.23 ) 

Year Ended June 30, 2015

      15.76        0.26 (e)      0.66        0.92       (0.17 )       —        (0.17 ) 

December 13, 2013 (g) through June 30, 2014

      15.00        0.13       0.82        0.95       (0.09 )       (0.10 )       (0.19 ) 

Class R6

                   

Year Ended June 30, 2018

      18.29        0.27 (e)      1.16        1.43       (0.23 )       —        (0.23 ) 

Year Ended June 30, 2017

      16.28        0.25 (e)      2.03        2.28       (0.27 )       —        (0.27 ) 

Year Ended June 30, 2016

      16.52        0.27 (e)      (0.27 )       — (h)      (0.24 )       —        (0.24 ) 

Year Ended June 30, 2015

      15.76        0.27 (e)      0.67        0.94       (0.18 )       —        (0.18 ) 

December 13, 2013 (g) through June 30, 2014

      15.00        0.13       0.83        0.96       (0.10 )       (0.10 )       (0.20 ) 

 

(a)

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

(b)

Not annualized for periods less than one year.

(c)

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

(d)

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

(e)

Calculated based upon average shares outstanding.

(f)

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.

(g)

Commencement of operations.

(h)

Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

 

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

Net
investment

income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (b)		  
           
           
$ 19.43       7.33 %    $ 277,898       0.84 %      0.92 %      0.87 %      44 % 
  18.24       13.60       133,789       0.84       1.06       1.05       31  
  16.23       (0.43 )      71,417       0.85       1.27       1.11       57  
  16.47       5.45       93,007       0.85 (f)      1.14 (f)      1.21 (f)      42  
  15.74       6.11       569       0.85 (f)      0.96 (f)      16.65 (f)      36  
           
  19.33       6.79       81,030       1.34       0.42       1.38       44  
  18.16       13.07       29,168       1.34       0.55       1.45       31  
  16.17       (0.95 )      9,867       1.35       0.80       1.52       57  
  16.43       4.85       3,405       1.35 (f)      0.59 (f)      1.65 (f)      42  
  15.76       5.87       53       1.35 (f)      0.56 (f)      10.04 (f)      36  
           
  19.47       7.63       1,947,444       0.59       1.17       0.62       44  
  18.27       13.86       597,013       0.59       1.30       0.69       31  
  16.26       (0.17 )      158,820       0.60       1.54       0.74       57  
  16.50       5.66       105,397       0.60 (f)      1.39 (f)      0.91 (f)      42  
  15.76       6.28       4,307       0.60 (f)      1.30 (f)      9.91 (f)      36  
           
  19.50       7.81       123       0.39       1.37       0.67       44  
  18.30       14.10       37       0.40       1.51       1.08       31  
  16.28       0.07       25       0.40       1.49       2.16       57  
  16.51       5.86       442       0.40 (f)      1.58 (f)      0.82 (f)      42  
  15.76       6.37       53       0.40 (f)      1.51 (f)      9.10 (f)      36  
           
  19.49       7.87       121,897       0.34       1.42       0.42       44  
  18.29       14.09       3,289       0.34       1.41       0.42       31  
  16.28       0.07       74       0.35       1.66       1.40       57  
  16.52       5.96       443       0.35 (f)      1.63 (f)      0.77 (f)      42  
  15.76       6.39       53       0.35 (f)      1.56 (f)      9.05 (f)      36  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         67  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

Net

realized

gain

  

JPMorgan Large Cap Growth Fund

                         

Class A

                         

Year Ended June 30, 2018

      $ 38.23        $ (0.10 )       $ 9.92        $ 9.82        $ (5.61 ) 

Year Ended June 30, 2017

        32.93          (0.07 )         8.51          8.44          (3.14 ) 

Year Ended June 30, 2016

        36.82          (0.06 )         (2.23 )         (2.29 )         (1.60 ) 

Year Ended June 30, 2015

        32.49          (0.10 )         5.05          4.95          (0.62 ) 

Year Ended June 30, 2014

        26.01          (0.10 )         6.58          6.48          —  

Class C

                         

Year Ended June 30, 2018

        31.95          (0.25 )         8.11          7.86          (5.61 ) 

Year Ended June 30, 2017

        28.15          (0.20 )         7.14          6.94          (3.14 ) 

Year Ended June 30, 2016

        31.86          (0.20 )         (1.91 )         (2.11 )         (1.60 ) 

Year Ended June 30, 2015

        28.33          (0.24 )         4.39          4.15          (0.62 ) 

Year Ended June 30, 2014

        22.79          (0.22 )         5.76          5.54          —  

Class I

                         

Year Ended June 30, 2018

        38.47          (0.01 )         10.01          10.00          (5.61 ) 

Year Ended June 30, 2017

        33.08          (0.02 )         8.55          8.53          (3.14 ) 

Year Ended June 30, 2016

        36.92          (0.01 )         (2.23 )         (2.24 )         (1.60 ) 

Year Ended June 30, 2015

        32.52          (0.04 )         5.06          5.02          (0.62 ) 

Year Ended June 30, 2014

        25.99          (0.05 )         6.58          6.53          —  

Class R2

                         

Year Ended June 30, 2018

        37.33          (0.20 )         9.65          9.45          (5.61 ) 

Year Ended June 30, 2017

        32.31          (0.16 )         8.32          8.16          (3.14 ) 

Year Ended June 30, 2016

        36.24          (0.15 )         (2.18 )         (2.33 )         (1.60 ) 

Year Ended June 30, 2015

        32.07          (0.18 )         4.97          4.79          (0.62 ) 

Year Ended June 30, 2014

        25.74          (0.18 )         6.51          6.33          —  

Class R3

                         

Year Ended June 30, 2018

        38.39          (0.08 )         9.94          9.86          (5.61 ) 

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

        33.97          (0.06 )         7.62          7.56          (3.14 ) 

Class R4

                         

Year Ended June 30, 2018

        38.47          0.01          9.98          9.99          (5.61 ) 

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

        33.97          0.04          7.60          7.64          (3.14 ) 

Class R5

                         

Year Ended June 30, 2018

        39.04          0.06          10.16          10.22          (5.61 ) 

Year Ended June 30, 2017

        33.46          0.05          8.67          8.72          (3.14 ) 

Year Ended June 30, 2016

        37.25          0.06          (2.25 )         (2.19 )         (1.60 ) 

Year Ended June 30, 2015

        32.75          0.03          5.09          5.12          (0.62 ) 

Year Ended June 30, 2014

        26.12          0.01          6.62          6.63          —  

Class R6

                         

Year Ended June 30, 2018

        39.23          0.10          10.23          10.33          (5.61 ) 

Year Ended June 30, 2017

        33.58          0.09          8.70          8.79          (3.14 ) 

Year Ended June 30, 2016

        37.34          0.10          (2.26 )         (2.16 )         (1.60 ) 

Year Ended June 30, 2015

        32.80          0.06          5.10          5.16          (0.62 ) 

Year Ended June 30, 2014

        26.15          0.02          6.63          6.65          —  

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		         
Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 42.44       28.45 %    $ 2,481,816       0.97 %      (0.25 )%      1.11 %      24 % 
  38.23       27.50       2,462,957       1.05       (0.19 )      1.25       22  
  32.93       (6.45 )      4,251,242       1.04       (0.17 )      1.27       43  
  36.82       15.40       4,670,460       1.06       (0.28 )      1.21       19  
  32.49       24.91       5,044,428       1.10       (0.34 )      1.19       39  
           
  34.20       27.83       534,199       1.47       (0.75 )      1.60       24  
  31.95       26.79       487,702       1.55       (0.69 )      1.67       22  
  28.15       (6.90 )      559,238       1.55       (0.67 )      1.69       43  
  31.86       14.83       600,404       1.56       (0.78 )      1.68       19  
  28.33       24.31       523,972       1.59       (0.85 )      1.69       39  
           
  42.86       28.77       4,413,908       0.74       (0.03 )      0.85       24  
  38.47       27.65       4,771,428       0.89       (0.05 )      0.90       22  
  33.08       (6.29 )      4,161,010       0.89       (0.04 )      0.93       43  
  36.92       15.60       5,515,626       0.90       (0.12 )      0.92       19  
  32.52       25.13       5,037,737       0.93       (0.18 )      0.94       39  
           
  41.17       28.11       156,775       1.24       (0.52 )      1.35       24  
  37.33       27.14       147,902       1.31       (0.46 )      1.47       22  
  32.31       (6.67 )      192,560       1.30       (0.43 )      1.55       43  
  36.24       15.10       242,550       1.31       (0.53 )      1.49       19  
  32.07       24.59       222,421       1.35       (0.60 )      1.44       39  
           
  42.64       28.43       6,865       0.96       (0.21 )      1.10       24  
  38.39       24.05       992       1.12       (0.20 )      1.20       22  
           
  42.85       28.74       5,930       0.73       0.02       0.85       24  
  38.47       24.31       440       0.89       0.12       1.07       22  
           
  43.65       28.93       788,766       0.59       0.14       0.70       24  
  39.04       27.92       799,190       0.70       0.15       0.72       22  
  33.46       (6.10 )      1,209,521       0.69       0.17       0.73       43  
  37.25       15.80       1,394,419       0.70       0.08       0.74       19  
  32.75       25.38       1,400,112       0.73       0.02       0.74       39  
           
  43.95       29.08       5,962,328       0.48       0.24       0.60       24  
  39.23       28.03       3,606,093       0.60       0.25       0.60       22  
  33.58       (6.00 )      3,330,565       0.60       0.28       0.60       43  
  37.34       15.90       3,220,191       0.62       0.17       0.62       19  
  32.80       25.43       2,709,590       0.68       0.07       0.69       39  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         69  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Large Cap Value Fund

                     

Class A

                     

Year Ended June 30, 2018

    $ 15.48      $ 0.15      $ 0.89      $ 1.04      $ (0.13 )     $ (1.28 )     $ (1.41 ) 

Year Ended June 30, 2017

      12.71        0.15        3.42        3.57        (0.14 )       (0.66 )       (0.80 ) 

Year Ended June 30, 2016

      15.02        0.17        (0.59 )       (0.42 )       (0.16 )       (1.73 )       (1.89 ) 

Year Ended June 30, 2015

      16.63        0.17        0.94        1.11        (0.17 )       (2.55 )       (2.72 ) 

Year Ended June 30, 2014

      13.99        0.17        3.16        3.33        (0.18 )       (0.51 )       (0.69 ) 

Class C

                     

Year Ended June 30, 2018

      14.93        0.06        0.86        0.92        (0.06 )       (1.28 )       (1.34 ) 

Year Ended June 30, 2017

      12.30        0.07        3.30        3.37        (0.08 )       (0.66 )       (0.74 ) 

Year Ended June 30, 2016

      14.60        0.10        (0.58 )       (0.48 )       (0.09 )       (1.73 )       (1.82 ) 

Year Ended June 30, 2015

      16.25        0.08        0.92        1.00        (0.10 )       (2.55 )       (2.65 ) 

Year Ended June 30, 2014

      13.70        0.09        3.08        3.17        (0.11 )       (0.51 )       (0.62 ) 

Class I

                     

Year Ended June 30, 2018

      15.24        0.18        0.87        1.05        (0.16 )       (1.28 )       (1.44 ) 

Year Ended June 30, 2017

      12.53        0.17        3.37        3.54        (0.17 )       (0.66 )       (0.83 ) 

Year Ended June 30, 2016

      14.79        0.15        (0.54 )       (0.39 )       (0.14 )       (1.73 )       (1.87 ) 

Year Ended June 30, 2015

      16.42        0.19        0.92        1.11        (0.19 )       (2.55 )       (2.74 ) 

Year Ended June 30, 2014

      13.82        0.19        3.11        3.30        (0.19 )       (0.51 )       (0.70 ) 

Class R2

                     

Year Ended June 30, 2018

      15.39        0.11        0.86        0.97        (0.09 )       (1.28 )       (1.37 ) 

Year Ended June 30, 2017

      12.64        0.10        3.41        3.51        (0.10 )       (0.66 )       (0.76 ) 

Year Ended June 30, 2016

      14.96        0.14        (0.60 )       (0.46 )       (0.13 )       (1.73 )       (1.86 ) 

Year Ended June 30, 2015

      16.58        0.13        0.94        1.07        (0.14 )       (2.55 )       (2.69 ) 

Year Ended June 30, 2014

      13.95        0.13        3.14        3.27        (0.13 )       (0.51 )       (0.64 ) 

Class R5

                     

Year Ended June 30, 2018

      15.37        0.21        0.88        1.09        (0.19 )       (1.28 )       (1.47 ) 

Year Ended June 30, 2017

      12.63        0.20        3.39        3.59        (0.19 )       (0.66 )       (0.85 ) 

Year Ended June 30, 2016

      14.93        0.21        (0.58 )       (0.37 )       (0.20 )       (1.73 )       (1.93 ) 

Year Ended June 30, 2015

      16.54        0.22        0.94        1.16        (0.22 )       (2.55 )       (2.77 ) 

Year Ended June 30, 2014

      13.92        0.19        3.16        3.35        (0.22 )       (0.51 )       (0.73 ) 

Class R6

                     

Year Ended June 30, 2018

      15.28        0.22        0.88        1.10        (0.20 )       (1.28 )       (1.48 ) 

Year Ended June 30, 2017

      12.56        0.20        3.38        3.58        (0.20 )       (0.66 )       (0.86 ) 

Year Ended June 30, 2016

      14.86        0.24        (0.60 )       (0.36 )       (0.21 )       (1.73 )       (1.94 ) 

Year Ended June 30, 2015

      16.48        0.25        0.91        1.16        (0.23 )       (2.55 )       (2.78 ) 

Year Ended June 30, 2014

      13.87        0.22        3.13        3.35        (0.23 )       (0.51 )       (0.74 ) 

 

(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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
70       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

 

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

Net
investment

income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate		  
           
           
$ 15.11       6.52 %    $ 236,470       0.93 %      0.92 %      1.04 %      130 % 
  15.48       28.47       215,017       0.92       1.01       1.08       145  
  12.71       (2.51 )      96,373       0.93       1.27       1.12       219  
  15.02       7.44       93,078       0.93       1.07       1.05       143  
  16.63       24.46       92,161       0.93       1.11       1.06       168  
           
  14.51       5.94       69,445       1.44       0.42       1.52       130  
  14.93       27.72       48,028       1.44       0.50       1.57       145  
  12.30       (2.98 )      17,041       1.45       0.75       1.62       219  
  14.60       6.88       14,307       1.45       0.55       1.55       143  
  16.25       23.78       11,646       1.44       0.59       1.56       168  
           
  14.85       6.74       378,058       0.70       1.19       0.77       130  
  15.24       28.61       161,494       0.79       1.15       0.80       145  
  12.53       (2.34 )      23,373       0.77       1.07       0.77       219  
  14.79       7.56       634,301       0.77       1.22       0.77       143  
  16.42       24.62       662,936       0.79       1.24       0.80       168  
           
  14.99       6.14       17,046       1.21       0.68       1.30       130  
  15.39       28.11       6,775       1.23       0.71       1.43       145  
  12.64       (2.78 )      3,462       1.20       1.05       1.57       219  
  14.96       7.21       1,074       1.20       0.82       1.40       143  
  16.58       24.07       455       1.20       0.83       1.30       168  
           
  14.99       6.90       23,166       0.55       1.33       0.63       130  
  15.37       28.82       10,218       0.59       1.35       0.62       145  
  12.63       (2.15 )      4,155       0.59       1.52       0.60       219  
  14.93       7.83       4,443       0.58       1.41       0.59       143  
  16.54       24.81       4,433       0.57       1.30       0.59       168  
           
  14.90       7.04       928,167       0.46       1.41       0.52       130  
  15.28       28.90       610,732       0.51       1.43       0.52       145  
  12.56       (2.06 )      565,542       0.51       1.90       0.52       219  
  14.86       7.85       4,145       0.53       1.54       0.53       143  
  16.48       24.89       50,923       0.54       1.48       0.55       168  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         71  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan U.S. Equity Fund

                    

Class A

                    

Year Ended June 30, 2018

    $ 15.80      $ 0.11 (e)    $ 1.94      $ 2.05      $ (0.11 )     $ (1.26 )     $ (1.37 ) 

Year Ended June 30, 2017

      13.76        0.11 (e)      2.57        2.68        (0.11 )       (0.53 )       (0.64 ) 

Year Ended June 30, 2016

      14.75        0.12 (e)      (0.30 )       (0.18 )       (0.11 )       (0.70 )       (0.81 ) 

Year Ended June 30, 2015

      14.92        0.13       1.10        1.23        (0.13 )       (1.27 )       (1.40 ) 

Year Ended June 30, 2014

      12.80        0.11 (e)      3.09        3.20        (0.11 )       (0.97 )       (1.08 ) 

Class C

                    

Year Ended June 30, 2018

      15.37        0.03 (e)      1.89        1.92        (0.04 )       (1.26 )       (1.30 ) 

Year Ended June 30, 2017

      13.41        0.04 (e)      2.49        2.53        (0.04 )       (0.53 )       (0.57 ) 

Year Ended June 30, 2016

      14.40        0.05 (e)      (0.30 )       (0.25 )       (0.04 )       (0.70 )       (0.74 ) 

Year Ended June 30, 2015

      14.61        0.07       1.06        1.13        (0.07 )       (1.27 )       (1.34 ) 

Year Ended June 30, 2014

      12.56        0.04 (e)      3.03        3.07        (0.05 )       (0.97 )       (1.02 ) 

Class I

                    

Year Ended June 30, 2018

      15.83        0.15 (e)      1.94        2.09        (0.15 )       (1.26 )       (1.41 ) 

Year Ended June 30, 2017

      13.79        0.14 (e)      2.57        2.71        (0.14 )       (0.53 )       (0.67 ) 

Year Ended June 30, 2016

      14.78        0.13 (e)      (0.29 )       (0.16 )       (0.13 )       (0.70 )       (0.83 ) 

Year Ended June 30, 2015

      14.94        0.16       1.11        1.27        (0.16 )       (1.27 )       (1.43 ) 

Year Ended June 30, 2014

      12.80        0.13 (e)      3.10        3.23        (0.12 )       (0.97 )       (1.09 ) 

Class L

                    

Year Ended June 30, 2018

      15.85        0.17 (e)      1.94        2.11        (0.17 )       (1.26 )       (1.43 ) 

Year Ended June 30, 2017

      13.80        0.16 (e)      2.58        2.74        (0.16 )       (0.53 )       (0.69 ) 

Year Ended June 30, 2016

      14.79        0.16 (e)      (0.30 )       (0.14 )       (0.15 )       (0.70 )       (0.85 ) 

Year Ended June 30, 2015

      14.96        0.19       1.09        1.28        (0.18 )       (1.27 )       (1.45 ) 

Year Ended June 30, 2014

      12.82        0.16 (e)      3.10        3.26        (0.15 )       (0.97 )       (1.12 ) 

Class R2

                    

Year Ended June 30, 2018

      15.68        0.07 (e)      1.92        1.99        (0.07 )       (1.26 )       (1.33 ) 

Year Ended June 30, 2017

      13.66        0.07 (e)      2.55        2.62        (0.07 )       (0.53 )       (0.60 ) 

Year Ended June 30, 2016

      14.66        0.08 (e)      (0.31 )       (0.23 )       (0.07 )       (0.70 )       (0.77 ) 

Year Ended June 30, 2015

      14.84        0.10       1.09        1.19        (0.10 )       (1.27 )       (1.37 ) 

Year Ended June 30, 2014

      12.74        0.07 (e)      3.08        3.15        (0.08 )       (0.97 )       (1.05 ) 

Class R3

                    

Year Ended June 30, 2018

      15.76        0.11 (e)      1.93        2.04        (0.11 )       (1.26 )       (1.37 ) 

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

      14.11        0.08 (e)      2.24        2.32        (0.14 )       (0.53 )       (0.67 ) 

Class R4

                    

Year Ended June 30, 2018

      15.82        0.16 (e)      1.93        2.09        (0.15 )       (1.26 )       (1.41 ) 

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

      14.15        0.13 (e)      2.22        2.35        (0.15 )       (0.53 )       (0.68 ) 

Class R5

                    

Year Ended June 30, 2018

      15.85        0.18 (e)      1.95        2.13        (0.18 )       (1.26 )       (1.44 ) 

Year Ended June 30, 2017

      13.81        0.17 (e)      2.57        2.74        (0.17 )       (0.53 )       (0.70 ) 

Year Ended June 30, 2016

      14.80        0.18 (e)      (0.31 )       (0.13 )       (0.16 )       (0.70 )       (0.86 ) 

Year Ended June 30, 2015

      14.96        0.19       1.11        1.30        (0.19 )       (1.27 )       (1.46 ) 

Year Ended June 30, 2014

      12.82        0.16 (e)      3.11        3.27        (0.16 )       (0.97 )       (1.13 ) 

Class R6

                    

Year Ended June 30, 2018

      15.87        0.19 (e)      1.95        2.14        (0.19 )       (1.26 )       (1.45 ) 

Year Ended June 30, 2017

      13.82        0.18 (e)      2.58        2.76        (0.18 )       (0.53 )       (0.71 ) 

Year Ended June 30, 2016

      14.82        0.18 (e)      (0.31 )       (0.13 )       (0.17 )       (0.70 )       (0.87 ) 

Year Ended June 30, 2015

      14.98        0.20       1.10        1.30        (0.19 )       (1.27 )       (1.46 ) 

Year Ended June 30, 2014

      12.83        0.17 (e)      3.11        3.28        (0.16 )       (0.97 )       (1.13 ) 

 

(a)

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

(b)

Not annualized for periods less than one year.

(c)

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

(d)

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

(e)

Calculated based upon average shares outstanding.

(f)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

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     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (b)(c)		    

Net assets,

end of

period
(000’s)

     Net
expenses (d)		    

Net

investment
income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (b)		  
           
           
$ 16.48       13.20 %    $ 1,340,858       0.94 %      0.69 %      1.01 %      97 % 
  15.80       19.86       1,371,821       0.94       0.75       1.10       86  
  13.76       (1.15 )      1,446,878       0.94       0.85       1.14       83  
  14.75       8.70       1,399,208       0.95       0.92       1.10       79  
  14.92       25.90       1,172,752       0.97       0.77       1.05       73  
           
  15.99       12.66       302,297       1.44       0.19       1.50       97  
  15.37       19.23       318,369       1.44       0.25       1.55       86  
  13.41       (1.66 )      294,744       1.44       0.35       1.59       83  
  14.40       8.15       253,608       1.45       0.41       1.57       79  
  14.61       25.30       175,265       1.47       0.28       1.55       73  
           
  16.51       13.44       1,521,535       0.71       0.92       0.75       97  
  15.83       20.05       1,287,300       0.76       0.93       0.81       86  
  13.79       (1.00 )      1,066,145       0.76       0.94       0.81       83  
  14.78       8.92       2,375,538       0.77       1.08       0.79       79  
  14.94       26.21       2,288,734       0.79       0.94       0.80       73  
           
  16.53       13.56       1,679,995       0.57       1.05       0.60       97  
  15.85       20.27       3,391,256       0.61       1.07       0.67       86  
  13.80       (0.83 )      3,704,104       0.61       1.18       0.68       83  
  14.79       9.01       4,932,896       0.62       1.25       0.66       79  
  14.96       26.41       4,178,050       0.64       1.12       0.65       73  
           
  16.34       12.88       265,675       1.21       0.42       1.25       97  
  15.68       19.58       260,589       1.20       0.48       1.40       86  
  13.66       (1.47 )      205,224       1.19       0.60       1.48       83  
  14.66       8.45       178,272       1.20       0.67       1.41       79  
  14.84       25.61       126,549       1.22       0.53       1.30       73  
           
  16.43       13.18       61,413       0.95       0.69       1.00       97  
  15.76       16.83       25,050       1.00       0.67       1.03       86  
           
  16.50       13.48       10,531       0.70       0.94       0.75       97  
  15.82       16.99       1,030       0.75       1.03       0.81       86  
           
  16.54       13.66       938,744       0.54       1.08       0.60       97  
  15.85       20.24       890,105       0.56       1.12       0.62       86  
  13.81       (0.77 )      910,033       0.56       1.27       0.63       83  
  14.80       9.13       496,102       0.57       1.30       0.62       79  
  14.96       26.45       441,628       0.59       1.16       0.60       73  
           
  16.56       13.75       8,937,049       0.46       1.17       0.50       97  
  15.87       20.37       6,751,473       0.50       1.19       0.50       86  
  13.82       (0.78 )      4,755,359       0.50       1.33       0.50       83  
  14.82       9.17       2,976,379       0.51       1.35       0.52       79  
  14.98       26.57       2,392,416       0.54       1.21       0.55       73  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         73  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

 

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

JPMorgan U.S. Research Enhanced Equity Fund

(formerly known as JPMorgan Disciplined Equity Fund)

 

 

            

Class A

                        

Year Ended June 30, 2018

    $ 25.40      $ 0.31      $ 2.96      $ 3.27      $ (0.30 )     $ —      $ —      $ (0.30 ) 

Year Ended June 30, 2017

      21.74        0.28        3.72        4.00        (0.32 )       —        (0.02 )       (0.34 ) 

Year Ended June 30, 2016

      23.99        0.26        (1.32 )       (1.06 )       (0.22 )       (0.97 )       —        (1.19 ) 

Year Ended June 30, 2015

      23.73        0.20        1.85        2.05        (0.19 )       (1.60 )       —        (1.79 ) 

Year Ended June 30, 2014

      20.27        0.23        4.79        5.02        (0.21 )       (1.35 )       —        (1.56 ) 

Class I

                        

Year Ended June 30, 2018

      25.62        0.39        2.98        3.37        (0.38 )       —        —        (0.38 ) 

Year Ended June 30, 2017

      21.92        0.35        3.76        4.11        (0.39 )       —        (0.02 )       (0.41 ) 

Year Ended June 30, 2016

      24.18        0.32        (1.34 )       (1.02 )       (0.27 )       (0.97 )       —        (1.24 ) 

Year Ended June 30, 2015

      23.88        0.26        1.87        2.13        (0.23 )       (1.60 )       —        (1.83 ) 

Year Ended June 30, 2014

      20.39        0.28        4.82        5.10        (0.26 )       (1.35 )       —        (1.61 ) 

Class L

                        

Year Ended June 30, 2018

      25.58        0.38        2.98        3.36        (0.37 )       —        —        (0.37 ) 

Year Ended June 30, 2017

      21.89        0.35        3.75        4.10        (0.39 )       —        (0.02 )       (0.41 ) 

Year Ended June 30, 2016

      24.15        0.35        (1.33 )       (0.98 )       (0.31 )       (0.97 )       —        (1.28 ) 

Year Ended June 30, 2015

      23.85        0.29        1.89        2.18        (0.28 )       (1.60 )       —        (1.88 ) 

Year Ended June 30, 2014

      20.36        0.32        4.81        5.13        (0.29 )       (1.35 )       —        (1.64 ) 

Class R6

                        

Year Ended June 30, 2018

      25.59        0.41        2.97        3.38        (0.40 )       —        —        (0.40 ) 

Year Ended June 30, 2017

      21.90        0.38        3.75        4.13        (0.42 )       —        (0.02 )       (0.44 ) 

Year Ended June 30, 2016

      24.16        0.37        (1.33 )       (0.96 )       (0.33 )       (0.97 )       —        (1.30 ) 

Year Ended June 30, 2015

      23.85        0.32        1.89        2.21        (0.30 )       (1.60 )       —        (1.90 ) 

Year Ended June 30, 2014

      20.36        0.34        4.81        5.15        (0.31 )       (1.35 )       —        (1.66 ) 

 

(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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
74       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

 

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (b)		    

Net assets,
end of
period
(000’s)

     Net
expenses (c)		    

Net

investment
income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate		  
           
           
$ 28.37       12.92 %    $ 278,766       0.60 %      1.13 %      0.85 %      45 % 
  25.40       18.52       422,719       0.69       1.19       0.96       40  
  21.74       (4.30 )      497,934       0.85       1.20       1.02       122  
  23.99       9.04       483,296       0.85       0.84       0.97       144  
  23.73       25.73       206,635       0.85       1.02       0.86       113  
           
  28.61       13.19       268,898       0.35       1.39       0.60       45  
  25.62       18.85       285,141       0.43       1.45       0.69       40  
  21.92       (4.08 )      260,494       0.60       1.45       0.69       122  
  24.18       9.34       260,618       0.60       1.09       0.64       144  
  23.88       26.00       82,899       0.59       1.28       0.61       113  
           
  28.57       13.20       476,809       0.35       1.38       0.44       45  
  25.58       18.86       835,535       0.40       1.47       0.49       40  
  21.89       (3.94 )      824,559       0.45       1.59       0.50       122  
  24.15       9.53       796,919       0.45       1.21       0.51       144  
  23.85       26.20       389,507       0.45       1.42       0.46       113  
           
  28.57       13.28       5,712,617       0.25       1.50       0.34       45  
  25.59       19.00       5,863,138       0.28       1.60       0.34       40  
  21.90       (3.83 )      6,638,591       0.34       1.69       0.35       122  
  24.16       9.67       6,205,582       0.35       1.33       0.36       144  
  23.85       26.31       3,598,945       0.35       1.52       0.36       113  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         75  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018

 

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 8 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

 

      Classes Offered    Trust    Diversified/Non-Diversified
JPMorgan Equity Focus Fund    Class A, Class C and Class I    JPM I    Non-Diversified
JPMorgan Equity Income Fund    Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6    JPM II    Diversified
JPMorgan Growth and Income Fund    Class A, Class C, Class I, Class R2, Class R3*, Class R4*, Class R5 and Class R6    JPM I    Diversified
JPMorgan Hedged Equity Fund    Class A, Class C, Class I, Class R5 and Class R6    JPM I    Diversified
JPMorgan Large Cap Growth Fund    Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6    JPM II    Diversified
JPMorgan Large Cap Value Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM II    Diversified
JPMorgan U.S. Equity Fund    Class A, Class C, Class I, Class L^^, Class R2, Class R3, Class R4, Class R5 and Class R6    JPM I    Diversified
JPMorgan U.S. Research Enhanced Equity Fund^    Class A^^^, Class I, Class L^^ and Class R6    JPM I    Diversified

 

*

Class R3 and Class R4 commenced operations on July 31, 2017 for Growth and Income Fund.

^

Effective November 1, 2017, Disciplined Equity Fund changed its name to U.S. Research Enhanced Equity Fund.

^^

Effective December 1, 2016, Class L is publicly offered on a limited basis for U.S. Equity Fund and U.S. Research Enhanced Equity Fund.

^^^

Effective October 9, 2017, Class A is publicly offered on a limited basis for U.S. Research Enhanced Equity Fund.

The investment objective of JPMorgan Equity Focus Fund (“Equity Focus Fund”) and JPMorgan Large Cap Growth Fund (“Large Cap Growth Fund”) is to seek long-term capital appreciation.

The investment objective of JPMorgan Equity Income Fund (“Equity Income Fund”) is to seek capital appreciation and current income.

The investment objective of JPMorgan Growth and Income Fund (“Growth and Income Fund”) is to seek to provide capital growth over the long-term and to earn income from dividends.

The investment objective of JPMorgan Hedged Equity Fund (“Hedged Equity Fund”) is to seek to provide capital appreciation.

The investment objective of JPMorgan Large Cap Value Fund (“Large Cap Value Fund”) is to seek capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.

The investment objective of JPMorgan U.S. Equity Fund (“U.S. Equity Fund”) is to seek to provide high total return from a portfolio of selected equity securities.

The investment objective of JPMorgan U.S. Research Enhanced Equity Fund (“U.S. Research Enhanced Equity Fund”) is to seek to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the Standard and Poor’s 500 Composite Stock Price Index.

Large Cap Growth Fund acquired all the assets and liabilities of the JPMorgan Dynamic Growth Fund (“Dynamic Growth Fund”) in a reorganization on October 27, 2017. Please refer to Note 9 discussing the merger.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

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

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the

 

 
76       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

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 Boards of Trustees (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at 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 Boards.

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

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 Boards. 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.

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 contracts and options are generally valued on the basis of available market quotations.

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

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

 

•  

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

•  

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

•  

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

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

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

 

Equity Focus Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 253,270        $ —        $ —        $ 253,270  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         77  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

Equity Income Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		      Total  

Total Investments in Securities (a)

      $ 17,270,047        $ —        $ —      $ 17,270,047  
    

 

 

       

 

 

       

 

 

     

 

 

  
Growth and Income Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		      Total  

Total Investments in Securities (a)

      $ 614,944        $ —        $ —      $ 614,944  
    

 

 

       

 

 

       

 

 

     

 

 

  
Hedged Equity Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		      Total  

Total Investments in Securities (a)

      $ 2,522,016        $ —        $ —      $ 2,522,016  
    

 

 

       

 

 

       

 

 

     

 

 

  

Depreciation in Other Financial Instruments

                  

Futures Contracts (a)

      $ (3 )       $ —        $ —      $ (3 ) 

Options Written (a)

                  

Call Option Written

        (24,297 )         —          —        (24,297 ) 

Put Option Written

        (6,631 )         —          —        (6,631 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Total Depreciation in Other Financial Instruments

      $ (30,931 )       $ —        $ —      $ (30,931 ) 
    

 

 

       

 

 

       

 

 

     

 

 

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

Total Investments in Securities (a)

      $ 14,334,225        $ —        $ —      $ 14,334,225  
    

 

 

       

 

 

       

 

 

     

 

 

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

Total Investments in Securities (b)

      $ 1,725,642        $ —        $ — (c)     $ 1,725,642  
    

 

 

       

 

 

       

 

 

     

 

 

  
U.S. Equity Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		      Total  

Total Investments in Securities (b)

      $ 15,043,294        $ —        $ — (c)     $ 15,043,294  
    

 

 

       

 

 

       

 

 

     

 

 

  

Depreciation in Other Financial Instruments

                  

Futures Contracts (a)

      $ (1,246 )       $ —        $ —      $ (1,246 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  
U.S. Research Enhanced Equity Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		      Total  

Total Investments in Securities (d)

      $ 6,769,996        $ 5,721        $ —      $ 6,775,717  
    

 

 

       

 

 

       

 

 

     

 

 

  

Depreciation in Other Financial Instruments

                  

Futures Contracts (a)

      $ (1,431 )       $ —        $ —      $ (1,431 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(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.

 

 
78       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

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(b)

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.

(c)

Amount rounds to less than one thousand.

(d)

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 asset class specifics of portfolio holdings.

There were no transfers among any levels during the year ended June 30, 2018.

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

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs 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, 2018 (amounts in thousands):

 

        Hedged
Equity Fund		        U.S.
Equity Fund		        U.S.
Research
Enhanced
Equity Fund		  

Futures Contracts — Equity:

               

Average Notional Balance Long

      $ 23,885        $ 82,476        $ 73,918  

Ending Notional Balance Long

        19,051          72,667          68,176  

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

C. Options — Hedged Equity Fund purchased and sold (“wrote”) put and call options on indices to manage and hedge equity risk within its portfolio. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.

Options Purchased — Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and records a loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or will offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.

Options Written — Premiums received by the Fund for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (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.

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

The Fund may be required to post or receive collateral for over the counter options.

The table below discloses the volume of the Fund’s options contracts activity during the year ended June 30, 2018:

 

            

Exchange-Traded Options:

     

Average Number of Contracts Purchased

        5,999  

Average Number of Contracts Written

        11,999  

Ending Number of Contracts Purchased

        8,900  

Ending Number of Contracts Written

        17,800  

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 are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the year ended June 30, 2018 are as follows (amounts in thousands):

 

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

Equity Focus Fund

                         

Transfer agency fees

    $ 1      $ 1      $ 5        n/a        n/a       n/a       n/a       n/a       n/a     $ 7  

Equity Income Fund

                         

Transfer agency fees

      392        80        78        n/a      $ 14     $ — (a)    $ 1     $ 22     $ 86       673  

Growth and Income Fund

                         

Transfer agency fees

      253        5        7        n/a        — (a)      — (a)      — (a)      — (a)      — (a)      265  

Hedged Equity Fund

                         

Transfer agency fees

      7        3        30        n/a        n/a       n/a       n/a       — (a)      8       48  

Large Cap Growth Fund

                         

Transfer agency fees

      514        24        67        n/a        12       — (a)      1       15       54       687  

Large Cap Value Fund

                         

Transfer agency fees

      69        6        8        n/a        4       n/a       n/a       3       20       110  

U.S. Equity Fund

                         

Transfer agency fees

      142        19        40      $ 162        7       1       — (a)      12       83       466  

U.S. Research Enhanced Equity Fund

                         

Transfer agency fees

      33        n/a        10        14        n/a       n/a       n/a       n/a       53       110  

 

(a)

Amount rounds to less than one thousand.

 

 
80       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

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F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2018, 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. 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, if any, are generally declared and paid quarterly, except for Equity Focus Fund and Large Cap Growth 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 (amounts in thousands):

 

      Paid-in-Capital        Accumulated
undistributed
(distributions
in excess of)
net investment
income		        Accumulated
net realized
gains (losses)		  

Equity Income Fund

    $ — (a)       $ (2,944 )       $ 2,944  

Growth and Income Fund

      —          (117 )         117  

Hedged Equity Fund

      — (a)         (157 )         157  

Large Cap Growth Fund

      96,057          (11 )         (96,046 ) 

Large Cap Value Fund

      —          (150 )         150  

U.S. Equity Fund

      97,665          (2,752 )         (94,913 ) 

U.S. Research Enhanced Equity Fund

      (234 )         (1,233 )         1,467  

 

(a)

Amount rounds to less than one thousand.

The reclassifications for the Funds relate primarily to non-taxable dividends and tax equalization.

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 average daily net assets. The annual rate for each Fund is as follows:

 

Equity Focus Fund

      0.60 % 

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  

U.S. Research Enhanced Equity Fund

      0.25  

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 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, 2018, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         81  

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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

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

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

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

The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Class I, Class L, Class R4, Class R5 and Class R6 do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Class R3  

Equity Focus Fund

        0.25 %         0.75 %         n/a          n/a  

Equity Income Fund

        0.25          0.75          0.50 %         0.25 % 

Growth and Income Fund

        0.25          0.75          0.50          0.25  

Hedged Equity Fund

        0.25          0.75          n/a          n/a  

Large Cap Growth Fund

        0.25          0.75          0.50          0.25  

Large Cap Value Fund

        0.25          0.75          0.50          n/a  

U.S. Equity Fund

        0.25          0.75          0.50          0.25  

U.S. Research Enhanced Equity Fund

        0.25          n/a          n/a          n/a  

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2018, JPMDS retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Equity Focus Fund

      $ 2        $ —  

Equity Income Fund

        448          2  

Growth and Income Fund

        19          — (a) 

Hedged Equity Fund

        82          11  

Large Cap Growth Fund

        230          — (a) 

Large Cap Value Fund

        40          — (a) 

U.S. Equity Fund

        103          — (a) 

U.S. Research Enhanced Equity Fund

        3          —  

 

(a)

Amount rounds to less than one thousand.

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

 

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

Equity Focus Fund

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

Equity Income Fund

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

Growth and Income Fund

      0.25       0.25       0.25       n/a       0.25       0.25       0.25       0.10  

Hedged Equity Fund

      0.25       0.25       0.25       n/a       n/a       n/a       n/a       0.10  

Large Cap Growth Fund

      0.25       0.25       0.25       n/a       0.25       0.25       0.25       0.10  

Large Cap Value Fund

      0.25       0.25       0.25       n/a       0.25       n/a       n/a       0.10  

U.S. Equity Fund

      0.25       0.25       0.25       0.10 %      0.25       0.25       0.25       0.10  

U.S. Research Enhanced Equity Fund

      0.25       n/a       0.25       0.10       n/a       n/a       n/a       n/a  

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

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

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the State-

 

 
82       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

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ments of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

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

 

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

Equity Focus Fund*

      1.10 %      1.60 %      0.85 %      n/a       n/a       n/a       n/a       n/a       n/a  

Equity Income Fund

      1.04       1.54       0.79       n/a       1.29 %      1.04 %      0.79 %      0.59 %      0.54 % 

Growth and Income Fund**

      0.94       1.44       0.69       n/a       1.19       0.94       0.69       0.54       0.44  

Hedged Equity Fund

      0.85       1.35       0.60       n/a       n/a       n/a       n/a       0.40       0.35  

Large Cap Growth Fund***

      0.94       1.44       0.69       n/a       1.19       0.94       0.69       0.54       0.44  

Large Cap Value Fund****

      0.93       1.44       0.69       n/a       1.19       n/a       n/a       0.54       0.44  

U.S. Equity Fund*****

      0.94       1.44       0.69       0.61 %      1.19       0.94       0.69       0.54       0.44  

U.S. Research Enhanced Equity Fund

      0.60       n/a       0.35       0.45       n/a       n/a       n/a       n/a       0.25  

 

*

Prior to November 1, 2017, the contractual expense limitation for Equity Focus Fund was 1.15%, 1.65% and 0.90% for Class A, Class C and Class I Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019.

**

Prior to November 1, 2017, the contractual expense limitation for Growth and Income Fund was 1.04%, 1.54%, 0.79%, 1.29%, 1.04%, 0.79%, 0.59% and 0.54% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019.

***

Prior to November 1, 2017, the contractual expense limitation for Large Cap Growth Fund was 1.05%, 1.55%, 0.90%, 1.40%, 1.15%, 0.90%, 0.70% and 0.65% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2019.

****

Prior to November 1, 2017, the contractual expense limitation for Large Cap Value Fund was 1.45%, 0.80%, 1.30%, 0.60% and 0.55% for Class C, Class I, Class R2, Class R5 and Class R6 Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2018 for Class A Shares and October 31, 2019 for Class C, Class I, Class R2, Class R5 and Class R6 Shares.

*****

Prior to November 1, 2017, the contractual expense limitation for U.S. Equity Fund was 0.76%, 1.26%, 1.01%, 0.76%, 0.56% and 0.51% for Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares respectively. The contractual expense limitation percentages in the table above are in place until at least October 31, 2018 for Class A, Class C and Class L Shares and until at least October 31, 2019 for Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares.

Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2018 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2018.

For the year ended June 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

 

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

Equity Focus Fund

      $ 223        $ 142        $ 2        $ 367        $ —  

Equity Income Fund

        48          —          42          90          —  

Growth and Income Fund

        199          132          255          586          — (a) 

Hedged Equity Fund

        230          154          10          394          7  

Large Cap Growth Fund

        8,323          5,455          1,086          14,864          32  

Large Cap Value Fund

        459          304          174          937          10  

U.S. Equity Fund

        3,319          2,184          641          6,144          61  

U.S. Research Enhanced Equity Fund

        4,037          2,691          1,018          7,746          53  

 

(a)

Amount rounds to less than one thousand.

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

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2018 were as follows (amounts in thousands):

 

Equity Focus Fund

    $ 18  

Equity Income Fund

      701  

Growth and Income Fund

      21  

Hedged Equity Fund

      82  

Large Cap Growth Fund

      480  

Large Cap Value Fund

      64  

U.S. Equity Fund

      300  

U.S. Research Enhanced Equity Fund

      130  

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

The Boards 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.

The Funds may use related party broker-dealers. For the year ended June 30, 2018, the Funds incurred brokerage commissions with broker dealers affiliated with the Adviser as follows (amounts in thousands):

 

Equity Income Fund

    $  2  

Growth and Income Fund

      — (a) 

U.S. Equity Fund

      — (a) 

U.S. Research Enhanced Equity Fund

      2  

 

(a)

Amount rounds to less than one thousand.

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, 2018, 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 Focus Fund

      $ 107,146        $ 73,154  

Equity Income Fund

        3,802,921          3,183,611  

Growth and Income Fund

        177,524          177,554  

Hedged Equity Fund

        2,199,327          690,915  

Large Cap Growth Fund

        3,121,035          4,648,001  

Large Cap Value Fund

        2,313,480          1,767,109  

U.S. Equity Fund

        14,399,016          15,425,394  

U.S. Research Enhanced Equity Fund

        3,286,255          4,786,891  

During the year ended June 30, 2018, there were no purchases or sales of U.S. Government securities.

 

 
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5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost		        Gross
Unrealized
Appreciation		        Gross
Unrealized
Depreciation		        Net Unrealized
Appreciation
(Depreciation)		  

Equity Focus Fund

      $  205,296        $  54,165        $  6,191        $  47,974  

Equity Income Fund

        12,906,381          4,524,544          160,878          4,363,666  

Growth and Income Fund

        416,542          205,194          6,792          198,402  

Hedged Equity Fund

        2,304,559          237,184          50,658          186,526  

Large Cap Growth Fund

        7,239,990          7,103,647          9,412          7,094,235  

Large Cap Value Fund

        1,664,919          121,801          61,078          60,723  

U.S. Equity Fund

        11,303,585          3,995,501          257,038          3,738,463  

U.S. Research Enhanced Equity Fund

        4,983,089          1,911,567          120,370          1,791,197  

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals and mark-to-market of options contracts.

The tax character of distributions paid during the year ended June 30, 2018 was as follows (amounts in thousands):

 

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

Equity Focus Fund

    $  3,543        $  7,523        $  11,066  

Equity Income Fund

      300,091          121,381          421,472  

Growth and Income Fund

      10,397          20,464          30,861  

Hedged Equity Fund

      16,679          —          16,679  

Large Cap Growth Fund

      82,305          1,573,061          1,655,366  

Large Cap Value Fund

      86,611          36,616          123,227  

U.S. Equity Fund

      300,992          988,613          1,289,605  

U.S. Research Enhanced Equity Fund

      103,632          —          103,632  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

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

 

      Ordinary
Income*		        Net
Long-Term
Capital Gains		        Return of
Capital		        Total
Distributions
Paid		  

Equity Focus Fund

    $  848        $  1,213        $ —        $  2,061  

Equity Income Fund

      256,770          66,179          —          322,949  

Growth and Income Fund

      7,975          23,154          —          31,129  

Hedged Equity Fund

      5,217          —          —          5,217  

Large Cap Growth Fund

      —          1,111,903          —          1,111,903  

Large Cap Value Fund

      19,124          26,974          —          46,098  

U.S. Equity Fund

      134,307          439,676          —          573,983  

U.S. Research Enhanced Equity Fund

      129,537          —          6,246          135,783  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

As of June 30, 2018, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

      Current
Distributable
Ordinary
Income		        Current
Distributable
Long-Term
Capital Gain or
(Tax Basis Capital
Loss Carryover)		        Unrealized
Appreciation
(Depreciation)		  

Equity Focus Fund

    $  759        $  9,601        $  47,974  

Equity Income Fund

      12,170          253,408          4,363,666  

Growth and Income Fund

      2,181          20,961          198,402  

Hedged Equity Fund

      913          (41,545 )         186,526  

Large Cap Growth Fund

      1,719          1,018,157          7,094,235  

Large Cap Value Fund

      47,781          49,398          60,723  

U.S. Equity Fund

      268,257          951,865          3,738,463  

U.S. Research Enhanced Equity Fund

      2,582          409,808          1,791,197  

For the Funds, the cumulative timing differences primarily consist of post-October capital loss deferrals, wash sale loss deferrals and mark-to-market of options contracts.

As of June 30, 2018, the following Fund had net capital loss carryforwards (amounts in thousands):

 

     Capital Loss Carryforward Character  
      Short-Term      Long-Term  

Hedged Equity Fund

      15,829        25,716  

During the year ended June 30, 2018, the following Fund utilized net capital loss carryforwards as follows (amount in thousands):

 

     Capital Loss Utilized  
      Short-Term  

U.S. Research Enhanced Equity Fund

    $  218,425  

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, 2018, the following Funds deferred to July 1, 2018 net capital losses and late year ordinary losses of (amounts in thousands):

 

     Net Capital Loss  
      Short-Term      Long-Term  

Equity Focus Fund

    $  543      $  —  

Equity Income Fund

      27,277        —  

Hedged Equity Fund

      5,367        14,575  

Large Cap Growth Fund

      103,261        —  

6. Borrowings

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

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

 

 
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The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2018. Average borrowings from the Facility for the year ended June 30, 2018, were as follows:

 

        Average
Borrowings		        Average
Interest
Rate Paid		        Number of
Days Outstanding		        Interest
Paid		  

Large Cap Growth Fund

      $ 2,094          1.83 %         1        $ — (a) 

 

(a)

Amount rounds to less than one thousand.

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.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended June 30, 2018.

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, 2018, the Funds had omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

        Number of
Affiliated
Omnibus
Accounts		        % of the
Fund		        Number of
Non-Affiliated
Omnibus
Accounts		        % of the
Fund		  

Equity Focus Fund

        3          94.8 %         —          —  

Equity Income Fund

        4          14.3          10          13.5 % 

Growth and Income Fund

        4          21.2          —          —  

Hedged Equity Fund

        —          —          11          54.2  

Large Cap Growth Fund

        —          —          7          18.3  

Large Cap Value Fund

        3          11.4          —          —  

U.S. Equity Fund

        4          15.2          —          —  

As of June 30, 2018, JPMorgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate shares representing more than 10% of the net assets of the following Funds:

 

        J.P. Morgan
Investor Funds		        JPMorgan
SmartRetirement
Funds		  

Large Cap Value Fund

        34.7 %         n/a  

U.S. Equity Fund

        n/a          22.3 % 

U.S. Research Enhanced Equity Fund

        n/a          64.0  

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

8. Investment Company Reporting Modernization

In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced dis-

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

closures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of June 30, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

9. Business Combinations

On June 21, 2017, the Boards of the JPM I and JPM II approved the Plan of Reorganization of Dynamic Growth Fund (the “Target Fund”), a fund of JPM I, into Large Cap Growth Fund (the “Acquiring Fund”), a fund of JPM II. The purpose of the transaction was to combine two portfolios with comparable investment objectives and strategies. The reorganization was effective after the close of business on October 27, 2017. The Acquiring Fund acquired all of the assets and liabilities of the Target Fund as shown in the table below. The transaction was structured to qualify as a tax-free reorganization under the Code. Pursuant to the Agreement and Plan of Reorganization, Class A, Class C, Class I and Class R5 shareholders of the Target Fund received a number of shares of the corresponding class in the Acquiring Fund, with a value equal to their holdings in the Target Fund as of the close of business on the date of the reorganization. The investment portfolio of the Target Fund, with a fair value of approximately $341,560,000 and identified cost of approximately $192,181,000 as of the date of the reorganization, was the principal asset acquired by the Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Target Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. As of October 27, 2017, the Target Fund did not have capital loss carryforwards.

The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the reorganization (amounts in thousands, except per share amounts):

 

        Shares
Outstanding		        Net Assets        Net Asset
Value
Per Share		        Net
Unrealized
Appreciation
(Depreciation)		  

Target Fund

                    

Dynamic Growth Fund

                     $ 149,379  

Class A

        2,009        $ 63,247        $ 31.49       

Class C

        455          13,553          29.77       

Class I

        2,050          66,379          32.38       

Class R5

        6,103          201,731          33.05       

Acquiring Fund

                    

Large Cap Growth Fund

                     $ 5,901,927  

Class A

        69,657        $ 2,537,876        $ 36.43       

Class C

        16,450          484,595          29.46       

Class I

        99,881          3,668,798          36.73       

Class R2

        4,222          149,495          35.41       

Class R3

        49          1,798          36.61       

Class R4

        294          10,813          36.73       

Class R5

        22,117          826,666          37.38       

Class R6

        123,754          4,653,365          37.60       

Post Reorganization

                    

Large Cap Growth Fund

                     $ 6,051,306  

Class A

        71,393        $ 2,601,123        $ 36.43       

Class C

        16,910          498,148          29.46       

Class I

        101,688          3,735,177          36.73       

Class R2

        4,222          149,495          35.41       

Class R3

        49          1,798          36.61       

Class R4

        294          10,813          36.73       

Class R5

        27,514          1,028,397          37.38       

Class R6

        123,754          4,653,365          37.60       

Expenses related to the reorganization were incurred by the Acquiring Fund. The Adviser, the Administrator and the Distributor waived their fees and/or reimbursed the Fund in an amount sufficient to offset costs incurred by the Fund relating to the reorganization, excluding brokerage fees and brokerage expenses related to the disposition and acquisition of Fund assets associated with the reorganization.

 

 
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Assuming the reorganization had been completed on July 1, 2017, the beginning of the annual reporting period, the pro forma results of operations for the year ended June 30, 2018, are as follows:

 

Net investment income (loss)

    $ 345  

Net realized/unrealized gains (losses)

      3,304,329  
  

 

 

  

Change in net assets resulting from operations

    $ 3,304,674  

Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Fund that have been included on the Statements of Operations since October 27, 2017.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Boards of Trustees of JPMorgan Trust I and JPMorgan Trust II and Shareholders of 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 and JPMorgan U.S. Research Enhanced Equity Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Equity Focus Fund, JPMorgan Growth and Income Fund, JPMorgan Hedged Equity Fund, JPMorgan U.S. Equity Fund and JPMorgan U.S. Research Enhanced Equity Fund (formerly known as JPMorgan Disciplined Equity Fund) (five of the funds constituting JPMorgan Trust I) and JPMorgan Equity Income Fund, JPMorgan Large Cap Growth Fund and JPMorgan Large Cap Value Fund (three of the funds constituting JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, 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 ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

New York, New York

August 28, 2018

We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.

 

 
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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 Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees      
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    135    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).
Stephen P. Fisher (1959); Trustee of Trusts since 2018.    Retired; Chairman and Chief Executive Officer (2014-2017), President and Chief Operating Officer, NYLIFE Distributors LLC (registered broker-dealer) (2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); President (2015-2017), Co-President (2014-2015) and Senior Managing Director, New York Life Investment Management LLC (registered investment adviser) (2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (formerly MainStay VP Series Fund, Inc.) (registered investment companies) (2007-2017); President, MainStay DefinedTerm Municipal Opportunities Fund (registered investment company) (2011-2017); President, MainStay Funds Trust (registered investment companies) (2009-2017); President, The MainStay Funds (registered investment companies) (2007-2017).    135    Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield (non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).
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).    135    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Dennis P. Harrington* (1950); Trustee of Trusts since 2017.    Retired; Partner, Deloitte LLP (1984-2012).    135    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).    135    None

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         91  

Table of Contents

TRUSTEES

(Unaudited) (continued)

 

Name (Year of Birth);

Positions With

the Funds (1)

   

Principal Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees (continued)      

Raymond Kanner** (1953);

Trustee of Trusts since 2017.

    Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016).    135    Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-2017; Advisory Board Member, Betterment for Business (2016-2017) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-2017) (index creator); Member, Russell Index Client Advisory Board (2001-2015); Advisory Board Member, State Street Global Advisors’ OCIO Board (2017-present) .
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).		    135    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).    135    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).    135    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) (1985-2005).    135    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).    135    Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Trout Unlimited (2017-present).
Marian U. Pardo**** (1946); Trustee of Trusts since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    135    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    135    None

 

(1) 

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

 

 
92       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents
(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 eleven registered investment companies (135 funds).

 

     *

Two family members of Mr. Harrington are partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee.

 

    **

A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof.

 

  ***

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, 2018   J.P. MORGAN LARGE CAP FUNDS         93  

Table of Contents

OFFICERS

(Unaudited)

 

Name (Year of Birth),

Positions Held with

the Trusts (Since)

    Principal Occupations During Past 5 Years
Brian S. Shlissel (1964),
President and Principal Executive Officer (2016)		    Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (2014 – present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (1999-2014).

Timothy J. Clemens (1975),

Treasurer and Principal Financial Officer (2018)*

    Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016; Chief Financial Officer and Head of Valuation, Aberdeen Asset Management PLC (previously Artio Global Management) (2009 to September 2013).
Noah Greenhill (1969),
Secretary (2018)		    Managing Director and General Counsel, JPMorgan Asset Management (2015 – Present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015).
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)		    Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)**

    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)**		    Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.
Carmine Lekstutis (1980),
Assistant Secretary (2011)		    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015.
Gregory S. Samuels (1980),
Assistant Secretary (2010)		    Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014.
Pamela L. Woodley (1971),
Assistant Secretary (2012)		    Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Zachary E. Vonnegut-Gabovitch (1986),

Assistant Secretary (2017)

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

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

    Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014.

Jeffrey D. House (1972),

Assistant Treasurer (2017)**

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 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.

Gillian I. Sands (1969),

Assistant Treasurer (2012)*

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012.

 

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 4 New York Plaza, New York, NY 10004.

 

  **

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

 

 
94       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2018 and continued to hold your shares at the end of the reporting period, June 30, 2018.

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, 2018		        Ending
Account Value
June 30, 2018		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Equity Focus Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,028.40        $ 5.48          1.09 % 

Hypothetical

        1,000.00          1,019.39          5.46          1.09  

Class C

                    

Actual

        1,000.00          1,026.40          7.99          1.59  

Hypothetical

        1,000.00          1,016.91          7.95          1.59  

Class I

                    

Actual

        1,000.00          1,029.80          4.23          0.84  

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

JPMorgan Equity Income Fund

                    

Class A

                    

Actual

        1,000.00          989.30          4.93          1.00  

Hypothetical

        1,000.00          1,019.84          5.01          1.00  

Class C

                    

Actual

        1,000.00          986.90          7.39          1.50  

Hypothetical

        1,000.00          1,017.36          7.50          1.50  

Class I

                    

Actual

        1,000.00          990.50          3.65          0.74  

Hypothetical

        1,000.00          1,021.12          3.71          0.74  

Class R2

                    

Actual

        1,000.00          987.80          6.21          1.26  

Hypothetical

        1,000.00          1,018.55          6.31          1.26  

Class R3

                    

Actual

        1,000.00          989.40          4.88          0.99  

Hypothetical

        1,000.00          1,019.89          4.96          0.99  

 

 
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Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
January 1, 2018		        Ending
Account Value
June 30, 2018		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Equity Income Fund (continued)

                    

Class R4

                    

Actual

      $ 1,000.00        $ 990.50        $ 3.65          0.74 %  

Hypothetical

        1,000.00          1,021.12          3.71          0.74  

Class R5

                    

Actual

        1,000.00          991.20          2.91          0.59  

Hypothetical

        1,000.00          1,021.87          2.96          0.59  

Class R6

                    

Actual

        1,000.00          991.60          2.42          0.49  

Hypothetical

        1,000.00          1,022.36          2.46          0.49  

JPMorgan Growth and Income Fund

                    

Class A

                    

Actual

        1,000.00          996.20          4.65          0.94  

Hypothetical

        1,000.00          1,020.13          4.71          0.94  

Class C

                    

Actual

        1,000.00          993.70          7.12          1.44  

Hypothetical

        1,000.00          1,017.65          7.20          1.44  

Class I

                    

Actual

        1,000.00          997.30          3.42          0.69  

Hypothetical

        1,000.00          1,021.37          3.46          0.69  

Class R2

                    

Actual

        1,000.00          995.00          5.89          1.19  

Hypothetical

        1,000.00          1,018.89          5.96          1.19  

Class R3

                    

Actual

        1,000.00          996.20          4.60          0.93  

Hypothetical

        1,000.00          1,020.18          4.66          0.93  

Class R4

                    

Actual

        1,000.00          997.50          3.42          0.69  

Hypothetical

        1,000.00          1,021.37          3.46          0.69  

Class R5

                    

Actual

        1,000.00          998.10          2.68          0.54  

Hypothetical

        1,000.00          1,022.12          2.71          0.54  

Class R6

                    

Actual

        1,000.00          998.80          2.18          0.44  

Hypothetical

        1,000.00          1,022.61          2.21          0.44  

JPMorgan Hedged Equity Fund

                    

Class A

                    

Actual

        1,000.00          1,011.90          4.19          0.84  

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

Class C

                    

Actual

        1,000.00          1,009.20          6.68          1.34  

Hypothetical

        1,000.00          1,018.15          6.71          1.34  

Class I

                    

Actual

        1,000.00          1,013.20          2.95          0.59  

Hypothetical

        1,000.00          1,021.87          2.96          0.59  

Class R5

                    

Actual

        1,000.00          1,014.10          1.95          0.39  

Hypothetical

        1,000.00          1,022.86          1.96          0.39  

Class R6

                    

Actual

        1,000.00          1,014.30          1.70          0.34  

Hypothetical

        1,000.00          1,023.11          1.71          0.34  

 

 
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Table of Contents
        Beginning
Account Value
January 1, 2018		        Ending
Account Value
June 30, 2018		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Large Cap Growth Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,128.40        $ 4.96          0.94 %  

Hypothetical

        1,000.00          1,020.13          4.71          0.94  

Class C

                    

Actual

        1,000.00          1,125.70          7.54          1.43  

Hypothetical

        1,000.00          1,017.70          7.15          1.43  

Class I

                    

Actual

        1,000.00          1,130.00          3.64          0.69  

Hypothetical

        1,000.00          1,021.37          3.46          0.69  

Class R2

                    

Actual

        1,000.00          1,127.00          6.28          1.19  

Hypothetical

        1,000.00          1,018.89          5.96          1.19  

Class R3

                    

Actual

        1,000.00          1,128.30          4.96          0.94  

Hypothetical

        1,000.00          1,020.13          4.71          0.94  

Class R4

                    

Actual

        1,000.00          1,129.70          3.64          0.69  

Hypothetical

        1,000.00          1,021.37          3.46          0.69  

Class R5

                    

Actual

        1,000.00          1,130.50          2.85          0.54  

Hypothetical

        1,000.00          1,022.12          2.71          0.54  

Class R6

                    

Actual

        1,000.00          1,131.30          2.33          0.44  

Hypothetical

        1,000.00          1,022.61          2.21          0.44  

JPMorgan Large Cap Value Fund

                    

Class A

                    

Actual

        1,000.00          961.70          4.52          0.93  

Hypothetical

        1,000.00          1,020.18          4.66          0.93  

Class C

                    

Actual

        1,000.00          958.60          6.99          1.44  

Hypothetical

        1,000.00          1,017.65          7.20          1.44  

Class I

                    

Actual

        1,000.00          962.40          3.36          0.69  

Hypothetical

        1,000.00          1,021.37          3.46          0.69  

Class R2

                    

Actual

        1,000.00          960.00          5.78          1.19  

Hypothetical

        1,000.00          1,018.89          5.96          1.19  

Class R5

                    

Actual

        1,000.00          963.40          2.63          0.54  

Hypothetical

        1,000.00          1,022.12          2.71          0.54  

Class R6

                    

Actual

        1,000.00          964.30          2.14          0.44  

Hypothetical

        1,000.00          1,022.61          2.21          0.44  

JPMorgan U.S. Equity Fund

                    

Class A

                    

Actual

        1,000.00          1,017.40          4.70          0.94  

Hypothetical

        1,000.00          1,020.13          4.71          0.94  

Class C

                    

Actual

        1,000.00          1,014.50          7.19          1.44  

Hypothetical

        1,000.00          1,017.65          7.20          1.44  

Class I

                    

Actual

        1,000.00          1,018.10          3.45          0.69  

Hypothetical

        1,000.00          1,021.37          3.46          0.69  

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         97  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
January 1, 2018		        Ending
Account Value
June 30, 2018		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan U.S. Equity Fund (continued)

                    

Class L

                    

Actual

      $ 1,000.00        $ 1,018.80        $ 2.75          0.55 %  

Hypothetical

        1,000.00          1,022.07          2.76          0.55  

Class R2

                    

Actual

        1,000.00          1,015.70          5.95          1.19  

Hypothetical

        1,000.00          1,018.89          5.96          1.19  

Class R3

                    

Actual

        1,000.00          1,017.50          4.70          0.94  

Hypothetical

        1,000.00          1,020.13          4.71          0.94  

Class R4

                    

Actual

        1,000.00          1,018.30          3.45          0.69  

Hypothetical

        1,000.00          1,021.37          3.46          0.69  

Class R5

                    

Actual

        1,000.00          1,019.50          2.70          0.54  

Hypothetical

        1,000.00          1,022.12          2.71          0.54  

Class R6

                    

Actual

        1,000.00          1,019.40          2.20          0.44  

Hypothetical

        1,000.00          1,022.61          2.21          0.44  

JPMorgan U.S. Research Enhanced Equity Fund (formerly known as JPMorgan Disciplined Equity Fund)

                    

Class A

                    

Actual

        1,000.00          1,015.20          3.00          0.60  

Hypothetical

        1,000.00          1,021.82          3.01          0.60  

Class I

                    

Actual

        1,000.00          1,016.50          1.75          0.35  

Hypothetical

        1,000.00          1,023.06          1.76          0.35  

Class L

                    

Actual

        1,000.00          1,016.80          1.75          0.35  

Hypothetical

        1,000.00          1,023.06          1.76          0.35  

Class R6

                    

Actual

        1,000.00          1,017.10          1.25          0.25  

Hypothetical

        1,000.00          1,023.55          1.25          0.25  

 

*

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

 

 
98       J.P. MORGAN LARGE CAP FUNDS   JUNE 30, 2018

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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, 2018. 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, 2018. The information necessary to complete your income tax returns for the calendar year ending December 31, 2018 will be provided under separate cover.

Dividends Received Deduction (DRD)

Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2018:

 

      Dividends
Received
Deduction		  

JPMorgan Dynamic Growth Fund*

      100.00 % 

JPMorgan Equity Focus Fund

      85.14  

JPMorgan Equity Income Fund

      100.00  

JPMorgan Growth and Income Fund

      100.00  

JPMorgan Hedged Equity Fund

      100.00  

JPMorgan Large Cap Growth Fund

      100.00  

JPMorgan Large Cap Value Fund

      38.09  

JPMorgan U.S. Equity Fund

      44.23  

JPMorgan U.S. Research Enhanced Equity Fund

      100.00  

 

*

Target fund acquired in business combination.

Long Term Capital Gain

Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain divi-

dends for the fiscal year ended June 30, 2018 (amounts in thousands):

 

     

Long-Term

Capital Gain

Distribution

  

JPMorgan Dynamic Growth Fund*

    $ 30,406  

JPMorgan Equity Focus Fund

      7,524  

JPMorgan Equity Income Fund

      121,381  

JPMorgan Growth and Income Fund

      20,465  

JPMorgan Large Cap Growth Fund

      1,667,380  

JPMorgan Large Cap Value Fund

      36,616  

JPMorgan U.S. Equity Fund

      1,065,168  

 

*

Target fund acquired in business combination.

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, 2018 (amounts in thousands):

 

     

Qualified

Dividend

Income

  

JPMorgan Dynamic Growth Fund*

    $ 548  

JPMorgan Equity Focus Fund

      2,963  

JPMorgan Equity Income Fund

      300,091  

JPMorgan Growth and Income Fund

      10,397  

JPMorgan Hedged Equity Fund

      16,679  

JPMorgan Large Cap Growth Fund

      82,305  

JPMorgan Large Cap Value Fund

      25,682  

JPMorgan U.S. Equity Fund

      244,369  

JPMorgan U.S. Research Enhanced Equity Fund

      103,632  

 

*

Target fund acquired in business combination.

 

 

 
JUNE 30, 2018   J.P. MORGAN LARGE CAP FUNDS         99  

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LOGO

Rev. January 2011

 

 

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

 

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

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

◾  Social Security number and account balances

 

◾  transaction history and account transactions

 

◾  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

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

 

Reasons we can share your personal information   Does J.P. Morgan
Funds share?		   Can you limit  this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

   Yes   No

For marketing purposes —

to offer our products and services to you

   Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

   No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

   No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

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

 

LOGO

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LOGO

 

Page 2

    

 

 

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

 

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

How does J.P. Morgan

Funds collect my personal

information?

  

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

 

◾  open an account or provide contact information

 

◾  give us your account information or pay us by check

 

◾  make a wire transfer

 

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

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

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

 

◾  affiliates from using your information to market to you

 

◾  sharing for nonaffiliates to market to you

 

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

 

Definitions
Affiliates  

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

 

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

Nonaffiliates  

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

 

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

Joint Marketing  

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

 

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

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

Contact JPMorgan Distribution Services, Inc. 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 prospectuses and Statement of Additional Information.

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

 

LOGO

Table of Contents

 

 

 

 

 

LOGO

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

 

  © JPMorgan Chase & Co., 2018. All rights reserved. June 2018.   AN-LCE-618

Table of Contents
 

Annual Report

J.P. Morgan Equity Funds

June 30, 2018

JPMorgan Equity Index Fund

JPMorgan Market Expansion Enhanced Index Fund

LOGO

Table of Contents

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        7  
Financial Statements        24  
Financial Highlights        30  
Notes to Financial Statements        34  
Report of Independent Registered Public Accounting Firm        42  
Trustees        43  
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’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

Table of Contents

CEO’S LETTER

August 1, 2018 (Unaudited)

 

Dear Shareholder,

The U.S. economy largely outpaced growth in other developed market nations during the twelve months ended June 30, 2018, and U.S. equity markets provided strong returns on the back of record corporate profits and historically low interest rates.

 

LOGO   

 

“Corporate earnings for the first and second quarters of 2018 reached record highs, with a sizeable majority of companies reporting better-than-expected results.” — George C.W. Gatch

During the first half of the reporting period, synchronized global economic growth helped the U.S. economy achieve its second-longest expansion on record. By the final months of 2017, U.S. unemployment had fallen to 4.1% and U.S. consumer confidence rose to its highest levels in nearly 17 years. Notably, U.S. equity prices climbed to record highs in every month from June through December and financial market volatility remained at historically low levels. In response to a tightening labor market and early signs of inflationary pressure, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017.

In January 2018, U.S. equity prices continued to rise, aided somewhat by recently-enacted tax cut legislation. The Standard & Poor’s 500 Index (the “S&P 500”) reached fourteen record closing highs during the month, the last on January 26th.

Early February 2018 was marked by a sharp sell-off in both equities and bonds in the U.S., and the selling quickly spread to other financial markets. Stronger-than-expected economic data sparked investor fears of rapidly rising inflation and accelerated interest rate increases by the Fed. Over several days, the S&P 500 lost more than 10% of its value, a decline that was one of the fastest peak-to-trough drops in the history of the index. The sell-off in bonds led to a spike in yields on benchmark 10-year U.S. Treasury bonds that further roiled markets.

While U.S. equity prices had rebounded somewhat by the end of the reporting period, leading equity indexes never fully recovered. Financial market volatility rose sharply during the February sell-off and remained elevated through June 2018.

Meanwhile, the U.S. economy continued to expand in 2018, even as signs emerged of economic sluggishness in Europe and weakness in select emerging market nations. U.S. GDP rose 2.2% in the first quarter before jumping an estimated 4.1% in the second quarter, the largest increase in nearly four years. Corporate earnings for the first and second quarters of 2018 reached record levels, with a sizeable majority of companies reporting better-than-expected results. In response, the Fed raised interest rates again in March and June.

However, the U.S. imposition of import tariffs on billions of dollars’ worth of goods, and reciprocal trade sanctions from China and other leading U.S. trading partners, increasingly weighed on global financial markets in the first half of 2018. The economies of China, Japan, the European Union and the U.K. are more dependent on exports than the U.S., and the impact of a potentially escalating trade war on the global economy remained a concern among policy makers, economists and investors.

At the end of the reporting period, the world’s leading economies appeared to be on pace for continued, moderate growth. The outlook for corporate earnings remained positive amid tame inflationary pressure, historically low interest rates and buoyant consumer demand. While the Fed was further along in its monetary tightening cycle than its counterparts in other developed markets, the European Central Bank, the Bank of England and the Bank of Japan were all moving in some measure to reduce economic stimulus.

We believe that investors who hold a properly diversified portfolio and a long-term outlook may benefit from a largely positive environment for economic growth and financial markets. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         1  

Table of Contents

J.P. Morgan Index Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

Global equity markets provided strong positive returns for the reporting period, with U.S. equities largely outperforming developed market and emerging market equities. Bond prices came under pressure in the second half of the reporting period amid rising U.S. interest rates.

Overall, equity prices were supported by synchronized global growth, rising corporate profits and accommodative policies from leading central banks. While the U.S. Federal Reserve raised interest rates twice during the first half of 2018, interest rates remained relatively low by historical standards. The Standard & Poor’s 500 Index (the “S&P 500”) reached record high closings in every month from July 2017 through January 2018.

In early February 2018, both equity and bond prices fell sharply. The S&P 500 lost more than 10% of its value over nine trading sessions and yields on 10-year U.S. Treasury bonds, which serve as a benchmark for a broad range of financial assets, spiked higher. While equity markets rebounded somewhat in subsequent weeks, financial market volatility remained elevated through June 2018.

Overall, growth stocks generally outperformed value stocks and small cap stocks slightly outperformed large cap and mid cap stocks. For the twelve months ended June 30, 2018, the S&P 500 returned 14.37%.

 

 
2       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Equity Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

Reporting Period Return:        
Fund (Class I Shares) *      14.18%  
S&P 500 Index**      14.37%  
Net Assets as of 6/30/2018 (In Thousands)    $ 3,365,756  

 

INVESTMENT OBJECTIVE***

The JPMorgan Equity Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index (the “Benchmark”).

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

The Fund’s Class I Shares performed largely in line with the Benchmark for the twelve months ended June 30, 2018, before considering the effect of Fund fees and expenses. This was consistent with the Fund’s indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to those of the Benchmark.

Equity markets in the U.S. provided positive returns for the reporting period amid strong growth in corporate profits, historically low interest rates and the continued U.S. economic expansion. However, the second half of the reporting period was marked by increased market volatility and investor uncertainty about global trade tensions.

During the reporting period, the information technology and consumer discretionary sectors were the largest contributors to the performance of the Fund and the Benchmark, while the consumer staples sector was the sole sector detractor 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.      3.9 % 
  2.      Microsoft Corp.      3.2  
  3.      Amazon.com, Inc.      2.9  
  4.      Facebook, Inc., Class A      2.0  
  5.      Berkshire Hathaway, Inc., Class B      1.5  
  6.      JPMorgan Chase & Co.      1.5  
  7.      Exxon Mobil Corp.      1.5  
  8.      Alphabet, Inc., Class C      1.5  
  9.      Alphabet, Inc., Class A      1.4  
  10.      Johnson & Johnson      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR****

  
Information Technology      25.6 % 
Health Care      13.9
Financials      13.7
Consumer Discretionary      12.7
Industrials      9.4
Consumer Staples      6.8
Energy      6.2
Utilities      2.9
Real Estate      2.8
Materials      2.6
Telecommunication Services      2.0
Short-Term Investments      1.4  

 

*   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.
**   “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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         3  

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JPMorgan Equity Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992               

With Sales Charge*

           7.93 %         11.69 %        9.11 %

Without Sales Charge

           13.91        12.90        9.70

CLASS C SHARES

    November 4, 1997               

With CDSC**

           12.20        12.10        8.91

Without CDSC

           13.20        12.10        8.91

CLASS I SHARES

    July 2, 1991        14.18        13.18        9.97

CLASS R6 SHARES

    September 1, 2016        14.36        13.25        10.01

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Index Fund, the S&P 500 Index and the Lipper S&P 500 Funds Index from June 30, 2008 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities

included in the benchmark, if applicable. The performance of the Lipper S&P 500 Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper S&P 500 Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
4       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

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JPMorgan Market Expansion Enhanced Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      14.31%  
S&P 1000 Index**      15.62%  
Net Assets as of 6/30/2018 (In Thousands)      $1,085,798  

 

INVESTMENT OBJECTIVE***

The JPMorgan Market Expansion Enhanced Index Fund (the “Fund”) seeks to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- and mid-capitalization equity markets.

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

The Fund’s Class I Shares underperformed the Standard & Poor’s 1000 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the health services & systems and energy sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the finance and utilities sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s underweight position in Nektar Therapeutics and its overweight positions in United Therapeutics Corp. and Owens & Minor Inc. Shares of Nektar Therapeutics, a developer of biopharmaceutical drugs, rose after the company reported positive data from a clinical trial of its cancer vaccine. Shares of United Therapeutics, a biotechnology company, fell after the company reported lower-than-expected earnings for the fourth quarter of 2017 amid rising costs. Shares of Owens & Minor, a medical supply and logistics company, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2017.

Leading individual contributors to relative performance included the Fund’s overweight positions in Insperity Inc., Green Dot Corp. and ArcBest Corp. Shares of Insperity, a provider of employee administrative services, rose after the company reported consecutive quarters of better-than-expected earnings and revenue during the reporting period. Shares of Green Dot, a provider of pre-paid credit cards, rose after the company reported three consecutive quarters of better-than-expected earnings. Shares of ArcBest, a freight transportation provider, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2018.

HOW WAS THE FUND POSITIONED?

The Fund seeks to closely follow the sector and industry weights within the Benchmark. Because the Fund uses an enhanced index strategy, not all of the stocks in the Benchmark

are held by the Fund, and the Fund’s position in an individual stock may be overweight or underweight as compared to the Benchmark. The Fund’s portfolio managers seek to invest in stocks that they believe are attractively valued and that have improving momentum characteristics. The portfolio managers strive to add value exclusively through security selection rather than sector, style or theme allocations.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO****  
  1.      WellCare Health Plans, Inc.      0.8 % 
  2.      East West Bancorp, Inc.      0.7  
  3.      UGI Corp.      0.7  
  4.      Steel Dynamics, Inc.      0.7  
  5.      Atmos Energy Corp.      0.7  
  6.      United Therapeutics Corp.      0.6  
  7.      Keysight Technologies, Inc.      0.6  
  8.      Synovus Financial Corp.      0.6  
  9.      Arrow Electronics, Inc.      0.6  
  10.      Hanover Insurance Group, Inc. (The)      0.6  

 

PORTFOLIO COMPOSITION BY SECTOR****

  
Industrials      16.1 % 
Financials      15.5
Information Technology      15.4
Consumer Discretionary      12.1
Health Care      10.0
Real Estate      8.6
Materials      6.5
Energy      4.6
Utilities      4.4
Consumer Staples      3.1
Telecommunication Services      0.8  
Short-Term Investments      2.9  

 

 

*   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.
**   “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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         5  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    July 31, 1998               

With Sales Charge*

           8.02 %        11.55 %        9.96 % 

Without Sales Charge

           14.02        12.75        10.56

CLASS C SHARES

    March 22, 1999               

With CDSC**

           12.46          12.04          9.81  

Without CDSC

           13.46          12.04          9.81  

CLASS I SHARES

    July 31, 1998        14.31          13.05          10.84  

CLASS R2 SHARES

    November 3, 2008        13.79        12.49        10.24

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Returns for Class R2 Shares prior to their inception date are based on the performance of Class I 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 Class I Shares of the JPMorgan Market Expansion Enhanced Index Fund, the S&P 1000 Index, the Lipper Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index from June 30, 2008 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 1000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index includes expenses associated

with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 1000 Index is an unmanaged index generally representative of the performance of the small and mid-size companies in the U.S. stock market. The Lipper Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index are indices based on total returns of certain mutual funds within designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
6       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.6%

 

Aerospace & Defense — 2.6%

 

Arconic, Inc.

      61        1,042  

Boeing Co. (The)

      79        26,499  

General Dynamics Corp.

      40        7,426  

Harris Corp.

      17        2,475  

Huntington Ingalls Industries, Inc.

      6        1,391  

L3 Technologies, Inc.

      11        2,177  

Lockheed Martin Corp.

      36        10,584  

Northrop Grumman Corp.

      25        7,739  

Raytheon Co.

      41        8,003  

Rockwell Collins, Inc.

      24        3,190  

Textron, Inc.

      37        2,434  

TransDigm Group, Inc.

      7        2,427  

United Technologies Corp.

      107        13,417  
     

 

 

  
        88,804  
     

 

 

  

Air Freight & Logistics — 0.7%

      

CH Robinson Worldwide, Inc.

      20        1,680  

Expeditors International of Washington, Inc.

      25        1,842  

FedEx Corp.

      35        8,050  

United Parcel Service, Inc., Class B

      99        10,564  
     

 

 

  
        22,136  
     

 

 

  

Airlines — 0.4%

      

Alaska Air Group, Inc.

      18        1,074  

American Airlines Group, Inc.

      60        2,281  

Delta Air Lines, Inc.

      93        4,611  

Southwest Airlines Co.

      77        3,914  

United Continental Holdings, Inc.*

      34        2,370  
     

 

 

  
        14,250  
     

 

 

  

Auto Components — 0.2%

      

Aptiv plc

      38        3,499  

BorgWarner, Inc.

      28        1,229  

Goodyear Tire & Rubber Co. (The)

      35        806  
     

 

 

  
        5,534  
     

 

 

  

Automobiles — 0.4%

      

Ford Motor Co.

      564        6,249  

General Motors Co.

      183        7,208  

Harley-Davidson, Inc.

      24        1,010  
     

 

 

  
        14,467  
     

 

 

  

Banks — 6.1%

      

Bank of America Corp.

      1,360        38,337  

BB&T Corp.

      112        5,672  

Citigroup, Inc.

      368        24,610  

Citizens Financial Group, Inc.

      70        2,719  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Banks — continued

      

Comerica, Inc.

      25        2,255  

Fifth Third Bancorp

      99        2,837  

Huntington Bancshares, Inc.

      159        2,352  

JPMorgan Chase & Co. (a)

      491        51,166  

KeyCorp

      153        2,992  

M&T Bank Corp.

      21        3,564  

People’s United Financial, Inc.

      50        908  

PNC Financial Services Group, Inc. (The)

      68        9,148  

Regions Financial Corp.

      162        2,880  

SunTrust Banks, Inc.

      67        4,426  

SVB Financial Group*

      8        2,206  

US Bancorp

      225        11,256  

Wells Fargo & Co.

      632        35,066  

Zions Bancorp

      28        1,487  
     

 

 

  
        203,881  
     

 

 

  

Beverages — 1.7%

      

Brown-Forman Corp., Class B

      38        1,852  

Coca-Cola Co. (The)

      552        24,225  

Constellation Brands, Inc., Class A

      24        5,303  

Molson Coors Brewing Co., Class B

      27        1,816  

Monster Beverage Corp.*

      59        3,395  

PepsiCo, Inc.

      204        22,262  
     

 

 

  
        58,853  
     

 

 

  

Biotechnology — 2.5%

      

AbbVie, Inc.

      219        20,250  

Alexion Pharmaceuticals, Inc.*

      32        3,984  

Amgen, Inc.

      96        17,730  

Biogen, Inc.*

      30        8,833  

Celgene Corp.*

      102        8,096  

Gilead Sciences, Inc.

      188        13,284  

Incyte Corp.*

      25        1,700  

Regeneron Pharmaceuticals, Inc.*

      11        3,848  

Vertex Pharmaceuticals, Inc.*

      37        6,247  
     

 

 

  
        83,972  
     

 

 

  

Building Products — 0.3%

      

Allegion plc

      14        1,059  

AO Smith Corp.

      21        1,238  

Fortune Brands Home & Security, Inc.

      21        1,130  

Johnson Controls International plc

      134        4,468  

Masco Corp.

      45        1,676  
     

 

 

  
        9,571  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         7  

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Capital Markets — 3.0%

      

Affiliated Managers Group, Inc.

      8        1,165  

Ameriprise Financial, Inc.

      21        2,917  

Bank of New York Mellon Corp. (The)

      146        7,861  

BlackRock, Inc.

      18        8,876  

CBOE Global Markets, Inc.

      16        1,688  

Charles Schwab Corp. (The)

      173        8,849  

CME Group, Inc.

      49        8,050  

E*TRADE Financial Corp.*

      38        2,328  

Franklin Resources, Inc.

      46        1,473  

Goldman Sachs Group, Inc. (The)

      51        11,175  

Intercontinental Exchange, Inc.

      84        6,144  

Invesco Ltd.

      59        1,573  

Jefferies Financial Services, Inc.

      44        994  

Moody’s Corp.

      24        4,107  

Morgan Stanley

      197        9,318  

MSCI, Inc.

      13        2,124  

Nasdaq, Inc.

      17        1,539  

Northern Trust Corp.

      31        3,138  

Raymond James Financial, Inc.

      19        1,673  

S&P Global, Inc.

      36        7,390  

State Street Corp.

      53        4,906  

T. Rowe Price Group, Inc.

      35        4,054  
     

 

 

  
        101,342  
     

 

 

  

Chemicals — 1.8%

      

Air Products & Chemicals, Inc.

      32        4,923  

Albemarle Corp.

      16        1,507  

CF Industries Holdings, Inc.

      34        1,494  

DowDuPont, Inc.

      335        22,064  

Eastman Chemical Co.

      21        2,058  

Ecolab, Inc.

      37        5,255  

FMC Corp.

      19        1,731  

International Flavors & Fragrances, Inc.

      11        1,411  

LyondellBasell Industries NV, Class A

      46        5,093  

Mosaic Co. (The)

      51        1,419  

PPG Industries, Inc.

      36        3,730  

Praxair, Inc.

      41        6,555  

Sherwin-Williams Co. (The)

      12        4,839  
     

 

 

  
        62,079  
     

 

 

  

Commercial Services & Supplies — 0.3%

      

Cintas Corp.

      12        2,307  

Copart, Inc.*

      29        1,648  

Republic Services, Inc.

      32        2,198  

Stericycle, Inc.*

      12        806  

Waste Management, Inc.

      57        4,667  
     

 

 

  
        11,626  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Communications Equipment — 1.0%

      

Cisco Systems, Inc.

      678        29,185  

F5 Networks, Inc.*

      9        1,520  

Juniper Networks, Inc.

      50        1,381  

Motorola Solutions, Inc.

      23        2,721  
     

 

 

  
        34,807  
     

 

 

  

Construction & Engineering — 0.1%

      

Fluor Corp.

      20        989  

Jacobs Engineering Group, Inc.

      17        1,103  

Quanta Services, Inc.*

      22        721  
     

 

 

  
        2,813  
     

 

 

  

Construction Materials — 0.1%

      

Martin Marietta Materials, Inc.

      9        2,028  

Vulcan Materials Co.

      19        2,460  
     

 

 

  
        4,488  
     

 

 

  

Consumer Finance — 0.7%

      

American Express Co.

      103        10,093  

Capital One Financial Corp.

      70        6,447  

Discover Financial Services

      50        3,544  

Synchrony Financial

      102        3,415  
     

 

 

  
        23,499  
     

 

 

  

Containers & Packaging — 0.3%

      

Avery Dennison Corp.

      13        1,296  

Ball Corp.

      50        1,791  

International Paper Co.

      60        3,110  

Packaging Corp. of America

      14        1,521  

Sealed Air Corp.

      23        987  

WestRock Co.

      37        2,109  
     

 

 

  
        10,814  
     

 

 

  

Distributors — 0.1%

      

Genuine Parts Co.

      21        1,942  

LKQ Corp.*

      45        1,425  
     

 

 

  
        3,367  
     

 

 

  

Diversified Consumer Services — 0.0% (b)

      

H&R Block, Inc.

      30        687  
     

 

 

  

Diversified Financial Services — 1.5%

      

Berkshire Hathaway, Inc., Class B*

      278        51,812  
     

 

 

  

Diversified Telecommunication Services — 2.0%

 

AT&T, Inc.

      1,047        33,608  

CenturyLink, Inc.

      142        2,639  

Verizon Communications, Inc.

      596        29,980  
     

 

 

  
        66,227  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Electric Utilities — 1.8%

      

Alliant Energy Corp.

      33        1,413  

American Electric Power Co., Inc.

      71        4,919  

Duke Energy Corp.

      101        7,995  

Edison International

      47        2,973  

Entergy Corp.

      26        2,107  

Evergy, Inc.

      39        2,196  

Eversource Energy

      46        2,679  

Exelon Corp.

      139        5,931  

FirstEnergy Corp.

      65        2,322  

NextEra Energy, Inc.

      68        11,357  

PG&E Corp.

      74        3,170  

Pinnacle West Capital Corp.

      16        1,300  

PPL Corp.

      101        2,878  

Southern Co. (The)

      146        6,757  

Xcel Energy, Inc.

      73        3,352  
     

 

 

  
        61,349  
     

 

 

  

Electrical Equipment — 0.5%

      

AMETEK, Inc.

      33        2,410  

Eaton Corp. plc

      63        4,714  

Emerson Electric Co.

      91        6,283  

Rockwell Automation, Inc.

      18        3,010  
     

 

 

  
        16,417  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.4%

 

Amphenol Corp., Class A

      43        3,789  

Corning, Inc.

      120        3,294  

FLIR Systems, Inc.

      20        1,029  

IPG Photonics Corp.*

      5        1,196  

TE Connectivity Ltd.

      50        4,548  
     

 

 

  
        13,856  
     

 

 

  

Energy Equipment & Services — 0.8%

      

Baker Hughes a GE Co.

      60        1,984  

Halliburton Co.

      126        5,693  

Helmerich & Payne, Inc.

      16        1,001  

National Oilwell Varco, Inc.

      55        2,391  

Schlumberger Ltd.

      200        13,390  

TechnipFMC plc (United Kingdom)

      63        1,987  
     

 

 

  
        26,446  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.7%

 

Alexandria Real Estate Equities, Inc.

      15        1,874  

American Tower Corp.

      64        9,183  

Apartment Investment & Management Co., Class A

      23        960  

AvalonBay Communities, Inc.

      20        3,426  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Equity Real Estate Investment Trusts (REITs) — continued

 

Boston Properties, Inc.

      22        2,792  

Crown Castle International Corp.

      60        6,450  

Digital Realty Trust, Inc.

      30        3,314  

Duke Realty Corp.

      51        1,495  

Equinix, Inc.

      11        4,927  

Equity Residential

      53        3,382  

Essex Property Trust, Inc.

      10        2,277  

Extra Space Storage, Inc.

      18        1,815  

Federal Realty Investment Trust

      11        1,336  

GGP, Inc.

      91        1,864  

HCP, Inc.

      68        1,749  

Host Hotels & Resorts, Inc.

      107        2,253  

Iron Mountain, Inc.

      41        1,421  

Kimco Realty Corp.

      61        1,041  

Macerich Co. (The)

      16        890  

Mid-America Apartment Communities, Inc.

      16        1,652  

Prologis, Inc.

      77        5,052  

Public Storage

      22        4,903  

Realty Income Corp.

      41        2,206  

Regency Centers Corp.

      21        1,320  

SBA Communications Corp.*

      17        2,743  

Simon Property Group, Inc.

      45        7,601  

SL Green Realty Corp.

      13        1,282  

UDR, Inc.

      39        1,449  

Ventas, Inc.

      51        2,927  

Vornado Realty Trust

      25        1,845  

Welltower, Inc.

      54        3,363  

Weyerhaeuser Co.

      109        3,981  
     

 

 

  
        92,773  
     

 

 

  

Food & Staples Retailing — 1.4%

      

Costco Wholesale Corp.

      63        13,219  

Kroger Co. (The)

      117        3,335  

Sysco Corp.

      69        4,721  

Walgreens Boots Alliance, Inc.

      123        7,381  

Walmart, Inc.

      209        17,871  
     

 

 

  
        46,527  
     

 

 

  

Food Products — 1.1%

      

Archer-Daniels-Midland Co.

      81        3,696  

Campbell Soup Co.

      28        1,125  

Conagra Brands, Inc.

      57        2,028  

General Mills, Inc.

      86        3,785  

Hershey Co. (The)

      20        1,875  

Hormel Foods Corp.

      39        1,449  

JM Smucker Co. (The)

      16        1,761  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         9  

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Food Products — continued

 

Kellogg Co.

      36        2,517  

Kraft Heinz Co. (The)

      86        5,412  

McCormick & Co., Inc. (Non-Voting)

      17        2,031  

Mondelez International, Inc., Class A

      213        8,722  

Tyson Foods, Inc., Class A

      43        2,955  
     

 

 

  
        37,356  
     

 

 

  

Health Care Equipment & Supplies — 3.0%

 

Abbott Laboratories

      253        15,421  

ABIOMED, Inc.*

      6        2,493  

Align Technology, Inc.*

      10        3,559  

Baxter International, Inc.

      71        5,246  

Becton Dickinson and Co.

      39        9,232  

Boston Scientific Corp.*

      199        6,507  

Cooper Cos., Inc. (The)

      7        1,665  

Danaher Corp.

      89        8,749  

DENTSPLY SIRONA, Inc.

      33        1,436  

Edwards Lifesciences Corp.*

      30        4,425  

Hologic, Inc.*

      39        1,565  

IDEXX Laboratories, Inc.*

      13        2,730  

Intuitive Surgical, Inc.*

      16        7,819  

Medtronic plc

      195        16,720  

ResMed, Inc.

      21        2,132  

Stryker Corp.

      46        7,827  

Varian Medical Systems, Inc.*

      13        1,501  

Zimmer Biomet Holdings, Inc.

      29        3,267  
     

 

 

  
        102,294  
     

 

 

  

Health Care Providers & Services — 3.1%

      

Aetna, Inc.

      47        8,656  

AmerisourceBergen Corp.

      23        2,000  

Anthem, Inc.

      37        8,761  

Cardinal Health, Inc.

      45        2,188  

Centene Corp.*

      30        3,646  

Cigna Corp.

      35        5,963  

CVS Health Corp.

      147        9,435  

DaVita, Inc.*

      20        1,398  

Envision Healthcare Corp.*

      17        769  

Express Scripts Holding Co.*

      81        6,255  

HCA Healthcare, Inc.

      40        4,135  

Henry Schein, Inc.*

      22        1,614  

Humana, Inc.

      20        5,910  

Laboratory Corp. of America Holdings*

      15        2,649  

McKesson Corp.

      29        3,887  

Quest Diagnostics, Inc.

      20        2,153  

UnitedHealth Group, Inc.

      139        34,003  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Health Care Providers & Services — continued

 

Universal Health Services, Inc., Class B

      13        1,401  
     

 

 

  
        104,823  
     

 

 

  

Health Care Technology — 0.1%

      

Cerner Corp.*

      45        2,718  
     

 

 

  

Hotels, Restaurants & Leisure — 1.6%

      

Carnival Corp.

      59        3,356  

Chipotle Mexican Grill, Inc.*

      4        1,521  

Darden Restaurants, Inc.

      18        1,911  

Hilton Worldwide Holdings, Inc.

      40        3,190  

Marriott International, Inc., Class A

      43        5,420  

McDonald’s Corp.

      113        17,744  

MGM Resorts International

      72        2,098  

Norwegian Cruise Line Holdings Ltd.*

      30        1,409  

Royal Caribbean Cruises Ltd.

      24        2,531  

Starbucks Corp.

      199        9,722  

Wynn Resorts Ltd.

      12        2,044  

Yum! Brands, Inc.

      47        3,646  
     

 

 

  
        54,592  
     

 

 

  

Household Durables — 0.4%

      

DR Horton, Inc.

      50        2,031  

Garmin Ltd.

      16        978  

Leggett & Platt, Inc.

      19        845  

Lennar Corp., Class A

      39        2,072  

Mohawk Industries, Inc.*

      9        1,959  

Newell Brands, Inc.

      70        1,807  

PulteGroup, Inc.

      38        1,089  

Whirlpool Corp.

      9        1,361  
     

 

 

  
        12,142  
     

 

 

  

Household Products — 1.4%

      

Church & Dwight Co., Inc.

      35        1,876  

Clorox Co. (The)

      19        2,526  

Colgate-Palmolive Co.

      126        8,154  

Kimberly-Clark Corp.

      50        5,307  

Procter & Gamble Co. (The)

      363        28,309  
     

 

 

  
        46,172  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.1%

 

AES Corp.

      95        1,279  

NRG Energy, Inc.

      43        1,325  
     

 

 

  
        2,604  
     

 

 

  

Industrial Conglomerates — 1.6%

      

3M Co.

      86        16,844  

General Electric Co.

      1,253        17,048  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Industrial Conglomerates — continued

 

Honeywell International, Inc.

      108        15,517  

Roper Technologies, Inc.

      15        4,105  
     

 

 

  
        53,514  
     

 

 

  

Insurance — 2.3%

      

Aflac, Inc.

      112        4,803  

Allstate Corp. (The)

      51        4,627  

American International Group, Inc.

      129        6,864  

Aon plc

      35        4,837  

Arthur J Gallagher & Co.

      26        1,716  

Assurant, Inc.

      8        791  

Brighthouse Financial, Inc.*

      17        692  

Chubb Ltd.

      67        8,533  

Cincinnati Financial Corp.

      22        1,440  

Everest Re Group Ltd.

      6        1,362  

Hartford Financial Services Group, Inc. (The)

      52        2,641  

Lincoln National Corp.

      32        1,964  

Loews Corp.

      38        1,823  

Marsh & McLennan Cos., Inc.

      73        5,998  

MetLife, Inc.

      147        6,392  

Principal Financial Group, Inc.

      38        2,034  

Progressive Corp. (The)

      84        4,968  

Prudential Financial, Inc.

      61        5,664  

Torchmark Corp.

      15        1,240  

Travelers Cos., Inc. (The)

      39        4,769  

Unum Group

      32        1,180  

Willis Towers Watson plc

      19        2,883  

XL Group Ltd. (Bermuda)

      37        2,084  
     

 

 

  
        79,305  
     

 

 

  

Internet & Direct Marketing Retail — 4.2%

      

Amazon.com, Inc.*

      58        98,731  

Booking Holdings, Inc.*

      7        14,084  

Expedia Group, Inc.

      17        2,095  

Netflix, Inc.*

      63        24,540  

TripAdvisor, Inc.*

      15        861  
     

 

 

  
        140,311  
     

 

 

  

Internet Software & Services — 5.3%

      

Akamai Technologies, Inc.*

      25        1,802  

Alphabet, Inc., Class A*

      43        48,638  

Alphabet, Inc., Class C*

      44        48,848  

eBay, Inc.*

      133        4,834  

Facebook, Inc., Class A*

      346        67,221  

Twitter, Inc.*

      94        4,124  

VeriSign, Inc.*

      14        1,903  
     

 

 

  
        177,370  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

IT Services — 4.5%

      

Accenture plc, Class A

      93        15,173  

Alliance Data Systems Corp.

      7        1,621  

Automatic Data Processing, Inc.

      64        8,522  

Broadridge Financial Solutions, Inc.

      17        1,958  

Cognizant Technology Solutions Corp., Class A

      84        6,675  

DXC Technology Co.

      41        3,311  

Fidelity National Information Services, Inc.

      48        5,062  

Fiserv, Inc.*

      59        4,375  

FleetCor Technologies, Inc.*

      13        2,718  

Gartner, Inc.*

      13        1,749  

Global Payments, Inc.

      23        2,565  

International Business Machines Corp.

      123        17,200  

Mastercard, Inc., Class A

      132        25,986  

Paychex, Inc.

      46        3,152  

PayPal Holdings, Inc.*

      161        13,404  

Total System Services, Inc.

      24        2,022  

Visa, Inc., Class A

      258        34,120  

Western Union Co. (The)

      66        1,351  
     

 

 

  
        150,964  
     

 

 

  

Leisure Products — 0.1%

      

Hasbro, Inc.

      16        1,513  

Mattel, Inc.

      50        815  
     

 

 

  
        2,328  
     

 

 

  

Life Sciences Tools & Services — 0.8%

 

Agilent Technologies, Inc.

      46        2,854  

Illumina, Inc.*

      21        5,921  

IQVIA Holdings, Inc.*

      23        2,330  

Mettler-Toledo International, Inc.*

      4        2,119  

PerkinElmer, Inc.

      16        1,169  

Thermo Fisher Scientific, Inc.

      58        12,019  

Waters Corp.*

      11        2,187  
     

 

 

  
        28,599  
     

 

 

  

Machinery — 1.5%

      

Caterpillar, Inc.

      86        11,699  

Cummins, Inc.

      22        2,971  

Deere & Co.

      47        6,538  

Dover Corp.

      22        1,633  

Flowserve Corp.

      19        762  

Fortive Corp.

      44        3,411  

Illinois Tool Works, Inc.

      44        6,092  

Ingersoll-Rand plc

      36        3,209  

PACCAR, Inc.

      51        3,144  

Parker-Hannifin Corp.

      19        2,989  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         11  

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Machinery — continued

 

Pentair plc (United Kingdom)

      23        985  

Snap-on, Inc.

      8        1,312  

Stanley Black & Decker, Inc.

      22        2,956  

Xylem, Inc.

      26        1,748  
     

 

 

  
        49,449  
     

 

 

  

Media — 2.2%

      

CBS Corp. (Non-Voting), Class B

      49        2,769  

Charter Communications, Inc., Class A*

      27        7,832  

Comcast Corp., Class A

      662        21,730  

Discovery, Inc., Class A*

      23        619  

Discovery, Inc., Class C*

      49        1,256  

DISH Network Corp., Class A*

      33        1,110  

Interpublic Group of Cos., Inc. (The)

      56        1,303  

News Corp., Class A

      55        857  

News Corp., Class B

      18        278  

Omnicom Group, Inc.

      33        2,500  

Twenty-First Century Fox, Inc., Class A

      152        7,554  

Twenty-First Century Fox, Inc., Class B

      63        3,121  

Viacom, Inc., Class B

      51        1,535  

Walt Disney Co. (The)

      214        22,474  
     

 

 

  
        74,938  
     

 

 

  

Metals & Mining — 0.3%

      

Freeport-McMoRan, Inc.

      194        3,354  

Newmont Mining Corp.

      77        2,902  

Nucor Corp.

      46        2,867  
     

 

 

  
        9,123  
     

 

 

  

Multiline Retail — 0.5%

      

Dollar General Corp.

      37        3,614  

Dollar Tree, Inc.*

      34        2,915  

Kohl’s Corp.

      24        1,769  

Macy’s, Inc.

      44        1,654  

Nordstrom, Inc.

      17        877  

Target Corp.

      77        5,853  
     

 

 

  
        16,682  
     

 

 

  

Multi-Utilities — 0.9%

      

Ameren Corp.

      35        2,138  

CenterPoint Energy, Inc.

      62        1,724  

CMS Energy Corp.

      41        1,927  

Consolidated Edison, Inc.

      45        3,495  

Dominion Energy, Inc.

      94        6,417  

DTE Energy Co.

      26        2,712  

NiSource, Inc.

      49        1,279  

Public Service Enterprise Group, Inc.

      73        3,945  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Multi-Utilities — continued

      

SCANA Corp.

      21        792  

Sempra Energy

      38        4,423  

WEC Energy Group, Inc.

      46        2,942  
     

 

 

  
        31,794  
     

 

 

  

Oil, Gas & Consumable Fuels — 5.5%

      

Anadarko Petroleum Corp.

      74        5,442  

Andeavor

      20        2,630  

Apache Corp.

      55        2,577  

Cabot Oil & Gas Corp.

      65        1,550  

Chevron Corp.

      276        34,844  

Cimarex Energy Co.

      14        1,400  

Concho Resources, Inc.*

      21        2,974  

ConocoPhillips

      169        11,748  

Devon Energy Corp.

      75        3,318  

EOG Resources, Inc.

      83        10,388  

EQT Corp.

      36        2,007  

Exxon Mobil Corp.

      611        50,516  

Hess Corp.

      38        2,526  

HollyFrontier Corp.

      25        1,742  

Kinder Morgan, Inc.

      274        4,835  

Marathon Oil Corp.

      123        2,567  

Marathon Petroleum Corp.

      67        4,674  

Newfield Exploration Co.*

      29        871  

Noble Energy, Inc.

      70        2,465  

Occidental Petroleum Corp.

      110        9,242  

ONEOK, Inc.

      59        4,140  

Phillips 66

      61        6,798  

Pioneer Natural Resources Co.

      25        4,651  

Valero Energy Corp.

      62        6,888  

Williams Cos., Inc. (The)

      119        3,236  
     

 

 

  
        184,029  
     

 

 

  

Personal Products — 0.2%

      

Coty, Inc., Class A

      68        962  

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

      32        4,609  
     

 

 

  
        5,571  
     

 

 

  

Pharmaceuticals — 4.3%

      

Allergan plc

      49        8,152  

Bristol-Myers Squibb Co.

      236        13,046  

Eli Lilly & Co.

      138        11,755  

Johnson & Johnson

      387        46,937  

Merck & Co., Inc.

      388        23,551  

Mylan NV*

      74        2,687  

Nektar Therapeutics*

      23        1,135  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Pharmaceuticals — continued

 

Perrigo Co. plc

      19        1,354  

Pfizer, Inc.

      844        30,607  

Zoetis, Inc.

      70        5,945  
     

 

 

  
        145,169  
     

 

 

  

Professional Services — 0.3%

      

Equifax, Inc.

      17        2,170  

IHS Markit Ltd.*

      51        2,649  

Nielsen Holdings plc

      48        1,494  

Robert Half International, Inc.

      18        1,160  

Verisk Analytics, Inc.*

      22        2,412  
     

 

 

  
        9,885  
     

 

 

  

Real Estate Management & Development — 0.1%

 

CBRE Group, Inc., Class A*

      44        2,082  
     

 

 

  

Road & Rail — 1.0%

      

CSX Corp.

      126        8,052  

JB Hunt Transport Services, Inc.

      12        1,501  

Kansas City Southern

      15        1,568  

Norfolk Southern Corp.

      41        6,148  

Union Pacific Corp.

      112        15,847  
     

 

 

  
        33,116  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.0%

 

Advanced Micro Devices, Inc.*

      119        1,781  

Analog Devices, Inc.

      53        5,131  

Applied Materials, Inc.

      145        6,715  

Broadcom, Inc.

      58        14,049  

Intel Corp.

      672        33,409  

KLA-Tencor Corp.

      22        2,305  

Lam Research Corp.

      24        4,089  

Microchip Technology, Inc.

      34        3,083  

Micron Technology, Inc.*

      167        8,771  

NVIDIA Corp.

      88        20,739  

Qorvo, Inc.*

      18        1,463  

QUALCOMM, Inc.

      214        12,000  

Skyworks Solutions, Inc.

      26        2,538  

Texas Instruments, Inc.

      141        15,565  

Xilinx, Inc.

      37        2,385  
     

 

 

  
        134,023  
     

 

 

  

Software — 6.0%

      

Activision Blizzard, Inc.

      110        8,379  

Adobe Systems, Inc.*

      71        17,317  

ANSYS, Inc.*

      12        2,111  

Autodesk, Inc.*

      32        4,142  

CA, Inc.

      45        1,607  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Software — continued

 

Cadence Design Systems, Inc.*

      41        1,761  

Citrix Systems, Inc.*

      19        1,947  

Electronic Arts, Inc.*

      44        6,240  

Intuit, Inc.

      35        7,182  

Microsoft Corp.

      1,108        109,268  

Oracle Corp.

      430        18,937  

Red Hat, Inc.*

      26        3,443  

salesforce.com, Inc.*

      102        13,875  

Symantec Corp.

      90        1,851  

Synopsys, Inc.*

      21        1,839  

Take-Two Interactive Software, Inc.*

      16        1,952  
     

 

 

  
        201,851  
     

 

 

  

Specialty Retail — 2.3%

      

Advance Auto Parts, Inc.

      11        1,449  

AutoZone, Inc.*

      4        2,580  

Best Buy Co., Inc.

      35        2,638  

CarMax, Inc.*

      26        1,871  

Foot Locker, Inc.

      17        897  

Gap, Inc. (The)

      31        1,014  

Home Depot, Inc. (The)

      166        32,458  

L Brands, Inc.

      35        1,290  

Lowe’s Cos., Inc.

      119        11,330  

O’Reilly Automotive, Inc.*

      12        3,232  

Ross Stores, Inc.

      55        4,628  

Tiffany & Co.

      15        1,933  

TJX Cos., Inc. (The)

      90        8,608  

Tractor Supply Co.

      18        1,346  

Ulta Beauty, Inc.*

      8        1,925  
     

 

 

  
        77,199  
     

 

 

  

Technology Hardware, Storage & Peripherals — 4.4%

 

Apple, Inc.

      709        131,219  

Hewlett Packard Enterprise Co.

      220        3,218  

HP, Inc.

      237        5,371  

NetApp, Inc.

      39        3,034  

Seagate Technology plc

      41        2,338  

Western Digital Corp.

      43        3,341  

Xerox Corp.

      31        740  
     

 

 

  
        149,261  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.8%

      

Hanesbrands, Inc.

      52        1,144  

Michael Kors Holdings Ltd.*

      22        1,440  

NIKE, Inc., Class B

      185        14,740  

PVH Corp.

      11        1,664  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         13  

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Textiles, Apparel & Luxury Goods — continued

 

Ralph Lauren Corp.

      8        1,009  

Tapestry, Inc.

      42        1,939  

Under Armour, Inc., Class A*

      27        603  

Under Armour, Inc., Class C*

      27        573  

VF Corp.

      47        3,849  
     

 

 

  
        26,961  
     

 

 

  

Tobacco — 1.0%

      

Altria Group, Inc.

      273        15,502  

Philip Morris International, Inc.

      224        18,101  
     

 

 

  
        33,603  
     

 

 

  

Trading Companies & Distributors — 0.2%

      

Fastenal Co.

      41        1,997  

United Rentals, Inc.*

      12        1,780  

WW Grainger, Inc.

      7        2,267  
     

 

 

  
        6,044  
     

 

 

  

Water Utilities — 0.1%

      

American Water Works Co., Inc.

      26        2,192  
     

 

 

  

Total Common Stocks
(Cost $1,897,474)

           3,320,461  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 1.4%

      

Investment Companies — 1.4%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares,
1.80% (c) (d)
(Cost $45,445)

      45,445        45,445  
     

 

 

  

Total Investments — 100.0%
(Cost $1,942,919)

         3,365,906  

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

         (150 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 3,365,756  
     

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION     

NUMBER OF

CONTRACTS

       

EXPIRATION

DATE

       

TRADING

CURRENCY

       

NOTIONAL

AMOUNT ($)

       

VALUE AND

UNREALIZED
APPRECIATION

(DEPRECIATION) ($)

  

Long Contracts

                         

S&P 500 E-Mini Index

        341          09/2018          USD          46,403          (838 ) 
                        

 

 

  
                           (838 ) 
                        

 

 

  

 

Abbreviations

MSCI

   Morgan Stanley Capital International

USD

   United States Dollar
(a)  

Investmentin affiliate. This security is included in an index in which the Fund, as an index fund, invests.

(b)  

Amountrounds to less than 0.05% of net assets.

(c)  

Investmentin affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(d)  

Therate shown is the current yield as of June 30, 2018.

*  

Non-incomeproducing security.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 95.6%

 

Aerospace & Defense — 0.9%

      

Aerojet Rocketdyne Holdings, Inc.*

      24        693  

Curtiss-Wright Corp.

      17        1,988  

Engility Holdings, Inc.*

      7        225  

KLX, Inc.*

      20        1,438  

Moog, Inc., Class A

      22        1,729  

Teledyne Technologies, Inc.*

      14        2,846  

Triumph Group, Inc.

      18        347  
     

 

 

  
        9,266  
     

 

 

  

Air Freight & Logistics — 0.3%

      

Echo Global Logistics, Inc.*

      11        322  

Hub Group, Inc., Class A*

      68        3,404  
     

 

 

  
        3,726  
     

 

 

  

Airlines — 0.5%

      

Hawaiian Holdings, Inc.

      21        744  

JetBlue Airways Corp.*

      150        2,845  

SkyWest, Inc.

      33        1,708  
     

 

 

  
        5,297  
     

 

 

  

Auto Components — 1.2%

      

American Axle & Manufacturing Holdings, Inc.*

      44        684  

Cooper-Standard Holdings, Inc.*

      30        3,881  

Dana, Inc.

      188        3,798  

Delphi Technologies plc

      40        1,805  

Gentex Corp.

      114        2,629  
     

 

 

  
        12,797  
     

 

 

  

Automobiles — 0.2%

      

Thor Industries, Inc.

      20        1,961  

Winnebago Industries, Inc.

      12        475  
     

 

 

  
        2,436  
     

 

 

  

Banks — 7.7%

      

Ameris Bancorp

      12        662  

Associated Banc-Corp.

      123        3,349  

BancorpSouth Bank

      41        1,356  

Bank of Hawaii Corp.

      25        2,080  

Bank of the Ozarks

      21        943  

Banner Corp.

      13        753  

Boston Private Financial Holdings, Inc.

      29        466  

Brookline Bancorp, Inc.

      28        515  

Cathay General Bancorp

      30        1,228  

Columbia Banking System, Inc.

      24        979  

Commerce Bancshares, Inc.

      2        123  

Community Bank System, Inc.

      13        748  

Cullen/Frost Bankers, Inc.

      24        2,619  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Banks — continued

      

East West Bancorp, Inc.

      116        7,573  

First BanCorp (Puerto Rico)*

      390        2,986  

First Financial Bancorp

      19        568  

First Horizon National Corp.

      270        4,822  

First Midwest Bancorp, Inc.

      141        3,597  

Fulton Financial Corp.

      79        1,297  

Hancock Whitney Corp.

      83        3,849  

Hanmi Financial Corp.

      53        1,516  

Home BancShares, Inc.

      32        722  

Independent Bank Corp.

      11        877  

LegacyTexas Financial Group, Inc.

      14        554  

MB Financial, Inc.

      21        969  

NBT Bancorp, Inc.

      13        497  

Opus Bank

      8        218  

PacWest Bancorp

      89        4,384  

Pinnacle Financial Partners, Inc.

      28        1,745  

Signature Bank*

      17        2,161  

Sterling Bancorp

      49        1,156  

Synovus Financial Corp.

      117        6,198  

TCF Financial Corp.

      222        5,453  

Texas Capital Bancshares, Inc.*

      50        4,529  

Trustmark Corp.

      25        800  

UMB Financial Corp.

      14        1,075  

Umpqua Holdings Corp.

      114        2,580  

United Community Banks, Inc.

      106        3,263  

Wintrust Financial Corp.

      52        4,555  
     

 

 

  
        83,765  
     

 

 

  

Biotechnology — 1.3%

      

Acorda Therapeutics, Inc.*

      53        1,527  

AMAG Pharmaceuticals, Inc.*

      95        1,845  

Emergent BioSolutions, Inc.*

      7        338  

Momenta Pharmaceuticals, Inc.*

      136        2,790  

Myriad Genetics, Inc.*

      26        975  

United Therapeutics Corp.*

      59        6,684  
     

 

 

  
        14,159  
     

 

 

  

Building Products — 0.7%

      

Gibraltar Industries, Inc.*

      12        454  

Lennox International, Inc.

      20        3,954  

PGT Innovations, Inc.*

      17        359  

Universal Forest Products, Inc.

      77        2,818  
     

 

 

  
        7,585  
     

 

 

  

Capital Markets — 2.2%

      

Donnelley Financial Solutions, Inc.*

      10        175  

Eaton Vance Corp.

      48        2,500  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         15  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Capital Markets — continued

      

Evercore, Inc., Class A

      41        4,323  

FactSet Research Systems, Inc.

      15        3,051  

Financial Engines, Inc.

      27        1,199  

Interactive Brokers Group, Inc., Class A

      29        1,849  

INTL. FCStone, Inc.*

      6        326  

Investment Technology Group, Inc.

      16        328  

Janus Henderson Group plc (United Kingdom)

      55        1,705  

Legg Mason, Inc.

      34        1,174  

Piper Jaffray Cos.

      6        454  

SEI Investments Co.

      53        3,291  

Stifel Financial Corp.

      59        3,068  
     

 

 

  
        23,443  
     

 

 

  

Chemicals — 2.6%

      

A Schulman, Inc.

      55        2,456  

AdvanSix, Inc.*

      10        370  

American Vanguard Corp.

      11        259  

Ashland Global Holdings, Inc.

      13        991  

Cabot Corp.

      48        2,974  

Chemours Co. (The)

      106        4,680  

FutureFuel Corp.

      41        574  

Hawkins, Inc.

      4        138  

Ingevity Corp.*

      23        1,860  

Innophos Holdings, Inc.

      45        2,142  

Innospec, Inc.

      9        689  

Koppers Holdings, Inc.*

      43        1,657  

Kraton Corp.*

      24        1,112  

Minerals Technologies, Inc.

      15        1,096  

PolyOne Corp.

      32        1,396  

Rayonier Advanced Materials, Inc.

      48        815  

RPM International, Inc.

      24        1,376  

Scotts Miracle-Gro Co. (The)

      16        1,364  

Stepan Co.

      34        2,627  
     

 

 

  
        28,576  
     

 

 

  

Commercial Services & Supplies — 1.8%

      

ABM Industries, Inc.

      21        621  

Brink’s Co. (The)

      20        1,555  

Copart, Inc.*

      75        4,248  

Essendant, Inc.

      65        864  

Herman Miller, Inc.

      39        1,314  

HNI Corp.

      16        587  

Interface, Inc.

      25        571  

LSC Communications, Inc.

      81        1,262  

MSA Safety, Inc.

      12        1,127  

Pitney Bowes, Inc.

      69        593  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Commercial Services & Supplies — continued

      

RR Donnelley & Sons Co.

      74        425  

Tetra Tech, Inc.

      66        3,842  

UniFirst Corp.

      7        1,150  

Viad Corp.

      20        1,077  
     

 

 

  
        19,236  
     

 

 

  

Communications Equipment — 1.0%

      

ARRIS International plc*

      151        3,687  

Ciena Corp.*

      61        1,625  

Comtech Telecommunications Corp.

      9        290  

Digi International, Inc.*

      53        696  

InterDigital, Inc.

      12        1,003  

Lumentum Holdings, Inc.*

      26        1,517  

NETGEAR, Inc.*

      20        1,225  

Plantronics, Inc.

      16        1,235  
     

 

 

  
        11,278  
     

 

 

  

Construction & Engineering — 2.0%

      

AECOM*

      116        3,824  

Aegion Corp.*

      85        2,185  

Comfort Systems USA, Inc.

      38        1,751  

Dycom Industries, Inc.*

      12        1,143  

EMCOR Group, Inc.

      56        4,301  

Granite Construction, Inc.

      16        874  

KBR, Inc.

      179        3,211  

MYR Group, Inc.*

      70        2,479  

Orion Group Holdings, Inc.*

      62        509  

Valmont Industries, Inc.

      9        1,281  
     

 

 

  
        21,558  
     

 

 

  

Construction Materials — 0.0% (a)

      

US Concrete, Inc.*

      5        262  
     

 

 

  

Consumer Finance — 0.9%

      

Enova International, Inc.*

      14        497  

FirstCash, Inc.

      43        3,846  

Green Dot Corp., Class A*

      54        3,941  

SLM Corp.*

      169        1,932  
     

 

 

  
        10,216  
     

 

 

  

Containers & Packaging — 0.6%

      

AptarGroup, Inc.

      7        635  

Bemis Co., Inc.

      10        401  

Greif, Inc., Class A

      9        470  

Owens-Illinois, Inc.*

      161        2,713  

Silgan Holdings, Inc.

      29        789  

Sonoco Products Co.

      23        1,218  
     

 

 

  
        6,226  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Distributors — 0.2%

      

Core-Mark Holding Co., Inc.

      6        136  

Pool Corp.

      16        2,439  
     

 

 

  
        2,575  
     

 

 

  

Diversified Consumer Services — 0.3%

      

Adtalem Global Education, Inc.*

      22        1,073  

American Public Education, Inc.*

      7        307  

Capella Education Co.

      6        549  

Graham Holdings Co., Class B

      2        1,055  

Sotheby’s*

      6        304  

Strayer Education, Inc.

      4        486  
     

 

 

  
        3,774  
     

 

 

  

Diversified Telecommunication Services — 0.5%

 

ATN International, Inc.

      4        216  

Frontier Communications Corp.

      29        153  

Vonage Holdings Corp.*

      357        4,597  
     

 

 

  
        4,966  
     

 

 

  

Electric Utilities — 1.5%

      

ALLETE, Inc.

      29        2,229  

El Paso Electric Co.

      32        1,867  

Hawaiian Electric Industries, Inc.

      73        2,518  

IDACORP, Inc.

      33        3,041  

OGE Energy Corp.

      144        5,068  

PNM Resources, Inc.

      32        1,260  
     

 

 

  
        15,983  
     

 

 

  

Electrical Equipment — 1.0%

      

Encore Wire Corp.

      9        427  

EnerSys

      54        4,047  

Hubbell, Inc.

      20        2,092  

Regal Beloit Corp.

      51        4,200  
     

 

 

  
        10,766  
     

 

 

  

Electronic Equipment, Instruments & Components — 5.2%

 

Anixter International, Inc.*

      12        728  

Arrow Electronics, Inc.*

      81        6,086  

Avnet, Inc.

      111        4,741  

Bel Fuse, Inc., Class B

      28        594  

Belden, Inc.

      15        924  

Benchmark Electronics, Inc.

      92        2,671  

Cognex Corp.

      9        384  

Coherent, Inc.*

      9        1,391  

Electro Scientific Industries, Inc.*

      16        249  

Insight Enterprises, Inc.*

      27        1,311  

Jabil, Inc.

      147        4,052  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
  

Electronic Equipment, Instruments & Components — continued

 

KEMET Corp.*

      76        1,835  

Keysight Technologies, Inc.*

      105        6,204  

Littelfuse, Inc.

      8        1,873  

Methode Electronics, Inc.

      64        2,561  

National Instruments Corp.

      44        1,847  

Plexus Corp.*

      53        3,150  

Rogers Corp.*

      6        658  

Sanmina Corp.*

      58        1,702  

ScanSource, Inc.*

      5        189  

SYNNEX Corp.

      9        859  

Tech Data Corp.*

      50        4,073  

Trimble, Inc.*

      78        2,553  

TTM Technologies, Inc.*

      81        1,426  

Vishay Intertechnology, Inc.

      52        1,211  

Zebra Technologies Corp., Class A*

      23        3,281  
     

 

 

  
        56,553  
     

 

 

  

Energy Equipment & Services — 1.7%

      

Apergy Corp.*

      32        1,324  

Archrock, Inc.

      53        638  

C&J Energy Services, Inc.*

      26        609  

Ensco plc, Class A

      68        494  

Era Group, Inc.*

      34        440  

Exterran Corp.*

      91        2,270  

Helix Energy Solutions Group, Inc.*

      33        278  

Matrix Service Co.*

      14        253  

McDermott International, Inc.*

      125        2,454  

Newpark Resources, Inc.*

      36        385  

Noble Corp. plc*

      90        570  

Oceaneering International, Inc.

      42        1,064  

Oil States International, Inc.*

      25        805  

Patterson-UTI Energy, Inc.

      90        1,612  

Pioneer Energy Services Corp.*

      28        166  

Rowan Cos. plc, Class A*

      46        749  

SEACOR Holdings, Inc.*

      6        338  

Superior Energy Services, Inc.*

      63        614  

TETRA Technologies, Inc.*

      53        234  

Transocean Ltd.*

      178        2,390  

Unit Corp.*

      22        555  

US Silica Holdings, Inc.

      29        750  
     

 

 

  
        18,992  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 7.9%

 

Agree Realty Corp.

      40        2,100  

Alexander & Baldwin, Inc.

      25        595  

American Assets Trust, Inc.

      92        3,507  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         17  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Equity Real Estate Investment Trusts (REITs) — continued

 

American Campus Communities, Inc.

      80        3,442  

Armada Hoffler Properties, Inc.

      196        2,920  

Camden Property Trust

      34        3,058  

Chatham Lodging Trust

      16        346  

Chesapeake Lodging Trust

      23        728  

CoreCivic, Inc.

      71        1,691  

CoreSite Realty Corp.

      18        2,028  

Corporate Office Properties Trust

      104        3,019  

Cousins Properties, Inc.

      105        1,015  

CyrusOne, Inc.

      31        1,786  

DCT Industrial Trust, Inc.

      26        1,702  

DiamondRock Hospitality Co.

      228        2,795  

Douglas Emmett, Inc.

      69        2,768  

EPR Properties

      8        539  

First Industrial Realty Trust, Inc.

      44        1,460  

GEO Group, Inc. (The)

      121        3,342  

Getty Realty Corp.

      99        2,799  

Hersha Hospitality Trust

      15        320  

Highwoods Properties, Inc.

      103        5,210  

Hospitality Properties Trust

      155        4,424  

JBG SMITH Properties

      37        1,364  

Kilroy Realty Corp.

      35        2,667  

Kite Realty Group Trust

      78        1,328  

LaSalle Hotel Properties

      60        2,057  

Liberty Property Trust

      47        2,065  

Life Storage, Inc.

      20        1,907  

Medical Properties Trust, Inc.

      71        1,000  

National Storage Affiliates Trust

      41        1,276  

PotlatchDeltic Corp.

      46        2,314  

PS Business Parks, Inc.

      28        3,618  

Ramco-Gershenson Properties Trust

      33        440  

Rayonier, Inc.

      123        4,747  

Sabra Health Care REIT, Inc.

      62        1,340  

Saul Centers, Inc.

      4        240  

Senior Housing Properties Trust

      167        3,016  

Summit Hotel Properties, Inc.

      41        592  

Taubman Centers, Inc.

      26        1,504  

Uniti Group, Inc.

      69        1,380  

Urstadt Biddle Properties, Inc., Class A

      13        283  

Weingarten Realty Investors

      17        529  
     

 

 

  
        85,261  
     

 

 

  

Food & Staples Retailing — 0.3%

      

Casey’s General Stores, Inc.

      3        321  

SpartanNash Co.

      64        1,638  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
  

Food & Staples Retailing — continued

 

Sprouts Farmers Market, Inc.*

      8        174  

United Natural Foods, Inc.*

      20        866  
     

 

 

  
        2,999  
     

 

 

  

Food Products — 2.0%

      

Darling Ingredients, Inc.*

      61        1,213  

Dean Foods Co.

      132        1,392  

Flowers Foods, Inc.

      98        2,050  

Hain Celestial Group, Inc. (The)*

      26        789  

Ingredion, Inc.

      54        6,007  

J&J Snack Foods Corp.

      5        807  

John B Sanfilippo & Son, Inc.

      3        238  

Lamb Weston Holdings, Inc.

      52        3,563  

Post Holdings, Inc.*

      44        3,750  

Sanderson Farms, Inc.

      8        791  

Seneca Foods Corp., Class A*

      12        315  

TreeHouse Foods, Inc.*

      23        1,218  
     

 

 

  
        22,133  
     

 

 

  

Gas Utilities — 1.8%

      

Atmos Energy Corp.

      77        6,955  

National Fuel Gas Co.

      41        2,152  

New Jersey Resources Corp.

      36        1,599  

Southwest Gas Holdings, Inc.

      19        1,453  

Spire, Inc.

      2        148  

UGI Corp.

      141        7,325  

WGL Holdings, Inc.

      3        293  
     

 

 

  
        19,925  
     

 

 

  

Health Care Equipment & Supplies — 3.3%

      

AngioDynamics, Inc.*

      41        905  

Cantel Medical Corp.

      14        1,367  

CONMED Corp.

      10        710  

Globus Medical, Inc., Class A*

      30        1,504  

Haemonetics Corp.*

      23        2,080  

Hill-Rom Holdings, Inc.

      62        5,398  

ICU Medical, Inc.*

      6        1,821  

Inogen, Inc.*

      2        428  

Integer Holdings Corp.*

      49        3,187  

Lantheus Holdings, Inc.*

      93        1,349  

LivaNova plc*

      17        1,707  

Masimo Corp.*

      30        2,939  

Natus Medical, Inc.*

      13        452  

NuVasive, Inc.*

      19        980  

OraSure Technologies, Inc.*

      22        356  

Orthofix International NV*

      19        1,080  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Health Care Equipment & Supplies — continued

 

STERIS plc

      34        3,528  

Surmodics, Inc.*

      6        353  

Teleflex, Inc.

      17        4,667  

Varex Imaging Corp.*

      15        549  

West Pharmaceutical Services, Inc.

      3        298  
     

 

 

  
        35,658  
     

 

 

  

Health Care Providers & Services — 3.7%

      

Acadia Healthcare Co., Inc.*

      18        728  

AMN Healthcare Services, Inc.*

      19        1,105  

Chemed Corp.

      7        2,092  

Community Health Systems, Inc.*

      49        162  

Cross Country Healthcare, Inc.*

      99        1,109  

Diplomat Pharmacy, Inc.*

      21        544  

Encompass Health Corp.

      88        5,980  

Kindred Healthcare, Inc.*

      28        253  

LifePoint Health, Inc.*

      16        786  

Magellan Health, Inc.*

      26        2,472  

MEDNAX, Inc.*

      81        3,492  

Molina Healthcare, Inc.*

      30        2,957  

Owens & Minor, Inc.

      88        1,466  

Patterson Cos., Inc.

      79        1,789  

Select Medical Holdings Corp.*

      158        2,873  

Tenet Healthcare Corp.*

      108        3,612  

WellCare Health Plans, Inc.*

      35        8,520  
     

 

 

  
        39,940  
     

 

 

  

Health Care Technology — 0.1%

 

Allscripts Healthcare Solutions, Inc.*

      75        904  

HealthStream, Inc.

      12        319  

Quality Systems, Inc.*

      20        386  
     

 

 

  
        1,609  
     

 

 

  

Hotels, Restaurants & Leisure — 1.5%

      

BJ’s Restaurants, Inc.

      7        402  

Boyd Gaming Corp.

      13        437  

Brinker International, Inc.

      59        2,826  

Cheesecake Factory, Inc. (The)

      19        1,046  

Cracker Barrel Old Country Store, Inc.

      11        1,753  

Dine Brands Global, Inc.

      7        509  

Domino’s Pizza, Inc.

      17        4,769  

Jack in the Box, Inc.

      9        800  

Papa John’s International, Inc.

      6        309  

Red Robin Gourmet Burgers, Inc.*

      5        242  

Ruth’s Hospitality Group, Inc.

      11        306  

Scientific Games Corp., Class A*

      21        1,042  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Hotels, Restaurants & Leisure — continued

 

Texas Roadhouse, Inc.

      26        1,707  
     

 

 

  
        16,148  
     

 

 

  

Household Durables — 2.1%

      

Helen of Troy Ltd.*

      25        2,420  

KB Home

      138        3,748  

La-Z-Boy, Inc.

      18        541  

MDC Holdings, Inc.

      19        574  

NVR, Inc.*

      2        4,720  

Toll Brothers, Inc.

      120        4,450  

TopBuild Corp.*

      35        2,766  

TRI Pointe Group, Inc.*

      46        754  

Tupperware Brands Corp.

      59        2,440  

William Lyon Homes, Class A*

      11        255  
     

 

 

  
        22,668  
     

 

 

  

Household Products — 0.5%

      

Central Garden & Pet Co.*

      15        665  

Central Garden & Pet Co., Class A*

      78        3,149  

Energizer Holdings, Inc.

      24        1,488  
     

 

 

  
        5,302  
     

 

 

  

Industrial Conglomerates — 0.3%

      

Carlisle Cos., Inc.

      25        2,711  

Raven Industries, Inc.

      13        481  
     

 

 

  
        3,192  
     

 

 

  

Insurance — 4.1%

      

Alleghany Corp.

      7        4,118  

American Equity Investment Life Holding Co.

      35        1,246  

American Financial Group, Inc.

      54        5,792  

Aspen Insurance Holdings Ltd. (Bermuda)

      23        942  

Brown & Brown, Inc.

      67        1,857  

CNO Financial Group, Inc.

      67        1,272  

First American Financial Corp.

      78        4,034  

Hanover Insurance Group, Inc. (The)

      51        6,053  

HCI Group, Inc.

      3        104  

Kemper Corp.

      19        1,415  

Maiden Holdings Ltd.

      26        201  

Navigators Group, Inc. (The)

      5        301  

Old Republic International Corp.

      194        3,855  

Primerica, Inc.

      17        1,693  

Reinsurance Group of America, Inc.

      23        3,083  

RenaissanceRe Holdings Ltd. (Bermuda)

      16        1,973  

Safety Insurance Group, Inc.

      5        436  

Selective Insurance Group, Inc.

      21        1,132  

Stewart Information Services Corp.

      10        409  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         19  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Insurance — continued

 

United Fire Group, Inc.

      9        463  

United Insurance Holdings Corp.

      39        754  

Universal Insurance Holdings, Inc.

      15        512  

WR Berkley Corp.

      34        2,446  
     

 

 

  
        44,091  
     

 

 

  

Internet & Direct Marketing Retail — 0.3%

      

FTD Cos., Inc.*

      7        34  

Nutrisystem, Inc.

      9        343  

Shutterfly, Inc.*

      33        2,989  
     

 

 

  
        3,366  
     

 

 

  

Internet Software & Services — 0.7%

      

Blucora, Inc.*

      16        581  

Cars.com, Inc.*

      14        395  

j2 Global, Inc.

      19        1,637  

LogMeIn, Inc.

      18        1,838  

NIC, Inc.

      21        330  

QuinStreet, Inc.*

      52        658  

SPS Commerce, Inc.*

      7        544  

Stamps.com, Inc.*

      6        1,442  

XO Group, Inc.*

      10        329  
     

 

 

  
        7,754  
     

 

 

  

IT Services — 3.0%

      

CACI International, Inc., Class A*

      26        4,351  

Cardtronics plc, Class A*

      17        420  

Convergys Corp.

      31        765  

CoreLogic, Inc.*

      33        1,697  

CSG Systems International, Inc.

      26        1,075  

EVERTEC, Inc. (Puerto Rico)

      24        529  

ExlService Holdings, Inc.*

      36        2,047  

Leidos Holdings, Inc.

      89        5,239  

ManTech International Corp., Class A

      9        483  

MAXIMUS, Inc.

      9        565  

Perficient, Inc.*

      61        1,608  

Perspecta, Inc.

      109        2,232  

Sabre Corp.

      78        1,917  

Science Applications International Corp.

      47        3,796  

Sykes Enterprises, Inc.*

      78        2,252  

Teradata Corp.*

      63        2,517  

Travelport Worldwide Ltd.

      50        931  

Virtusa Corp.*

      11        511  
     

 

 

  
        32,935  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
  

Leisure Products — 0.6%

      

Brunswick Corp.

      35        2,250  

Callaway Golf Co.

      40        759  

Nautilus, Inc.*

      15        235  

Polaris Industries, Inc.

      22        2,722  
     

 

 

  
        5,966  
     

 

 

  

Life Sciences Tools & Services — 0.5%

      

Bio-Rad Laboratories, Inc., Class A*

      8        2,366  

Charles River Laboratories International, Inc.*

      21        2,369  

Syneos Health, Inc.*

      21        1,004  
     

 

 

  
        5,739  
     

 

 

  

Machinery — 3.8%

      

AGCO Corp.

      58        3,499  

Alamo Group, Inc.

      3        289  

Barnes Group, Inc.

      19        1,132  

Briggs & Stratton Corp.

      78        1,377  

Crane Co.

      59        4,729  

Federal Signal Corp.

      23        527  

Greenbrier Cos., Inc. (The)

      55        2,896  

Harsco Corp.*

      33        723  

Hillenbrand, Inc.

      27        1,249  

IDEX Corp.

      24        3,234  

ITT, Inc.

      78        4,067  

Kennametal, Inc.

      29        1,034  

Lincoln Electric Holdings, Inc.

      25        2,220  

Lydall, Inc.*

      6        254  

Oshkosh Corp.

      28        1,997  

SPX Corp.*

      14        497  

SPX FLOW, Inc.*

      17        739  

Standex International Corp.

      5        511  

Terex Corp.

      70        2,948  

Timken Co. (The)

      30        1,292  

Toro Co. (The)

      34        2,055  

Wabash National Corp.

      21        397  

Wabtec Corp.

      8        762  

Watts Water Technologies, Inc., Class A

      42        3,301  
     

 

 

  
        41,729  
     

 

 

  

Marine — 0.2%

 

Kirby Corp.*

      22        1,864  
     

 

 

  

Media — 1.1%

      

AMC Networks, Inc., Class A*

      32        2,003  

Cinemark Holdings, Inc.

      8        270  

Gannett Co., Inc.

      133        1,427  

John Wiley & Sons, Inc., Class A

      34        2,115  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Media — continued

 

Live Nation Entertainment, Inc.*

      32        1,562  

Meredith Corp.

      31        1,594  

New Media Investment Group, Inc.

      31        571  

TEGNA, Inc.

      154        1,670  

World Wrestling Entertainment, Inc., Class A

      16        1,158  
     

 

 

  
        12,370  
     

 

 

  

Metals & Mining — 2.0%

      

AK Steel Holding Corp.*

      126        545  

Carpenter Technology Corp.

      7        379  

Century Aluminum Co.*

      19        291  

Commercial Metals Co.

      42        890  

Kaiser Aluminum Corp.

      7        724  

Materion Corp.

      8        412  

Reliance Steel & Aluminum Co.

      60        5,260  

Royal Gold, Inc.

      8        761  

Steel Dynamics, Inc.

      154        7,097  

SunCoke Energy, Inc.*

      26        346  

United States Steel Corp.

      102        3,558  

Worthington Industries, Inc.

      45        1,886  
     

 

 

  
        22,149  
     

 

 

  

Multiline Retail — 0.2%

      

Big Lots, Inc.

      22        907  

Dillard’s, Inc., Class A

      8        728  
     

 

 

  
        1,635  
     

 

 

  

Multi-Utilities — 0.9%

      

Avista Corp.

      34        1,770  

MDU Resources Group, Inc.

      76        2,177  

NorthWestern Corp.

      17        964  

Vectren Corp.

      71        5,079  
     

 

 

  
        9,990  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.8%

      

Carrizo Oil & Gas, Inc.*

      33        922  

Chesapeake Energy Corp.*

      291        1,523  

CNX Resources Corp.*

      80        1,413  

CONSOL Energy, Inc.*

      10        377  

Denbury Resources, Inc.*

      191        917  

Energen Corp.*

      40        2,891  

Gulfport Energy Corp.*

      58        733  

HighPoint Resources Corp.*

      49        299  

Matador Resources Co.*

      21        619  

Murphy Oil Corp.

      74        2,496  

Oasis Petroleum, Inc.*

      108        1,402  

Par Pacific Holdings, Inc.*

      80        1,390  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
  

Oil, Gas & Consumable Fuels — continued

 

PBF Energy, Inc., Class A

      109        4,575  

PDC Energy, Inc.*

      27        1,638  

QEP Resources, Inc.*

      92        1,133  

REX American Resources Corp.*

      3        210  

SM Energy Co.

      41        1,064  

Southwestern Energy Co.*

      195        1,034  

SRC Energy, Inc.*

      100        1,102  

World Fuel Services Corp.

      27        555  

WPX Energy, Inc.*

      202        3,644  
     

 

 

  
        29,937  
     

 

 

  

Paper & Forest Products — 1.1%

      

Boise Cascade Co.

      48        2,137  

Domtar Corp.

      76        3,646  

KapStone Paper and Packaging Corp.

      17        591  

Louisiana-Pacific Corp.

      96        2,616  

Schweitzer-Mauduit International, Inc.

      68        2,952  
     

 

 

  
        11,942  
     

 

 

  

Personal Products — 0.2%

      

Avon Products, Inc. (United Kingdom)*

      180        291  

Medifast, Inc.

      5        823  

Nu Skin Enterprises, Inc., Class A

      20        1,556  
     

 

 

  
        2,670  
     

 

 

  

Pharmaceuticals — 0.9%

      

Akorn, Inc.*

      147        2,439  

Catalent, Inc.*

      53        2,233  

Depomed, Inc.*

      263        1,755  

Medicines Co. (The)*

      101        3,718  
     

 

 

  
        10,145  
     

 

 

  

Professional Services — 2.1%

      

ASGN, Inc.*

      19        1,501  

Dun & Bradstreet Corp. (The)

      14        1,754  

FTI Consulting, Inc.*

      17        1,045  

Heidrick& Struggles International, Inc.

      59        2,055  

Insperity, Inc.

      40        3,801  

Kelly Services, Inc., Class A

      26        579  

Korn/Ferry International

      67        4,143  

ManpowerGroup, Inc.

      53        4,577  

Navigant Consulting, Inc.*

      18        405  

Resources Connection, Inc.

      46        769  

TrueBlue, Inc.*

      86        2,319  
     

 

 

  
        22,948  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         21  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Real Estate Management & Development — 0.6%

 

HFF, Inc., Class A

      14        473  

Jones Lang LaSalle, Inc.

      35        5,733  
     

 

 

  
        6,206  
     

 

 

  

Road & Rail — 1.4%

      

ArcBest Corp.

      59        2,706  

Avis Budget Group, Inc.*

      76        2,454  

Knight-Swift Transportation Holdings, Inc.

      42        1,593  

Landstar System, Inc.

      31        3,393  

Old Dominion Freight Line, Inc.

      27        3,977  

Saia, Inc.*

      9        695  
     

 

 

  
        14,818  
     

 

 

  

Semiconductors & Semiconductor Equipment — 2.5%

 

Advanced Energy Industries, Inc.*

      17        964  

Cabot Microelectronics Corp.

      9        941  

Cirrus Logic, Inc.*

      24        906  

Cohu, Inc.

      64        1,571  

Cree, Inc.*

      7        287  

Cypress Semiconductor Corp.

      145        2,261  

First Solar, Inc.*

      47        2,496  

Integrated Device Technology, Inc.*

      52        1,670  

Kulicke & Soffa Industries, Inc. (Singapore)

      155        3,698  

MKS Instruments, Inc.

      31        3,002  

Nanometrics, Inc.*

      43        1,513  

Photronics, Inc.*

      23        184  

Rudolph Technologies, Inc.*

      74        2,178  

Semtech Corp.*

      11        532  

SolarEdge Technologies, Inc.*

      17        813  

Synaptics, Inc.*

      13        675  

Teradyne, Inc.

      81        3,091  

Ultra Clean Holdings, Inc.*

      31        522  

Veeco Instruments, Inc.*

      3        37  
     

 

 

  
        27,341  
     

 

 

  

Software — 2.4%

      

8x8, Inc.*

      41        824  

ACI Worldwide, Inc.*

      46        1,145  

Bottomline Technologies de, Inc.*

      14        678  

CDK Global, Inc.

      30        1,926  

CommVault Systems, Inc.*

      20        1,297  

Fair Isaac Corp.*

      13        2,582  

Fortinet, Inc.*

      79        4,944  

MicroStrategy, Inc., Class A*

      15        1,910  

Monotype Imaging Holdings, Inc.

      38        763  

Progress Software Corp.

      19        729  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
  

Software — continued

      

PTC, Inc.*

      53        4,973  

Qualys, Inc.*

      13        1,054  

Synchronoss Technologies, Inc.*

      14        88  

TiVo Corp.

      75        1,010  

Ultimate Software Group, Inc. (The)*

      8        2,110  
     

 

 

  
        26,033  
     

 

 

  

Specialty Retail — 3.2%

      

Aaron’s, Inc.

      71        3,078  

Abercrombie & Fitch Co., Class A

      26        627  

American Eagle Outfitters, Inc.

      110        2,564  

Asbury Automotive Group, Inc.*

      43        2,955  

AutoNation, Inc.*

      25        1,219  

Caleres, Inc.

      45        1,555  

Cato Corp. (The), Class A

      28        688  

Chico’s FAS, Inc.

      81        661  

Children’s Place, Inc. (The)

      9        1,116  

Dick’s Sporting Goods, Inc.

      33        1,153  

DSW, Inc., Class A

      26        674  

Express, Inc.*

      28        254  

GameStop Corp., Class A

      40        577  

Genesco, Inc.*

      5        191  

Group 1 Automotive, Inc.

      8        526  

Haverty Furniture Cos., Inc.

      6        139  

Lithia Motors, Inc., Class A

      10        929  

Michaels Cos., Inc. (The)*

      41        776  

Murphy USA, Inc.*

      9        676  

Office Depot, Inc.

      408        1,041  

RH*

      8        1,090  

Sally Beauty Holdings, Inc.*

      51        822  

Signet Jewelers Ltd.

      25        1,383  

Sleep Number Corp.*

      19        554  

Tailored Brands, Inc.

      88        2,236  

Urban Outfitters, Inc.*

      94        4,183  

Williams-Sonoma, Inc.

      30        1,829  

Zumiez, Inc.*

      33        827  
     

 

 

  
        34,323  
     

 

 

  

Technology Hardware, Storage & Peripherals — 0.3%

 

NCR Corp.*

      107        3,196  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.1%

      

Carter’s, Inc.

      19        2,059  

Crocs, Inc.*

      30        520  

Deckers Outdoor Corp.*

      24        2,709  

Fossil Group, Inc.*

      21        572  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Textiles, Apparel & Luxury Goods — continued

 

Movado Group, Inc.

      6        309  

Oxford Industries, Inc.

      5        432  

Perry Ellis International, Inc.*

      38        1,033  

Skechers U.S.A., Inc., Class A*

      53        1,586  

Steven Madden Ltd.

      21        1,138  

Wolverine World Wide, Inc.

      33        1,158  
     

 

 

  
        11,516  
     

 

 

  

Thrifts & Mortgage Finance — 0.4%

      

BofI Holding, Inc.*

      16        667  

Dime Community Bancshares, Inc.

      28        554  

Provident Financial Services, Inc.

      37        1,015  

TrustCo Bank Corp.

      164        1,463  

Walker & Dunlop, Inc.

      11        618  
     

 

 

  
        4,317  
     

 

 

  

Tobacco — 0.1%

      

Universal Corp.

      8        555  
     

 

 

  

Trading Companies & Distributors — 0.9%

      

Applied Industrial Technologies, Inc.

      15        1,080  

DXP Enterprises, Inc.*

      5        191  

Kaman Corp.

      49        3,380  

MSC Industrial Direct Co., Inc., Class A

      18        1,519  

NOW, Inc.*

      53        704  

Veritiv Corp.*

      27        1,064  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
  

Trading Companies & Distributors — continued

 

Watsco, Inc.

      13        2,318  
     

 

 

  
        10,256  
     

 

 

  

Water Utilities — 0.1%

      

American States Water Co.

      14        820  
     

 

 

  

Wireless Telecommunication Services — 0.3%

 

Spok Holdings, Inc.

      34        510  

Telephone & Data Systems, Inc.

      113        3,099  
     

 

 

  
        3,609  
     

 

 

  

Total Common Stocks
(Cost $721,030)

         1,038,490  
     

 

 

  

Short-Term Investments — 2.9%

      

Investment Companies — 2.9%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (b) (c)
(Cost $31,498)

      31,498        31,498  
     

 

 

  

Total Investments — 98.5%
(Cost $752,528)

         1,069,988  

Other Assets Less Liabilities — 1.5%

         15,810  
     

 

 

  

NET ASSETS — 100.0%

       $ 1,085,798  
     

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts) :  
DESCRIPTION      NUMBER OF
CONTRACTS		      EXPIRATION
DATE		       

TRADING

CURRENCY

        NOTIONAL
AMOUNT ($)		       

VALUE AND

UNREALIZED
APPRECIATION

(DEPRECIATION) ($)

  

Long Contracts

 

Russell 2000 E-Mini Index      147        09/2018          USD          12,109          (130 ) 
S&P Midcap 400 E-Mini Index      164        09/2018          USD          32,080          (361 ) 
                        

 

 

  
                           (491 ) 
                        

 

 

  

 

Abbreviations

  

REIT

   Real Estate Investment Trust

USD

   United States Dollar
(a)  

Amountrounds to less than 0.05% of net assets.

(b)  

Investmentin affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

(c)  

Therate shown is the current yield as of June 30, 2018.

*  

Non-incomeproducing security.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         23  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Equity Index
Fund		        JPMorgan
Market
Expansion
Enhanced
Index Fund		  

ASSETS:

          

Investments in non-affiliates, at value

      $ 3,269,295        $ 1,038,490  

Investments in affiliates, at value

        96,611          31,498  

Cash

        8          — (a) 

Deposits at broker for futures contracts

        2,358          1,437  

Receivables:

          

Investment securities sold

        3,497          21,043  

Fund shares sold

        874          710  

Dividends from non-affiliates

        2,744          1,090  

Dividends from affiliates

        46          38  

Variation margin on futures contracts

        37          —  

Due from adviser

        6          —  
    

 

 

       

 

 

  

Total Assets

        3,375,476          1,094,306  
    

 

 

       

 

 

  

LIABILITIES:

          

Payables:

          

Investment securities purchased

        1,653          7,390  

Fund shares redeemed

        7,325          648  

Variation margin on futures contracts

        —          21  

Accrued liabilities:

          

Investment advisory fees

        —          51  

Administration fees

        48          —  

Distribution fees

        173          64  

Service fees

        115          217  

Custodian and accounting fees

        22          1  

Trustees’ and Chief Compliance Officer’s fees

        —          — (a) 

Other

        384          116  
    

 

 

       

 

 

  

Total Liabilities

        9,720          8,508  
    

 

 

       

 

 

  

Net Assets

      $ 3,365,756        $ 1,085,798  
    

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Equity Index
Fund		        JPMorgan
Market
Expansion
Enhanced
Index Fund		  

NET ASSETS:

          

Paid-in-Capital

      $ 1,964,663        $ 685,497  

Accumulated undistributed (distributions in excess of) net investment income

        1,043          5,175  

Accumulated net realized gains (losses)

        (22,099 )         78,157  

Net unrealized appreciation (depreciation)

        1,422,149          316,969  
    

 

 

       

 

 

  

Total Net Assets

      $ 3,365,756        $ 1,085,798  
    

 

 

       

 

 

  

Net Assets:

          

Class A

      $ 590,286        $ 171,304  

Class C

        78,613          36,618  

Class I

        687,941          864,316  

Class R2

        —          13,560  

Class R6

        2,008,916          —  
    

 

 

       

 

 

  

Total

      $ 3,365,756        $ 1,085,798  
    

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

          

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

          

Class A

        14,177          14,575  

Class C

        1,905          3,724  

Class I

        16,505          72,529  

Class R2

        —          1,173  

Class R6

        48,200          —  

Net Asset Value (a):

          

Class A — Redemption price per share

      $ 41.64        $ 11.75  

Class C — Offering price per share (b)

        41.27          9.83  

Class I — Offering and redemption price per share

        41.68          11.92  

Class R2 — Offering and redemption price per share

        —          11.56  

Class R6 — Offering and redemption price per share

        41.68          —  

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)]

      $ 43.95        $ 12.40  
    

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 1,869,805        $ 721,030  

Cost of investments in affiliates

        73,114          31,498  

 

(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, 2018   J.P. MORGAN EQUITY FUNDS         25  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

(Amounts in thousands)

 

        JPMorgan
Equity
Index Fund		      JPMorgan
Market
Expansion
Enhanced
Index Fund		  

INVESTMENT INCOME:

        

Interest income from non-affiliates

      $ 2      $ 9  

Interest income from affiliates

        — (a)       1  

Dividend income from non-affiliates

        49,332        14,830  

Dividend income from affiliates

        1,268        293  
    

 

 

     

 

 

  

Total investment income

        50,602        15,133  
    

 

 

     

 

 

  

EXPENSES:

        

Investment advisory fees

        1,045        2,622  

Administration fees

        2,122        852  

Distribution fees:

        

Class A

        1,497        423  

Class C

        625        273  

Class R2

        —        108  

Service fees:

        

Class A

        1,497        423  

Class C

        208        91  

Class I

        1,724        2,054  

Class R2

        —        54  

Custodian and accounting fees

        112        35  

Interest expense to affiliates

        — (a)       —  

Professional fees

        80        65  

Trustees’ and Chief Compliance Officer’s fees

        33        29  

Printing and mailing costs

        87        52  

Registration and filing fees

        192        98  

Transfer agency fees (See Note 2.E.)

        335        111  

Other

        47        25  
    

 

 

     

 

 

  

Total expenses

        9,604        7,315  
    

 

 

     

 

 

  

Less fees waived

        (4,158 )       (2,883 ) 

Less expense reimbursements

        — (a)       (9 ) 
    

 

 

     

 

 

  

Net expenses

        5,446        4,423  
    

 

 

     

 

 

  

Net investment income (loss)

        45,156        10,710  
    

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

        

Net realized gain (loss) on transactions from:

        

Investments in non-affiliates

        14,190        116,129  

Investments in affiliates

        119        —  

Futures contracts

        3,867        5,213  
    

 

 

     

 

 

  

Net realized gain (loss)

        18,176        121,342  
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

        

Investments in non-affiliates

        217,566        7,767  

Investments in affiliates

        3,186        —  

Futures contracts

        (817 )       (433 ) 
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        219,935        7,334  
    

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        238,111        128,676  
    

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 283,267      $ 139,386  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Equity Index Fund        JPMorgan Market Expansion
Enhanced Index Fund		  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                    

Net investment income (loss)

      $ 45,156        $ 29,500        $ 10,710        $ 10,588  

Net realized gain (loss)

        18,176          58,301          121,342          83,310  

Change in net unrealized appreciation/depreciation

        219,935          187,638          7,334          83,009  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        283,267          275,439          139,386          176,907  
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

                    

From net investment income

        (7,918 )         (9,630 )         (1,158 )         (747 ) 

From net realized gains

        (5,731 )         (50,124 )         (17,242 )         (9,476 ) 

Class C

                    

From net investment income

        (621 )         (901 )         (155 )         (129 ) 

From net realized gains

        (748 )         (7,682 )         (4,114 )         (3,120 ) 

Class I

                    

From net investment income

        (10,804 )         (14,603 )         (6,791 )         (7,073 ) 

From net realized gains

        (6,187 )         (65,912 )         (81,308 )         (74,429 ) 

Class R2

                    

From net investment income

        —          —          (136 )         (77 ) 

From net realized gains

        —          —          (2,564 )         (1,167 ) 

Class R6 (a)

                    

From net investment income

        (25,086 )         (4,127 )         —          —  

From net realized gains

        (15,063 )         (20,272 )         —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (72,158 )         (173,251 )         (113,468 )         (96,218 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                    

Change in net assets resulting from capital transactions

        1,405,217          139,860          48,732          (4,899 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

                    

Change in net assets

        1,616,326          242,048          74,650          75,790  

Beginning of period

        1,749,430          1,507,382          1,011,148          935,358  
    

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 3,365,756        $ 1,749,430        $ 1,085,798        $ 1,011,148  
    

 

 

       

 

 

       

 

 

       

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 1,043        $ 848        $ 5,175        $ 2,811  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 1, 2016 for JPMorgan Equity Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         27  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Equity Index Fund        JPMorgan Market Expansion
Enhanced Index Fund		  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 76,579        $ 87,696        $ 45,244        $ 104,426  

Distributions reinvested

        13,481          59,202          16,959          9,108  

Cost of shares redeemed

        (143,780 )         (200,298 )         (57,263 )         (59,090 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (53,720 )       $ (53,400 )       $ 4,940        $ 54,444  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 16,727        $ 24,354        $ 10,500        $ 20,627  

Distributions reinvested

        1,051          6,658          4,116          2,957  

Cost of shares redeemed

        (37,994 )         (35,729 )         (15,808 )         (12,094 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (20,216 )       $ (4,717 )       $ (1,192 )       $ 11,490  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Proceeds from shares issued

      $ 169,466        $ 212,874        $ 170,059        $ 169,115  

Distributions reinvested

        15,815          67,647          84,229          72,072  

Cost of shares redeemed

        (310,723 )         (408,621 )         (200,340 )         (322,041 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (125,442 )       $ (128,100 )       $ 53,948        $ (80,854 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Proceeds from shares issued

      $ —        $ —        $ 10,299        $ 13,272  

Distributions reinvested

        —          —          2,524          1,031  

Cost of shares redeemed

        —          —          (21,787 )         (4,282 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ —        $ —        $ (8,964 )       $ 10,021  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6 (a)

                    

Proceeds from shares issued

      $ 1,919,175        $ 327,166        $ —        $ —  

Subscriptions in-kind (See Note 8)

        67,453          —          —          —  

Distributions reinvested

        40,148          22,758          —          —  

Cost of shares redeemed

        (422,181 )         (23,847 )         —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 1,604,595        $ 326,077        $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 1,405,217        $ 139,860        $ 48,732        $ (4,899 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 1, 2016 for JPMorgan Equity Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Equity Index Fund        JPMorgan Market Expansion
Enhanced Index Fund		  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

                    

Class A

                    

Issued

        1,894          2,404          3,866          9,202  

Reinvested

        333          1,686          1,498          816  

Redeemed

        (3,573 )         (5,502 )         (4,922 )         (5,223 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        (1,346 )         (1,412 )         442          4,795  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Issued

        418          677          1,064          2,113  

Reinvested

        26          192          434          310  

Redeemed

        (958 )         (990 )         (1,583 )         (1,241 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        (514 )         (121 )         (85 )         1,182  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Issued

        4,144          5,859          14,517          14,770  

Reinvested

        391          1,922          7,337          6,391  

Redeemed

        (7,802 )         (11,165 )         (16,932 )         (27,991 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        (3,267 )         (3,384 )         4,922          (6,830 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Issued

        —          —          898          1,192  

Reinvested

        —          —          227          93  

Redeemed

        —          —          (1,950 )         (383 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R2 Shares

        —          —          (825 )         902  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6 (a)

                    

Issued

        46,560          9,051          —          —  

Subscriptions in-kind (See Note 8)

        1,764          —          —          —  

Reinvested

        986          646          —          —  

Redeemed

        (10,158 )         (649 )         —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        39,152          9,048          —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 1, 2016 for JPMorgan Equity Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         29  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

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

JPMorgan Equity Index Fund

                       

Class A

                       

Year Ended June 30, 2018

      $ 37.41      $ 0.61      $ 4.54      $ 5.15      $ (0.54 )     $ (0.38 )     $ (0.92 ) 

Year Ended June 30, 2017

        35.36        0.61        5.22        5.83        (0.59 )       (3.19 )       (3.78 ) 

Year Ended June 30, 2016

        41.12        0.71        0.38        1.09        (0.67 )       (6.18 )       (6.85 ) 

Year Ended June 30, 2015

        41.94        0.68        2.11        2.79        (0.66 )       (2.95 )       (3.61 ) 

Year Ended June 30, 2014

        36.43        0.64        7.78        8.42        (0.63 )       (2.28 )       (2.91 ) 

Class C

                       

Year Ended June 30, 2018

        37.08        0.37        4.50        4.87        (0.30 )       (0.38 )       (0.68 ) 

Year Ended June 30, 2017

        35.09        0.36        5.18        5.54        (0.36 )       (3.19 )       (3.55 ) 

Year Ended June 30, 2016

        40.86        0.43        0.38        0.81        (0.40 )       (6.18 )       (6.58 ) 

Year Ended June 30, 2015

        41.72        0.37        2.09        2.46        (0.37 )       (2.95 )       (3.32 ) 

Year Ended June 30, 2014

        36.28        0.35        7.73        8.08        (0.36 )       (2.28 )       (2.64 ) 

Class I

                       

Year Ended June 30, 2018

        37.44        0.72        4.54        5.26        (0.64 )       (0.38 )       (1.02 ) 

Year Ended June 30, 2017

        35.39        0.70        5.22        5.92        (0.68 )       (3.19 )       (3.87 ) 

Year Ended June 30, 2016

        41.14        0.81        0.38        1.19        (0.76 )       (6.18 )       (6.94 ) 

Year Ended June 30, 2015

        41.96        0.79        2.10        2.89        (0.76 )       (2.95 )       (3.71 ) 

Year Ended June 30, 2014

        36.44        0.74        7.79        8.53        (0.73 )       (2.28 )       (3.01 ) 

Class R6

                       

Year Ended June 30, 2018

        37.44        0.76        4.57        5.33        (0.71 )       (0.38 )       (1.09 ) 

September 1, 2016 (f) through June 30, 2017

        36.73        0.58        4.05        4.63        (0.73 )       (3.19 )       (3.92 ) 

 

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

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings  credits		     Portfolio
turnover
rate (c)		  
           
           
$ 41.64       13.88 %    $ 590,286       0.45 %      1.52 %      0.69 %      14 % 
  37.41       17.35       580,645       0.45       1.67       0.76       21  
  35.36       3.53       598,815       0.45       1.93       0.94       4  
  41.12       6.94       689,107       0.45       1.63       0.92       5  
  41.94       23.95       694,974       0.45       1.63       0.91       5  
           
  41.27       13.20       78,613       1.05       0.92       1.15       14  
  37.08       16.57       89,681       1.11       1.01       1.23       21  
  35.09       2.76       89,104       1.20       1.19       1.43       4  
  40.86       6.15       88,842       1.20       0.88       1.41       5  
  41.72       23.01       77,644       1.20       0.88       1.41       5  
           
  41.68       14.18       687,941       0.20       1.78       0.40       14  
  37.44       17.62       740,340       0.20       1.93       0.48       21  
  35.39       3.81       819,463       0.20       2.17       0.67       4  
  41.14       7.19       1,114,957       0.20       1.88       0.66       5  
  41.96       24.27       1,120,177       0.20       1.89       0.66       5  
           
  41.68       14.36       2,008,916       0.042       1.85       0.14       14  
  37.44       13.49       338,764       0.045       1.93       0.15       21  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         31  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Market Expansion Enhanced Index Fund

                    

Class A

                    

Year Ended June 30, 2018

    $ 11.52      $ 0.10     $ 1.46      $ 1.56      $ (0.08 )     $ (1.25 )     $ (1.33 ) 

Year Ended June 30, 2017

      10.64        0.10       1.92        2.02        (0.08 )       (1.06 )       (1.14 ) 

Year Ended June 30, 2016

      12.98        0.09       (0.21 )       (0.12 )       (0.08 )       (2.14 )       (2.22 ) 

Year Ended June 30, 2015

      13.85        0.10       0.72        0.82        (0.10 )       (1.59 )       (1.69 ) 

Year Ended June 30, 2014

      12.17        0.09 (d)      2.81        2.90        (0.08 )       (1.14 )       (1.22 ) 

Class C

                    

Year Ended June 30, 2018

      9.85        0.03       1.24        1.27        (0.04 )       (1.25 )       (1.29 ) 

Year Ended June 30, 2017

      9.27        0.03       1.65        1.68        (0.04 )       (1.06 )       (1.10 ) 

Year Ended June 30, 2016

      11.62        0.01       (0.19 )       (0.18 )       (0.03 )       (2.14 )       (2.17 ) 

Year Ended June 30, 2015

      12.58        0.01       0.65        0.66        (0.03 )       (1.59 )       (1.62 ) 

Year Ended June 30, 2014

      11.18        — (d)(e)      2.56        2.56        (0.02 )       (1.14 )       (1.16 ) 

Class I

                    

Year Ended June 30, 2018

      11.66        0.13       1.48        1.61        (0.10 )       (1.25 )       (1.35 ) 

Year Ended June 30, 2017

      10.75        0.13       1.94        2.07        (0.10 )       (1.06 )       (1.16 ) 

Year Ended June 30, 2016

      13.09        0.12       (0.21 )       (0.09 )       (0.11 )       (2.14 )       (2.25 ) 

Year Ended June 30, 2015

      13.94        0.13       0.74        0.87        (0.13 )       (1.59 )       (1.72 ) 

Year Ended June 30, 2014

      12.24        0.12 (d)      2.83        2.95        (0.11 )       (1.14 )       (1.25 ) 

Class R2

                    

Year Ended June 30, 2018

      11.36        0.07       1.44        1.51        (0.06 )       (1.25 )       (1.31 ) 

Year Ended June 30, 2017

      10.52        0.07       1.89        1.96        (0.06 )       (1.06 )       (1.12 ) 

Year Ended June 30, 2016

      12.87        0.07       (0.22 )       (0.15 )       (0.06 )       (2.14 )       (2.20 ) 

Year Ended June 30, 2015

      13.74        0.07       0.72        0.79        (0.07 )       (1.59 )       (1.66 ) 

Year Ended June 30, 2014

      12.09        0.06 (d)      2.78        2.84        (0.05 )       (1.14 )       (1.19 ) 

 

(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) 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 I and Class R2 Shares and the net investment income (loss) ratio would have been 0.65%, (0.03)%, 0.90% and 0.42% for Class A, Class C, Class I and Class R2 Shares respectively.
(e) Amount rounds to less than $0.005.
(f) Amount rounds to less than 0.005%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (b)		     Net assets,
end of
period
(000’s)		     Net
expenses (c)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate		  
           
           
$ 11.75       14.02 %    $ 171,304       0.60 %      0.85 %      0.88 %      33 % 
  11.52       19.37       162,853       0.62       0.87       0.93       30  
  10.64       0.22       99,397       0.69       0.81       0.98       39  
  12.98       6.90       110,138       0.68       0.75       0.92       39  
  13.85       24.96       116,727       0.69       0.68 (d)      0.87       25  
           
  9.83       13.46       36,618       1.10       0.34       1.38       33  
  9.85       18.58       37,529       1.17       0.32       1.44       30  
  9.27       (0.43 )      24,343       1.39       0.12       1.52       39  
  11.62       6.25       23,705       1.38       0.06       1.44       39  
  12.58       24.03       23,248       1.37       0.00 (d)(f)      1.37       25  
           
  11.92       14.31       864,316       0.35       1.10       0.61       33  
  11.66       19.66       788,063       0.38       1.13       0.62       30  
  10.75       0.47       800,082       0.44       1.04       0.63       39  
  13.09       7.26       1,203,536       0.43       1.00       0.62       39  
  13.94       25.26       1,413,937       0.44       0.92 (d)      0.62       25  
           
  11.56       13.79       13,560       0.83       0.61       1.35       33  
  11.36       19.06       22,703       0.85       0.63       1.29       30  
  10.52       (0.05 )      11,536       0.92       0.60       1.40       39  
  12.87       6.75       9,946       0.91       0.53       1.26       39  
  13.74       24.60       8,821       0.92       0.45 (d)      1.12       25  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         33  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018

 

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 (each a “Fund” and collectively, the “Funds”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
JPMorgan Equity Index Fund    Class A, Class C, Class I and Class R6*    Diversified
JPMorgan Market Expansion Enhanced Index Fund    Class A, Class C, Class I and Class R2    Diversified

 

*

Class R6 Shares of the JPMorgan Equity Index Fund commenced operations on September 1, 2016.

The investment objective of the JPMorgan Equity Index Fund (“Equity Index Fund”) is to seek investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index.

The investment objective of the JPMorgan Market Expansion Enhanced Index Fund (“Market Expansion Enhanced Index Fund”) is to seek to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- 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 I, Class R2 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectuses. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

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

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, 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.

 

 
34       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

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

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

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

 

•  

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

•  

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

•  

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

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

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

Equity Index Fund

 

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

Total Investments in Securities (a)

      $ 3,365,906        $ —        $ —      $ 3,365,906  
    

 

 

       

 

 

       

 

 

     

 

 

  

Depreciation in Other Financial Instruments

                  

Futures Contracts

      $ (838 )       $ —        $ —      $ (838 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

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)

      $ 1,069,988        $ —        $ —      $ 1,069,988  
    

 

 

       

 

 

       

 

 

     

 

 

  

Depreciation in Other Financial Instruments

                  

Futures Contracts

      $ (491 )       $ —        $ —      $ (491 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(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, 2018.

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, 2018   J.P. MORGAN EQUITY FUNDS         35  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2018 (amounts in thousands):

 

        Equity Index
Fund		        Market Expansion
Enhanced Index Fund		  

Futures Contracts — Equity

          

Average Notional Balance Long

      $ 23,817        $ 22,279  

Ending Notional Balance Long

        46,403          44,189  

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 the tables below are in thousands.

Equity Index Fund

 

          For the year ended June 30, 2018                          
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain (Loss)		    

Change in

Unrealized
Appreciation/
(Depreciation)

     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Chase & Co. Shares (a)

   $ 27,280     $ 26,000     $ 5,419     $ 119     $ 3,186     $ 51,166       491     $ 848     $ —  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (b) (c)

     6,258       1,864,564       1,825,377       —       —       45,445       45,445       420       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 33,538     $ 1,890,564     $ 1,830,796     $ 119     $ 3,186     $ 96,611       $ 1,268     $         —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

Investment in affiliate. This security is included in an index in which the Fund, as an index fund, invests.

(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.

(c)

The rate shown is the current yield as of June 30, 2018.

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 are class-specific expenses.

The amount of the transfer agency fees charged to each class of the Funds for the year ended June 30, 2018 are as follows (amounts in thousands):

 

        Class A        Class C        Class I        Class R2        Class R6        Total  

Equity Index Fund

                              

Transfer agency fees

      $ 308        $ 6        $ 18          n/a        $ 3        $ 335  

Market Expansion Enhanced Index Fund

                              

Transfer agency fees

        36          8          15        $ 52          n/a          111  

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary.

 

 
36       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

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Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2018, 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 — Equity Index Fund generally declares and pays distributions from net investment income quarterly. Market Expansion Enhanced Index Fund generally declares and pays distributions from net investment income annually. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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

      $ —        $ (532 )       $ 532  

Market Expansion Enhanced Index Fund

        —          (106 )         106  

The reclassifications for the Funds relate primarily to non-taxable dividends.

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 0.04% of the Equity Index Fund’s average daily net assets and 0.25% of the Market Expansion Enhanced Index Fund’s average daily net assets.

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

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% 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, 2018, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Class I and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A      Class C        Class R2  

Equity Index Fund

      0.25%        0.75 %         n/a  

Market Expansion Enhanced Index Fund

      0.25        0.75          0.50 % 

In addition, JPMDS is entitled to receive 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, 2018, JPMDS retained the following amounts (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Equity Index Fund

        $19        $ — (a) 

Market Expansion Enhanced Index Fund

        28          — (a) 

 

(a)

Amount rounds to less than one thousand.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         37  

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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

D. Service Fees — The Trust, on behalf of the Funds, has entered into Shareholder Servicing Agreements with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to an annual rate of 0.25% of the average daily net assets of each share class.

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

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

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

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

 

        Class A        Class C        Class I        Class R2        Class R6  

Equity Index Fund

        0.45 %         1.20 %         0.20 %         n/a          0.045 % 

Market Expansion Enhanced Index Fund

        0.60          1.10          0.35          0.83 %         n/a  

The expense limitation agreements were in effect for the year ended June 30, 2018 and are in place until at least October 31, 2018 for Equity Index Fund and Market Expansion Enhanced Index Fund.

For the year ended June 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

 

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

Equity Index Fund

      $ 1,045        $ 1,498        $ 1,550        $ 4,093        $ — (a) 

Market Expansion Enhanced Index Fund

        1,896          852          85          2,833          9  

 

(a)

Amount rounds to less than one thousand.

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

The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2018 was as follows (amounts in thousands):

 

Equity Index Fund

      $ 65  

Market Expansion Enhanced Index Fund

        50  

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

The Board 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.

 

 
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The Funds may use related party broker-dealers. For the year ended June 30, 2018, 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 one thousand.

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, 2018, 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

      $ 1,617,401        $ 343,816  

Market Expansion Enhanced Index Fund

        338,117          421,881  

During the year ended June 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost		        Gross
Unrealized
Appreciation		        Gross
Unrealized
Depreciation		        Net Unrealized
Appreciation
(Depreciation)		  

Equity Index Fund

      $ 1,978,793        $ 1,399,790        $ 13,515        $ 1,386,275  

Market Expansion Enhanced Index Fund

        757,316          340,557          28,376          312,181  

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, 2018 was as follows (amounts in thousands):

 

       

Ordinary
Income*

       

Net

Long-Term

Capital Gains

        Total
Distributions
Paid		  

Equity Index Fund

      $ 62,098        $ 10,060        $ 72,158  

Market Expansion Enhanced Index Fund

        10,142          103,326          113,468  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

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

 

       

Ordinary

Income*

       

Net

Long-Term

Capital Gains

       

Total

Distributions

Paid

  

Equity Index Fund

      $ 30,154        $ 143,097        $ 173,251  

Market Expansion Enhanced Index Fund

        8,026          88,192          96,218  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

As of June 30, 2018, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

       

Current

Distributable

Ordinary

Income

       

Current

Distributable

Long-Term

Capital Gain or

(Tax Basis Capital

Loss Carryover)

       

Unrealized

Appreciation

(Depreciation)

  

Equity Index Fund

      $ 2,454        $ 12,436        $ 1,386,275  

Market Expansion Enhanced Index Fund

        13,192          74,972          312,181  

The cumulative timing differences primarily consist of wash sale loss deferrals.

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         39  

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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

As of June 30, 2018, 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 JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The 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 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2018. Average borrowings from the Facility during the year ended June 30, 2018, were as follows (amounts in thousands, except number of days outstanding):

 

        Average
Borrowings		        Average
Interest Rate
Paid		        Number of
Days Outstanding		        Interest
Paid		  

Equity Index Fund

      $ 2,961          1.84 %         2        $ — (a) 

 

(a)

Amount rounds to less than one thousand.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended June 30, 2018.

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, 2018, the Equity Index Fund had four affiliated omnibus accounts and Market Expansion Enhanced Index Fund had four non-affiliated omnibus accounts, which in the aggregate owned 12.1% and 10.2% of each Fund’s outstanding shares, respectively.

As of June 30, 2018, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:

 

        JPMorgan
Investor Funds		        JPMorgan
SmartRetirement
Blend Funds		  

Equity Index Fund

        —          45.4 % 

Market Expansion Enhanced Index Fund

        44.7 %         —  

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.

 

 
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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. Subscription in-kind

On September 7, 2017, certain shareholders purchased Class R6 Shares of Equity Index Fund. The portfolio securities were received primarily by means of a subscription in-kind in exchange for shares of the Fund. Portfolio securities were transferred as detailed below (amounts in thousands):

 

        Value        Type  
     $ 67,453          Subscription in-kind  

9. Investment Company Reporting Modernization

In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of June 30, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

 

 
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust II and Shareholders of JPMorgan Equity Index Fund and JPMorgan Market Expansion Enhanced Index Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Equity Index Fund and JPMorgan Market Expansion Enhanced Index Fund (two of the funds constituting JPMorgan Trust II, hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, 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 ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

New York, New York

August 28, 2018

We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993

 

 
42       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

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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 Occupation

During Past 5 Years

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

Other Directorships Held

During the 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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    135    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).
Stephen P. Fisher (1959); Trustee of Trust since 2018.    Retired; Chairman and Chief Executive Officer (2014-2017), President and Chief Operating Officer, NYLIFE Distributors LLC (registered broker-dealer) (2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); President (2015-2017), Co-President (2014-2015) and Senior Managing Director, New York Life Investment Management LLC (registered investment adviser) (2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (formerly MainStay VP Series Fund, Inc.) (registered investment companies) (2007-2017); President, MainStay DefinedTerm Municipal Opportunities Fund (registered investment company) (2011-2017); President, MainStay Funds Trust (registered investment companies) (2009-2017); President, The MainStay Funds (registered investment companies) (2007-2017).    135    Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield (non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).
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).    135    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Dennis P. Harrington* (1950); Trustee of Trust since 2017.    Retired; Partner, Deloitte LLP (1984-2012).    135    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).    135    None

Raymond Kanner** (1953);

Trustee of Trust

since 2017.

    Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016).    135    Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-2017; Advisory Board Member, Betterment for Business (2016-2017) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-2017) (index creator); Member, Russell Index Client Advisory Board (2001-2015); Advisory Board Member, State Street Global Advisors’ OCIO Board (2017-present).

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         43  

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TRUSTEES

(Unaudited) (continued)

 

Name (Year of Birth);

Positions With

the Funds (1)

   

Principal Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees (continued)

     
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).		    135    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).    135    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).    135    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) (1985-2005).    135    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance).
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).    135    Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Trout Unlimited (2017-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).    135    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    135    None

 

(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 eleven registered investment companies (135 funds).

 

 
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     * Two family members of Mr. Harrington are partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee.

 

    ** A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof.

 

  *** 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, 2018   J.P. MORGAN EQUITY FUNDS         45  

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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).

Timothy J. Clemens (1975),

Treasurer and Principal Financial Officer (2018)*

    Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016; Chief Financial Officer and Head of Valuation, Aberdeen Asset Management PLC (previously Artio Global Management) (2009 to September 2013).
Noah Greenhill (1969),
Secretary (2018)		    Managing Director and General Counsel, JPMorgan Asset Management (2015 – Present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015).
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)		    Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)**

    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)**		    Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.
Carmine Lekstutis (1980),
Assistant Secretary (2011)		    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015.
Gregory S. Samuels (1980),
Assistant Secretary (2010)		    Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014.
Pamela L. Woodley (1971),
Assistant Secretary (2012)		    Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Zachary E. Vonnegut-Gabovitch (1986),

Assistant Secretary (2017)

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

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

    Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014.

Jeffrey D. House (1972),

Assistant Treasurer (2017)**

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 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.

Gillian I. Sands (1969),

Assistant Treasurer (2012)*

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012.

 

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 4 New York Plaza, New York, NY 10004.

 

  **

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

 

 
46       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2018, and continued to hold your shares at the end of the reporting period, June 30, 2018.

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, 2018		        Ending
Account Value
June 30, 2018		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Equity Index Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,024.40        $ 2.26          0.45 % 

Hypothetical

        1,000.00          1,022.56          2.26          0.45  

Class C

                    

Actual

        1,000.00          1,021.20          5.26          1.05  

Hypothetical

        1,000.00          1,019.59          5.26          1.05  

Class I

                    

Actual

        1,000.00          1,025.40          1.00          0.20  

Hypothetical

        1,000.00          1,023.80          1.00          0.20  

Class R6

                    

Actual

        1,000.00          1,026.20          0.20          0.04  

Hypothetical

        1,000.00          1,024.60          0.20          0.04  

JPMorgan Market Expansion Enhanced Index Fund

                    

Class A

                    

Actual

        1,000.00          1,037.10          3.03          0.60  

Hypothetical

        1,000.00          1,021.82          3.01          0.60  

Class C

                    

Actual

        1,000.00          1,034.70          5.55          1.10  

Hypothetical

        1,000.00          1,019.34          5.51          1.10  

Class I

                    

Actual

        1,000.00          1,039.20          1.77          0.35  

Hypothetical

        1,000.00          1,023.06          1.76          0.35  

Class R2

                    

Actual

        1,000.00          1,035.80          4.19          0.83  

Hypothetical

        1,000.00          1,020.68          4.16          0.83  

 

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

 

 
JUNE 30, 2018   J.P. MORGAN EQUITY FUNDS         47  

Table of Contents

TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2018. 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, 2018. The information necessary to complete your income tax returns for the calendar year ending December 31, 2018 will be provided under separate cover.

Dividends Received Deduction (DRD)

Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2018:

 

      Dividends
Received
Deduction		  

JPMorgan Equity Index Fund

      100.00 % 

JPMorgan Market Expansion Enhanced Index Fund

      72.04  

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, 2018 (amounts in thousands):

 

      Long-Term
Capital Gain
Distribution		  

JPMorgan Equity Index Fund

    $ 10,060  

JPMorgan Market Expansion Enhanced Index Fund

      103,326  

Qualified Dividend Income (QDI)

The Funds 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, 2018 (amounts in thousands):

 

      Qualified
Dividend
Income		  

JPMorgan Equity Index Fund

    $ 50,181  

JPMorgan Market Expansion Enhanced Index Fund

      10,142  
 

 

 
48       J.P. MORGAN EQUITY FUNDS   JUNE 30, 2018

Table of Contents

LOGO

Rev. January 2011

 

 

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

 

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

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

◾  Social Security number and account balances

 

◾  transaction history and account transactions

 

◾  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

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

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?		   Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

   Yes   No

For marketing purposes —

to offer our products and services to you

   Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

   No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

   No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

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

 

LOGO

Table of Contents

LOGO

 

Page 2

    

 

 

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

 

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

How does J.P. Morgan

Funds collect my personal

information?

  

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

 

◾  open an account or provide contact information

 

◾  give us your account information or pay us by check

 

◾  make a wire transfer

 

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

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

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

 

◾  affiliates from using your information to market to you

 

◾  sharing for nonaffiliates to market to you

 

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

 

Definitions
Affiliates  

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

 

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

Nonaffiliates  

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

 

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

Joint Marketing  

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

 

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

Table of Contents

 

 

 

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

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

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

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

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

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

 

LOGO

Table of Contents

LOGO

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

 

  © JPMorgan Chase & Co., 2018. All rights reserved. June 2018.   AN-INDEX-618

Table of Contents
 

Annual Report

J.P. Morgan Investor Funds

June 30, 2018

JPMorgan Investor Balanced Fund

JPMorgan Investor Conservative Growth Fund

JPMorgan Investor Growth Fund

JPMorgan Investor Growth & Income Fund

LOGO

Table of Contents

CONTENTS

 

CEO’s Letter        1  
Fund Facts        2  
Funds Commentary        3  
Schedules of Portfolio Investments        8  
Financial Statements        12  
Financial Highlights        22  
Notes to Financial Statements        30  
Report of Independent Registered Public Accounting Firm        43  
Trustees        44  
Officers        47  
Schedule of Shareholder Expenses        48  
Tax Letter        50  

Privacy Policy — Located at the back of this Annual Report

     

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

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

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

Table of Contents

CEO’S LETTER

August 1, 2018 (Unaudited)

 

Dear Shareholder,

The U.S. economy largely outpaced growth in other developed market nations during the twelve months ended June 30, 2018, and U.S. equity markets provided strong returns on the back of record corporate profits and historically low interest rates.

 

LOGO   

 

“Corporate earnings for the first and second quarters of 2018 reached record highs, with a sizeable majority of companies reporting better-than-expected results.” — George C.W. Gatch

During the first half of the reporting period, synchronized global economic growth helped the U.S. economy achieve its second-longest expansion on record. By the final months of 2017, U.S. unemployment had fallen to 4.1% and U.S. consumer confidence rose to its highest levels in nearly 17 years. Notably, U.S. equity prices climbed to record highs in every month from June through December and financial market volatility remained at historically low levels. In response to a tightening labor market and early signs of inflationary pressure, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017.

In January 2018, U.S. equity prices continued to rise, aided somewhat by recently-enacted tax cut legislation. The Standard & Poor’s 500 Index (the “S&P 500”) reached fourteen record closing highs during the month, the last on January 26th.

Early February 2018 was marked by a sharp sell-off in both equities and bonds in the U.S., and the selling quickly spread to other financial markets. Stronger-than-expected economic data sparked investor fears of rapidly rising inflation and accelerated interest rate increases by the Fed. Over several days, the S&P 500 lost more than 10% of its value, a decline that was one of the fastest peak-to-trough drops in the history of the index. The sell-off in bonds led to a spike in yields on benchmark 10-year U.S. Treasury bonds that further roiled markets.

While U.S. equity prices had rebounded somewhat by the end of the reporting period, leading equity indexes never fully recovered. Financial market volatility rose sharply during the February sell-off and remained elevated through June 2018.

Meanwhile, the U.S. economy continued to expand in 2018, even as signs emerged of economic sluggishness in Europe and weakness in select emerging market nations. U.S. GDP rose 2.2% in the first quarter before jumping an estimated 4.1% in the second quarter, the largest increase in nearly four years. Corporate earnings for the first and second quarters of 2018 reached record levels, with a sizeable majority of companies reporting better-than-expected results. In response, the Fed raised interest rates again in March and June.

However, the U.S. imposition of import tariffs on billions of dollars’ worth of goods, and reciprocal trade sanctions from China and other leading U.S. trading partners, increasingly weighed on global financial markets in the first half of 2018. The economies of China, Japan, the European Union and the U.K. are more dependent on exports than the U.S., and the impact of a potentially escalating trade war on the global economy remained a concern among policy makers, economists and investors.

At the end of the reporting period, the world’s leading economies appeared to be on pace for continued, moderate growth. The outlook for corporate earnings remained positive amid tame inflationary pressure, historically low interest rates and buoyant consumer demand. While the Fed was further along in its monetary tightening cycle than its counterparts in other developed markets, the European Central Bank, the Bank of England and the Bank of Japan were all moving in some measure to reduce economic stimulus.

We believe that investors who hold a properly diversified portfolio and a long-term outlook may benefit from a largely positive environment for economic growth and financial markets. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         1  

Table of Contents

J.P. Morgan Investor Funds

FUND FACTS

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

Fund

   Fund Return
(With
sales charge)*		     Fund Return
(Without
sales charge)*		     Bloomberg Barclays U.S.
Intermediate Aggregate
Index Return
(Broad-Based Fixed
Income Benchmark)		     Russell 3000
Index Return
(Broad-Based
Equity Benchmark)		     Composite
Benchmark Return		     Fund Net
Assets as of
June 30, 2018
(in thousands)		  

JPMorgan Investor Balanced Fund Class A

     1.54%       6.30%       (0.32)%       14.78%       7.08 %**    $ 4,784,596  

JPMorgan Investor Conservative Growth Fund Class A

     (0.88)%       3.76%       (0.32)%       14.78%       4.08 %***    $ 3,499,722  

JPMorgan Investor Growth Fund Class A

     6.03%       11.02%       (0.32)%       14.78%       13.21 %****    $ 2,701,836  

JPMorgan Investor Growth & Income Fund Class A

     3.77%       8.67%       (0.32)%       14.78%       10.12 %*****    $ 2,889,713  

Portfolio Composition by Asset Class******

 

Investor Balanced Fund

  

Fixed Income

      45.8 % 

U.S. Equity

      35.0  

International Equity

      15.1  

Alternative Assets

      3.0  

Short-Term Investments

      1.1  

Investor Conservative Growth Fund

  

Fixed Income

      65.3 % 

U.S. Equity

      20.8

International Equity

      9.4

Alternative Assets

      3.5

Short-Term Investments

      1.0  

Investor Growth Fund

  

U.S. Equity

      61.7 % 

International Equity

      25.0

Fixed Income

      10.6

Alternative Assets

      1.5

Short-Term Investments

      1.2  

Investor Growth & Income Fund

  

U.S. Equity

      47.6 % 

Fixed Income

      29.6

International Equity

      19.0

Alternative Assets

      2.8

Short-Term Investments

      1.0  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Balanced Fund’s model allocation and consists of the Bloomberg 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 Bloomberg 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 Bloomberg 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 Bloomberg Barclays U.S. Intermediate Aggregate Index (30%).
******   Percentages indicated are based on total investments as of June 30, 2018. The Funds’ portfolio composition is subject to change.
 

 

 
2       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

J.P. Morgan Investor Funds

FUNDS COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (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?

 

Global equity markets provided strong positive returns for the reporting period, with U.S. equities largely outperforming developed market and emerging market equities. Bond prices came under pressure in the second half of the reporting period amid rising U.S. interest rates.

Overall, equity prices were supported by synchronized global growth, rising corporate profits and accommodative policies from leading central banks. While the U.S. Federal Reserve raised interest rates twice during the first half of 2018, interest rates remained relatively low by historical standards. The Standard & Poor’s 500 Index (the “S&P 500”) reached record high closings in every month from June 2017 through January 2018.

In early February 2018, both equity and bond prices fell sharply. The S&P 500 lost more than 10% of its value over nine trading sessions and yields on 10-year U.S. Treasury bonds, which serve as a benchmark for a broad range of financial assets, spiked higher. While equity markets rebounded somewhat in subsequent weeks, financial market volatility remained elevated through June 2018.

Overall, U.S. equities outperformed other developed market and emerging markets equities. Fixed-income securities experienced positive but lackluster returns. High yield bonds (also known as “junk bonds”) slightly outperformed both investment grade corporate bonds and U.S. Treasury bonds.

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, 2018, each of the Investor Funds outperformed the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Investor Funds’ broad based fixed income benchmark.

Each of the Investor Funds’ Class A Shares underperformed the Russell 3000 Index, the Investor Funds’ broad based equity benchmark, mainly due to their allocations to core bond securities, which generally underperformed equity securities and were not held in the Russell 3000 Index.

Each Investor Fund’s performance is also compared to composite benchmarks, which comprise 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 of the Investor Funds underperformed their respective composite benchmarks, mainly due to the Funds’ exposure to international equities and high yield bonds 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 maintaining a level of volatility similar to that of each Investor Fund’s composite benchmark.

During the reporting period, the Investor Funds’ portfolio managers — through their investments in underlying funds — decreased their allocation to high yield debt and continued to reduce their allocation to U.S. equity, particularly large-cap stocks, amid rising equity prices. The managers maintained their exposure to international equities in spite of headwinds created by the strengthening U.S. dollar during the reporting period.

 

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

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         3  

Table of Contents

JPMorgan Investor Balanced Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR      5 YEAR        10 YEAR  

CLASS A SHARES

    December 10, 1996               

With Sales Charge*

         1.54%        5.69 %        5.71 %

Without Sales Charge

         6.30        6.67        6.19

CLASS C SHARES

    July 1, 1997               

With CDSC**

         4.71        6.09        5.62

Without CDSC

         5.71        6.09        5.62

CLASS I SHARES

    December 10, 1996      6.62        6.96        6.46

CLASS R6 SHARES

    July 31, 2017      6.71        6.96        6.47

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Balanced Fund, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the Investor Balanced Composite Benchmark and the Lipper Mixed-Asset Target Allocation Moderate Funds Index from June 30, 2008 to June 30, 2018. 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 Bloomberg Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Investor Balanced Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Bloomberg 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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

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

 

 

 
4       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Investor Conservative Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    December 10, 1996               

With Sales Charge*

           (0.88 )%        3.70 %        4.54 %

Without Sales Charge

           3.76        4.67        5.03

CLASS C SHARES

    July 1, 1997               

With CDSC**

           2.09        4.09        4.46

Without CDSC

           3.09        4.09        4.46  

CLASS I SHARES

    December 10, 1996        4.08        4.94        5.30

CLASS R6 SHARES

    July 31, 2017        4.13        4.95        5.30

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Conservative Growth Fund, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the Investor Conservative Growth Composite Benchmark, and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from June 30, 2008 to June 30, 2018. 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

Bloomberg Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Investor Conservative Growth Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Bloomberg 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. 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, 2018   J.P. MORGAN INVESTOR FUNDS         5  

Table of Contents

JPMorgan Investor Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    December 10, 1996               

With Sales Charge*

           6.03 %         9.41 %         7.46 % 

Without Sales Charge

           11.02          10.43          7.96  

CLASS C SHARES

    July 1, 1997               

With CDSC**

           9.41          9.83          7.36  

Without CDSC

           10.41          9.83          7.36  

CLASS I SHARES

    December 10, 1996        11.33          10.72          8.23  

CLASS R6 SHARES

    July 31, 2017        11.42          10.72          8.23  

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth Fund, the Russell 3000 Index, the Bloomberg 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, 2008 to June 30, 2018. 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 Bloomberg Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The 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 Bloomberg 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. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

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

 

 

 
6       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Investor Growth & Income Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    December 10, 1996               

With Sales Charge*

           3.77 %         7.29 %         6.49 % 

Without Sales Charge

           8.67          8.29          6.99  

CLASS C SHARES

    July 1, 1997               

With CDSC**

           7.10          7.71          6.41  

Without CDSC

           8.10          7.71          6.41  

CLASS I SHARES

    December 10, 1996        9.02          8.58          7.26  

CLASS R6 SHARES

    July 31, 2017        9.11          8.59          7.26  

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

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

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth & Income Fund, the Russell 3000 Index, the Bloomberg 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, 2008 to June 30, 2018. 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 Bloomberg Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The 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 Bloomberg 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. 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, 2018   J.P. MORGAN INVESTOR FUNDS         7  

Table of Contents

JPMorgan Investor Balanced Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Investment Companies — 98.9%

 

Alternative Assets — 3.0%

      

JPMorgan Research Market Neutral Fund Class L Shares* (a)

      3,212        48,535  

JPMorgan Systematic Alpha Fund Class R6 Shares* (a)

      6,469        93,933  
     

 

 

  

Total Alternative Assets

         142,468  
     

 

 

  

Fixed Income — 45.8%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      87,126        981,915  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      59,107        475,808  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      6,194        48,007  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

      17,115        159,680  

JPMorgan High Yield Fund Class R6 Shares (a)

      15,967        115,120  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

      7,108        71,937  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

      19,912        198,725  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

      8,349        96,681  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

      4,446        43,571  
     

 

 

  

Total Fixed Income

         2,191,444  
     

 

 

  

International Equity — 15.1%

      

JPMorgan Emerging Economies Fund Class R6 Shares (a)

      5,137        69,037  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      2,492        69,191  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

      7,080        158,803  

JPMorgan International Equity Fund Class R6 Shares (a)

      4,098        71,380  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

      13,940        255,800  

JPMorgan Intrepid European Fund Class L Shares (a)

      3,810        100,554  
     

 

 

  

Total International Equity

         724,765  
     

 

 

  

U.S. Equity — 35.0%

      

JPMorgan Equity Income Fund Class R6 Shares (a)

      5,573        95,291  

JPMorgan Intrepid America Fund Class R6 Shares (a)

      8,065        334,210  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

U.S. Equity — continued

      

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

      2,814        166,954  

JPMorgan Intrepid Mid Cap Fund Class R6 Shares (a)

      1,777        42,708  

JPMorgan Large Cap Growth Fund Class R6 Shares* (a)

      3,754        164,998  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

      8,091        120,562  

JPMorgan Market Expansion Enhanced Index Fund Class I Shares (a)

      14,165        168,844  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      1,138        36,773  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

      27,227        450,876  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      2,584        91,976  
     

 

 

  

Total U.S. Equity

         1,673,192  
     

 

 

  

Total Investment Companies
(Cost $3,851,810)

 

      4,731,869  
     

 

 

  

Short-Term Investments — 1.1%

      

Investment Companies — 1.1%

      

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (b)
(Cost $51,163)

      51,163        51,163  
     

 

 

  

Total Investments — 100.0%
(Cost $3,902,973)

         4,783,032  

Other Assets Less Liabilities — 0.0% (c)

         1,564  
     

 

 

  

Net Assets — 100.0%

       $ 4,784,596  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown was the current yield as of June 30,  2018.

(c)  

   Amount rounds to less than 0.05% of net assets.

*  

   Non-income producing security.

Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on 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.

 

 
8       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Investor Conservative Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Investment Companies — 98.9%

      

Alternative Assets — 3.5%

      

JPMorgan Research Market Neutral Fund Class L Shares* (a)

      2,365        35,731  

JPMorgan Systematic Alpha Fund Class R6 Shares* (a)

      5,971        86,705  
     

 

 

  

Total Alternative Assets

         122,436  
     

 

 

  

Fixed Income — 65.2%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      91,919        1,035,932  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      54,843        441,486  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      4,461        34,571  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

      15,073        140,635  

JPMorgan Government Bond Fund Class R6 Shares (a)

      3,894        39,915  

JPMorgan High Yield Fund Class R6 Shares (a)

      7,538        54,347  

JPMorgan Income Fund Class R6 Shares (a)

      7,823        72,048  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

      6,562        66,412  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

      29,189        291,305  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

      6,023        69,746  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

      3,724        36,494  
     

 

 

  

Total Fixed Income

         2,282,891  
     

 

 

  

International Equity — 9.4%

      

JPMorgan Emerging Economies Fund Class R6 Shares (a)

      2,932        39,407  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      1,408        39,084  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

      1,995        44,743  

JPMorgan International Equity Fund Class R6 Shares (a)

      1,982        34,535  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

      7,524        138,065  

JPMorgan Intrepid European Fund Class L Shares (a)

      1,275        33,638  
     

 

 

  

Total International Equity

         329,472  
     

 

 

  

U.S. Equity — 20.8%

      

JPMorgan Equity Income Fund Class R6 Shares (a)

      3,594        61,452  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

U.S. Equity — continued

 

JPMorgan Intrepid America Fund Class R6 Shares (a)

      4,360        180,679  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

      1,483        87,986  

JPMorgan Large Cap Growth Fund Class R6 Shares* (a)

      977        42,926  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

      1,522        22,685  

JPMorgan Market Expansion Enhanced Index Fund Class I Shares (a)

      3,659        43,619  

JPMorgan Mid Cap Growth Fund Class R6 Shares* (a)

      916        32,967  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      839        27,112  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

      10,194        168,805  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      1,636        58,233  
     

 

 

  

Total U.S. Equity

         726,464  
     

 

 

  

Total Investment Companies
(cost $3,066,910)

         3,461,263  
     

 

 

  

Short-term Investments — 1.0%

      

Investment Companies — 1.0%

      

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (b)
(Cost $34,913)

      34,913        34,913  
     

 

 

  

Total Investments — 99.9%
(Cost $3,101,823)

         3,496,176  

Other Assets Less Liabilities — 0.1%

         3,546  
     

 

 

  

Net Assets — 100.0%

       $ 3,499,722  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown was the current yield as of June 30,  2018.

*  

   Non-income producing security.

Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on 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, 2018   J.P. MORGAN INVESTOR FUNDS         9  

Table of Contents

JPMorgan Investor Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Investment Companies — 98.9%

      

Alternative Assets — 1.6%

      

JPMorgan Commodities Strategy Fund Class R6 Shares (a)

      1,133        10,326  

JPMorgan Systematic Alpha Fund Class R6 Shares* (a)

      2,166        31,444  
     

 

 

  

Total Alternative Assets

         41,770  
     

 

 

  

Fixed Income — 10.6%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      16,798        189,316  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      3,916        31,526  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      1,630        12,631  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

      2,879        26,864  

JPMorgan High Yield Fund Class R6 Shares (a)

      3,672        26,479  
     

 

 

  

Total Fixed Income

         286,816  
     

 

 

  

International Equity — 25.0%

      

JPMorgan Emerging Economies Fund Class R6 Shares (a)

      4,121        55,382  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      2,017        55,999  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

      3,519        78,941  

JPMorgan International Equity Fund Class R6 Shares (a)

      7,058        122,949  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

      10,461        191,968  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

      3,962        81,140  

JPMorgan Intrepid European Fund Class L Shares (a)

      3,381        89,222  
     

 

 

  

Total International Equity

         675,601  
     

 

 

  

U.S. Equity — 61.7%

      

JPMorgan Equity Income Fund Class R6 Shares (a)

      2,884        49,325  

JPMorgan Intrepid America Fund Class R6 Shares (a)

      7,535        312,260  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

      2,285        135,563  

JPMorgan Intrepid Mid Cap Fund Class R6 Shares (a)

      565        13,575  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

U.S. Equity — continued

 

JPMorgan Large Cap Growth Fund Class R6 Shares* (a)

      5,339        234,666  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

      17,640        262,832  

JPMorgan Market Expansion Enhanced Index Fund Class I Shares (a)

      13,052        155,581  

JPMorgan Mid Cap Growth Fund Class R6 Shares* (a)

      1,009        36,325  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      1,200        38,772  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

      22,790        377,397  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      1,431        50,934  
     

 

 

  

Total U.S. Equity

         1,667,230  
     

 

 

  

Total Investment Companies
(Cost $1,868,340)

         2,671,417  
     

 

 

  

Short-term Investments — 1.2%

   

Investment Companies — 1.2%

      

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (b)
(Cost $33,130)

      33,130        33,130  
     

 

 

  

Total Investments — 100.1%
(Cost $1,901,470)

         2,704,547  

Liabilities in Excess of Other Assets — (0.1%)

         (2,711 ) 
     

 

 

  

Net Assets — 100.0%

       $ 2,701,836  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown was the current yield as of June 30,  2018.

*  

   Non-income producing security.

Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on 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.

 

 
10       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Investor Growth & Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Investment Companies — 98.9%

      

Alternative Assets — 2.8%

      

JPMorgan Commodities Strategy Fund Class R6 Shares (a)

      957        8,720  

JPMorgan Research Market Neutral Fund Class L Shares* (a)

      1,511        22,833  

JPMorgan Systematic Alpha Fund Class R6 Shares* (a)

      3,403        49,414  
     

 

 

  

Total Alternative Assets

         80,967  
     

 

 

  

Fixed Income — 29.6%

      

JPMorgan Core Bond Fund Class R6 Shares (a)

      36,811        414,864  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

      22,429        180,555  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

      1,896        14,695  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

      8,812        82,216  

JPMorgan High Yield Fund Class R6 Shares (a)

      7,807        56,289  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

      3,925        39,717  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

      3,721        37,139  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

      2,487        28,798  
     

 

 

  

Total Fixed Income

         854,273  
     

 

 

  

International Equity — 19.0%

      

JPMorgan Emerging Economies Fund Class R6 Shares (a)

      3,624        48,708  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

      1,772        49,185  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

      4,929        110,561  

JPMorgan International Equity Fund Class R6 Shares (a)

      4,190        72,997  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

      8,349        153,200  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

      1,822        37,306  

JPMorgan Intrepid European Fund Class L Shares (a)

      2,902        76,593  
     

 

 

  

Total International Equity

         548,550  
     

 

 

  

U.S. Equity — 47.5%

      

JPMorgan Equity Income Fund Class R6 Shares (a)

      3,213        54,937  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

U.S. Equity — continued

      

JPMorgan Intrepid America Fund Class R6 Shares (a)

      7,363        305,105  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

      1,549        91,877  

JPMorgan Large Cap Growth Fund Class R6 Shares* (a)

      4,358        191,527  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

      11,255        167,698  

JPMorgan Market Expansion Enhanced Index Fund Class I Shares (a)

      9,834        117,222  

JPMorgan Mid Cap Growth Fund Class R6 Shares* (a)

      916        32,984  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

      1,225        39,553  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

      19,224        318,346  

JPMorgan Value Advantage Fund Class R6 Shares (a)

      1,518        54,048  
     

 

 

  

Total U.S. Equity

         1,373,297  
     

 

 

  

Total Investment Companies
(Cost $2,110,855)

         2,857,087  
     

 

 

  

Short-term Investments — 1.0%

   

Investment Companies — 1.0%

      

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (b)
(Cost $28,619)

      28,619        28,619  
     

 

 

  

Total Investments — 99.9%
(Cost $2,139,474)

         2,885,706  

Other Assets Less Liabilities — 0.1%

         4,007  
     

 

 

  

Net Assets — 100.0%

       $ 2,889,713  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

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

(b)  

   The rate shown was the current yield as of June 30,  2018.

*  

   Non-income producing security.

Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on 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, 2018   J.P. MORGAN INVESTOR FUNDS         11  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Investor
Balanced
Fund		        JPMorgan
Investor
Conservative
Growth Fund		      JPMorgan
Investor
Growth Fund		        JPMorgan
Investor
Growth &
Income Fund		  

ASSETS:

                  

Investments in affiliates, at value

      $ 4,783,032        $ 3,496,176      $ 2,704,547        $ 2,885,706  

Cash

        78          —        46          47  

Receivables:

                  

Investment securities sold

        16,751          15,767        —          7,512  

Fund shares sold

        1,477          1,453        556          765  

Dividends from affiliates

        3          322        2          1  

Due from adviser

        —          —        5          —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Total Assets

        4,801,341          3,513,718        2,705,156          2,894,031  
    

 

 

       

 

 

     

 

 

       

 

 

  

LIABILITIES:

                  

Payables:

                  

Due to custodian

        —          265        —          —  

Distributions

        63          21        16          46  

Investment securities purchased

        9,572          7,008        —          —  

Fund shares redeemed

        4,462          4,426        1,855          2,689  

Accrued liabilities:

                  

Investment advisory fees

        192          140        —          116  

Administration fees

        230          176        45          151  

Distribution fees

        1,210          1,191        559          661  

Service fees

        536          455        277          204  

Custodian and accounting fees

        4          4        4          4  

Trustees’ and Chief Compliance Officer’s fees

        —          — (a)       —          —  

Transfer agency fees

        265          135        475          342  

Other

        211          175        89          105  
    

 

 

       

 

 

     

 

 

       

 

 

  

Total Liabilities

        16,745          13,996        3,320          4,318  
    

 

 

       

 

 

     

 

 

       

 

 

  

Net Assets

      $ 4,784,596        $ 3,499,722      $ 2,701,836        $ 2,889,713  
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Investor
Balanced
Fund		      JPMorgan
Investor
Conservative
Growth Fund		      JPMorgan
Investor
Growth Fund		      JPMorgan
Investor
Growth &
Income Fund		  

NET ASSETS:

              

Paid-in-Capital

      $ 3,810,980      $ 3,042,036      $ 1,845,656      $ 2,110,927  

Accumulated undistributed (distributions in excess of) net investment income

        237        218        54        86  

Accumulated net realized gains (losses)

        93,320        63,115        53,049        32,468  

Net unrealized appreciation (depreciation)

        880,059        394,353        803,077        746,232  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total Net Assets

      $ 4,784,596      $ 3,499,722      $ 2,701,836      $ 2,889,713  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net Assets:

              

Class A

      $ 3,436,111      $ 2,173,957      $ 2,048,525      $ 2,386,397  

Class C

        791,718        1,188,675        205,740        260,085  

Class I

        471,153        136,915        439,498        242,612  

Class R6

        85,614        175        8,073        619  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total

      $ 4,784,596      $ 3,499,722      $ 2,701,836      $ 2,889,713  
    

 

 

     

 

 

     

 

 

     

 

 

  

Outstanding units of beneficial interest (shares)

              

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

              

Class A

        224,581        172,363        98,483        137,034  

Class C

        52,562        94,685        10,589        15,374  

Class I

        30,741        10,793        20,693        14,159  

Class R6

        5,589        14        380        36  

Net Asset Value (a):

              

Class A — Redemption price per share

      $ 15.30      $ 12.61      $ 20.80      $ 17.41  

Class C — Offering price per share (b)

        15.06        12.55        19.43        16.92  

Class I — Offering and redemption price per share

        15.33        12.69        21.24        17.14  

Class R6 — Offering and redemption price per share

        15.32        12.68        21.23        17.13  

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)]

      $ 16.02      $ 13.20      $ 21.78      $ 18.23  
    

 

 

     

 

 

     

 

 

     

 

 

  

Cost of investments in affiliates

        3,902,973        3,101,823        1,901,470        2,139,474  

 

(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, 2018   JPMORGAN INSURANCE TRUST         13  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

(Amounts in thousands)

 

        JPMorgan
Investor
Balanced
Fund		      JPMorgan
Investor
Conservative
Growth Fund		      JPMorgan
Investor
Growth Fund		      JPMorgan
Investor
Growth &
Income Fund		  

INVESTMENT INCOME:

              

Interest income from affiliates

      $ 1      $ 1      $ 1      $ 1  

Dividend income from affiliates

        101,097        86,587        37,390        52,322  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total investment income

        101,098        86,588        37,391        52,323  
    

 

 

     

 

 

     

 

 

     

 

 

  

EXPENSES:

              

Investment advisory fees

        2,473        1,843        1,351        1,491  

Administration fees

        2,847        2,216        1,727        1,865  

Distribution fees:

              

Class A

        8,859        5,543        5,161        6,095  

Class C

        6,635        9,979        1,711        2,250  

Class T (a)

        — (b)       — (b)       — (b)       — (b) 

Service fees:

              

Class A

        8,859        5,543        5,161        6,095  

Class C

        2,211        3,326        570        750  

Class I

        1,189        344        1,006        609  

Class T (a)

        — (b)       — (b)       — (b)       — (b) 

Custodian and accounting fees

        22        22        22        21  

Professional fees

        102        86        71        77  

Trustees’ and Chief Compliance Officer’s fees

        42        37        34        35  

Printing and mailing costs

        281        208        218        197  

Registration and filing fees

        102        97        164        120  

Transfer agency fees (See Note 2.D.)

        550        299        909        671  

Other

        91        70        54        58  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total expenses

        34,263        29,613        18,159        20,334  
    

 

 

     

 

 

     

 

 

     

 

 

  

Less fees waived

        (4,904 )       (3,147 )       (3,867 )       (3,756 ) 

Less expense reimbursements

        — (b)       — (b)       (7 )       — (b) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Net expenses

        29,359        26,466        14,285        16,578  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        71,739        60,122        23,106        35,745  
    

 

 

     

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

              

Net realized gain (loss) on investments in affiliates

        127,340        69,443        48,795        90,932  

Distributions of capital gains received from investment company affiliates

        126,064        52,204        134,010        115,297  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation of investments in affiliates

        (23,178 )       (49,947 )       70,222        7,425  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        230,226        71,700        253,027        213,654  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 301,965      $ 131,822      $ 276,133      $ 249,399  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Class T Shares had no assets from the close of business on June 5, 2018.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Investor Balanced Fund      JPMorgan Investor Conservative
Growth Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

              

Net investment income (loss)

      $ 71,739      $ 77,088      $ 60,122      $ 65,259  

Net realized gain (loss) on investments in affiliates

        127,340        118,754        69,443        76,964  

Distributions of capital gains received from investment company affiliates

        126,064        64,589        52,204        24,878  

Change in net unrealized appreciation/depreciation

of investments in affiliates

        (23,178 )       294,383        (49,947 )       100,710  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        301,965        554,814        131,822        267,811  
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

              

From net investment income

        (67,929 )       (58,955 )       (45,491 )       (41,832 ) 

From net realized gains

        (168,249 )       (72,170 )       (72,621 )       (32,302 ) 

Class C

              

From net investment income

        (11,192 )       (11,734 )       (18,781 )       (20,489 ) 

From net realized gains

        (37,530 )       (22,004 )       (39,359 )       (23,339 ) 

Class I

              

From net investment income

        (10,115 )       (8,127 )       (3,123 )       (2,798 ) 

From net realized gains

        (21,110 )       (8,132 )       (4,344 )       (1,870 ) 

Class R6 (a)

              

From net investment income

        (1,006 )       —        (2 )       —  

From net realized gains

        (1,508 )       —        (1 )       —  

Class T (b) (c)

              

From net investment income

        — (d)       — (d)       — (d)       — (d) 

From net realized gains

        (1 )       —        (1 )       —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (318,640 )       (181,122 )       (183,723 )       (122,630 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        (170,845 )       (802,511 )       (239,055 )       (642,559 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        (187,520 )       (428,819 )       (290,956 )       (497,378 ) 

Beginning of period

        4,972,116        5,400,935        3,790,678        4,288,056  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 4,784,596      $ 4,972,116      $ 3,499,722      $ 3,790,678  
    

 

 

     

 

 

     

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 237      $ 338      $ 218      $ 673  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective July 31, 2017.

(b)

Commencement of offering of class of shares effective June 6, 2017.

(c)

Class T Shares had no assets from the close of business on June 5, 2018.

(d)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         15  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Investor Growth Fund      JPMorgan Investor Growth &
Income Fund		  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                

Net investment income (loss)

      $ 23,106        $ 22,945      $ 35,745      $ 38,991  

Net realized gain (loss) on investments in affiliates

        48,795          86,139        90,932        79,831  

Distributions of capital gains received from investment company affiliates

        134,010          65,108        115,297        59,914  

Change in net unrealized appreciation/depreciation of investments in affiliates

        70,222          271,856        7,425        253,578  
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        276,133          446,048        249,399        432,314  
    

 

 

       

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                

Class A

                

From net investment income

        (37,031 )         (19,734 )       (46,325 )       (33,847 ) 

From net realized gains

        (136,326 )         (84,422 )       (150,918 )       (72,446 ) 

Class C

                

From net investment income

        (3,343 )         (2,132 )       (3,589 )       (3,437 ) 

From net realized gains

        (14,110 )         (12,736 )       (16,432 )       (12,299 ) 

Class I

                

From net investment income

        (7,867 )         (3,798 )       (5,266 )       (3,737 ) 

From net realized gains

        (24,834 )         (12,791 )       (14,970 )       (6,488 ) 

Class R6 (a)

                

From net investment income

        (154 )         —        (6 )       —  

From net realized gains

        (451 )         —        (10 )       —  

Class T (b) (c)

                

From net investment income

        (1 )         — (d)       — (d)       — (d) 

From net realized gains

        (1 )         —        (1 )       —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (224,118 )         (135,613 )       (237,517 )       (132,254 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

                

Change in net assets resulting from capital transactions

        91,735          (199,280 )       (94,761 )       (469,431 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

NET ASSETS:

                

Change in net assets

        143,750          111,155        (82,879 )       (169,371 ) 

Beginning of period

        2,558,086          2,446,931        2,972,592        3,141,963  
    

 

 

       

 

 

     

 

 

     

 

 

  

End of period

      $ 2,701,836        $ 2,558,086      $ 2,889,713      $ 2,972,592  
    

 

 

       

 

 

     

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 54        $ 94      $ 86      $ 148  
    

 

 

       

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective July 31, 2017.

(b)

Commencement of offering of class of shares effective June 6, 2017.

(c)

Class T Shares had no assets from the close of business on June 5, 2018.

(d)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Investor Balanced Fund      JPMorgan Investor Conservative
Growth Fund		  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                

Class A

                

Proceeds from shares issued

      $ 460,817        $ 264,924      $ 442,260      $ 183,110  

Distributions reinvested

        235,227          130,712        117,679        73,917  

Cost of shares redeemed

        (672,859 )         (1,064,306 )       (429,357 )       (667,980 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 23,185        $ (668,670 )     $ 130,582      $ (410,953 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Class C

                

Proceeds from shares issued

      $ 138,371        $ 160,661      $ 171,728      $ 224,466  

Distributions reinvested

        48,466          33,495        57,915        43,662  

Cost of shares redeemed

        (472,053 )         (357,777 )       (602,825 )       (494,659 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (285,216 )       $ (163,621 )     $ (373,182 )     $ (226,531 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Class I

                

Proceeds from shares issued

      $ 108,433        $ 148,958      $ 32,920      $ 42,413  

Distributions reinvested

        29,635          3,446        6,927        2,200  

Cost of shares redeemed

        (135,249 )         (122,644 )       (36,461 )       (49,708 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 2,819        $ 29,760      $ 3,386      $ (5,095 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R6 (a)

                

Proceeds from shares issued

      $ 86,464        $ —      $ 177      $ —  

Distributions reinvested

        2,513          —        2        —  

Cost of shares redeemed

        (590 )         —        — (b)       —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 88,387        $ —      $ 179      $ —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class T (c) (d)

                

Proceeds from shares issued

      $ —        $ 20      $ —      $ 20  

Distributions reinvested

        1          — (b)       1        — (b) 

Cost of shares redeemed

        (21 )         —        (21 )       —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class T capital transactions

      $ (20 )       $ 20      $ (20 )     $ 20  
    

 

 

       

 

 

     

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

      $ (170,845 )       $ (802,511 )     $ (239,055 )     $ (642,559 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective July 31, 2017.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective June 6, 2017.

(d)

Class T Shares had no assets from the close of business on June 5, 2018.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         17  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Investor Balanced Fund      JPMorgan Investor Conservative
Growth Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

              

Class A

              

Issued

        29,180        17,833        33,945        14,566  

Reinvested

        15,208        8,886        9,180        5,932  

Redeemed

        (43,083 )       (71,214 )       (33,363 )       (53,038 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class A Shares

        1,305        (44,495 )       9,762        (32,540 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class C

              

Issued

        8,998        10,952        13,393        17,927  

Reinvested

        3,183        2,317        4,539        3,527  

Redeemed

        (30,384 )       (24,334 )       (46,658 )       (39,493 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class C Shares

        (18,203 )       (11,065 )       (28,726 )       (18,039 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class I

              

Issued

        6,915        9,958        2,536        3,352  

Reinvested

        1,913        233        538        175  

Redeemed

        (8,609 )       (8,157 )       (2,821 )       (3,922 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class I Shares

        219        2,034        253        (395 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R6 (a)

              

Issued

        5,464        —        14        —  

Reinvested

        163        —        — (b)       —  

Redeemed

        (38 )       —        — (b)       —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R6 Shares

        5,589        —        14        —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class T (c) (d)

              

Issued

        —        1        —        2  

Reinvested

        — (b)       — (b)       — (b)       — (b) 

Redeemed

        (1 )       —        (2 )       —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class T Shares

        (1 )       1        (2 )       2  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective July 31, 2017.

(b)

Amount rounds to less than one thousand.

(c)

Commencement of offering of class of shares effective June 6, 2017.

(d)

Class T Shares had no assets from the close of business on June 5, 2018.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Investor Growth Fund      JPMorgan Investor Growth &
Income Fund		  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                  

Class A

                  

Proceeds from shares issued

      $ 193,204        $ 122,390      $ 225,692        $ 135,891  

Distributions reinvested

        172,014          103,579        195,946          105,860  

Cost of shares redeemed

        (293,109 )         (421,646 )       (389,174 )         (620,548 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 72,109        $ (195,677 )     $ 32,464        $ (378,797 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class C

                  

Proceeds from shares issued

      $ 45,931        $ 44,771      $ 47,513        $ 58,135  

Distributions reinvested

        17,270          14,448        19,822          15,258  

Cost of shares redeemed

        (138,492 )         (87,416 )       (198,558 )         (141,358 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (75,291 )       $ (28,197 )     $ (131,223 )       $ (67,965 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class I

                  

Proceeds from shares issued

      $ 134,558        $ 105,940      $ 40,223        $ 61,573  

Distributions reinvested

        31,813          4,159        19,287          2,743  

Cost of shares redeemed

        (79,570 )         (85,525 )       (56,132 )         (87,005 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 86,801        $ 24,574      $ 3,378        $ (22,689 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R6 (a)

                  

Proceeds from shares issued

      $ 8,361        $ —      $ 662        $ —  

Distributions reinvested

        605          —        16          —  

Cost of shares redeemed

        (829 )         —        (37 )         —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 8,137        $ —      $ 641        $ —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class T (b) (c)

                  

Proceeds from shares issued

      $ —        $ 20      $ —        $ 20  

Distributions reinvested

        2          — (d)       1          — (d) 

Cost of shares redeemed

        (23 )         —        (22 )         —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class T capital transactions

      $ (21 )       $ 20      $ (21 )       $ 20  
    

 

 

       

 

 

     

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 91,735        $ (199,280 )     $ (94,761 )       $ (469,431 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective July 31, 2017.

(b)

Commencement of offering of class of shares effective June 6, 2017.

(c)

Class T Shares had no assets from the close of business on June 5, 2018.

(d)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         19  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Investor Growth Fund      JPMorgan Investor Growth &
Income Fund		  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

              

Class A

              

Issued

        9,068        6,334        12,545        8,160  

Reinvested

        8,256        5,503        11,186        6,465  

Redeemed

        (13,900 )       (21,701 )       (21,923 )       (37,043 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class A Shares

        3,424        (9,864 )       1,808        (22,418 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class C

              

Issued

        2,319        2,452        2,749        3,584  

Reinvested

        886        814        1,166        961  

Redeemed

        (6,904 )       (4,765 )       (11,335 )       (8,678 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class C Shares

        (3,699 )       (1,499 )       (7,420 )       (4,133 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class I

              

Issued

        6,205        5,355        2,304        3,738  

Reinvested

        1,496        216        1,119        169  

Redeemed

        (3,692 )       (4,322 )       (3,199 )       (5,287 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class I Shares

        4,009        1,249        224        (1,380 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R6 (a)

              

Issued

        390        —        37        —  

Reinvested

        28        —        1        —  

Redeemed

        (38 )       —        (2 )       —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R6 Shares

        380        —        36        —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class T (b) (c)

              

Issued

        —        1        —        1  

Reinvested

        — (d)       — (d)       — (d)       — (d) 

Redeemed

        (1 )       —        (1 )       —  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class T Shares

        (1 )       1        (1 )       1  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective July 31, 2017.

(b)

Commencement of offering of class of shares effective June 6, 2017.

(c)

Class T Shares had no assets from the close of business on June 5, 2018.

(d)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         21  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

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

JPMorgan Investor Balanced Fund

              

Class A

              

Year Ended June 30, 2018

   $ 15.37     $ 0.24 (g)    $ 0.72     $ 0.96     $ (0.29 )    $ (0.74 )    $ (1.03 ) 

Year Ended June 30, 2017

     14.33       0.23 (g)      1.33       1.56       (0.24 )      (0.28 )      (0.52 ) 

Year Ended June 30, 2016

     15.12       0.22 (g)      (0.29 )      (0.07 )      (0.25 )      (0.47 )      (0.72 ) 

Year Ended June 30, 2015

     15.25       0.19       0.24       0.43       (0.28 )      (0.28 )      (0.56 ) 

Year Ended June 30, 2014

     13.61       0.17 (g)      1.74       1.91       (0.23 )      (0.04 )      (0.27 ) 

Class C

              

Year Ended June 30, 2018

     15.14       0.14 (g)      0.73       0.87       (0.21 )      (0.74 )      (0.95 ) 

Year Ended June 30, 2017

     14.13       0.14 (g)      1.30       1.44       (0.15 )      (0.28 )      (0.43 ) 

Year Ended June 30, 2016

     14.92       0.14 (g)      (0.29 )      (0.15 )      (0.17 )      (0.47 )      (0.64 ) 

Year Ended June 30, 2015

     15.05       0.13       0.23       0.36       (0.21 )      (0.28 )      (0.49 ) 

Year Ended June 30, 2014

     13.44       0.09 (g)      1.71       1.80       (0.15 )      (0.04 )      (0.19 ) 

Class I

              

Year Ended June 30, 2018

     15.39       0.28 (g)      0.73       1.01       (0.33 )      (0.74 )      (1.07 ) 

Year Ended June 30, 2017

     14.35       0.27 (g)      1.33       1.60       (0.28 )      (0.28 )      (0.56 ) 

Year Ended June 30, 2016

     15.14       0.26 (g)      (0.30 )      (0.04 )      (0.28 )      (0.47 )      (0.75 ) 

Year Ended June 30, 2015

     15.27       0.24       0.23       0.47       (0.32 )      (0.28 )      (0.60 ) 

Year Ended June 30, 2014

     13.62       0.20 (g)      1.75       1.95       (0.26 )      (0.04 )      (0.30 ) 

Class R6

              

July 31, 2017 (h) through June 30, 2018

     15.63       0.29 (g)      0.50       0.79       (0.36 )      (0.74 )      (1.10 ) 

 

(a)

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

(b)

Net investment income (loss) is affected by timing of distributions from Underlying Funds.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

Does not include expenses of Underlying Funds.

(f)

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

(g)

Calculated based upon average shares outstanding.

(h)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)(f)		         
Net
investment
income
(loss) (b)		     Expenses
without waivers,
reimbursements and
earnings credits (e)		     Portfolio
turnover
rate (c)		  
           
           
$ 15.30       6.30 %    $ 3,436,111       0.52 %      1.54 %      0.63 %      9 % 
  15.37       11.09       3,430,816       0.52       1.55       0.65       4  
  14.33       (0.40 )      3,836,242       0.46       1.55       0.67       12  
  15.12       2.89       4,018,244       0.34       1.26       0.66       10  
  15.25       14.12       3,749,519       0.41       1.16       0.67       12  
           
  15.06       5.71       791,718       1.09       0.89       1.13       9  
  15.14       10.40       1,071,522       1.09       0.97       1.15       4  
  14.13       (0.95 )      1,155,896       1.01       1.00       1.16       12  
  14.92       2.45       1,195,830       0.80       0.81       1.16       10  
  15.05       13.50       995,919       0.97       0.61       1.17       12  
           
  15.33       6.62       471,153       0.27       1.76       0.37       9  
  15.39       11.36       469,758       0.27       1.80       0.38       4  
  14.35       (0.15 )      408,797       0.20       1.83       0.39       12  
  15.14       3.15       353,402       0.08       1.51       0.40       10  
  15.27       14.45       329,525       0.16       1.39       0.42       12  
           
  15.32       5.07       85,614       0.12       2.03       0.12       9  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         23  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Investor Conservative Growth Fund

 

      

Class A

              

Year Ended June 30, 2018

   $ 12.80     $ 0.24 (g)    $ 0.24     $ 0.48     $ (0.26 )    $ (0.41 )    $ (0.67 ) 

Year Ended June 30, 2017

     12.36       0.23 (g)      0.61       0.84       (0.23 )      (0.17 )      (0.40 ) 

Year Ended June 30, 2016

     12.78       0.22 (g)      (0.11 )      0.11       (0.23 )      (0.30 )      (0.53 ) 

Year Ended June 30, 2015

     13.00       0.19       0.05       0.24       (0.22 )      (0.24 )      (0.46 ) 

Year Ended June 30, 2014

     12.01       0.18 (g)      1.02       1.20       (0.21 )      —       (0.21 ) 

Class C

              

Year Ended June 30, 2018

     12.75       0.16 (g)      0.24       0.40       (0.19 )      (0.41 )      (0.60 ) 

Year Ended June 30, 2017

     12.30       0.15 (g)      0.62       0.77       (0.15 )      (0.17 )      (0.32 ) 

Year Ended June 30, 2016

     12.73       0.15 (g)      (0.12 )      0.03       (0.16 )      (0.30 )      (0.46 ) 

Year Ended June 30, 2015

     12.95       0.13       0.06       0.19       (0.17 )      (0.24 )      (0.41 ) 

Year Ended June 30, 2014

     11.97       0.11 (g)      1.01       1.12       (0.14 )      —       (0.14 ) 

Class I

              

Year Ended June 30, 2018

     12.87       0.27 (g)      0.25       0.52       (0.29 )      (0.41 )      (0.70 ) 

Year Ended June 30, 2017

     12.42       0.26 (g)      0.62       0.88       (0.26 )      (0.17 )      (0.43 ) 

Year Ended June 30, 2016

     12.84       0.25 (g)      (0.11 )      0.14       (0.26 )      (0.30 )      (0.56 ) 

Year Ended June 30, 2015

     13.06       0.22       0.06       0.28       (0.26 )      (0.24 )      (0.50 ) 

Year Ended June 30, 2014

     12.06       0.21 (g)      1.03       1.24       (0.24 )      —       (0.24 ) 

Class R6

              

July 31, 2017 (h) through June 30, 2018

     13.00       0.24 (g)      0.14       0.38       (0.29 )      (0.41 )      (0.70 ) 

 

(a)

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

(b)

Net investment income (loss) is affected by timing of distributions from Underlying Funds.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

Does not include expenses of Underlying Funds.

(f)

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

(g)

Calculated based upon average shares outstanding.

(h)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)(f)		         
Net
investment
income
(loss) (b)		     Expenses
without waivers,
reimbursements and
earnings credits (e)		     Portfolio
turnover
rate (c)		  
           
           
$ 12.61       3.76 %    $ 2,173,957       0.52 %      1.85 %      0.64 %      6 % 
  12.80       6.92       2,081,812       0.52       1.80       0.65       6  
  12.36       0.97       2,411,763       0.46       1.76       0.66       12  
  12.78       1.89       2,554,155       0.34       1.46       0.66       11  
  13.00       10.05       2,516,247       0.41       1.41       0.66       20  
           
  12.55       3.09       1,188,675       1.10       1.21       1.13       6  
  12.75       6.40       1,573,159       1.10       1.22       1.15       6  
  12.30       0.34       1,740,461       1.01       1.21       1.16       12  
  12.73       1.44       1,831,636       0.79       1.02       1.16       11  
  12.95       9.42       1,580,447       0.97       0.87       1.16       20  
           
  12.69       4.08       136,915       0.27       2.09       0.39       6  
  12.87       7.22       135,687       0.27       2.05       0.40       6  
  12.42       1.22       135,832       0.21       2.02       0.41       12  
  12.84       2.13       130,507       0.09       1.71       0.40       11  
  13.06       10.35       119,664       0.16       1.66       0.41       20  
           
  12.68       2.95       175       0.14       2.09       0.15       6  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         25  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Investor Growth Fund

              

Class A

              

Year Ended June 30, 2018

   $ 20.38     $ 0.19     $ 2.04     $ 2.23     $ (0.37 )    $ (1.44 )    $ (1.81 ) 

Year Ended June 30, 2017

     18.04       0.18       3.19       3.37       (0.19 )      (0.84 )      (1.03 ) 

Year Ended June 30, 2016

     19.95       0.17       (0.89 )      (0.72 )      (0.24 )      (0.95 )      (1.19 ) 

Year Ended June 30, 2015

     19.59       0.15       0.91       1.06       (0.39 )      (0.31 )      (0.70 ) 

Year Ended June 30, 2014

     16.25       0.11       3.45       3.56       (0.22 )      —       (0.22 ) 

Class C

              

Year Ended June 30, 2018

     19.20       0.04       1.95       1.99       (0.32 )      (1.44 )      (1.76 ) 

Year Ended June 30, 2017

     17.10       0.06       3.01       3.07       (0.13 )      (0.84 )      (0.97 ) 

Year Ended June 30, 2016

     19.01       0.07       (0.85 )      (0.78 )      (0.18 )      (0.95 )      (1.13 ) 

Year Ended June 30, 2015

     18.75       0.05       0.87       0.92       (0.35 )      (0.31 )      (0.66 ) 

Year Ended June 30, 2014

     15.60       0.01       3.30       3.31       (0.16 )      —       (0.16 ) 

Class I

              

Year Ended June 30, 2018

     20.77       0.24       2.09       2.33       (0.42 )      (1.44 )      (1.86 ) 

Year Ended June 30, 2017

     18.37       0.23       3.25       3.48       (0.24 )      (0.84 )      (1.08 ) 

Year Ended June 30, 2016

     20.29       0.23       (0.91 )      (0.68 )      (0.29 )      (0.95 )      (1.24 ) 

Year Ended June 30, 2015

     19.91       0.20       0.93       1.13       (0.44 )      (0.31 )      (0.75 ) 

Year Ended June 30, 2014

     16.51       0.16       3.50       3.66       (0.26 )      —       (0.26 ) 

Class R6

              

July 31, 2017 (h) through June 30, 2018

     21.25       0.29       1.58       1.87       (0.45 )      (1.44 )      (1.89 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Net investment income (loss) is affected by timing of distributions from Underlying Funds.

(d)

Not annualized for periods less than one year.

(e)

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

(f)

Does not include expenses of Underlying Funds.

(g)

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

(h)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

 

 

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

Expenses
without waivers,
reimbursements and
earnings credits (f)

     Portfolio
turnover
rate (d)		  
           
           
$ 20.80       11.02 %    $ 2,048,525       0.52 %      0.88 %      0.67 %      11 % 
  20.38       19.19       1,937,119       0.52       0.93       0.70       8  
  18.04       (3.54 )      1,893,308       0.47       0.93       0.72       8  
  19.95       5.51       1,994,792       0.38       0.74       0.71       10  
  19.59       21.95       1,791,194       0.41       0.59       0.71       8  
           
  19.43       10.41       205,740       1.10       0.20       1.16       11  
  19.20       18.47       274,389       1.09       0.35       1.19       8  
  17.10       (4.05 )      270,007       1.02       0.39       1.21       8  
  19.01       4.97       268,270       0.85       0.26       1.21       10  
  18.75       21.30       226,430       0.95       0.05       1.21       8  
           
  21.24       11.33       439,498       0.27       1.11       0.39       11  
  20.77       19.46       346,558       0.27       1.17       0.39       8  
  18.37       (3.28 )      283,616       0.20       1.21       0.40       8  
  20.29       5.80       260,097       0.10       1.01       0.42       10  
  19.91       22.25       182,413       0.16       0.85       0.46       8  
           
  21.23       8.90       8,073       0.14       1.45       0.27       11  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         27  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Investor Growth & Income Fund

 

            

Class A

              

Year Ended June 30, 2018

   $ 17.37     $ 0.22     $ 1.27     $ 1.49     $ (0.33 )    $ (1.12 )    $ (1.45 ) 

Year Ended June 30, 2017

     15.79       0.22       2.07       2.29       (0.23 )      (0.48 )      (0.71 ) 

Year Ended June 30, 2016

     17.02       0.21       (0.58 )      (0.37 )      (0.25 )      (0.61 )      (0.86 ) 

Year Ended June 30, 2015

     17.11       0.19       0.44       0.63       (0.33 )      (0.39 )      (0.72 ) 

Year Ended June 30, 2014

     14.78       0.16       2.40       2.56       (0.23 )      —       (0.23 ) 

Class C

              

Year Ended June 30, 2018

     16.91       0.10       1.26       1.36       (0.23 )      (1.12 )      (1.35 ) 

Year Ended June 30, 2017

     15.39       0.12       2.01       2.13       (0.13 )      (0.48 )      (0.61 ) 

Year Ended June 30, 2016

     16.62       0.12       (0.57 )      (0.45 )      (0.17 )      (0.61 )      (0.78 ) 

Year Ended June 30, 2015

     16.72       0.11       0.44       0.55       (0.26 )      (0.39 )      (0.65 ) 

Year Ended June 30, 2014

     14.46       0.07       2.34       2.41       (0.15 )      —       (0.15 ) 

Class I

              

Year Ended June 30, 2018

     17.11       0.26       1.26       1.52       (0.37 )      (1.12 )      (1.49 ) 

Year Ended June 30, 2017

     15.57       0.25       2.04       2.29       (0.27 )      (0.48 )      (0.75 ) 

Year Ended June 30, 2016

     16.80       0.25       (0.58 )      (0.33 )      (0.29 )      (0.61 )      (0.90 ) 

Year Ended June 30, 2015

     16.89       0.23       0.44       0.67       (0.37 )      (0.39 )      (0.76 ) 

Year Ended June 30, 2014

     14.59       0.19       2.38       2.57       (0.27 )      —       (0.27 ) 

Class R6

              

July 31, 2017 (h) through June 30, 2018

     17.44       0.22       0.99       1.21       (0.40 )      (1.12 )      (1.52 ) 

 

(a)

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

(b)

Net investment income (loss) is affected by timing of distributions from Underlying Funds.

(c)

Calculated based upon average shares outstanding.

(d)

Not annualized for periods less than one year.

(e)

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

(f)

Does not include expenses of Underlying Funds.

(g)

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

(h)

Commencement of offering of class of shares.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

 

 

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

Expenses
without waivers,
reimbursements and
earnings credits (f)

     Portfolio
turnover
rate (d)		  
           
           
$ 17.41       8.67 %    $ 2,386,397       0.52 %      1.25 %      0.66 %      11 % 
  17.37       14.82       2,348,659       0.52       1.30       0.67       7  
  15.79       (2.06 )      2,489,097       0.46       1.33       0.69       13  
  17.02       3.78       2,659,305       0.36       1.11       0.69       9  
  17.11       17.40       2,432,024       0.41       0.96       0.68       10  
           
  16.92       8.10       260,085       1.10       0.57       1.14       11  
  16.91       14.17       385,447       1.10       0.73       1.17       7  
  15.39       (2.63 )      414,439       1.02       0.79       1.19       13  
  16.62       3.37       430,037       0.82       0.65       1.19       9  
  16.72       16.72       358,544       0.96       0.42       1.18       10  
           
  17.14       9.02       242,612       0.27       1.49       0.39       11  
  17.11       15.07       238,466       0.27       1.53       0.39       7  
  15.57       (1.82 )      238,427       0.20       1.60       0.40       13  
  16.80       4.11       244,290       0.09       1.38       0.41       9  
  16.89       17.71       208,836       0.16       1.21       0.44       10  
           
  17.13       7.04       619       0.13       1.42       0.14       11  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         29  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018

 

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 (each, a “Fund” and collectively, the “Funds”) covered by this report:

 

      Classes Offered    Diversified/Non-Diversified
JPMorgan Investor Balanced Fund    Class A, Class C, Class I, Class R6* and Class T**    Diversified
JPMorgan Investor Conservative Growth Fund    Class A, Class C, Class I, Class R6* and Class T**    Diversified
JPMorgan Investor Growth Fund    Class A, Class C, Class I, Class R6* and Class T**    Diversified
JPMorgan Investor Growth & Income Fund    Class A, Class C, Class I, Class R6* and Class T**    Diversified

 

*

Class R6 commenced operations on July 31, 2017.

**

Class T Shares had no assets from the close of business on June 5, 2018 and are not offered to the public.

The investment objective of the JPMorgan Investor Balanced Fund (“Investor Balanced Fund”) is to seek high total return consistent with the preservation of capital by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity and fixed income securities.

The investment objective of the JPMorgan Investor Conservative Growth Fund (“Investor Conservative Growth Fund”) is to seek income and capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in fixed income and equity securities.

The investment objective of the JPMorgan Investor Growth Fund (“Investor Growth Fund”) is to seek long-term capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.

The investment objective of the JPMorgan Investor Growth & Income Fund (“Investor Growth & Income Fund”) is to seek long-term capital appreciation and growth of income by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.

Class A and Class T Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I Shares or Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

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

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, 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.

 

 
30       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

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

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

 

•  

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

•  

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

•  

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

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

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

Investor Balanced Fund

 

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

Total Investments in Securities (a)

      $ 4,783,032        $ —        $ —        $ 4,783,032  
    

 

 

       

 

 

       

 

 

       

 

 

  
Investor Conservative Growth Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 3,496,176        $ —        $ —        $ 3,496,176  
    

 

 

       

 

 

       

 

 

       

 

 

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

Total Investments in Securities (a)

      $ 2,704,547        $ —        $ —        $ 2,704,547  
    

 

 

       

 

 

       

 

 

       

 

 

  
Investor Growth & Income Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 2,885,706        $ —        $ —        $ 2,885,706  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(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, 2018.

B. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with a fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the tables below. 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. Amounts in the tables below are in thousands.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         31  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

Investor Balanced Fund

 

                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Core Bond Fund Class R6 Shares (a)

   $ 864,389     $ 163,529     $ 17,727     $ (59 )    $ (28,217 )    $ 981,915       87,126     $ 25,739     $ 1,998  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     500,148       21,967       32,961       (783 )      (12,563 )      475,808       59,107       14,390       —  

JPMorgan Dynamic Growth Fund Class R5 Shares (a)

     98,716       9,474       66,302       1,901       (43,789 )      —       —       159       9,314  

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     64,143       10,237       6,545       500       702       69,037       5,137       1,543       —  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     49,783       2,176       987       15       (2,980 )      48,007       6,194       2,176       —  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     65,093       7,158       8,032       1,579       3,393       69,191       2,492       394       —  

JPMorgan Equity Income Fund Class R6 Shares (a)

     92,523       5,885       9,951       2,031       4,803       95,291       5,573       1,815       836  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     162,788       6,546       8,306       (601 )      (747 )      159,680       17,115       6,547       —  

JPMorgan Global Research Enhanced Index Fund Class I Shares (a)

     164,433       —       127,802       2,220       (38,851 )      —       —       —       —  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     —       121,211       12,290       2,461       47,421       158,803       7,080       3,349       — (b) 

JPMorgan High Yield Fund Class R6 Shares (a)

     200,025       9,627       89,622       444       (5,354 )      115,120       15,967       9,627       —  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     77,323       1,780       6,248       (346 )      (572 )      71,937       7,108       1,780       —  

JPMorgan International Equity Fund Class R6 Shares (a)

     85,137       3,858       22,946       3,148       2,183       71,380       4,098       1,443       —  

JPMorgan International Research Enhanced Equity Fund Class I Shares (a)

     275,639       —       250,066       (1,090 )      (24,483 )      —       —       —       —  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     —       243,537       21,671       (793 )      34,727       255,800       13,940       3,283       2,800  

JPMorgan Intrepid America Fund Class R6 Shares (a)

     337,614       59,660       83,686       20,794       (172 )      334,210       8,065       5,188       32,322  

JPMorgan Intrepid European Fund Class L Shares (a)

     119,913       2,044       23,815       (202 )      2,614       100,554       3,810       2,044       —  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     169,306       1,477       37,873       23,624       10,420       166,954       2,814       1,477       —  

JPMorgan Intrepid Mid Cap Fund Class R6 Shares (a)

     96,886       7,340       65,163       31,411       (27,766 )      42,708       1,777       985       6,355  

JPMorgan Large Cap Growth Fund Class R6 Shares* (a)

     65,438       72,816       42,473       8,894       60,323       164,998       3,754       —       8,549  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     128,533       11,508       16,987       3,342       (5,834 )      120,562       8,091       1,612       9,897  

JPMorgan Latin America Fund Class R6 Shares* (a)

     10,122       —       11,138       (577 )      1,593       —       —       —       —  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     205,654       6,690       12,595       (45 )      (979 )      198,725       19,912       4,211       —  

JPMorgan Market Expansion Enhanced Index Fund Class I Shares (a)

     158,985       26,311       21,455       2,331       2,672       168,844       14,165       1,302       15,772  

JPMorgan Multi-Cap Market Neutral Fund Class I Shares* (a)

     49,614       —       51,902       4,729       (2,441 )      —       —       —       3  

JPMorgan Research Market Neutral Fund Class L Shares* (a)

     49,629       1,271       1,959       (20 )      (386 )      48,535       3,212       —       1,270  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     22,448       12,293       —       —       2,032       36,773       1,138       301       1,269  

JPMorgan Strategic Income Opportunities Fund Class R5 Shares (a)

     96,465       943       98,981       —       1,573       —       —       943       —  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     —       100,939       1,933       (60 )      (2,265 )      96,681       8,349       1,958       —  

JPMorgan Systematic Alpha Fund Class R6 Shares* (a)

     91,901       7,446       —       —       (5,414 )      93,933       6,469       —       —  

 

 
32       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

Investor Balanced Fund (continued)

 

                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

   $ 481,111     $ 50,972     $ 104,322     $ 20,658     $ 2,457     $ 450,876       27,227     $ 5,421     $ 34,777  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (c)

     —       113,030       61,867       —       —       51,163       51,163       168       —  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares (a)

     44,804       359,645       404,449       —       —       —       —       452       —  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

     42,843       1,613       —       —       (885 )      43,571       4,446       1,613       —  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     92,691       3,854       10,010       1,834       3,607       91,976       2,584       1,177       902  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 4,964,097     $ 1,446,837     $ 1,732,064     $ 127,340     $ (23,178 )    $ 4,783,032       $ 101,097     $ 126,064  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Investor Conservative Growth Fund

 

          
                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Core Bond Fund Class R6 Shares (a)

   $ 1,031,757     $ 66,073     $ 30,054     $ (179 )    $ (31,665 )    $ 1,035,932       91,919     $ 29,115     $ 2,327  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     487,454       13,717       47,043       (597 )      (12,045 )      441,486       54,843       13,713       —  

JPMorgan Dynamic Growth Fund Class R5 Shares (a)

     44,445       4,164       32,348       1,116       (17,377 )      —       —       70       4,094  

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     38,041       9,397       8,649       610       8       39,407       2,932       812       —  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     38,039       1,617       2,964       25       (2,146 )      34,571       4,461       1,615       —  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     38,035       7,423       9,011       1,765       872       39,084       1,408       211       —  

JPMorgan Equity Income Fund Class R6 Shares (a)

     68,607       1,893       14,020       4,338       634       61,452       3,594       1,281       611  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     143,137       5,715       7,037       (516 )      (664 )      140,635       15,073       5,716       —  

JPMorgan Global Research Enhanced Index Fund Class I Shares (a)

     45,813       —       35,119       957       (11,651 )      —       —       —       —  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     —       32,262       1,799       254       14,026       44,743       1,995       912       — (b) 

JPMorgan Government Bond Fund Class R6 Shares (a)

     39,574       2,930       1,410       (107 )      (1,072 )      39,915       3,894       1,022       36  

JPMorgan High Yield Fund Class R6 Shares (a)

     119,641       5,451       68,016       3,718       (6,447 )      54,347       7,538       5,451       —  

JPMorgan Income Fund Class R6 Shares (a)

     70,397       3,881       —       — (b)      (2,230 )      72,048       7,823       3,880       —  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     71,322       1,621       5,701       (205 )      (625 )      66,412       6,562       1,621       —  

JPMorgan International Equity Fund Class R6 Shares (a)

     44,583       2,144       15,238       2,091       955       34,535       1,982       734       —  

JPMorgan International Research Enhanced Equity Fund Class I Shares (a)

     143,997       —       132,472       (713 )      (10,812 )      —       —       —       —  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     —       128,220       5,863       (208 )      15,916       138,065       7,524       1,688       1,447  

JPMorgan Intrepid America Fund Class R6 Shares (a)

     203,213       38,313       73,576       12,255       474       180,679       4,360       3,017       18,687  

JPMorgan Intrepid European Fund Class L Shares (a)

     49,537       833       18,075       50       1,293       33,638       1,275       833       —  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     99,108       2,186       32,877       19,712       (143 )      87,986       1,483       841       —  

JPMorgan Large Cap Growth Fund Class R5 Shares* (a)

     —       1,812       1,872       60       —       —       —       —       —  

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         33  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

Investor Conservative Growth Fund (continued)

 

                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Large Cap Growth Fund Class R6 Shares* (a)

   $ —     $ 29,327     $ 10,966     $ 3,275     $ 21,290     $ 42,926       977     $ —     $ —  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     25,031       2,254       4,124       242       (718 )      22,685       1,522       309       1,946  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     313,389       6,316       26,874       (33 )      (1,493 )      291,305       29,189       6,316       —  

JPMorgan Market Expansion Enhanced Index Fund Class I Shares (a)

     49,201       5,290       12,136       973       291       43,619       3,659       398       4,891  

JPMorgan Mid Cap Growth Fund Class R6 Shares* (a)

     38,378       2,292       12,157       2,719       1,735       32,967       916       —       2,292  

JPMorgan Multi-Cap Market Neutral Fund Class I Shares* (a)

     38,275       —       40,010       3,751       (2,016 )      —       —       —       —  

JPMorgan Research Market Neutral Fund Class L Shares* (a)

     38,011       943       2,940       — (b)      (283 )      35,731       2,365       —       944  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     24,562       3,396       2,249       203       1,200       27,112       839       277       1,308  

JPMorgan Strategic Income Opportunities Fund Class R5 Shares (a)

     71,794       694       73,414       (23 )      949       —       —       694       —  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     —       73,714       2,496       (67 )      (1,405 )      69,746       6,023       1,425       —  

JPMorgan Systematic Alpha Fund Class R6 Shares* (a)

     91,720       —       —       —       (5,015 )      86,705       5,971       —       —  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     184,085       26,628       51,057       11,336       (2,187 )      168,805       10,194       2,037       12,996  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (c)

     —       96,780       61,867       —       —       34,913       34,913       118       —  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares (a)

     34,329       304,597       338,926       —       —       —       —       326       —  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

     35,884       1,351       —       —       (741 )      36,494       3,724       1,351       —  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     64,890       1,429       11,872       2,641       1,145       58,233       1,636       804       625  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 3,786,249     $ 884,663     $ 1,194,232     $ 69,443     $ (49,947 )    $ 3,496,176       $ 86,587     $ 52,204  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Investor Growth Fund

 

          
                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Commodities Strategy Fund Class R6 Shares (a)

   $ 9,819     $ 21     $ —     $ —     $ 486     $ 10,326       1,133     $ 20     $ —  

JPMorgan Core Bond Fund Class R6 Shares (a)

     114,284       79,335       —       —       (4,303 )      189,316       16,798       4,022       282  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     28,184       5,873       1,634       (77 )      (820 )      31,526       3,916       901       — (b) 

JPMorgan Dynamic Growth Fund Class R5 Shares (a)

     17,839       1,787       10,801       —       (8,825 )      —       —       30       1,757  

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     49,335       8,292       2,563       36       282       55,382       4,121       1,163       —  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     12,842       572       —       —       (783 )      12,631       1,630       572       —  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     49,903       5,796       3,072       347       3,025       55,999       2,017       299       —  

JPMorgan Equity Income Fund Class R6 Shares (a)

     46,135       1,373       1,593       98       3,312       49,325       2,884       938       434  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     21,633       5,470       —       —       (239 )      26,864       2,879       970       —  

 

 
34       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

Investor Growth Fund (continued)

 

                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Global Research Enhanced Index Fund Class I Shares (a)

   $ 72,386     $ —     $ 55,272     $ 254     $ (17,368 )    $ —       —     $ —     $ —  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     —       55,983       —       —       22,958       78,941       3,519       1,527       —  

JPMorgan High Yield Fund Class R6 Shares (a)

     70,302       3,312       45,426       2,634       (4,343 )      26,479       3,672       3,313       —  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     83       — (b)      84       2       (1 )      —       —       — (b)      —  

JPMorgan International Equity Fund Class R6 Shares (a)

     115,430       8,964       7,116       227       5,444       122,949       7,058       2,057       —  

JPMorgan International Research Enhanced Equity Fund Class I Shares (a)

     180,397       —       166,265       (1,002 )      (13,130 )      —       —       —       —  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     —       176,034       2,959       (504 )      19,397       191,968       10,461       2,233       1,904  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     76,454       2,649       797       70       2,764       81,140       3,962       704       —  

JPMorgan Intrepid America Fund Class R6 Shares (a)

     300,516       35,796       41,305       5,267       11,986       312,260       7,535       4,936       30,860  

JPMorgan Intrepid European Fund Class L Shares (a)

     86,498       3,289       1,604       (48 )      1,087       89,222       3,381       1,567       —  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     127,427       1,209       19,777       12,176       14,528       135,563       2,285       1,209       —  

JPMorgan Intrepid Mid Cap Fund Class R6 Shares (a)

     45,064       3,504       36,659       15,423       (13,757 )      13,575       565       475       3,029  

JPMorgan Large Cap Growth Fund Class R6 Shares* (a)

     199,016       38,775       43,799       9,981       30,693       234,666       5,339       —       27,973  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     257,728       24,929       13,401       333       (6,757 )      262,832       17,640       3,492       21,438  

JPMorgan Latin America Fund Class R6 Shares* (a)

     10,006       —       11,020       501       513       —       —       —       —  

JPMorgan Market Expansion Enhanced Index Fund Class I Shares (a)

     143,402       18,343       10,217       721       3,332       155,581       13,052       1,213       14,327  

JPMorgan Mid Cap Growth Fund Class R6 Shares* (a)

     33,536       2,033       3,158       643       3,271       36,325       1,009       —       2,033  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     33,213       5,078       1,370       61       1,790       38,772       1,200       399       1,878  

JPMorgan Systematic Alpha Fund Class R6 Shares* (a)

     25,805       7,437       —       —       (1,798 )      31,444       2,166       —       —  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     357,350       31,945       28,210       1,644       14,668       377,397       22,790       4,340       27,605  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (c)

     —       60,323       27,193       —       —       33,130       33,130       96       —  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares (a)

     24,595       140,295       164,890       —       —       —       —       257       —  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     47,527       1,148       559       8       2,810       50,934       1,431       657       490  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 2,556,709     $ 729,565     $ 700,744     $ 48,795     $ 70,222     $ 2,704,547       $ 37,390     $ 134,010  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  
Investor Growth & Income Fund

 

          
                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Commodities Strategy Fund Class R6 Shares (a)

   $ 9,152     $ 18     $ 901     $ (483 )    $ 934     $ 8,720       957     $ 17     $ —  

JPMorgan Core Bond Fund Class R6 Shares (a)

     311,768       123,018       9,345       (233 )      (10,344 )      414,864       36,811       9,882       728  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     187,208       11,542       13,145       (243 )      (4,807 )      180,555       22,429       5,413       —  

JPMorgan Dynamic Growth Fund Class R5 Shares (a)

     28,903       2,619       19,222       1,374       (13,674 )      —       —       44       2,575  

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         35  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

Investor Growth & Income Fund (continued)

 

                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Emerging Economies Fund Class R6 Shares (a)

   $ 46,927     $ 5,777     $ 4,834     $ 250     $ 588     $ 48,708       3,624     $ 1,100     $ —  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     14,941       664       —       —       (910 )      14,695       1,896       665       —  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     47,446       3,503       5,447       1,053       2,630       49,185       1,772       286       —  

JPMorgan Equity Income Fund Class R6 Shares (a)

     55,256       1,587       6,015       1,184       2,925       54,937       3,213       1,076       510  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     97,698       3,762       18,564       (1,322 )      642       82,216       8,812       3,761       —  

JPMorgan Global Research Enhanced Index Fund Class I Shares (a)

     104,179       —       79,988       862       (25,053 )      —       —       —       —  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     —       77,984       —       —       32,577       110,561       4,929       2,166       —  

JPMorgan High Yield Fund Class R6 Shares (a)

     119,711       5,627       66,170       1,353       (4,232 )      56,289       7,807       5,628       —  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     40,738       910       1,473       (59 )      (399 )      39,717       3,925       910       —  

JPMorgan International Equity Fund Class R6 Shares (a)

     80,630       3,706       15,993       2,298       2,356       72,997       4,190       1,346       —  

JPMorgan International Research Enhanced Equity Fund Class I Shares (a)

     157,511       —       143,929       (1,423 )      (12,159 )      —       —       —       —  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     —       139,608       4,515       (134 )      18,241       153,200       8,349       1,877       1,601  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     33,729       2,360       —       —       1,217       37,306       1,822       314       —  

JPMorgan Intrepid America Fund Class R6 Shares (a)

     322,151       36,358       72,440       18,288       748       305,105       7,363       5,022       31,337  

JPMorgan Intrepid European Fund Class L Shares (a)

     91,556       1,595       18,433       (317 )      2,192       76,593       2,902       1,596       —  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     96,834       852       25,267       15,989       3,469       91,877       1,549       852       —  

JPMorgan Intrepid Mid Cap Fund Class R6 Shares (a)

     30,658       2,404       34,280       18,179       (16,961 )      —       —       326       2,079  

JPMorgan Large Cap Growth Fund Class R6 Shares* (a)

     162,136       38,574       48,776       15,046       24,547       191,527       4,358       —       22,347  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     175,420       16,017       20,238       2,753       (6,254 )      167,698       11,255       2,244       13,773  

JPMorgan Latin America Fund Class R6 Shares* (a)

     7,995       —       8,782       606       181       —       —       —       —  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     30,939       6,391       —       —       (191 )      37,139       3,721       722       —  

JPMorgan Market Expansion Enhanced Index Fund Class I Shares (a)

     116,903       12,413       15,282       1,826       1,362       117,222       9,834       957       11,456  

JPMorgan Mid Cap Growth Fund Class R6 Shares* (a)

     30,734       3,611       4,805       658       2,786       32,984       916       —       1,836  

JPMorgan Multi-Cap Market Neutral Fund Class I Shares* (a)

     22,149       —       23,148       2,079       (1,080 )      —       —       —       —  

JPMorgan Research Market Neutral Fund Class L Shares* (a)

     22,440       579       —       —       (186 )      22,833       1,511       —       580  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     37,972       2,535       2,946       145       1,847       39,553       1,225       436       2,098  

JPMorgan Strategic Income Opportunities Fund Class R5 Shares (a)

     28,170       275       28,864       —       419       —       —       275       —  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     —       29,437       —       —       (639 )      28,798       2,487       573       —  

JPMorgan Systematic Alpha Fund Class R6 Shares* (a)

     47,180       5,080       —       —       (2,846 )      49,414       3,403       —       —  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     328,150       27,598       52,885       10,279       5,204       318,346       19,224       3,756       23,842  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.86% (a) (c)

     —       71,581       42,962       —       —       28,619       28,619       103       —  

 

 
36       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents
Investor Growth & Income Fund (continued)

 

                 For the year ended June 30, 2018              
Security Description   Value at
June 30,
2017		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
June 30,
2018		     Shares at
June 30,
2018		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares (a)

   $ 24,385     $ 245,615     $ 270,000     $ —     $ —     $ —       —     $ 265     $ —  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     55,015       1,245       5,431       924       2,295       54,048       1,518       710       535  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 2,966,584     $ 884,845     $ 1,064,080     $ 90,932     $ 7,425     $ 2,885,706       $ 52,322     $ 115,297  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

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

(b)

Amount rounds to less than one thousand.

(c)

The rate shown was the current yield as of June 30, 2018.

*

Non-income producing security.

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 are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the year ended June 30, 2018 are as follows (amounts in thousands):

 

        Class A        Class C        Class I        Class R6      Class T      Total  

Investor Balanced Fund

                          

Transfer agency fees

      $ 480        $ 50        $ 20        $ — (a)     $ — (a)     $ 550  

Investor Conservative Growth Fund

                          

Transfer agency fees

        241          42          16          — (a)       — (a)       299  

Investor Growth Fund

                          

Transfer agency fees

        810          51          39          9        — (a)       909  

Investor Growth & Income Fund

                          

Transfer agency fees

        620          35          16          — (a)       — (a)       671  

 

(a)

Amount rounds to less than one thousand.

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 (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, 2018, 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, if any, are generally declared and paid quarterly, except for distributions from the Investor Conservative Growth Fund, for which distributions are generally declared and paid monthly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         37  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

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)		  

Investor Balanced Fund

      $ —          $ 18,402        $ (18,402 ) 

Investor Conservative Growth Fund

        —            6,820          (6,820 ) 

Investor Growth Fund

        —            25,250          (25,250 ) 

Investor Growth & Income Fund

        —            19,379          (19,379 ) 

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, 2018, 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. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Trust’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class T Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. The Class I and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class T  
       0.25 %         0.75 %         0.25 % 

In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A and Class T Shares and the CDSC from redemptions of Class C Shares and certain Class A and Class T Shares for which front-end sales charges have been waived. For the year ended June 30, 2018, JPMDS retained the following amounts (in thousands):

 

        Front-End Sales Charge        CDSC  

Investor Balanced Fund

      $ 420        $ 2  

Investor Conservative Growth Fund

        271          2  

Investor Growth Fund

        167          — (a) 

Investor Growth & Income Fund

        196          — (a) 

 

(a)

Amount rounds to less than one thousand.

D. Service Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to the shareholders. For performing these services, JPMDS receives a fee, except for Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly at an annual rate of 0.25% of the average daily net assets of each share class.

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

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

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses.

 

 
38       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

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The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statement of Operations. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

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

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

 

        Class A        Class C        Class I        Class R6        Class T  

Investor Balanced Fund

        0.52 %         1.10 %         0.27 %         0.15 %         0.52 % 

Investor Conservative Growth Fund

        0.52          1.10          0.27          0.15          0.52  

Investor Growth Fund

        0.52          1.10          0.27          0.15          0.52  

Investor Growth & Income Fund

        0.52          1.10          0.27          0.15          0.52  

The contractual expense limitation percentages are in place until at least October 31, 2018.

The Underlying Funds may impose separate advisory and service fees. To avoid charging a service fee at an effective rate above 0.25% for Class A, Class C, Class I and Class T Shares, JPMDS will waive service fees with respect to the Funds in an amount equal to the weighted average pro-rata amount of service fees charged by the Underlying Funds up to 0.25% for Class A, Class C, Class I and Class T Shares. This waiver may be in addition to any waivers required to meet the Funds’ contractual expense limitations, but will not exceed the Funds’ service fees.

For the year ended June 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

 

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

Investor Balanced Fund

      $ 16        $ —        $ 4,789        $ 4,805        $ — (a) 

Investor Conservative Growth Fund

        56          29          2,990          3,075          — (a) 

Investor Growth Fund

        172          134          3,505          3,811          7  

Investor Growth & Income Fund

        13          2          3,683          3,698          — (a) 

 

(a)

Amount rounds to less than one thousand.

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

The amounts of these waivers resulting from investments in these money market funds for the year ended June 30, 2018 were as follows (amounts in thousands):

 

Investor Balanced Fund

    $ 99  

Investor Conservative Growth Fund

      72  

Investor Growth Fund

      56  

Investor Growth & Income Fund

      58  

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

The Board 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.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         39  

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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

4. Investment Transactions

During the year ended June 30, 2018, 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

      $ 462,838        $ 754,426  

Investor Conservative Growth Fund

        228,394          538,549  

Investor Growth Fund

        302,788          282,501  

Investor Growth & Income Fund

        312,659          496,128  

During the year ended June 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows (amounts in thousands):

 

        Aggregate
Cost		        Gross
Unrealized
Appreciation		        Gross
Unrealized
Depreciation		        Net Unrealized
Appreciation
(Depreciation)		  

Investor Balanced Fund

      $ 3,973,543        $ 837,564        $ 28,075        $ 809,489  

Investor Conservative Growth Fund

        3,125,030          409,953          38,807          371,146  

Investor Growth Fund

        1,962,272          753,112          10,837          742,275  

Investor Growth & Income Fund

        2,223,466          676,842          14,602          662,240  

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, 2018 was as follows (amounts in thousands):

 

        Ordinary
Income*		       

Net

Long-Term
Capital Gains

        Total
Distributions
Paid		  

Investor Balanced Fund

      $ 91,248        $ 227,392        $ 318,640  

Investor Conservative Growth Fund

        69,324          114,399          183,723  

Investor Growth Fund

        55,077          169,041          224,118  

Investor Growth & Income Fund

        62,233          175,284          237,517  

 

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

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

 

        Ordinary
Income*		       

Net

Long-Term
Capital Gains

        Total
Distributions
Paid		  

Investor Balanced Fund

      $ 79,573        $ 101,549        $ 181,122  

Investor Conservative Growth Fund

        66,391          56,239          122,630  

Investor Growth Fund

        25,664          109,949          135,613  

Investor Growth & Income Fund

        41,702          90,552          132,254  

 

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

As of June 30, 2018, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

        Current
Distributable
Ordinary
Income		        Current
Distributable
Long-Term
Capital Gain or
(Tax Basis Capital
Loss Carryover)		        Unrealized
Appreciation
(Depreciation)		  

Investor Balanced Fund

      $ 5,658        $ 158,632        $ 809,489

Investor Conservative Growth Fund

        3,311          83,323          371,146

Investor Growth Fund

        4,438          109,543          742,275

Investor Growth & Income Fund

        4,820          111,853          662,240

The cumulative timing differences primarily consist of distributions payable and wash sale loss deferrals.

 

 
40       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

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As of June 30, 2018, the Funds did not have any net capital loss carryforwards.

6. Borrowings

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

The 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 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended June 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred -on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended June 30, 2018.

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, 2018, the Funds had one affiliated omnibus account, which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

        Number of Affiliated
Omnibus Accounts		        % of the Fund  

Investor Balanced Fund

        4          83.9 % 

Investor Conservative Growth Fund

        3          86.7  

Investor Growth Fund

        3          68.7  

Investor Growth & Income Fund

        4          74.7  

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

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         41  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018

 

As of June 30, 2018, the Funds owned, in the aggregate, shares representing more than 10% of the net assets of the following Underlying Funds:

 

        % of Net Assets  

JPMorgan Research Market Neutral Fund

        53.8 % 

JPMorgan Systematic Alpha Fund

        53.1  

JPMorgan Limited Duration Bond Fund

        52.3  

JPMorgan Market Expansion Enhanced Index Fund

        44.7  

JPMorgan Intrepid Growth Fund

        41.3  

JPMorgan Large Cap Value Fund

        34.7  

JPMorgan Intrepid European Fund

        34.0  

JPMorgan Income Fund

        28.2  

JPMorgan Intrepid America Fund

        28.0  

JPMorgan International Unconstrained Equity Fund

        20.7  

JPMorgan Inflation Managed Bond Fund

        14.3  

JPMorgan Floating Rate Income Fund

        14.0  

JPMorgan International Research Enhanced Equity Fund

        13.5  

JPMorgan Emerging Economies Fund

        10.6  

JPMorgan Commodities Strategy 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 contracts, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities. Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.

8. Investment Company Reporting Modernization

In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of June 30, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

 

 
42       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Board of Trustees of JPMorgan Trust II and Shareholders of JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth Fund and JPMorgan Investor Growth & Income Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth Fund and JPMorgan Investor Growth & Income Fund (four of the funds constituting JPMorgan Trust II, hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, 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 ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP

New York, New York

August 28, 2018

We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         43  

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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 Occupation

During Past 5 Years

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

Other Directorships Held

During the 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), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    135    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).
Stephen P. Fisher (1959); Trustee of Trust since 2018.    Retired; Chairman and Chief Executive Officer (2014-2017), President and Chief Operating Officer, NYLIFE Distributors LLC (registered broker-dealer) (2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); President (2015-2017), Co-President (2014-2015) and Senior Managing Director, New York Life Investment Management LLC (registered investment adviser) (2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (formerly MainStay VP Series Fund, Inc.) (registered investment companies) (2007-2017); President, MainStay DefinedTerm Municipal Opportunities Fund (registered investment company) (2011-2017); President, MainStay Funds Trust (registered investment companies) (2009-2017); President, The MainStay Funds (registered investment companies) (2007-2017).    135    Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield (non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).
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).    135    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Dennis P. Harrington* (1950); Trustee of Trust since 2017.    Retired; Partner, Deloitte LLP (1984-2012).    135    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).    135    None

Raymond Kanner** (1953);

Trustee of Trust

since 2017.

    Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016).    135    Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-2017; Advisory Board Member, Betterment for Business (2016-2017) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-2017) (index creator); Member, Russell Index Client Advisory Board (2001-2015); Advisory Board Member, State Street Global Advisors’ OCIO Board (2017-present).

 

 
44       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

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Name (Year of Birth);

Positions With

the Funds (1)

   

Principal Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees (continued)

     
Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).		    135    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).    135    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).    135    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) (1985-2005).    135    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance).
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).    135    Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Trout Unlimited (2017-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).    135    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    135    None

 

(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 eleven registered investment companies (135 funds).

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         45  

Table of Contents

TRUSTEES

(Unaudited) (continued)

 

 

     *

Two family members of Mr. Harrington are partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee.

 

    **

A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof.

 

  ***

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.

 

 
46       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

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).

Timothy J. Clemens (1975),

Treasurer and Principal Financial Officer (2018)*

    Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016; Chief Financial Officer and Head of Valuation, Aberdeen Asset Management PLC (previously Artio Global Management) (2009 to September 2013).

Noah Greenhill (1969),
Secretary (2018)

   

Managing Director and General Counsel, JPMorgan Asset Management (2015 – Present);

Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015).

Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)		    Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)**

    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)**		    Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.
Carmine Lekstutis (1980),
Assistant Secretary (2011)		    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015.
Gregory S. Samuels (1980),
Assistant Secretary (2010)		    Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014.
Pamela L. Woodley (1971),
Assistant Secretary (2012)		    Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Zachary E. Vonnegut-Gabovitch (1986),

Assistant Secretary (2017)

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

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

    Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014.

Jeffrey D. House (1972),

Assistant Treasurer (2017)**

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 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.

Gillian I. Sands (1969),

Assistant Treasurer (2012)*

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012.

 

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 4 New York Plaza, New York, NY 10004.

 

  **

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

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         47  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (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, 2018 and continued to hold your shares at the end of the reporting period, June 30, 2018.

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, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During the

Period*

       

Annualized

Expense

Ratio

  

JPMorgan Investor Balanced Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 999.40        $ 2.58          0.52 % 

Hypothetical

        1,000.00          1,022.22          2.61          0.52  

Class C

                    

Actual

        1,000.00          996.50          5.45          1.10  

Hypothetical

        1,000.00          1,019.34          5.51          1.10  

Class I

                    

Actual

        1,000.00          1,001.30          1.34          0.27  

Hypothetical

        1,000.00          1,023.46          1.35          0.27  

Class R6

                    

Actual

        1,000.00          1,001.50          0.55          0.11  

Hypothetical

        1,000.00          1,024.25          0.55          0.11  

JPMorgan Investor Conservative Growth Fund

                    

Class A

                    

Actual

        1,000.00          995.10          2.57          0.52  

Hypothetical

        1,000.00          1,022.22          2.61          0.52  

Class C

                    

Actual

        1,000.00          992.20          5.43          1.10  

Hypothetical

        1,000.00          1,019.34          5.51          1.10  

Class I

                    

Actual

        1,000.00          996.40          1.34          0.27  

Hypothetical

        1,000.00          1,023.46          1.35          0.27  

Class R6

                    

Actual

        1,000.00          997.00          0.69          0.14  

Hypothetical

        1,000.00          1,024.10          0.70          0.14  

 

 
48       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents
       

Beginning

Account Value

January 1, 2018

       

Ending

Account Value

June 30, 2018

       

Expenses

Paid During the

Period*

       

Annualized

Expense

Ratio

  

JPMorgan Investor Growth Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,005.90        $ 2.59          0.52 % 

Hypothetical

        1,000.00          1,022.22          2.61          0.52  

Class C

                    

Actual

        1,000.00          1,003.10          5.46          1.10  

Hypothetical

        1,000.00          1,019.34          5.51          1.10  

Class I

                    

Actual

        1,000.00          1,007.50          1.34          0.27  

Hypothetical

        1,000.00          1,023.46          1.35          0.27  

Class R6

                    

Actual

        1,000.00          1,007.70          0.75          0.15  

Hypothetical

        1,000.00          1,024.05          0.75          0.15  

JPMorgan Investor Growth & Income Fund

                    

Class A

                    

Actual

        1,000.00          1,003.90          2.58          0.52  

Hypothetical

        1,000.00          1,022.22          2.61          0.52  

Class C

                    

Actual

        1,000.00          1,001.70          5.46          1.10  

Hypothetical

        1,000.00          1,019.34          5.51          1.10  

Class I

                    

Actual

        1,000.00          1,005.80          1.34          0.27  

Hypothetical

        1,000.00          1,023.46          1.35          0.27  

Class R6

                    

Actual

        1,000.00          1,005.90          0.70          0.14  

Hypothetical

        1,000.00          1,024.10          0.70          0.14  

 

*

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

 

 
JUNE 30, 2018   J.P. MORGAN INVESTOR FUNDS         49  

Table of Contents

TAX LETTER

(Unaudited)

 

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2018. 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, 2018. The information necessary to complete your income tax returns for the calendar year ending December 31, 2018 will be provided under separate cover.

Dividends Received Deduction (DRD)

Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2018:

 

      Dividends
Received
Deductions		  

JPMorgan Investor Balanced Fund

      26.24 % 

JPMorgan Investor Conservative Growth Fund

      15.34  

JPMorgan Investor Growth Fund

      38.82  

JPMorgan Investor Growth & Income Fund

      30.68  

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, 2018 (amounts in thousands):

 

      Long-Term
Capital Gain
Distribution		  

JPMorgan Investor Balanced Fund

    $ 227,391  

JPMorgan Investor Conservative Growth Fund

      114,399  

JPMorgan Investor Growth Fund

      169,041  

JPMorgan Investor Growth & Income Fund

      175,284  

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, 2018 (amounts in thousands):

 

      Qualified
Dividend
Income		  

JPMorgan Investor Balanced Fund

    $ 59,182  

JPMorgan Investor Conservative Growth Fund

      31,083  

JPMorgan Investor Growth Fund

      42,354  

JPMorgan Investor Growth & Income Fund

      39,555  

Foreign Source Income and Foreign Tax Credit Pass Through

For the fiscal year ended June 30, 2018, 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, 2018 will be disclosed in the semiannual report for the period ended December 31, 2018.

 

 

 
50       J.P. MORGAN INVESTOR FUNDS   JUNE 30, 2018

Table of Contents

LOGO

Rev. January 2011

 

 

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

 

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

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

◾  Social Security number and account balances

 

◾  transaction history and account transactions

 

◾  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

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

 

Reasons we can share your personal information   Does J.P. Morgan
Funds share?		   Can you limit  this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

   Yes   No

For marketing purposes —

to offer our products and services to you

   Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

   No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

   No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

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

 

LOGO

Table of Contents

LOGO

 

Page 2

    

 

 

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

 

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

How does J.P. Morgan

Funds collect my personal

information?

  

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

 

◾  open an account or provide contact information

 

◾  give us your account information or pay us by check

 

◾  make a wire transfer

 

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

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

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

 

◾  affiliates from using your information to market to you

 

◾  sharing for nonaffiliates to market to you

 

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

 

Definitions
Affiliates  

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

 

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

Nonaffiliates  

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

 

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

Joint Marketing  

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

 

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

Table of Contents

 

 

 

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

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

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

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

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

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

 

LOGO

Table of Contents

 

 

LOGO

 

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

 

  © JPMorgan Chase & Co., 2018.  All rights reserved. June 2018.   AN-INV-618

Table of Contents
 

Annual Report

J.P. Morgan Intrepid Funds

June 30, 2018

JPMorgan Intrepid America Fund

JPMorgan Intrepid Growth Fund

JPMorgan Intrepid Mid Cap Fund

JPMorgan Intrepid Sustainable Equity Fund

JPMorgan Intrepid Value Fund

     LOGO  

Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

     

JPMorgan Intrepid America Fund

        3  

JPMorgan Intrepid Growth Fund

        5  

JPMorgan Intrepid Mid Cap Fund

        7  

JPMorgan Intrepid Sustainable Equity Fund

        9  

JPMorgan Intrepid Value Fund

        11  
Schedules of Portfolio Investments        13  
Financial Statements        28  
Financial Highlights        44  
Notes to Financial Statements        54  
Report of Independent Registered Public Accounting Firm        63  
Trustees        64  
Officers        67  
Schedule of Shareholder Expenses        68  
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’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1–800–480–4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

Table of Contents

CEO’S LETTER

August 1, 2018 (Unaudited)

 

Dear Shareholder,

The U.S. economy largely outpaced growth in other developed market nations during the twelve months ended June 30, 2018, and U.S. equity markets provided strong returns on the back of record corporate profits and historically low interest rates.

 

LOGO   

 

“Corporate earnings for the first and second quarters of 2018 reached record highs, with a sizeable majority of companies reporting better-than-expected results.” — George C.W. Gatch

During the first half of the reporting period, synchronized global economic growth helped the U.S. economy achieve its second-longest expansion on record. By the final months of 2017, U.S. unemployment had fallen to 4.1% and U.S. consumer confidence rose to its highest levels in nearly 17 years. Notably, U.S. equity prices climbed to record highs in every month from June through December and financial market volatility remained at historically low levels. In response to a tightening labor market and early signs of inflationary pressure, the U.S. Federal Reserve (the “Fed”) raised interest rates in December 2017.

In January 2018, U.S. equity prices continued to rise, aided somewhat by recently-enacted tax cut legislation. The Standard & Poor’s 500 Index (the “S&P 500”) reached fourteen record closing highs during the month, the last on January 26th.

Early February 2018 was marked by a sharp sell-off in both equities and bonds in the U.S., and the selling quickly spread to other financial markets. Stronger-than-expected economic data sparked investor fears of rapidly rising inflation and accelerated interest rate increases by the Fed. Over several days, the S&P 500 lost more than 10% of its value, a decline that was one of the fastest peak-to-trough drops in the history of the index. The sell-off in bonds led to a spike in yields on benchmark 10-year U.S. Treasury bonds that further roiled markets.

While U.S. equity prices had rebounded somewhat by the end of the reporting period, leading equity indexes never fully recovered. Financial market volatility rose sharply during the February sell-off and remained elevated through June 2018.

Meanwhile, the U.S. economy continued to expand in 2018, even as signs emerged of economic sluggishness in Europe and weakness in select emerging market nations. U.S. GDP rose 2.2% in the first quarter before jumping an estimated 4.1% in the second quarter, the largest increase in nearly four years. Corporate earnings for the first and second quarters of 2018 reached record levels, with a sizeable majority of companies reporting better-than-expected results. In response, the Fed raised interest rates again in March and June.

However, the U.S. imposition of import tariffs on billions of dollars’ worth of goods, and reciprocal trade sanctions from China and other leading U.S. trading partners, increasingly weighed on global financial markets in the first half of 2018. The economies of China, Japan, the European Union and the U.K. are more dependent on exports than the U.S., and the impact of a potentially escalating trade war on the global economy remained a concern among policy makers, economists and investors.

At the end of the reporting period, the world’s leading economies appeared to be on pace for continued, moderate growth. The outlook for corporate earnings remained positive amid tame inflationary pressure, historically low interest rates and buoyant consumer demand. While the Fed was further along in its monetary tightening cycle than its counterparts in other developed markets, the European Central Bank, the Bank of England and the Bank of Japan were all moving in some measure to reduce economic stimulus.

We believe that investors who hold a properly diversified portfolio and a long-term outlook may benefit from a largely positive environment for economic growth and financial markets. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

 

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         1  

Table of Contents

J.P. Morgan Intrepid Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

Global equity markets provided strong positive returns for the reporting period, with U.S. equities largely outperforming developed market and emerging market equities.

Overall, equity prices were supported by synchronized global growth, rising corporate profits and accommodative policies from leading central banks. While the U.S. Federal Reserve raised interest rates twice during the first half of 2018, interest rates remained relatively low by historical standards. The Standard & Poor’s 500 Index (the “S&P 500”) reached record high closings in every month from July 2017 through January 2018.

In early February 2018, both equity and bond prices fell sharply. The S&P 500 lost more than 10% of its value over nine trading sessions and yields on 10-year U.S. Treasury bonds, which serve as a benchmark for a broad range of financial assets, spiked higher. While equity markets rebounded somewhat in subsequent weeks, financial market volatility remained elevated through June 2018.

Overall, growth stocks generally outperformed value stocks and small cap stocks slightly outperformed large cap and mid cap stocks. For the twelve months ended June 30, 2018, the S&P 500 returned 14.37%.

Intrepid Investment Philosophy and Process

The JPMorgan Behavioral Finance Team employs a philosophy that is rooted in behavioral finance, a field of study that emphasizes the importance of human psychology in financial markets. Behavioral finance examines how investor behavior can be affected by emotional biases and reactions. The field theorizes that inefficiencies arise in the stock market because investors are consistently irrational in making many investment decisions.

The Team aims to capitalize on 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.

The Intrepid Sustainable Equity Fund also incorporates environmental, social and corporate governance (ESG) practices into its investment process. In managing the Fund, the adviser identifies companies that, in the adviser’s opinion, generally approach ESG practices in a thoughtful manner while also having attractive value, quality and momentum characteristics. The Fund seeks to invest in companies that, on a combined basis, appear attractive when considering all of these financial and sustainability characteristics.

During the reporting period, the Funds were managed and positioned in accordance with these investment philosophies and processes.

 

 
2       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid America Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  

Fund (Class I Shares)*

      18.06%  

S&P 500 Index

      14.37%  

Net Assets as of 6/30/2018 (In Thousands)

      $4,050,543  

 

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 Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the energy and industrials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the information technology and consumer discretionary sectors was a leading detractor from relative performance.

Leading individual contributors to the Fund’s relative performance included its overweight positions in Boeing Co. and Valero Energy Corp., and its underweight position in General Electric Co. Shares of Boeing, a commercial aircraft manufacturer, rose amid growth in new orders and continued earnings growth. Shares of Valero Energy, a petrochemicals manufacturer, rose after the company reported better-than-expected earnings for the first quarter of 2018. Shares of General Electric, an industrial conglomerate not held in the Fund, fell amid the company’s restructuring efforts and in June 2018, the stock was removed from the Dow Jones Industrial Average after 111 consecutive years on the index.

Leading individual detractors from the Fund’s relative performance included its overweight position in Ebay Inc., and its underweight positions in Amazon.com Inc. and Netflix.com Inc. Shares of eBay, an Internet marketplace provider, fell after the company reported lower-than-expected revenue for the first quarter of 2018 and issued a weaker-than-expected forecast. Shares of Amazon.com, an Internet retailer, rose with continued growth in sales, earnings and market share. Shares of Netflix, a provider of online entertainment, rose amid growth in subscriptions and revenue.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Microsoft Corp.

      4.3 % 
  2.     

Boeing Co. (The)

      2.7  
  3.     

Apple, Inc.

      2.7  
  4.     

Anthem, Inc.

      2.2  
  5.     

Humana, Inc.

      2.2  
  6.     

Bank of America Corp.

      2.1  
  7.     

Caterpillar, Inc.

      2.1  
  8.     

Valero Energy Corp.

      2.0  
  9.     

Citigroup, Inc.

      1.9  
  10.     

Applied Materials, Inc.

      1.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      25.8 % 
Financials      13.8  
Health Care      13.6  
Consumer Discretionary      12.6  
Industrials      9.3  
Consumer Staples      6.3  
Energy      6.3  
Materials      2.6  
Real Estate      2.5  
Utilities      2.4  
Telecommunication Services      2.3  
Short-Term Investments      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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         3  

Table of Contents

JPMorgan Intrepid America Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 19, 2005               

With Sales Charge*

           11.62 %         11.67 %         8.84 % 

Without Sales Charge

           17.80          12.88          9.42  

CLASS C SHARES

    February 19, 2005               

With CDSC**

           16.17          12.32          8.88  

Without CDSC

           17.17          12.32          8.88  

CLASS I SHARES

    February 28, 2003        18.06          13.19          9.71  

CLASS R2 SHARES

    November 3, 2008        17.50          12.61          9.17  

CLASS R5 SHARES

    May 15, 2006        18.26          13.39          9.92  

CLASS R6 SHARES

    November 2, 2015        18.38          13.46          9.95  

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Returns for Class R2 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 Class I Shares of the JPMorgan Intrepid America Fund, the S&P 500 Index, the Lipper Large-Cap Core Funds Index and the Lipper Multi-Cap Core Funds Index from June 30, 2008 to June 30, 2018. 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 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 S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index and the Lipper Multi-Cap Core Funds Index are indexes based on the total returns of certain mutual funds within the Fund’s designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
4       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  

Fund (Class I Shares)*

      22.47%  

Russell 1000 Growth Index

      22.51%  

Net Assets as of 6/30/2018 (In Thousands)

      $1,169,594  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class I Shares underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the consumer discretionary and real estate sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and energy sectors was a leading contributor to relative performance.

Leading individual detractors from the Fund’s relative performance included the Fund’s underweight positions in Netflix.com Inc. and Amazon.com Inc. and its overweight position in Ebay Inc. Shares of Netflix, a provider of online entertainment, rose amid growth in subscriptions and revenue. Shares of Amazon.com, an Internet retailer, rose with continued growth in sales, earnings and market share. Shares of eBay, an Internet marketplace provider, fell after the company reported lower-than-expected revenue for the first quarter of 2018 and issued a weaker-than-expected forecast.

Leading individual contributors to relative performance included the Fund’s overweight positions in Boeing Co., Align Technology Inc. and VMware Inc. Shares of Boeing, a commercial aircraft manufacturer, rose amid growth in new orders and continued earnings growth. Shares of Align Technology, a maker of dental devices, rose after the company raised its revenue growth target and increased its share repurchase program. Shares of VMware, a provider of data cloud software, rose after the company reported strong growth in quarterly earnings and revenue in 2017 and 2018.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Microsoft Corp.

      6.8 % 
  2.     

Apple, Inc.

      5.6  
  3.     

Amazon.com, Inc.

      4.4  
  4.     

Visa, Inc., Class A

      3.4  
  5.     

Boeing Co. (The)

      3.3  
  6.     

Amgen, Inc.

      2.2  
  7.     

Humana, Inc.

      2.2  
  8.     

Caterpillar, Inc.

      2.1  
  9.     

Applied Materials, Inc.

      2.0  
  10.     

VMware, Inc., Class A

      1.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      41.3 % 
Consumer Discretionary      17.5  
Health Care      12.7  
Industrials      11.0  
Consumer Staples      5.4  
Financials      3.2  
Real Estate      2.2  
Energy      2.0  
Materials      1.6  
Others (each less than 1.0%)      0.7  
Short-Term Investments      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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         5  

Table of Contents

JPMorgan Intrepid Growth Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 19, 2005               

With Sales Charge*

           15.75 %         14.36 %         10.37 % 

Without Sales Charge

           22.16        15.60        10.97

CLASS C SHARES

    February 19, 2005               

With CDSC**

           20.55          15.03          10.42  

Without CDSC

           21.55          15.03          10.42  

CLASS I SHARES

    February 28, 2003        22.47          15.90          11.25  

CLASS R2 SHARES

    November 3, 2008        21.84        15.32        10.70

CLASS R5 SHARES

    May 15, 2006        22.66        16.12        11.47

CLASS R6 SHARES

    November 2, 2015        22.78        16.15        11.49

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Returns for Class R2 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 Class I Shares of the JPMorgan Intrepid Growth Fund, the Russell 1000 Growth Index, the Lipper Large-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2008 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge

associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Growth Funds Index and the 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 Large-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index are indexes based on the total returns of certain mutual funds within the Fund’s designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
6       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid Mid Cap Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:  

Fund (Class I Shares)*

      11.47%  

Russell Midcap Index

      12.33%  

Net Assets as of 6/30/2018 (In Thousands)

      $816,523  

 

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid Mid Cap Fund (the “Fund”) seeks long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.

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

The Fund’s Class I Shares underperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the software & services sector and the health services & systems sector was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the finance and utilities sectors was a leading positive contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Xerox Corp., Berry Global Group Inc. and Copa Holdings SA. Shares of Xerox, a maker of copiers and other imaging products, fell after the company called off its proposed merger with Fujifilm Holdings Corp. Shares of Berry Global Group, a packaging and specialty materials manufacturer, fell after the company reported lower-than-expected earnings for its fiscal second quarter amid lower volumes in its engineered materials business. Shares of Copa Holdings, an airline based in Panama, fell on investor concerns about rising fuel prices and the negative impact of a stronger U.S. dollar during the reporting period.

Leading individual contributors to relative performance included the Fund’s overweight positions in NRG Energy Inc., LPL Financial Holdings Inc., and MSCI Inc. Shares of NRG Energy, an electric utility, rose after the company unveiled plans to sell off assets to cut recurring costs and reduce debt. Shares of LPL Financial Holdings, a brokerage and financial advisory services provider, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2018. Shares of MSCI, a provider of financial market indexes and analytics, rose as the company benefitted from growth in its market share in the passive investment and analytics businesses.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Urban Outfitters, Inc.

      2.1 % 
  2.     

Vistra Energy Corp.

      2.0  
  3.     

LPL Financial Holdings, Inc.

      1.9  
  4.     

Jacobs Engineering Group, Inc.

      1.8  
  5.     

Equinix, Inc.

      1.5  
  6.     

DXC Technology Co.

      1.4  
  7.     

Popular, Inc. (Puerto Rico)

      1.4  
  8.     

Ingersoll-Rand plc

      1.4  
  9.     

NRG Energy, Inc.

      1.4  
  10.     

Marvell Technology Group Ltd.

      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      19.8 % 
Industrials      15.2  
Financials      13.4  
Consumer Discretionary      11.6  
Health Care      9.2  
Real Estate      8.8  
Utilities      6.0  
Materials      5.2  
Energy      4.8  
Consumer Staples      4.2  
Telecommunication Services      0.9  
Short-Term Investments      0.9  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of June 30, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         7  

Table of Contents

JPMorgan Intrepid Mid Cap Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    May 1, 1992               

With Sales Charge*

           5.32 %         10.01 %         8.44 % 

Without Sales Charge

           11.18        11.20        9.03

CLASS C SHARES

    March 22, 1999               

With CDSC**

           9.63        10.53        8.35

Without CDSC

           10.63        10.53        8.35

CLASS I SHARES

    June 1, 1991        11.47          11.47          9.30  

CLASS R3 SHARES

    September 9, 2016        11.22          11.20          9.03  

CLASS R4 SHARES

    September 9, 2016        11.46          11.46          9.30  

CLASS R6 SHARES

    November 2, 2015        11.73        11.62        9.38

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

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

Returns for Class R4 Shares and Class R6 Shares prior to their inception dates are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown for Class I Shares because Class R4 Shares have similar expenses to Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Intrepid Mid Cap Fund, the Russell Midcap Index and the Lipper Mid-Cap Core Funds Index from June 30, 2008 to June 30, 2018. 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.

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

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

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

 

 

 
8       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid Sustainable Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

        

Fund (Class I Shares)*

      12.16%  

S&P 500 Index

      14.37%  

Net Assets as of 6/30/2018 (In Thousands)

    $ 21,946  

 

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid Sustainable Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.

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

The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the consumer discretionary and the consumer staples sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s underweight position in the real estate sector and its security selection in the utilities sector were leading contributors to relative performance.

Leading individual detractors from performance relative to the Benchmark included the Fund’s underweight position in Amazon.com Inc. and its overweight positions in Oracle Corp. and Walgreens Boots Alliance Inc. Shares of Amazon.com, an Internet retailer not held in the Fund, rose with continued growth in sales, earnings and market share. Shares of Oracle, a database software provider, fell after the company reported weak growth in its cloud computing business. Shares of Walgreens Boots Alliance, a retail and wholesale pharmacy chain, fell amid investor concerns that its wholesale pharmacy business would lose market share to Amazon.com Inc.

Leading individual contributors to performance relative to the Benchmark included the Fund’s underweight position in General Electric Co. and its overweight positions in Keurig Dr. Pepper Inc. and Humana Inc. Shares of General Electric, an industrial conglomerate not held in the Fund, fell amid the company’s restructuring efforts and in June 2018 the stock was removed from the Dow Jones Industrial Average after 111 consecutive years on the index. Shares of Keurig Dr. Pepper, a soft drinks maker, rose ahead of its acquisition by Keurig Co. in January 2018. Shares of Humana, a health insurance provider, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2018.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Apple, Inc.

      6.3 % 
  2.     

Microsoft Corp.

      5.9  
  3.     

Citigroup, Inc.

      3.4  
  4.     

Cisco Systems, Inc.

      2.6  
  5.     

Home Depot, Inc. (The)

      2.5  
  6.     

Humana, Inc.

      2.5  
  7.     

Verizon Communications, Inc.

      2.4  
  8.     

PepsiCo, Inc.

      2.2  
  9.     

Bank of America Corp.

      2.1  
  10.     

Lowe’s Cos., Inc.

      2.0  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology     26.8 % 
Financials     14.7  
Consumer Discretionary     12.2  
Health Care     12.1  
Consumer Staples     7.3  
Energy     7.0  
Industrials     5.4  
Telecommunication Services     4.3  
Utilities     2.9  
Materials     2.2  
Real Estate     0.7  
Short-Term Investments     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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         9  

Table of Contents

JPMorgan Intrepid Sustainable Equity Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 19, 2005               

With Sales Charge*

           6.01 %         11.17 %         8.56 % 

Without Sales Charge

           11.88        12.38        9.14

CLASS C SHARES

    February 19, 2005               

With CDSC**

           10.32          11.81          8.60  

Without CDSC

           11.32          11.81          8.60  

CLASS I SHARES

    February 28, 2003        12.16        12.66        9.42

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Intrepid Sustainable Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from June 30, 2008 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

Effective November 1, 2016, the Fund changed its investment strategies. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this date might be less relevant for investors considering whether to purchase shares of the Fund.

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

 

 

 

 
10       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited)

 

REPORTING PERIOD RETURN:

        

Fund (Class I Shares)*

      13.65%  

Russell 1000 Value Index

      6.77%  

Net Assets as of 6/30/2018 (In Thousands)

    $ 1,097,863  

 

INVESTMENT OBJECTIVE**

The JPMorgan Intrepid Value Fund (the “Fund”) seeks to provide long-term capital appreciation.

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

The Fund’s Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2018. The Fund’s security selection in the energy and industrials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the financials and real estate sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Boeing Co. and Valero Energy Co. and its underweight position in General Electric Co. Shares of Boeing, a commercial aircraft manufacturer not held in the Benchmark, rose amid growth in new orders and continued earnings growth. Shares of Valero Energy, a petrochemicals manufacturer, rose after the company reported better-than-expected earnings for the first quarter of 2018. Shares of General Electric, an industrial conglomerate not held in the Fund, fell amid the company’s restructuring efforts and in June 2018, the stock was removed from the Dow Jones Industrial Average after 111 consecutive years on the index.

Leading individual detractors from relative performance included the Fund’s overweight positions in Allergan PLC and Assured Guaranty Ltd., and its underweight position in Intel Corp. Shares of Allergan, a drug maker, fell after the company lost its legal battle to protect its dry eye medication from competition by generic formulations of the drug. Shares of Assured Guaranty, a bond insurer, fell amid investor concerns about a potential default on bonds issued by Puerto Rico. Shares of Intel, a semiconductor maker not held by the Fund, rose amid gains in the broader semiconductor sector.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Bank of America Corp.

      3.6 % 
  2.     

Citigroup, Inc.

      3.2  
  3.     

ConocoPhillips

      2.6  
  4.     

Valero Energy Corp.

      2.2  
  5.     

Travelers Cos., Inc. (The)

      2.1  
  6.     

Humana, Inc.

      2.1  
  7.     

Boeing Co. (The)

      2.0  
  8.     

Pfizer, Inc.

      2.0  
  9.     

Amgen, Inc.

      2.0  
  10.     

Verizon Communications, Inc.

      2.0  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      22.2 % 
Health Care      13.3
Energy      10.8
Consumer Discretionary      10.4
Information Technology      10.2
Industrials      7.3
Consumer Staples      7.0
Real Estate      4.6
Utilities      4.6
Materials      3.2
Telecommunication Services      2.0
Short-Term Investments      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, 2018. The Fund’s portfolio composition is subject to change.
 

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         11  

Table of Contents

JPMorgan Intrepid Value Fund

FUND COMMENTARY

TWELVE MONTHS ENDED JUNE 30, 2018 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2018

  
     INCEPTION DATE OF
CLASS		      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 19, 2005               

With Sales Charge*

           7.43 %         9.18 %         7.80 % 

Without Sales Charge

           13.39          10.36          8.38  

CLASS C SHARES

    February 19, 2005               

With CDSC**

           11.84          9.81          7.85  

Without CDSC

           12.84          9.81          7.85  

CLASS I SHARES

    February 28, 2003        13.65          10.54          8.58  

CLASS R2 SHARES

    November 3, 2008        13.08          10.07          8.12  

CLASS R5 SHARES

    May 15, 2006        13.84          10.76          8.79  

CLASS R6 SHARES

    November 30, 2010        13.90          10.82          8.84  

 

*   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 (6/30/08 TO 6/30/18)

 

 

LOGO

 

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

Returns for Class R2 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 Class I Shares of the JPMorgan Intrepid Value Fund, the Russell 1000 Value Index, the Lipper Large-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index from June 30, 2008 to June 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated

with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Large-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Lipper Large-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index are indexes based on the total returns of certain mutual funds within the Fund’s designated categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

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

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

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

 

 

 
12       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid America Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.8%

 

Aerospace & Defense — 2.7%

      

Boeing Co. (The)

      330        110,819  
     

 

 

  

Air Freight & Logistics — 0.1%

      

Expeditors International of Washington, Inc.

      32        2,317  
     

 

 

  

Airlines — 1.2%

      

Copa Holdings SA, Class A (Panama)

      221        20,920  

Delta Air Lines, Inc.

      560        27,745  
     

 

 

  
        48,665  
     

 

 

  

Automobiles — 0.9%

      

General Motors Co.

      924        36,390  
     

 

 

  

Banks — 5.7%

      

Bank of America Corp.

      3,101        87,415  

Citigroup, Inc.

      1,179        78,865  

Comerica, Inc.

      300        27,267  

Fifth Third Bancorp

      348        9,973  

Regions Financial Corp.

      1,648        29,296  
     

 

 

  
        232,816  
     

 

 

  

Beverages — 1.2%

      

PepsiCo, Inc.

      456        49,667  
     

 

 

  

Biotechnology — 4.9%

      

AbbVie, Inc.

      525        48,604  

Amgen, Inc.

      391        72,257  

Gilead Sciences, Inc.

      832        58,917  

Vertex Pharmaceuticals, Inc.*

      106        18,084  
     

 

 

  
        197,862  
     

 

 

  

Capital Markets — 3.7%

      

Ameriprise Financial, Inc.

      149        20,786  

Moody’s Corp.

      155        26,488  

Morgan Stanley

      198        9,399  

MSCI, Inc.

      190        31,432  

S&P Global, Inc.

      299        60,861  
     

 

 

  
        148,966  
     

 

 

  

Chemicals — 0.8%

      

CF Industries Holdings, Inc.

      146        6,483  

Huntsman Corp.

      886        25,877  
     

 

 

  
        32,360  
     

 

 

  

Communications Equipment — 2.0%

      

Cisco Systems, Inc.

      825        35,517  

F5 Networks, Inc.*

      137        23,608  

Palo Alto Networks, Inc.*

      113        23,280  
     

 

 

  
        82,405  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Construction & Engineering — 0.3%

      

EMCOR Group, Inc.

      149        11,320  
     

 

 

  

Consumer Finance — 0.7%

      

Credit Acceptance Corp.*

      84        29,624  
     

 

 

  

Diversified Telecommunication Services — 2.3%

 

   

AT&T, Inc.

      1,875        60,190  

Verizon Communications, Inc.

      649        32,646  
     

 

 

  
        92,836  
     

 

 

  

Electric Utilities — 0.9%

      

NextEra Energy, Inc.

      225        37,515  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.7%

 

   

American Tower Corp.

      283        40,858  

Prologis, Inc.

      61        4,020  

SBA Communications Corp.*

      153        25,263  
     

 

 

  
        70,141  
     

 

 

  

Food & Staples Retailing — 1.3%

      

Walmart, Inc.

      606        51,930  
     

 

 

  

Food Products — 2.5%

      

Archer-Daniels-Midland Co.

      688        31,527  

General Mills, Inc.

      188        8,303  

Ingredion, Inc.

      179        19,815  

Pilgrim’s Pride Corp.*

      785        15,800  

Post Holdings, Inc.*

      310        26,632  
     

 

 

  
        102,077  
     

 

 

  

Health Care Equipment & Supplies — 1.5%

      

Baxter International, Inc.

      806        59,530  
     

 

 

  

Health Care Providers & Services — 6.6%

      

Anthem, Inc.

      369        87,833  

Centene Corp.*

      172        21,242  

Express Scripts Holding Co.*

      58        4,509  

HCA Healthcare, Inc.

      159        16,313  

Humana, Inc.

      294        87,444  

Molina Healthcare, Inc.*

      324        31,713  

WellCare Health Plans, Inc.*

      79        19,525  
     

 

 

  
        268,579  
     

 

 

  

Hotels, Restaurants & Leisure — 1.9%

      

Hilton Worldwide Holdings, Inc.

      385        30,453  

Hyatt Hotels Corp., Class A

      289        22,304  

Las Vegas Sands Corp.

      322        24,557  
     

 

 

  
        77,314  
     

 

 

  

Household Durables — 0.8%

      

PulteGroup, Inc.

      1,059        30,438  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         13  

Table of Contents

JPMorgan Intrepid America Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Household Products — 0.5%

      

Energizer Holdings, Inc.

      306        19,234  
     

 

 

  

Independent Power and Renewable Electricity Producers — 1.5%

 

NRG Energy, Inc.

      953        29,266  

Vistra Energy Corp.*

      1,384        32,755  
     

 

 

  
        62,021  
     

 

 

  

Insurance — 3.6%

      

Allstate Corp. (The)

      362        33,012  

First American Financial Corp.

      346        17,885  

Lincoln National Corp.

      225        14,031  

Progressive Corp. (The)

      649        38,388  

Travelers Cos., Inc. (The)

      337        41,168  
     

 

 

  
        144,484  
     

 

 

  

Internet & Direct Marketing Retail — 2.2%

      

Amazon.com, Inc.*

      43        73,771  

Netflix, Inc.*

      37        14,366  
     

 

 

  
        88,137  
     

 

 

  

Internet Software & Services — 4.4%

      

Alphabet, Inc., Class A*

      17        19,196  

Alphabet, Inc., Class C*

      28        31,350  

eBay, Inc.*

      2,097        76,052  

Facebook, Inc., Class A*

      71        13,855  

IAC/InterActiveCorp*

      27        4,132  

VeriSign, Inc.*

      234        32,184  
     

 

 

  
        176,769  
     

 

 

  

IT Services — 2.6%

      

DXC Technology Co.

      385        31,023  

Perspecta, Inc.

      163        3,349  

Teradata Corp.*

      394        15,807  

Visa, Inc., Class A

      419        55,497  
     

 

 

  
        105,676  
     

 

 

  

Life Sciences Tools & Services — 0.3%

      

Waters Corp.*

      61        11,790  
     

 

 

  

Machinery — 3.1%

      

Caterpillar, Inc.

      618        83,871  

Deere & Co.

      307        42,975  
     

 

 

  
        126,846  
     

 

 

  

Media — 1.6%

      

Comcast Corp., Class A

      545        17,895  

News Corp., Class A

      1,550        24,028  

World Wrestling Entertainment, Inc., Class A

      321        23,390  
     

 

 

  
        65,313  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Metals & Mining — 1.8%

      

Alcoa Corp.*

      575        26,961  

Freeport-McMoRan, Inc.

      1,513        26,114  

Newmont Mining Corp.

      529        19,956  
     

 

 

  
        73,031  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.1%

 

Chimera Investment Corp.

      233        4,250  
     

 

 

  

Multiline Retail — 2.3%

      

Kohl’s Corp.

      453        33,038  

Target Corp.

      766        58,285  
     

 

 

  
        91,323  
     

 

 

  

Oil, Gas & Consumable Fuels — 6.3%

      

Chevron Corp.

      231        29,243  

ConocoPhillips

      639        44,508  

HollyFrontier Corp.

      456        31,225  

Marathon Petroleum Corp.

      458        32,119  

PBF Energy, Inc., Class A

      708        29,682  

Peabody Energy Corp.

      206        9,365  

Valero Energy Corp.

      729        80,828  
     

 

 

  
        256,970  
     

 

 

  

Personal Products — 0.9%

      

Herbalife Nutrition Ltd.*

      624        33,527  

Nu Skin Enterprises, Inc., Class A

      12        943  
     

 

 

  
        34,470  
     

 

 

  

Pharmaceuticals — 0.3%

      

Bristol-Myers Squibb Co.

      125        6,928  

Pfizer, Inc.

      200        7,260  
     

 

 

  
        14,188  
     

 

 

  

Professional Services — 0.7%

      

Robert Half International, Inc.

      464        30,174  
     

 

 

  

Real Estate Management & Development — 0.8%

 

   

CBRE Group, Inc., Class A*

      694        33,138  
     

 

 

  

Road & Rail — 0.5%

      

Avis Budget Group, Inc.*

      446        14,485  

Union Pacific Corp.

      28        3,925  
     

 

 

  
        18,410  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.3%

 

Applied Materials, Inc.

      1,669        77,068  

First Solar, Inc.*

      343        18,052  

Lam Research Corp.

      320        55,277  

Teradyne, Inc.

      622        23,691  
     

 

 

  
        174,088  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Software — 8.0%

      

Citrix Systems, Inc.*

      148        15,475  

Fortinet, Inc.*

      364        22,743  

Microsoft Corp.

      1,788        176,275  

Oracle Corp.

      751        33,102  

VMware, Inc., Class A*

      511        75,072  
     

 

 

  
        322,667  
     

 

 

  

Specialty Retail — 2.3%

      

American Eagle Outfitters, Inc.

      1,346        31,304  

Best Buy Co., Inc.

      406        30,294  

Urban Outfitters, Inc.*

      721        32,125  
     

 

 

  
        93,723  
     

 

 

  

Technology Hardware, Storage & Peripherals — 4.6%

 

   

Apple, Inc.

      587        108,697  

HP, Inc.

      1,970        44,690  

NetApp, Inc.

      407        31,938  
     

 

 

  
        185,325  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.7%

      

Michael Kors Holdings Ltd.*

      445        29,604  
     

 

 

  

Trading Companies & Distributors — 0.7%

      

United Rentals, Inc.*

      197        29,081  
     

 

 

  

Total Common Stocks
(Cost $3,064,545)

         3,964,283  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 2.5%

      

Investment Companies — 2.5%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $99,912)

      99,912        99,912  
     

 

 

  

Total Investments — 100.3%
(Cost $3,164,457)

         4,064,195  

Liabilities in Excess of
Other Assets — (0.3%)

         (13,652 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 4,050,543  
     

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		      EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

 

S&P 500 E-Mini Index      604        09/2018          USD          82,192          (257 ) 
                        

 

 

  
                           (257 ) 
                        

 

 

  

 

Abbreviations

  

USD

   United States Dollar

(a)

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

(b)

   The rate shown is the current yield as of June 30, 2018.

*

   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         15  

Table of Contents

JPMorgan Intrepid Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.7%

      

Aerospace & Defense — 3.3%

      

Boeing Co. (The)

      115        38,517  
     

 

 

  

Air Freight & Logistics — 0.3%

      

Expeditors International of Washington, Inc.

      53        3,904  
     

 

 

  

Airlines — 1.6%

      

American Airlines Group, Inc.

      71        2,676  

Copa Holdings SA, Class A (Panama)

      72        6,794  

Delta Air Lines, Inc.

      178        8,798  
     

 

 

  
        18,268  
     

 

 

  

Auto Components — 0.4%

      

Lear Corp.

      28        5,184  
     

 

 

  

Automobiles — 0.1%

      

General Motors Co.

      25        973  
     

 

 

  

Banks — 0.4%

      

Comerica, Inc.

      53        4,783  
     

 

 

  

Beverages — 1.7%

      

PepsiCo, Inc.

      179        19,520  
     

 

 

  

Biotechnology — 4.3%

      

AbbVie, Inc.

      76        7,069  

Amgen, Inc.

      140        25,869  

Gilead Sciences, Inc.

      127        8,990  

Vertex Pharmaceuticals, Inc.*

      51        8,685  
     

 

 

  
        50,613  
     

 

 

  

Capital Markets — 0.9%

      

Moody’s Corp.

      6        938  

MSCI, Inc.

      56        9,330  
     

 

 

  
        10,268  
     

 

 

  

Chemicals — 0.7%

      

CF Industries Holdings, Inc.

      140        6,194  

Westlake Chemical Corp.

      18        1,905  
     

 

 

  
        8,099  
     

 

 

  

Communications Equipment — 1.7%

      

F5 Networks, Inc.*

      56        9,709  

Palo Alto Networks, Inc.*

      47        9,595  
     

 

 

  
        19,304  
     

 

 

  

Construction & Engineering — 0.3%

      

EMCOR Group, Inc.

      50        3,824  
     

 

 

  

Consumer Finance — 1.1%

      

Credit Acceptance Corp.*

      24        8,514  

FirstCash, Inc.

      51        4,618  
     

 

 

  
        13,132  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Diversified Telecommunication Services — 0.4%

 

   

Verizon Communications, Inc.

      98        4,905  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.4%

 

   

American Tower Corp.

      63        9,054  

SBA Communications Corp.*

      46        7,513  
     

 

 

  
        16,567  
     

 

 

  

Food & Staples Retailing — 1.0%

      

Walgreens Boots Alliance, Inc.

      52        3,097  

Walmart, Inc.

      100        8,531  
     

 

 

  
        11,628  
     

 

 

  

Food Products — 2.1%

      

General Mills, Inc.

      209        9,246  

Pilgrim’s Pride Corp.*

      254        5,111  

Post Holdings, Inc.*

      120        10,331  
     

 

 

  
        24,688  
     

 

 

  

Health Care Equipment & Supplies — 2.6%

      

Align Technology, Inc.*

      29        9,751  

Baxter International, Inc.

      165        12,147  

Haemonetics Corp.*

      50        4,520  

IDEXX Laboratories, Inc.*

      9        1,896  

Varian Medical Systems, Inc.*

      17        1,899  
     

 

 

  
        30,213  
     

 

 

  

Health Care Providers & Services — 5.1%

      

Anthem, Inc.

      72        17,019  

Humana, Inc.

      87        25,804  

Molina Healthcare, Inc.*

      97        9,520  

WellCare Health Plans, Inc.*

      30        7,363  
     

 

 

  
        59,706  
     

 

 

  

Health Care Technology — 0.2%

      

Veeva Systems, Inc., Class A*

      35        2,690  
     

 

 

  

Hotels, Restaurants & Leisure — 2.7%

      

Hilton Worldwide Holdings, Inc.

      110        8,731  

Hyatt Hotels Corp., Class A

      85        6,550  

Las Vegas Sands Corp.

      129        9,881  

Marriott International, Inc., Class A

      50        6,267  
     

 

 

  
        31,429  
     

 

 

  

Household Durables — 1.3%

      

NVR, Inc.*

      2        7,129  

PulteGroup, Inc.

      261        7,501  
     

 

 

  
        14,630  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.3%

 

NRG Energy, Inc.

      132        4,043  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Insurance — 0.8%

      

Allstate Corp. (The)

      10        940  

First American Financial Corp.

      96        4,975  

Lincoln National Corp.

      23        1,407  

Progressive Corp. (The)

      25        1,467  
     

 

 

  
        8,789  
     

 

 

  

Internet & Direct Marketing Retail — 5.5%

      

Amazon.com, Inc.*

      31        51,844  

Netflix, Inc.*

      31        11,939  
     

 

 

  
        63,783  
     

 

 

  

Internet Software & Services — 9.1%

      

Alphabet, Inc., Class A*

      17        19,648  

Alphabet, Inc., Class C*

      19        21,086  

eBay, Inc.*

      509        18,463  

Facebook, Inc., Class A*

      108        20,967  

GoDaddy, Inc., Class A*

      143        10,096  

IAC/InterActiveCorp*

      45        6,847  

VeriSign, Inc.*

      70        9,647  
     

 

 

  
        106,754  
     

 

 

  

IT Services — 5.0%

      

DXC Technology Co.

      112        9,004  

Mastercard, Inc., Class A

      21        4,127  

Perspecta, Inc.

      46        943  

Teradata Corp.*

      114        4,557  

Visa, Inc., Class A

      299        39,576  
     

 

 

  
        58,207  
     

 

 

  

Life Sciences Tools & Services — 0.5%

      

Waters Corp.*

      31        6,001  
     

 

 

  

Machinery — 3.5%

      

Caterpillar, Inc.

      182        24,637  

Deere & Co.

      116        16,273  
     

 

 

  
        40,910  
     

 

 

  

Media — 1.6%

      

Live Nation Entertainment, Inc.*

      182        8,850  

News Corp., Class A

      215        3,326  

Sirius XM Holdings, Inc.

      1,037        7,020  
     

 

 

  
        19,196  
     

 

 

  

Metals & Mining — 0.9%

      

Alcoa Corp.*

      104        4,871  

Freeport-McMoRan, Inc.

      308        5,313  
     

 

 

  
        10,184  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Multiline Retail — 2.5%

      

Kohl’s Corp.

      135        9,812  

Macy’s, Inc.

      151        5,637  

Target Corp.

      188        14,288  
     

 

 

  
        29,737  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.0%

      

Marathon Petroleum Corp.

      18        1,228  

PBF Energy, Inc., Class A

      64        2,662  

Peabody Energy Corp.

      170        7,727  

Valero Energy Corp.

      110        12,136  
     

 

 

  
        23,753  
     

 

 

  

Personal Products — 0.6%

      

Nu Skin Enterprises, Inc., Class A

      94        7,351  
     

 

 

  

Professional Services — 0.8%

      

Robert Half International, Inc.

      135        8,808  
     

 

 

  

Real Estate Management & Development — 0.7%

 

   

CBRE Group, Inc., Class A*

      182        8,665  
     

 

 

  

Road & Rail — 0.5%

      

Avis Budget Group, Inc.*

      135        4,371  

Union Pacific Corp.

      8        1,134  
     

 

 

  
        5,505  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.5%

 

   

Applied Materials, Inc.

      516        23,848  

Lam Research Corp.

      106        18,236  

Maxim Integrated Products, Inc.

      41        2,393  

Teradyne, Inc.

      217        8,276  
     

 

 

  
        52,753  
     

 

 

  

Software — 14.2%

      

Adobe Systems, Inc.*

      82        19,895  

Citrix Systems, Inc.*

      87        9,090  

Fortinet, Inc.*

      158        9,870  

Microsoft Corp.

      806        79,485  

Oracle Corp.

      207        9,134  

Red Hat, Inc.*

      48        6,409  

Splunk, Inc.*

      10        1,001  

Tableau Software, Inc., Class A*

      33        3,196  

Take-Two Interactive Software, Inc.*

      44        5,232  

VMware, Inc., Class A*

      153        22,486  
     

 

 

  
        165,798  
     

 

 

  

Specialty Retail — 2.9%

      

American Eagle Outfitters, Inc.

      390        9,074  

Best Buy Co., Inc.

      130        9,718  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         17  

Table of Contents

JPMorgan Intrepid Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Specialty Retail — continued

      

Burlington Stores, Inc.*

      39        5,931  

Urban Outfitters, Inc.*

      203        9,048  
     

 

 

  
        33,771  
     

 

 

  

Technology Hardware, Storage & Peripherals — 6.9%

 

   

Apple, Inc.

      351        64,964  

HP, Inc.

      196        4,441  

NetApp, Inc.

      129        10,130  

Pure Storage, Inc., Class A*

      58        1,373  
     

 

 

  
        80,908  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.5%

      

Michael Kors Holdings Ltd.*

      89        5,901  
     

 

 

  

Trading Companies & Distributors — 0.8%

      

United Rentals, Inc.*

      63        9,344  
     

 

 

  

Total Common Stocks
(Cost $784,912)

         1,143,006  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 2.4%

      

Investment Companies — 2.4%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $27,874)

      27,874        27,874  
     

 

 

  

Total Investments — 100.1%
(Cost $812,786)

         1,170,880  

Liabilities in Excess of
Other Assets — (0.1%)

         (1,286 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 1,169,594  
     

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		        EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

                         

S&P 500 E-Mini Index

        185          09/2018          USD          25,175          (139 ) 
                        

 

 

  
                           (139 ) 
                        

 

 

  

 

Abbreviations

USD

   United States Dollar

(a)

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

(b)

   The rate shown is the current yield as of June 30, 2018.

*

   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid Mid Cap Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 99.5%

      

Aerospace & Defense — 3.2%

      

HEICO Corp., Class A

      122        7,436  

Huntington Ingalls Industries, Inc.

      39        8,480  

L3 Technologies, Inc.

      21        4,096  

Spirit AeroSystems Holdings, Inc., Class A

      43        3,660  

Teledyne Technologies, Inc.*

      11        2,190  
     

 

 

  
        25,862  
     

 

 

  

Air Freight & Logistics — 0.1%

      

CH Robinson Worldwide, Inc.

      14        1,205  
     

 

 

  

Airlines — 0.5%

      

Copa Holdings SA, Class A (Panama)

      40        3,785  
     

 

 

  

Auto Components — 0.5%

      

Lear Corp.

      21        3,828  
     

 

 

  

Banks — 4.8%

      

Citizens Financial Group, Inc.

      23        875  

East West Bancorp, Inc.

      34        2,230  

KeyCorp

      140        2,744  

Popular, Inc. (Puerto Rico)

      259        11,723  

Regions Financial Corp.

      611        10,865  

SVB Financial Group*

      13        3,783  

Synovus Financial Corp.

      133        7,000  
     

 

 

  
        39,220  
     

 

 

  

Biotechnology — 1.8%

      

Alkermes plc*

      60        2,453  

Alnylam Pharmaceuticals, Inc.*

      23        2,236  

BioMarin Pharmaceutical, Inc.*

      34        3,231  

Exelixis, Inc.*

      78        1,668  

Incyte Corp.*

      45        2,995  

TESARO, Inc.*

      50        2,210  
     

 

 

  
        14,793  
     

 

 

  

Capital Markets — 3.9%

      

E*TRADE Financial Corp.*

      13        801  

Lazard Ltd., Class A

      28        1,384  

LPL Financial Holdings, Inc.

      240        15,726  

MSCI, Inc.

      61        10,141  

Raymond James Financial, Inc.

      40        3,601  
     

 

 

  
        31,653  
     

 

 

  

Chemicals — 1.5%

      

Cabot Corp.

      121        7,499  

Eastman Chemical Co.

      5        460  

Huntsman Corp.

      158        4,616  
     

 

 

  
        12,575  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Commercial Services & Supplies — 1.5%

      

KAR Auction Services, Inc.

      202        11,059  

Stericycle, Inc.*

      24        1,554  
     

 

 

  
        12,613  
     

 

 

  

Communications Equipment — 1.3%

      

ARRIS International plc*

      215        5,256  

F5 Networks, Inc.*

      29        5,018  
     

 

 

  
        10,274  
     

 

 

  

Construction & Engineering — 3.0%

      

AECOM*

      267        8,819  

Fluor Corp.

      18        883  

Jacobs Engineering Group, Inc.

      237        15,034  
     

 

 

  
        24,736  
     

 

 

  

Consumer Finance — 0.4%

      

Discover Financial Services

      11        775  

Synchrony Financial

      78        2,617  
     

 

 

  
        3,392  
     

 

 

  

Containers & Packaging — 1.9%

      

Avery Dennison Corp.

      37        3,727  

Berry Global Group, Inc.*

      231        10,603  

WestRock Co.

      15        844  
     

 

 

  
        15,174  
     

 

 

  

Diversified Consumer Services — 0.6%

      

ServiceMaster Global Holdings, Inc.*

      88        5,245  
     

 

 

  

Diversified Telecommunication Services — 0.9%

      

CenturyLink, Inc.

      378        7,042  
     

 

 

  

Electric Utilities — 0.8%

      

Evergy, Inc.

      22        1,209  

FirstEnergy Corp.

      128        4,607  

Pinnacle West Capital Corp.

      4        339  
     

 

 

  
        6,155  
     

 

 

  

Electrical Equipment — 0.7%

      

GrafTech International Ltd.

      122        2,196  

Regal Beloit Corp.

      44        3,583  
     

 

 

  
        5,779  
     

 

 

  

Electronic Equipment, Instruments & Components — 1.3%

 

CDW Corp.

      17        1,365  

Jabil, Inc.

      322        8,907  
     

 

 

  
        10,272  
     

 

 

  

Energy Equipment & Services — 0.3%

      

Baker Hughes a GE Co.

      64        2,107  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         19  

Table of Contents

JPMorgan Intrepid Mid Cap Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Equity Real Estate Investment Trusts (REITs) — 8.5%

 

Alexandria Real Estate Equities, Inc.

      10        1,237  

American Homes 4 Rent, Class A

      82        1,825  

Apple Hospitality REIT, Inc.

      226        4,046  

Brixmor Property Group, Inc.

      33        577  

CoreSite Realty Corp.

      4        421  

Corporate Office Properties Trust

      96        2,795  

Crown Castle International Corp.

      11        1,175  

DCT Industrial Trust, Inc.

      4        254  

Digital Realty Trust, Inc.

      15        1,696  

Douglas Emmett, Inc.

      18        711  

Equinix, Inc.

      28        11,994  

Equity Commonwealth*

      131        4,122  

Equity LifeStyle Properties, Inc.

      26        2,417  

Host Hotels & Resorts, Inc.

      103        2,166  

Hudson Pacific Properties, Inc.

      139        4,939  

Invitation Homes, Inc.

      191        4,398  

Liberty Property Trust

      25        1,099  

Life Storage, Inc.

      5        526  

Mid-America Apartment Communities, Inc.

      12        1,255  

Prologis, Inc.

      90        5,925  

Regency Centers Corp.

      25        1,527  

Retail Properties of America, Inc., Class A

      154        1,964  

SBA Communications Corp.*

      38        6,225  

Sun Communities, Inc.

      24        2,349  

Weyerhaeuser Co.

      107        3,909  
     

 

 

  
        69,552  
     

 

 

  

Food Products — 3.2%

      

Archer-Daniels-Midland Co.

      34        1,572  

Bunge Ltd.

      15        1,060  

Ingredion, Inc.

      77        8,468  

Pilgrim’s Pride Corp.*

      255        5,127  

Tyson Foods, Inc., Class A

      143        9,825  
     

 

 

  
        26,052  
     

 

 

  

Gas Utilities — 0.9%

      

National Fuel Gas Co.

      18        964  

UGI Corp.

      127        6,615  
     

 

 

  
        7,579  
     

 

 

  

Health Care Equipment & Supplies — 3.3%

      

Hill-Rom Holdings, Inc.

      105        9,136  

Hologic, Inc.*

      120        4,778  

STERIS plc

      4        462  

Teleflex, Inc.

      7        1,931  

Zimmer Biomet Holdings, Inc.

      95        10,531  
     

 

 

  
        26,838  
     

 

 

  
INVESTMENTS    SHARES
(000)		     VALUE
($000)		  
    

Health Care Providers & Services — 3.4%

     

AmerisourceBergen Corp.

      89       7,615  

Cardinal Health, Inc.

      77       3,770  

Centene Corp.*

      43       5,298  

MEDNAX, Inc.*

      17       727  

Premier, Inc., Class A*

      177       6,446  

WellCare Health Plans, Inc.*

      16       4,026  
    

 

 

  
       27,882  
    

 

 

  

Hotels, Restaurants & Leisure — 2.4%

     

Chipotle Mexican Grill, Inc.*

      4       1,682  

Extended Stay America, Inc.

      436       9,413  

Hilton Grand Vacations, Inc.*

      33       1,142  

Hyatt Hotels Corp., Class A

      72       5,539  

Wynn Resorts Ltd.

      9       1,523  
    

 

 

  
       19,299  
    

 

 

  

Household Durables — 0.2%

     

NVR, Inc.*

      — (a)      1,337  
    

 

 

  

Independent Power and Renewable Electricity Producers — 3.4%

 

NRG Energy, Inc.

      368       11,301  

Vistra Energy Corp.*

      709       16,775  
    

 

 

  
       28,076  
    

 

 

  

Insurance — 4.2%

     

American Financial Group, Inc.

      43       4,626  

American National Insurance Co.

      3       359  

Arch Capital Group Ltd.*

      28       734  

Aspen Insurance Holdings Ltd. (Bermuda)

      19       773  

Assurant, Inc.

      19       1,961  

Assured Guaranty Ltd.

      28       1,008  

Everest Re Group Ltd.

      17       3,872  

First American Financial Corp.

      92       4,743  

FNF Group

      30       1,115  

Hanover Insurance Group, Inc. (The)

      41       4,914  

Hartford Financial Services Group, Inc. (The)

      26       1,319  

Lincoln National Corp.

      18       1,096  

Old Republic International Corp.

      26       518  

Progressive Corp. (The)

      125       7,411  
    

 

 

  
       34,449  
    

 

 

  

Internet & Direct Marketing Retail — 0.2%

     

Qurate Retail, Inc.*

      74       1,568  
    

 

 

  

Internet Software & Services — 1.0%

     

Dropbox, Inc., Class A*

      41       1,313  

Twitter, Inc.*

      164       7,166  
    

 

 

  
       8,479  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

IT Services — 5.4%

      

Black Knight, Inc.*

      90        4,810  

Conduent, Inc.*

      259        4,710  

DXC Technology Co.

      147        11,858  

Fidelity National Information Services, Inc.

      31        3,287  

Genpact Ltd.

      25        726  

Leidos Holdings, Inc.

      24        1,398  

Sabre Corp.

      103        2,533  

Teradata Corp.*

      21        855  

Total System Services, Inc.

      67        5,637  

Worldpay, Inc.*

      107        8,710  
     

 

 

  
        44,524  
     

 

 

  

Machinery — 3.6%

      

Crane Co.

      83        6,659  

Gardner Denver Holdings, Inc.*

      110        3,224  

Ingersoll-Rand plc

      126        11,333  

WABCO Holdings, Inc.*

      68        7,945  
     

 

 

  
        29,161  
     

 

 

  

Media — 1.5%

      

Discovery, Inc., Class C*

      432        11,011  

Viacom, Inc., Class B

      49        1,490  
     

 

 

  
        12,501  
     

 

 

  

Metals & Mining — 1.8%

      

Alcoa Corp.*

      19        877  

Freeport-McMoRan, Inc.

      75        1,293  

Reliance Steel & Aluminum Co.

      8        691  

Steel Dynamics, Inc.

      198        9,089  

United States Steel Corp.

      88        3,061  
     

 

 

  
        15,011  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.1%

 

   

Chimera Investment Corp.

      42        762  
     

 

 

  

Multiline Retail — 1.1%

      

Dollar General Corp.

      54        5,305  

Kohl’s Corp.

      56        4,068  
     

 

 

  
        9,373  
     

 

 

  

Multi-Utilities — 0.9%

      

Ameren Corp.

      25        1,546  

CenterPoint Energy, Inc.

      66        1,837  

CMS Energy Corp.

      62        2,945  

MDU Resources Group, Inc.

      26        740  
     

 

 

  
        7,068  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Oil, Gas & Consumable Fuels — 4.6%

      

Andeavor

      33        4,342  

Cimarex Energy Co.

      6        636  

Devon Energy Corp.

      59        2,580  

EQT Corp.

      5        268  

Marathon Oil Corp.

      504        10,518  

Marathon Petroleum Corp.

      65        4,546  

Murphy Oil Corp.

      31        1,030  

Noble Energy, Inc.

      5        159  

ONEOK, Inc.

      35        2,430  

PBF Energy, Inc., Class A

      114        4,780  

QEP Resources, Inc.*

      69        840  

Valero Energy Corp.

      19        2,084  

Williams Cos., Inc. (The)

      48        1,296  

WPX Energy, Inc.*

      107        1,931  
     

 

 

  
        37,440  
     

 

 

  

Personal Products — 1.1%

      

Herbalife Nutrition Ltd.*

      126        6,742  

Nu Skin Enterprises, Inc., Class A

      25        1,916  
     

 

 

  
        8,658  
     

 

 

  

Pharmaceuticals — 0.7%

      

Mylan NV*

      110        3,961  

Nektar Therapeutics*

      29        1,406  

Perrigo Co. plc

      8        591  
     

 

 

  
        5,958  
     

 

 

  

Professional Services — 2.0%

      

ManpowerGroup, Inc.

      108        9,311  

TransUnion

      96        6,849  
     

 

 

  
        16,160  
     

 

 

  

Real Estate Management & Development — 0.4%

 

   

CBRE Group, Inc., Class A*

      62        2,941  
     

 

 

  

Road & Rail — 0.2%

      

Landstar System, Inc.

      15        1,616  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.7%

 

   

First Solar, Inc.*

      87        4,560  

KLA-Tencor Corp.

      29        2,974  

Lam Research Corp.

      28        4,857  

Marvell Technology Group Ltd.

      522        11,188  

ON Semiconductor Corp.*

      291        6,468  

Teradyne, Inc.

      9        350  
     

 

 

  
        30,397  
     

 

 

  

Software — 5.0%

      

Activision Blizzard, Inc.

      41        3,099  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         21  

Table of Contents

JPMorgan Intrepid Mid Cap Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Software — continued

      

CA, Inc.

      191        6,795  

Citrix Systems, Inc.*

      69        7,181  

Dell Technologies, Inc. Class V, Class V*

      43        3,612  

SS&C Technologies Holdings, Inc.

      116        6,031  

Symantec Corp.

      255        5,259  

Take-Two Interactive Software, Inc.*

      75        8,841  
     

 

 

  
        40,818  
     

 

 

  

Specialty Retail — 3.4%

      

Best Buy Co., Inc.

      141        10,545  

Urban Outfitters, Inc.*

      378        16,849  
     

 

 

  
        27,394  
     

 

 

  

Technology Hardware, Storage & Peripherals — 2.1%

 

   

NCR Corp.*

      94        2,806  

Western Digital Corp.

      103        7,934  

Xerox Corp.

      281        6,733  
     

 

 

  
        17,473  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.8%

      

Columbia Sportswear Co.

      80        7,354  

Michael Kors Holdings Ltd.*

      108        7,213  
     

 

 

  
        14,567  
     

 

 

  

Trading Companies & Distributors — 0.4%

 

HD Supply Holdings, Inc.*

      83        3,538  
     

 

 

  

Total Common Stocks
(Cost $639,638)

         812,181  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 0.9%

      

Investment Companies — 0.9%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (b) (c)
(Cost $7,288)

      7,288        7,288  
     

 

 

  

Total Investments — 100.4%
(Cost $646,926)

 

      819,469  

Liabilities in Excess of
Other Assets — (0.4%)

 

      (2,946 ) 
     

 

 

  

NET ASSETS — 100.0%

 

    $ 816,523  
     

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		        EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

                         

S&P Midcap 400 E-Mini Index

        15          09/2018          USD          2,934          (33 ) 
                        

 

 

  
                           (33 ) 
                        

 

 

  

 

Abbreviations

REIT

   Real Estate Investment Trust

USD

   United States Dollar

(a)

   Amount rounds to less than one thousand.

(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.

(c)

   The rate shown is the current yield as of June 30, 2018.

*

   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid Sustainable Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 95.7%

      

Aerospace & Defense — 1.0%

      

Raytheon Co.

      1        212  
     

 

 

  

Airlines — 2.1%

      

Delta Air Lines, Inc.

      5        237  

Southwest Airlines Co.

      4        214  
     

 

 

  
        451  
     

 

 

  

Banks — 8.8%

 

Bank of America Corp.

      17        471  

Citigroup, Inc.

      11        743  

PNC Financial Services Group, Inc. (The)

      3        428  

Wells Fargo & Co.

      5        279  
     

 

 

  
        1,921  
     

 

 

  

Beverages — 2.7%

 

Molson Coors Brewing Co., Class B

      2        108  

PepsiCo, Inc.

      4        478  
     

 

 

  
        586  
     

 

 

  

Biotechnology — 5.1%

 

Amgen, Inc.

      2        282  

Biogen, Inc.*

      1        289  

Celgene Corp.*

      2        146  

Gilead Sciences, Inc.

      6        409  
     

 

 

  
        1,126  
     

 

 

  

Capital Markets — 2.1%

 

Bank of New York Mellon Corp. (The)

      5        258  

Northern Trust Corp.

      2        213  
     

 

 

  
        471  
     

 

 

  

Chemicals — 1.5%

 

DowDuPont, Inc.

      3        200  

International Flavors & Fragrances, Inc.

      1        120  
     

 

 

  
        320  
     

 

 

  

Communications Equipment — 2.6%

 

Cisco Systems, Inc.

      13        567  
     

 

 

  

Consumer Finance — 0.9%

      

American Express Co.

      2        202  
     

 

 

  

Containers & Packaging — 0.7%

      

Ball Corp.

      4        152  
     

 

 

  

Diversified Telecommunication Services — 4.3%

      

AT&T, Inc.

      13        409  

Verizon Communications, Inc.

      11        531  
     

 

 

  
        940  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Electric Utilities — 1.9%

      

American Electric Power Co., Inc.

      2        158  

NextEra Energy, Inc.

      2        268  
     

 

 

  
        426  
     

 

 

  

Energy Equipment & Services — 4.5%

      

Baker Hughes a GE Co.

      5        160  

Halliburton Co.

      2        110  

National Oilwell Varco, Inc.

      7        285  

Schlumberger Ltd.

      3        221  

TechnipFMC plc (United Kingdom)

      7        208  
     

 

 

  
        984  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 0.7%

 

Prologis, Inc.

      3        164  
     

 

 

  

Food & Staples Retailing — 1.3%

      

Walgreens Boots Alliance, Inc.

      5        293  
     

 

 

  

Food Products — 0.9%

      

Mondelez International, Inc., Class A

      5        192  
     

 

 

  

Health Care Equipment & Supplies — 0.8%

      

Becton Dickinson and Co.

      1        175  
     

 

 

  

Health Care Providers & Services — 4.8%

      

Anthem, Inc.

      1        322  

Cigna Corp.

      1        190  

Humana, Inc.

      2        548  
     

 

 

  
        1,060  
     

 

 

  

Hotels, Restaurants & Leisure — 1.7%

      

Dunkin’ Brands Group, Inc.

      3        178  

Hilton Worldwide Holdings, Inc.

      3        205  
     

 

 

  
        383  
     

 

 

  

Household Products — 1.5%

      

Procter & Gamble Co. (The)

      4        323  
     

 

 

  

Insurance — 2.9%

      

Allstate Corp. (The)

      3        240  

Hartford Financial Services Group, Inc. (The)

      4        199  

Travelers Cos., Inc. (The)

      2        199  
     

 

 

  
        638  
     

 

 

  

IT Services — 4.1%

      

Accenture plc, Class A

      2        301  

DXC Technology Co.

      3        211  

Perspecta, Inc.

      1        27  

Visa, Inc., Class A

      3        362  
     

 

 

  
        901  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         23  

Table of Contents

JPMorgan Intrepid Sustainable Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — (continued)

      

Life Sciences Tools & Services — 0.8%

      

Waters Corp.*

      1        178  
     

 

 

  

Media — 3.3%

      

Comcast Corp., Class A

      5        154  

Sirius XM Holdings, Inc.

      39        263  

Walt Disney Co. (The)

      3        297  
     

 

 

  
        714  
     

 

 

  

Multiline Retail — 0.9%

      

Target Corp.

      3        208  
     

 

 

  

Multi-Utilities — 0.9%

      

WEC Energy Group, Inc.

      3        207  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.5%

      

Phillips 66

      2        251  

Valero Energy Corp.

      3        300  
     

 

 

  
        551  
     

 

 

  

Pharmaceuticals — 0.6%

      

Bristol-Myers Squibb Co.

      2        124  
     

 

 

  

Professional Services — 0.7%

      

ManpowerGroup, Inc.

      2        142  
     

 

 

  

Road & Rail — 0.8%

      

CSX Corp.

      3        178  
     

 

 

  

Semiconductors & Semiconductor Equipment — 1.8%

 

First Solar, Inc.*

      2        106  

Lam Research Corp.

      2        297  
     

 

 

  
        403  
     

 

 

  

Software — 9.4%

      

Autodesk, Inc.*

      3        398  

Microsoft Corp.

      13        1,296  

Oracle Corp.

      8        358  
     

 

 

  
        2,052  
     

 

 

  

Specialty Retail — 5.3%

      

Home Depot, Inc. (The)

      3        558  

Lowe’s Cos., Inc.

      5        430  

Tractor Supply Co.

      2        166  
     

 

 

  
        1,154  
     

 

 

  

Technology Hardware, Storage & Peripherals — 8.9%

 

Apple, Inc.

      8        1,389  

Hewlett Packard Enterprise Co.

      10        140  

HP, Inc.

      6        137  

NetApp, Inc.

      4        298  
     

 

 

  
        1,964  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Textiles, Apparel & Luxury Goods — 1.0%

      

VF Corp.

      3        209  
     

 

 

  

Tobacco — 1.0%

      

Philip Morris International, Inc.

      3        217  
     

 

 

  

Trading Companies & Distributors — 0.9%

      

United Rentals, Inc.*

      1        193  
     

 

 

  

Total Common Stocks
(Cost $16,201)

         20,981  
     

 

 

  

Short-Term Investments — 4.4%

      

Investment Companies — 4.4%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Class Shares, 1.80% (a) (b)
(Cost $976)

      976        976  
     

 

 

  

Total Investments — 100.1%
(Cost $17,177)

         21,957  

Liabilities in Excess of
Other Assets — (0.1%)

         (11 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 21,946  
     

 

 

  

 

Percentages indicated are based on net assets.

 

(a)

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

(b)

   The rate shown is the current yield as of June 30, 2018.

*

   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

JPMorgan Intrepid Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — 95.2%

      

Aerospace & Defense — 2.0%

      

Boeing Co. (The)

      66        22,177  
     

 

 

  

Airlines — 1.4%

      

Copa Holdings SA, Class A (Panama)

      49        4,637  

Delta Air Lines, Inc.

      208        10,314  
     

 

 

  
        14,951  
     

 

 

  

Automobiles — 1.5%

      

General Motors Co.

      423        16,654  
     

 

 

  

Banks — 11.1%

      

Bank of America Corp.

      1,414        39,847  

CIT Group, Inc.

      157        7,899  

Citigroup, Inc.

      515        34,476  

Citizens Financial Group, Inc.

      203        7,908  

Comerica, Inc.

      57        5,146  

Fifth Third Bancorp

      252        7,241  

M&T Bank Corp.

      48        8,184  

PNC Financial Services Group, Inc. (The)

      25        3,361  

Regions Financial Corp.

      444        7,893  
     

 

 

  
        121,955  
     

 

 

  

Beverages — 1.2%

      

PepsiCo, Inc.

      125        13,620  
     

 

 

  

Biotechnology — 4.3%

      

AbbVie, Inc.

      167        15,445  

Amgen, Inc.

      119        21,900  

Gilead Sciences, Inc.

      146        10,343  
     

 

 

  
        47,688  
     

 

 

  

Capital Markets — 2.6%

      

Ameriprise Financial, Inc.

      49        6,896  

Goldman Sachs Group, Inc. (The)

      41        9,076  

Morgan Stanley

      15        711  

MSCI, Inc.

      49        8,106  

S&P Global, Inc.

      16        3,222  
     

 

 

  
        28,011  
     

 

 

  

Chemicals — 0.7%

      

Huntsman Corp.

      260        7,580  
     

 

 

  

Communications Equipment — 1.1%

      

Cisco Systems, Inc.

      284        12,203  
     

 

 

  

Construction & Engineering — 0.4%

      

EMCOR Group, Inc.

      52        3,931  
     

 

 

  

Consumer Finance — 1.6%

      

Capital One Financial Corp.

      10        937  

Credit Acceptance Corp.*

      25        8,680  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Consumer Finance — continued

      

Discover Financial Services

      106        7,471  
     

 

 

  
        17,088  
     

 

 

  

Diversified Telecommunication Services — 2.0%

 

   

Verizon Communications, Inc.

      429        21,568  
     

 

 

  

Electric Utilities — 1.0%

 

   

Edison International

      11        677  

NextEra Energy, Inc.

      60        9,955  
     

 

 

  
        10,632  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 3.1%

 

GEO Group, Inc. (The)

      116        3,200  

Hospitality Properties Trust

      97        2,778  

Life Storage, Inc.

      55        5,342  

Piedmont Office Realty Trust, Inc., Class A

      321        6,404  

SBA Communications Corp.*

      44        7,249  

SL Green Realty Corp.

      86        8,615  
     

 

 

  
        33,588  
     

 

 

  

Food & Staples Retailing — 1.8%

      

Walgreens Boots Alliance, Inc.

      23        1,405  

Walmart, Inc.

      217        18,603  
     

 

 

  
        20,008  
     

 

 

  

Food Products — 1.8%

      

Archer-Daniels-Midland Co.

      180        8,254  

Conagra Brands, Inc.

      188        6,721  

Pilgrim’s Pride Corp.*

      231        4,644  
     

 

 

  
        19,619  
     

 

 

  

Health Care Providers & Services — 6.9%

      

Anthem, Inc.

      59        14,044  

Express Scripts Holding Co.*

      216        16,670  

HCA Healthcare, Inc.

      45        4,627  

Humana, Inc.

      77        22,888  

McKesson Corp.

      15        1,934  

Molina Healthcare, Inc.*

      63        6,161  

WellCare Health Plans, Inc.*

      39        9,603  
     

 

 

  
        75,927  
     

 

 

  

Hotels, Restaurants & Leisure — 1.7%

      

Dunkin’ Brands Group, Inc.

      124        8,592  

Hilton Worldwide Holdings, Inc.

      101        8,027  

Hyatt Hotels Corp., Class A

      26        2,006  
     

 

 

  
        18,625  
     

 

 

  

Household Durables — 0.6%

      

Toll Brothers, Inc.

      185        6,839  
     

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         25  

Table of Contents

JPMorgan Intrepid Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JUNE 30, 2018 (continued)

 

INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Household Products — 1.0%

      

Energizer Holdings, Inc.

      110        6,907  

Procter & Gamble Co. (The)

      59        4,566  
     

 

 

  
        11,473  
     

 

 

  

Independent Power and Renewable Electricity Producers — 2.3%

 

AES Corp.

      577        7,735  

NRG Energy, Inc.

      268        8,237  

Vistra Energy Corp.*

      382        9,031  
     

 

 

  
        25,003  
     

 

 

  

Insurance — 6.2%

      

Allstate Corp. (The)

      195        17,789  

First American Financial Corp.

      18        926  

Lincoln National Corp.

      101        6,256  

MetLife, Inc.

      49        2,149  

Primerica, Inc.

      57        5,717  

Prudential Financial, Inc.

      24        2,197  

Torchmark Corp.

      67        5,479  

Travelers Cos., Inc. (The)

      190        23,294  

Willis Towers Watson plc

      25        3,775  
     

 

 

  
        67,582  
     

 

 

  

Internet Software & Services — 0.8%

      

VeriSign, Inc.*

      65        8,960  
     

 

 

  

IT Services — 1.8%

      

DXC Technology Co.

      87        6,989  

International Business Machines Corp.

      65        9,136  

Perspecta, Inc.

      43        891  

Teradata Corp.*

      56        2,228  
     

 

 

  
        19,244  
     

 

 

  

Machinery — 1.9%

      

Caterpillar, Inc.

      136        18,451  

Deere & Co.

      19        2,712  
     

 

 

  
        21,163  
     

 

 

  

Media — 4.3%

      

CBS Corp. (Non-Voting), Class B

      41        2,299  

Charter Communications, Inc., Class A*

      40        11,670  

Comcast Corp., Class A

      374        12,261  

Sirius XM Holdings, Inc.

      1,298        8,785  

Walt Disney Co. (The)

      118        12,326  
     

 

 

  
        47,341  
     

 

 

  

Metals & Mining — 1.9%

      

Alcoa Corp.*

      63        2,935  

Freeport-McMoRan, Inc.

      467        8,065  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  
     

Metals & Mining — continued

      

Newmont Mining Corp.

      41        1,535  

Steel Dynamics, Inc.

      178        8,165  
     

 

 

  
        20,700  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.7%

 

Chimera Investment Corp.

      411        7,506  
     

 

 

  

Multi-Utilities — 1.3%

      

CenterPoint Energy, Inc.

      286        7,936  

MDU Resources Group, Inc.

      222        6,379  
     

 

 

  
        14,315  
     

 

 

  

Oil, Gas & Consumable Fuels — 10.7%

      

Chevron Corp.

      153        19,401  

ConocoPhillips

      408        28,419  

Devon Energy Corp.

      162        7,117  

HollyFrontier Corp.

      91        6,248  

Marathon Oil Corp.

      79        1,640  

Marathon Petroleum Corp.

      296        20,795  

Occidental Petroleum Corp.

      62        5,188  

PBF Energy, Inc., Class A

      49        2,063  

Peabody Energy Corp.

      73        3,329  

Valero Energy Corp.

      214        23,673  
     

 

 

  
        117,873  
     

 

 

  

Paper & Forest Products — 0.6%

      

Domtar Corp.

      134        6,411  
     

 

 

  

Personal Products — 0.8%

      

Herbalife Nutrition Ltd.*

      166        8,934  

Nu Skin Enterprises, Inc., Class A

      3        249  
     

 

 

  
        9,183  
     

 

 

  

Pharmaceuticals — 2.0%

      

Pfizer, Inc.

      608        22,055  
     

 

 

  

Professional Services — 0.7%

      

Robert Half International, Inc.

      117        7,591  
     

 

 

  

Real Estate Management & Development — 1.5%

 

   

CBRE Group, Inc., Class A*

      186        8,875  

Jones Lang LaSalle, Inc.

      48        7,918  
     

 

 

  
        16,793  
     

 

 

  

Road & Rail — 0.2%

      

Avis Budget Group, Inc.*

      60        1,940  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.5%

 

Applied Materials, Inc.

      368        17,003  

First Solar, Inc.*

      120        6,330  

Lam Research Corp.

      60        10,336  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

      

Semiconductors & Semiconductor Equipment — continued

 

Teradyne, Inc.

      136        5,158  
     

 

 

  
        38,827  
     

 

 

  

Software — 0.7%

      

VMware, Inc., Class A*

      52        7,687  
     

 

 

  

Specialty Retail — 1.6%

      

Best Buy Co., Inc.

      38        2,827  

Burlington Stores, Inc.*

      19        2,920  

O’Reilly Automotive, Inc.*

      10        2,626  

Urban Outfitters, Inc.*

      196        8,714  
     

 

 

  
        17,087  
     

 

 

  

Technology Hardware, Storage & Peripherals — 2.3%

 

HP, Inc.

      534        12,116  

NetApp, Inc.

      114        8,945  

Seagate Technology plc

      71        4,004  
     

 

 

  
        25,065  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.6%

      

Michael Kors Holdings Ltd.*

      107        7,140  
     

 

 

  

Tobacco — 0.3%

      

Philip Morris International, Inc.

      40        3,213  
     

 

 

  

Trading Companies & Distributors — 0.7%

      

United Rentals, Inc.*

      53        7,883  
     

 

 

  

Total Common Stocks
(Cost $846,237)

         1,044,699  
     

 

 

  
INVESTMENTS    SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 4.3%

      

Investment Companies — 4.3%

 

   

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.80% (a) (b)
(Cost $47,528)

      47,528        47,528  
     

 

 

  

Total Investments — 99.5%
(Cost $893,765)

         1,092,227  

Other Assets Less Liabilities — 0.5%

         5,636  
     

 

 

  

NET ASSETS — 100.0%

       $ 1,097,863  
     

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures contracts outstanding as of June 30, 2018 (amounts in thousands, except number of contracts):  
DESCRIPTION      NUMBER OF
CONTRACTS		      EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
AMOUNT ($)		        VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)		  

Long Contracts

 

S&P 500 E-Mini Index      377        09/2018          USD          51,302          (878 ) 
                        

 

 

  
                           (878 ) 
                        

 

 

  

 

Abbreviations

  

USD

   United States Dollar

(a)

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

(b)

   The rate shown is the current yield as of June 30, 2018.

*

   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         27  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Intrepid
America
Fund		        JPMorgan
Intrepid
Growth
Fund		        JPMorgan
Intrepid
Mid Cap
Fund		  

ASSETS:

               

Investments in non-affiliates, at value

      $ 3,964,283        $ 1,143,006        $ 812,181  

Investments in affiliates, at value

        99,912          27,874          7,288  

Deposits at broker for futures contracts

        3,636          1,120          380  

Receivables:

               

Investment securities sold

        3,866          829          603  

Fund shares sold

        4,435          2,188          1,047  

Dividends from non-affiliates

        2,073          357          880  

Dividends from affiliates

        68          23          17  

Variation margin on futures contracts

        63          19          3  
    

 

 

       

 

 

       

 

 

  

Total Assets

        4,078,336          1,175,416          822,399  
    

 

 

       

 

 

       

 

 

  

LIABILITIES:

               

Payables:

               

Investment securities purchased

        26,107          3,505          3,892  

Fund shares redeemed

        317          1,797          1,233  

Accrued liabilities:

               

Investment advisory fees

        1,028          305          387  

Administration fees

        63          —          17  

Distribution fees

        74          63          108  

Service fees

        92          93          129  

Custodian and accounting fees

        20          9          6  

Audit fees

        20          20          24  

Printing and mailing cost

        26          15          22  

Legal fees

        4          1          1  

Registration fees

        8          1          13  

Other

        34          13          44  
    

 

 

       

 

 

       

 

 

  

Total Liabilities

        27,793          5,822          5,876  
    

 

 

       

 

 

       

 

 

  

Net Assets

      $ 4,050,543        $ 1,169,594        $ 816,523  
    

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Intrepid
America
Fund		        JPMorgan
Intrepid
Growth
Fund		        JPMorgan
Intrepid
Mid Cap
Fund		  

NET ASSETS:

               

Paid-in-Capital

      $ 2,808,640        $ 733,285        $ 561,640  

Accumulated undistributed (distributions in excess of) net investment income

        21,226          4,093          1,461  

Accumulated net realized gains (losses)

        321,196          74,261          80,912  

Net unrealized appreciation (depreciation)

        899,481          357,955          172,510  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 4,050,543        $ 1,169,594        $ 816,523  
    

 

 

       

 

 

       

 

 

  

Net Assets:

               

Class A

      $ 342,761        $ 104,167        $ 314,171  

Class C

        4,698          37,416          62,925  

Class I

        95,252          196,798          296,876  

Class R2

        2,239          40,763          —  

Class R3

        —          —          13,823  

Class R4

        —          —          1,157  

Class R5

        5,718          201,539          —  

Class R6

        3,599,875          588,911          127,571  
    

 

 

       

 

 

       

 

 

  

Total

      $ 4,050,543        $ 1,169,594        $ 816,523  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

               

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

               

Class A

        8,352          1,763          13,801  

Class C

        115          645          3,273  

Class I

        2,256          3,278          12,364  

Class R2

        56          703          —  

Class R3

        —          —          609  

Class R4

        —          —          48  

Class R5

        136          3,397          —  

Class R6

        86,873          9,928          5,306  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 41.04        $ 59.09        $ 22.76  

Class C — Offering price per share (b)

        40.76          58.00          19.23  

Class I — Offering and redemption price per share

        42.22          60.04          24.01  

Class R2 — Offering and redemption price per share

        40.14          57.95          —  

Class R3 — Offering and redemption price per share

        —          —          22.70  

Class R4 — Offering and redemption price per share

        —          —          23.95  

Class R5 — Offering and redemption price per share

        42.11          59.32          —  

Class R6 — Offering and redemption price per share

        41.44          59.32          24.04  

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)]

      $ 43.31        $ 62.36        $ 24.02  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 3,064,545        $ 784,912        $ 639,638  

Cost of investments in affiliates

        99,912          27,874          7,288  

 

(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, 2018   J.P. MORGAN INTREPID FUNDS         29  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF JUNE 30, 2018 (continued)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Intrepid
Sustainable
Equity Fund		      JPMorgan
Intrepid
Value
Fund		  

ASSETS:

        

Investments in non-affiliates, at value

      $ 20,981      $ 1,044,699  

Investments in affiliates, at value

        976        47,528  

Deposits at broker for futures contracts

        —        2,035  

Receivables:

        

Investment securities sold

        —        3,645  

Fund shares sold

        27        1,236  

Dividends from non-affiliates

        13        847  

Dividends from affiliates

        1        52  

Variation margin on futures contracts

        —        37  

Due from adviser

        3        —  
    

 

 

     

 

 

  

Total Assets

        22,001        1,100,079  
    

 

 

     

 

 

  

LIABILITIES:

        

Payables:

        

Due to custodian

        —        — (a) 

Investment securities purchased

        —        615  

Fund shares redeemed

        — (a)       864  

Accrued liabilities:

        

Investment advisory fees

        —        257  

Administration fees

        —        12  

Distribution fees

        4        36  

Service fees

        —        190  

Custodian and accounting fees

        5        8  

Audit fees

        20        21  

Printing and mailing cost

        5        84  

Legal fees

        11        1  

Registration fees

        8        30  

Other

        2        98  
    

 

 

     

 

 

  

Total Liabilities

        55        2,216  
    

 

 

     

 

 

  

Net Assets

      $ 21,946      $ 1,097,863  
    

 

 

     

 

 

  

 

(a) Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Intrepid
Sustainable
Equity Fund		        JPMorgan
Intrepid
Value
Fund		  

NET ASSETS:

          

Paid-in-Capital

      $ 16,049        $ 825,448  

Accumulated undistributed (distributions in excess of) net investment income

        95          376  

Accumulated net realized gains (losses)

        1,022          74,455  

Net unrealized appreciation (depreciation)

        4,780          197,584  
    

 

 

       

 

 

  

Total Net Assets

      $ 21,946        $ 1,097,863  
    

 

 

       

 

 

  

Net Assets:

          

Class A

      $ 9,497        $ 86,400  

Class C

        3,277          23,686  

Class I

        9,172          772,556  

Class R2

        —          5,781  

Class R5

        —          90,714  

Class R6

        —          118,726  
    

 

 

       

 

 

  

Total

      $ 21,946        $ 1,097,863  
    

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

          

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

          

Class A

        230          2,502  

Class C

        81          695  

Class I

        221          22,260  

Class R2

        —          169  

Class R5

        —          2,607  

Class R6

        —          3,411  

Net Asset Value (a):

          

Class A — Redemption price per share

      $ 41.28        $ 34.53  

Class C — Offering price per share (b)

        40.44          34.06  

Class I — Offering and redemption price per share

        41.56          34.71  

Class R2 — Offering and redemption price per share

        —          34.26  

Class R5 — Offering and redemption price per share

        —          34.80  

Class R6 — Offering and redemption price per share

        —          34.80  

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)]

      $ 43.57        $ 36.44  
    

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 16,201        $ 846,237  

Cost of investments in affiliates

        976          47,528  

 

(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, 2018   J.P. MORGAN INTREPID FUNDS         31  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE YEAR ENDED JUNE 30, 2018

(Amounts in thousands)

 

        JPMorgan
Intrepid
America
Fund		      JPMorgan
Intrepid
Growth
Fund		      JPMorgan
Intrepid
Mid Cap
Fund		  

INVESTMENT INCOME:

           

Interest income from affiliates

      $ — (a)     $ — (a)     $ — (a) 

Dividend income from non-affiliates

        76,287        14,319        16,148  

Dividend income from affiliates

        980        279        200  

Non-cash dividend income from non-affiliates

        4,508        —        —  
    

 

 

     

 

 

     

 

 

  

Total investment income

        81,775        14,598        16,348  
    

 

 

     

 

 

     

 

 

  

EXPENSES:

           

Investment advisory fees

        16,528        5,688        5,954  

Administration fees

        3,358        925        744  

Distribution fees:

           

Class A

        405        261        805  

Class C

        51        297        539  

Class R2

        13        77        —  

Class R3

        —        —        32  

Service fees:

           

Class A

        405        261        805  

Class C

        17        99        179  

Class I

        251        471        764  

Class R2

        6        38        —  

Class R3

        —        —        32  

Class R4

        —        —        1  

Class R5

        5        212        —  

Custodian and accounting fees

        117        43        39  

Professional fees

        97        63        65  

Trustees’ and Chief Compliance Officer’s fees

        36        29        28  

Printing and mailing costs

        73        22        88  

Registration and filing fees

        94        88        123  

Transfer agency fees (See Note 2.D.)

        56        30        88  

Other

        69        24        24  
    

 

 

     

 

 

     

 

 

  

Total expenses

        21,581        8,628        10,310  
    

 

 

     

 

 

     

 

 

  

Less fees waived

        (4,365 )       (2,803 )       (1,291 ) 

Less expense reimbursements

        (19 )       (1 )       (3 ) 
    

 

 

     

 

 

     

 

 

  

Net expenses

        17,197        5,824        9,016  
    

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        64,578        8,774        7,332  
    

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

           

Net realized gain (loss) on transactions from:

           

Investments in non-affiliates

        406,727        134,203        102,190  

Futures contracts

        9,720        2,260        517  
    

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

        416,447        136,463        102,707  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

           

Investments in non-affiliates

        233,480        82,098        (9,603 ) 

Futures contracts

        (210 )       (67 )       (47 ) 
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        233,270        82,031        (9,650 ) 
    

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        649,717        218,494        93,057  
    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 714,295      $ 227,268      $ 100,389  
    

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
        JPMorgan
Intrepid
Sustainable
Equity Fund		      JPMorgan
Intrepid
Value
Fund		  

INVESTMENT INCOME:

        

Interest income from affiliates

      $ — (a)     $ 1  

Dividend income from non-affiliates

        466        23,727  

Dividend income from affiliates

        7        284  

Non-cash dividend income from non-affiliates

        —        1,474  
    

 

 

     

 

 

  

Total investment income

        473        25,486  
    

 

 

     

 

 

  

EXPENSES:

        

Investment advisory fees

        103        4,402  

Administration fees

        17        894  

Distribution fees:

        

Class A

        23        233  

Class C

        32        218  

Class R2

        —        83  

Service fees:

        

Class A

        23        233  

Class C

        10        73  

Class I

        18        1,847  

Class R2

        —        41  

Class R5

        —        90  

Custodian and accounting fees

        24        39  

Professional fees

        59        66  

Trustees’ and Chief Compliance Officer’s fees

        25        29  

Printing and mailing costs

        7        81  

Registration and filing fees

        45        111  

Transfer agency fees (See Note 2.D.)

        5        68  

Other

        5        27  
    

 

 

     

 

 

  

Total expenses

        396        8,535  
    

 

 

     

 

 

  

Less fees waived

        (172 )       (1,736 ) 

Less expense reimbursements

        (36 )       (13 ) 
    

 

 

     

 

 

  

Net expenses

        188        6,786  
    

 

 

     

 

 

  

Net investment income (loss)

        285        18,700  
    

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

        

Net realized gain (loss) on transactions from:

        

Investments in non-affiliates

        1,537        124,763  

Futures contracts

        —        2,970  
    

 

 

     

 

 

  

Net realized gain (loss)

        1,537        127,733  
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

        

Investments in non-affiliates

        343        (7,073 ) 

Futures contracts

        —        (830 ) 
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        343        (7,903 ) 
    

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        1,880        119,830  
    

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 2,165      $ 138,530  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         33  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Intrepid America Fund        JPMorgan Intrepid Growth Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                    

Net investment income (loss)

      $ 64,578        $ 49,592        $ 8,774        $ 8,495  

Net realized gain (loss)

        416,447          384,294          136,463          94,266  

Change in net unrealized appreciation/depreciation

        233,270          169,242          82,031          93,909  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        714,295          603,128          227,268          196,670  
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

                    

From net investment income

        (1,172 )         (398 )         (505 )         (532 ) 

From net realized gains

        (9,595 )         (1,471 )         —          —  

Class C

                    

From net investment income

        —          (34 )         —          (40 ) 

From net realized gains

        (491 )         (311 )         —          —  

Class I

                    

From net investment income

        (610 )         (2,317 )         (1,170 )         (1,415 ) 

From net realized gains

        (6,861 )         (5,697 )         —          —  

Class R2

                    

From net investment income

        (15 )         (20 )         (12 )         (27 ) 

From net realized gains

        (242 )         (104 )         —          —  

Class R5

                    

From net investment income

        (71 )         (49 )         (1,822 )         (1,807 ) 

From net realized gains

        (468 )         (100 )         —          —  

Class R6

                    

From net investment income

        (64,689 )         (49,652 )         (5,125 )         (5,624 ) 

From net realized gains

        (402,574 )         (94,209 )         —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (486,788 )         (154,362 )         (8,634 )         (9,445 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                    

Change in net assets resulting from capital transactions

        (259,821 )         (32,461 )         (68,163 )         (156,325 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

                    

Change in net assets

        (32,314 )         416,305          150,471          30,900  

Beginning of period

        4,082,857          3,666,552          1,019,123          988,223  
    

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 4,050,543        $ 4,082,857        $ 1,169,594        $ 1,019,123  
    

 

 

       

 

 

       

 

 

       

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 21,226        $ 23,487        $ 4,093        $ 4,113  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Intrepid Mid Cap Fund      JPMorgan Intrepid Sustainable
Equity Fund		  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                  

Net investment income (loss)

      $ 7,332        $ 5,449      $ 285        $ 129  

Net realized gain (loss)

        102,707          67,839        1,537          2,415  

Change in net unrealized appreciation/depreciation

        (9,650 )         61,410        343          662  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

        100,389          134,698        2,165          3,206  
    

 

 

       

 

 

     

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                  

Class A

                  

From net investment income

        (2,004 )         (1,163 )       (109 )         (79 ) 

From net realized gains

        (23,010 )         (64 )       (484 )         —  

Class C

                  

From net investment income

        (32 )         (111 )       (18 )         (21 ) 

From net realized gains

        (5,654 )         (20 )       (208 )         —  

Class I

                  

From net investment income

        (2,355 )         (1,250 )       (102 )         (47 ) 

From net realized gains

        (20,208 )         (51 )       (379 )         —  

Class R3 (a)

                  

From net investment income

        (103 )         — (b)       —          —  

From net realized gains

        (935 )         — (b)       —          —  

Class R4 (a)

                  

From net investment income

        (1 )         — (b)       —          —  

From net realized gains

        (8 )         — (b)       —          —  

Class R6

                  

From net investment income

        (2,366 )         (1,834 )       —          —  

From net realized gains

        (14,905 )         (59 )       —          —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Total distributions to shareholders

        (71,581 )         (4,552 )       (1,300 )         (147 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                  

Change in net assets resulting from capital transactions

        (102,024 )         (205,002 )       3,037          (4,054 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

NET ASSETS:

                  

Change in net assets

        (73,216 )         (74,856 )       3,902          (995 ) 

Beginning of period

        889,739          964,595        18,044          19,039  
    

 

 

       

 

 

     

 

 

       

 

 

  

End of period

      $ 816,523        $ 889,739      $ 21,946        $ 18,044  
    

 

 

       

 

 

     

 

 

       

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 1,461        $ 1,455      $ 95        $ 57  
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Intrepid Mid Cap Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         35  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Intrepid Value Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

      $ 18,700        $ 20,561  

Net realized gain (loss)

        127,733          154,933  

Change in net unrealized appreciation/depreciation

        (7,903 )         21,719  
    

 

 

       

 

 

  

Change in net assets resulting from operations

        138,530          197,213  
    

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

          

Class A

          

From net investment income

        (1,401 )         (1,822 ) 

From net realized gains

        (13,008 )         (976 ) 

Class C

          

From net investment income

        (343 )         (427 ) 

From net realized gains

        (3,459 )         (328 ) 

Class I

          

From net investment income

        (12,174 )         (14,704 ) 

From net realized gains

        (91,343 )         (6,865 ) 

Class R2

          

From net investment income

        (234 )         (251 ) 

From net realized gains

        (2,692 )         (158 ) 

Class R5

          

From net investment income

        (1,696 )         (1,707 ) 

From net realized gains

        (11,535 )         (727 ) 

Class R6

          

From net investment income

        (2,924 )         (1,965 ) 

From net realized gains

        (21,060 )         (845 ) 
    

 

 

       

 

 

  

Total distributions to shareholders

        (161,869 )         (30,775 ) 
    

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

          

Change in net assets resulting from capital transactions

        (111,642 )         (630,829 ) 
    

 

 

       

 

 

  

NET ASSETS:

          

Change in net assets

        (134,981 )         (464,391 ) 

Beginning of period

        1,232,844          1,697,235  
    

 

 

       

 

 

  

End of period

      $ 1,097,863        $ 1,232,844  
    

 

 

       

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ 376        $ 985  
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Intrepid America Fund        JPMorgan Intrepid Growth Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 355,797        $ 5,999        $ 30,048        $ 27,666  

Distributions reinvested

        10,595          1,826          308          357  

Cost of shares redeemed

        (75,779 )         (21,894 )         (36,549 )         (45,136 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 290,613        $ (14,069 )       $ (6,193 )       $ (17,113 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 268        $ 430        $ 5,393        $ 4,411  

Distributions reinvested

        458          319          —          29  

Cost of shares redeemed

        (7,072 )         (4,382 )         (18,709 )         (18,954 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (6,346 )       $ (3,633 )       $ (13,316 )       $ (14,514 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Proceeds from shares issued

      $ 56,178        $ 34,005        $ 25,110        $ 46,031  

Distributions reinvested

        7,177          1,830          1,069          1,050  

Cost of shares redeemed

        (192,805 )         (93,190 )         (49,004 )         (46,388 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (129,450 )       $ (57,355 )       $ (22,825 )       $ 693  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Proceeds from shares issued

      $ 443        $ 786        $ 42,516        $ 1,831  

Distributions reinvested

        91          61          3          6  

Cost of shares redeemed

        (1,855 )         (2,478 )         (8,188 )         (1,672 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (1,321 )       $ (1,631 )       $ 34,331        $ 165  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Proceeds from shares issued

      $ 1,187        $ 1,408        $ 37,471        $ 26,918  

Distributions reinvested

        334          80          1,534          1,528  

Cost of shares redeemed

        (752 )         (1,205 )         (69,349 )         (75,964 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ 769        $ 283        $ (30,344 )       $ (47,518 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ 269,386        $ 168,666        $ 137,691        $ 17,417  

Distributions reinvested

        467,260          143,577          5,125          5,624  

Cost of shares redeemed

        (1,150,732 )         (268,299 )         (172,632 )         (101,079 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ (414,086 )       $ 43,944        $ (29,816 )       $ (78,038 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ (259,821 )       $ (32,461 )       $ (68,163 )       $ (156,325 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         37  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Intrepid America Fund        JPMorgan Intrepid Growth Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        8,663          163          539        630  

Reinvested

        265          49          6        8  

Redeemed

        (1,851 )         (586 )         (647 )       (1,016 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        7,077          (374 )         (102 )       (378 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class C

                  

Issued

        6          11          99        101  

Reinvested

        12          9          —        1  

Redeemed

        (170 )         (120 )         (351 )       (434 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        (152 )         (100 )         (252 )       (332 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class I

                  

Issued

        1,331          897          442        1,020  

Reinvested

        175          48          19        24  

Redeemed

        (4,665 )         (2,482 )         (898 )       (1,023 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class I Shares

        (3,159 )         (1,537 )         (437 )       21  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R2

                  

Issued

        12          21          738        43  

Reinvested

        2          2          — (a)       — (a) 

Redeemed

        (47 )         (69 )         (146 )       (38 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R2 Shares

        (33 )         (46 )         592        5  
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R5

                  

Issued

        29          37          664        602  

Reinvested

        8          2          27        35  

Redeemed

        (18 )         (32 )         (1,235 )       (1,762 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        19          7          (544 )       (1,125 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R6

                  

Issued

        6,583          4,471          2,543        367  

Reinvested

        11,580          3,844          91        129  

Redeemed

        (27,858 )         (7,129 )         (3,065 )       (2,190 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        (9,695 )         1,186          (431 )       (1,694 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Intrepid Mid Cap Fund      JPMorgan Intrepid Sustainable Equity Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

                  

Class A

                  

Proceeds from shares issued

      $ 64,235        $ 81,290      $ 2,195        $ 997  

Distributions reinvested

        22,481          1,110        573          79  

Cost of shares redeemed

        (86,519 )         (131,036 )       (1,593 )         (3,288 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 197        $ (48,636 )     $ 1,175        $ (2,212 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class C

                  

Proceeds from shares issued

      $ 6,057        $ 14,601      $ 273        $ 287  

Distributions reinvested

        4,798          103        209          21  

Cost of shares redeemed

        (31,724 )         (33,172 )       (2,534 )         (2,328 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (20,869 )       $ (18,468 )     $ (2,052 )       $ (2,020 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class I

                  

Proceeds from shares issued

      $ 76,578        $ 143,668      $ 4,981        $ 1,296  

Distributions reinvested

        19,557          1,101        463          31  

Cost of shares redeemed

        (120,847 )         (130,084 )       (1,530 )         (1,149 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (24,712 )       $ 14,685      $ 3,914        $ 178  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R3 (a)

                  

Proceeds from shares issued

      $ 6,268        $ 9,663      $ —        $ —  

Distributions reinvested

        989          — (b)       —          —  

Cost of shares redeemed

        (2,523 )         (869 )       —          —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 4,734        $ 8,794      $ —        $ —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R4 (a)

                  

Proceeds from shares issued

      $ 1,277        $ 20      $ —        $ —  

Distributions reinvested

        9          — (b)       —          —  

Cost of shares redeemed

        (105 )         —        —          —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 1,181        $ 20      $ —        $ —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R6

                  

Proceeds from shares issued

      $ 69,523        $ 12,224      $ —        $ —  

Distributions reinvested

        17,215          1,889        —          —  

Cost of shares redeemed

        (149,293 )         (175,510 )       —          —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ (62,555 )       $ (161,397 )     $ —        $ —  
    

 

 

       

 

 

     

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ (102,024 )       $ (205,002 )     $ 3,037        $ (4,054 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Intrepid Mid Cap Fund.
(b) Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         39  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Intrepid Mid Cap Fund      JPMorgan Intrepid Sustainable Equity Fund  
        Year Ended
June 30, 2018		      Year Ended
June 30, 2017		      Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        2,794        3,903        53          27  

Reinvested

        1,000        53        14          2  

Redeemed

        (3,785 )       (6,167 )       (39 )         (91 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class A Shares

        9        (2,211 )       28          (62 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Class C

                

Issued

        313        814        6          8  

Reinvested

        253        6        5          1  

Redeemed

        (1,618 )       (1,823 )       (62 )         (66 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class C Shares

        (1,052 )       (1,003 )       (51 )         (57 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Class I

                

Issued

        3,189        6,474        119          34  

Reinvested

        824        50        11          1  

Redeemed

        (5,013 )       (5,834 )       (36 )         (32 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class I Shares

        (1,000 )       690        94          3  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class R3 (a)

                

Issued

        275        441        —          —  

Reinvested

        44        — (b)       —          —  

Redeemed

        (111 )       (40 )       —          —  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class R3 Shares

        208        401        —          —  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class R4 (a)

                

Issued

        51        1        —          —  

Reinvested

        — (b)       — (b)       —          —  

Redeemed

        (4 )       —        —          —  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class R4 Shares

        47        1        —          —  
    

 

 

     

 

 

     

 

 

       

 

 

  

Class R6

                

Issued

        2,860        548        —          —  

Reinvested

        724        87        —          —  

Redeemed

        (6,187 )       (7,657 )       —          —  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in Class R6 Shares

        (2,603 )       (7,022 )       —          —  
    

 

 

     

 

 

     

 

 

       

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for JPMorgan Intrepid Mid Cap Fund.
(b) Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents
       JPMorgan Intrepid Value Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

CAPITAL TRANSACTIONS:

          

Class A

          

Proceeds from shares issued

      $ 19,635        $ 20,073  

Distributions reinvested

        13,421          2,584  

Cost of shares redeemed

        (40,025 )         (186,659 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (6,969 )       $ (164,002 ) 
    

 

 

       

 

 

  

Class C

          

Proceeds from shares issued

      $ 1,990        $ 1,926  

Distributions reinvested

        3,617          698  

Cost of shares redeemed

        (17,911 )         (14,665 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (12,304 )       $ (12,041 ) 
    

 

 

       

 

 

  

Class I

          

Proceeds from shares issued

      $ 195,675        $ 206,583  

Distributions reinvested

        102,090          19,832  

Cost of shares redeemed

        (396,689 )         (678,570 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (98,924 )       $ (452,155 ) 
    

 

 

       

 

 

  

Class R2

          

Proceeds from shares issued

      $ 7,759        $ 6,817  

Distributions reinvested

        2,532          347  

Cost of shares redeemed

        (23,607 )         (7,671 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (13,316 )       $ (507 ) 
    

 

 

       

 

 

  

Class R5

          

Proceeds from shares issued

      $ 16,647        $ 14,877  

Distributions reinvested

        13,231          2,434  

Cost of shares redeemed

        (23,522 )         (28,444 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ 6,356        $ (11,133 ) 
    

 

 

       

 

 

  

Class R6

          

Proceeds from shares issued

      $ 63,524        $ 34,643  

Distributions reinvested

        23,588          2,810  

Cost of shares redeemed

        (73,597 )         (28,444 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 13,515        $ 9,009  
    

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ (111,642 )       $ (630,829 ) 
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         41  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Intrepid Value Fund  
        Year Ended
June 30, 2018		        Year Ended
June 30, 2017		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        536          602  

Reinvested

        392          76  

Redeemed

        (1,124 )         (5,697 ) 
    

 

 

       

 

 

  

Change in Class A Shares

        (196 )         (5,019 ) 
    

 

 

       

 

 

  

Class C

          

Issued

        57          57  

Reinvested

        107          21  

Redeemed

        (493 )         (440 ) 
    

 

 

       

 

 

  

Change in Class C Shares

        (329 )         (362 ) 
    

 

 

       

 

 

  

Class I

          

Issued

        5,456          6,068  

Reinvested

        2,964          576  

Redeemed

        (11,003 )         (20,858 ) 
    

 

 

       

 

 

  

Change in Class I Shares

        (2,583 )         (14,214 ) 
    

 

 

       

 

 

  

Class R2

          

Issued

        220          203  

Reinvested

        74          10  

Redeemed

        (683 )         (226 ) 
    

 

 

       

 

 

  

Change in Class R2 Shares

        (389 )         (13 ) 
    

 

 

       

 

 

  

Class R5

          

Issued

        463          438  

Reinvested

        383          71  

Redeemed

        (647 )         (826 ) 
    

 

 

       

 

 

  

Change in Class R5 Shares

        199          (317 ) 
    

 

 

       

 

 

  

Class R6

          

Issued

        1,778          1,044  

Reinvested

        683          81  

Redeemed

        (2,083 )         (837 ) 
    

 

 

       

 

 

  

Change in Class R6 Shares

        378          288  
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         43  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

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

JPMorgan Intrepid America Fund

                 

Class A

                 

Year Ended June 30, 2018

    $ 39.06      $ 0.35      $ 6.41     $ 6.76     $ (0.48 )    $ (4.30 )    $ (4.78 ) 

Year Ended June 30, 2017

      34.75        0.28        5.30       5.58       (0.27 )      (1.00 )      (1.27 ) 

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 ) 

Class C

                 

Year Ended June 30, 2018

      38.59        0.25        6.22       6.47       —       (4.30 )      (4.30 ) 

Year Ended June 30, 2017

      34.37        0.09        5.24       5.33       (0.11 )      (1.00 )      (1.11 ) 

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 ) 

Class I

                 

Year Ended June 30, 2018

      39.87        0.66        6.35       7.01       (0.36 )      (4.30 )      (4.66 ) 

Year Ended June 30, 2017

      35.48        0.39        5.41       5.80       (0.41 )      (1.00 )      (1.41 ) 

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 ) 

Class R2

                 

Year Ended June 30, 2018

      38.18        0.36        6.14       6.50       (0.24 )      (4.30 )      (4.54 ) 

Year Ended June 30, 2017

      34.01        0.19        5.17       5.36       (0.19 )      (1.00 )      (1.19 ) 

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 ) 

Class R5

                 

Year Ended June 30, 2018

      39.91        0.62        6.47       7.09       (0.59 )      (4.30 )      (4.89 ) 

Year Ended June 30, 2017

      35.53        0.46        5.40       5.86       (0.48 )      (1.00 )      (1.48 ) 

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 ) 

Class R6

                 

Year Ended June 30, 2018

      39.34        0.66        6.37       7.03       (0.63 )      (4.30 )      (4.93 ) 

Year Ended June 30, 2017

      35.03        0.49        5.33       5.82       (0.51 )      (1.00 )      (1.51 ) 

November 2, 2015 (f) through June 30, 2016

      39.15        0.41        (1.77 )      (1.36 )      (0.51 )      (2.25 )      (2.76 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

 

 

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

Expenses
without waivers,
reimbursements and
earnings credits

     Portfolio
turnover
rate (c)		  
           
           
$ 41.04       17.77 %    $ 342,761       0.86 %      0.85 %      1.01 %      80 % 
  39.06       16.27       49,774       1.03       0.76       1.08       95  
  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  
           
  40.76       17.17       4,698       1.42       0.63       1.51       80  
  38.59       15.69       10,306       1.53       0.25       1.57       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  
           
  42.22       18.06       95,252       0.66       1.59       0.75       80  
  39.87       16.58       215,888       0.76       1.03       0.77       95  
  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  
           
  40.14       17.47       2,239       1.15       0.90       1.26       80  
  38.18       15.98       3,394       1.27       0.52       1.41       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  
           
  42.11       18.26       5,718       0.48       1.47       0.60       80  
  39.91       16.75       4,681       0.59       1.20       0.63       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  
           
  41.44       18.38       3,599,875       0.39       1.59       0.49       80  
  39.34       16.91       3,798,814       0.49       1.30       0.49       95  
  35.03       (3.39 )      3,341,467       0.49       1.78       0.50       70  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         45  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Intrepid Growth Fund

 

Class A

 

Year Ended June 30, 2018

      $ 48.60        $ 0.23      $ 10.51        $ 10.74        $ (0.25 ) 

Year Ended June 30, 2017

        40.37          0.22        8.27          8.49          (0.26 ) 

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 (f)       7.64          7.82          (0.13 ) 

Class C

                       

Year Ended June 30, 2018

        47.72          (0.04 )       10.32          10.28          —  

Year Ended June 30, 2017

        39.63          — (g)       8.13          8.13          (0.04 ) 

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 (f)       7.52          7.53          (0.01 ) 

Class I

                       

Year Ended June 30, 2018

        49.34          0.38        10.68          11.06          (0.36 ) 

Year Ended June 30, 2017

        40.99          0.34        8.40          8.74          (0.39 ) 

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 (f)       7.69          7.95          (0.24 ) 

Class R2

                       

Year Ended June 30, 2018

        47.66          0.09        10.31          10.40          (0.11 ) 

Year Ended June 30, 2017

        39.66          0.11        8.12          8.23          (0.23 ) 

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 (f)       7.54          7.63          (0.05 ) 

Class R5

                       

Year Ended June 30, 2018

        48.76          0.46        10.56          11.02          (0.46 ) 

Year Ended June 30, 2017

        40.51          0.42        8.29          8.71          (0.46 ) 

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 (f)       7.65          7.98          (0.30 ) 

Class R6

                       

Year Ended June 30, 2018

        48.74          0.51        10.56          11.07          (0.49 ) 

Year Ended June 30, 2017

        40.50          0.44        8.29          8.73          (0.49 ) 

November 2, 2015 (i) through June 30, 2016

        42.20          0.36        (1.60 )         (1.24 )         (0.46 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) 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, $0.26, $0.09 and $0.32 for Class A, Class C, Class I, Class R2 and Class R5 Shares, respectively, and the net investment income (loss) ratio would have been 0.51%, 0.01%, 0.76%, 0.26% and 0.96% for Class A, Class C, Class I, Class R2 and Class R5 Shares, respectively
(g) Amount rounds to less than $0.005.
(h) Amount rounds to less than 0.005%.
(i) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

 

 

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

Expenses
without waivers,
reimbursements and
earnings credits

     Portfolio
turnover
rate (c)		  
           
           
$ 59.09       22.13 %    $ 104,167       0.86 %      0.42 %      1.11 %      69 % 
  48.60       21.12       90,633       0.92       0.50       1.20       68  
  40.37       (0.88 )      90,529       0.93       0.66       1.23       70  
  40.99       11.16       106,573       0.96       0.62       1.16       64  
  37.05       26.68       33,563       1.16       0.54 (f)      1.17       67  
           
  58.00       21.54       37,416       1.36       (0.08 )      1.61       69  
  47.72       20.52       42,811       1.41       0.00 (h)      1.67       68  
  39.63       (1.35 )      48,717       1.42       0.19       1.71       70  
  40.26       10.60       49,309       1.46       0.12       1.66       64  
  36.45       26.05       19,566       1.65       0.03 (f)      1.67       67  
           
  60.04       22.45       196,798       0.61       0.67       0.86       69  
  49.34       21.43       183,265       0.68       0.75       0.89       68  
  40.99       (0.63 )      151,419       0.68       0.70       0.88       70  
  41.27       11.43       708,276       0.74       0.80       0.87       64  
  37.23       27.00       597,963       0.91       0.79 (f)      0.92       67  
           
  57.95       21.84       40,763       1.10       0.16       1.37       69  
  47.66       20.82       5,277       1.17       0.26       1.68       68  
  39.66       (1.10 )      4,207       1.17       0.50       1.76       70  
  40.39       10.87       1,205       1.22       0.31       1.45       64  
  36.49       26.41       601       1.41       0.28 (f)      1.42       67  
           
  59.32       22.66       201,539       0.45       0.83       0.71       69  
  48.76       21.65       192,164       0.48       0.94       0.72       68  
  40.51       (0.42 )      205,213       0.47       1.13       0.74       70  
  41.12       11.66       189,466       0.54       1.02       0.70       64  
  37.09       27.23       124,489       0.71       0.98 (f)      0.72       67  
           
  59.32       22.78       588,911       0.36       0.92       0.61       69  
  48.74       21.70       504,973       0.43       0.99       0.61       68  
  40.50       (2.94 )      488,138       0.42       1.38       0.61       70  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         47  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Intrepid Mid Cap Fund

                

Class A

                

Year Ended June 30, 2018

    $ 22.11      $ 0.15     $ 2.29     $ 2.44     $ (0.13 )    $ (1.66 )    $ (1.79 ) 

Year Ended June 30, 2017

      19.48        0.08       2.62       2.70       (0.07 )      — (f)      (0.07 ) 

Year Ended June 30, 2016

      21.82        0.15       (0.64 )      (0.49 )      (0.13 )      (1.72 )      (1.85 ) 

Year Ended June 30, 2015

      24.11        0.08       1.18       1.26       (0.09 )      (3.46 )      (3.55 ) 

Year Ended June 30, 2014

      18.79        0.08 (g)      5.41       5.49       (0.07 )      (0.10 )      (0.17 ) 

Class C

                

Year Ended June 30, 2018

      18.90        0.04       1.96       2.00       (0.01 )      (1.66 )      (1.67 ) 

Year Ended June 30, 2017

      16.72        (0.04 )      2.24       2.20       (0.02 )      — (f)      (0.02 ) 

Year Ended June 30, 2016

      19.07        0.03       (0.58 )      (0.55 )      (0.08 )      (1.72 )      (1.80 ) 

Year Ended June 30, 2015

      21.56        (0.06 )      1.06       1.00       (0.03 )      (3.46 )      (3.49 ) 

Year Ended June 30, 2014

      16.87        (0.05 )(g)      4.84       4.79       —       (0.10 )      (0.10 ) 

Class I

                

Year Ended June 30, 2018

      23.22        0.22       2.41       2.63       (0.18 )      (1.66 )      (1.84 ) 

Year Ended June 30, 2017

      20.43        0.14       2.75       2.89       (0.10 )      — (f)      (0.10 ) 

Year Ended June 30, 2016

      22.77        0.19       (0.64 )      (0.45 )      (0.17 )      (1.72 )      (1.89 ) 

Year Ended June 30, 2015

      24.97        0.14       1.24       1.38       (0.12 )      (3.46 )      (3.58 ) 

Year Ended June 30, 2014

      19.45        0.14 (g)      5.60       5.74       (0.12 )      (0.10 )      (0.22 ) 

Class R3

                

Year Ended June 30, 2018

      22.08        0.13       2.32       2.45       (0.17 )      (1.66 )      (1.83 ) 

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

      19.97        0.11       2.09       2.20       (0.09 )      — (f)      (0.09 ) 

Class R4

                

Year Ended June 30, 2018

      23.20        0.19       2.44       2.63       (0.22 )      (1.66 )      (1.88 ) 

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

      20.95        0.12       2.24       2.36       (0.11 )      — (f)      (0.11 ) 

Class R6

                

Year Ended June 30, 2018

      23.25        0.27       2.42       2.69       (0.24 )      (1.66 )      (1.90 ) 

Year Ended June 30, 2017

      20.42        0.19       2.76       2.95       (0.12 )      — (f)      (0.12 ) 

November 2, 2015 (h) through June 30, 2016

      22.41        0.20       (0.29 )      (0.09 )      (0.18 )      (1.72 )      (1.90 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Amount rounds to less than $0.005.

(g)

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 Class I 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 Class I Shares, respectively.

(h)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

 

 

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

Net
investment

income
(loss)

         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 22.76       11.18 %    $ 314,171       1.14 %      0.65 %      1.29 %      62 % 
  22.11       13.91       304,927       1.14       0.40       1.38       70  
  19.48       (1.71 )      311,724       1.15       0.77       1.44       78  
  21.82       5.64       377,893       1.14       0.33       1.37       66  
  24.11       29.30       193,342       1.16       0.38 (g)      1.32       64  
           
  19.23       10.69       62,925       1.64       0.18       1.78       62  
  18.90       13.20       81,761       1.74       (0.21 )      1.87       70  
  16.72       (2.35 )      89,071       1.79       0.15       1.96       78  
  19.07       5.02       87,191       1.78       (0.31 )      1.87       66  
  21.56       28.43       49,796       1.79       (0.25 )(g)      1.82       64  
           
  24.01       11.47       296,876       0.89       0.91       1.02       62  
  23.22       14.17       310,316       0.89       0.65       1.11       70  
  20.43       (1.48 )      258,866       0.90       0.93       1.13       78  
  22.77       5.97       510,465       0.89       0.58       1.07       66  
  24.97       29.61       348,077       0.91       0.62 (g)      1.08       64  
           
  22.70       11.22       13,823       1.14       0.59       1.27       62  
  22.08       11.07       8,854       1.15       0.64       1.34       70  
  23.95       11.46       1,157       0.89       0.80       1.11       62  
  23.20       11.30       22       0.90       0.67       1.11       70  
           
  24.04       11.73       127,571       0.64       1.11       0.77       62  
  23.25       14.52       183,859       0.65       0.86       0.77       70  
  20.42       0.12       304,934       0.65       1.53       0.78       78  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         49  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

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

JPMorgan Intrepid Sustainable Equity Fund

                

Class A

                

Year Ended June 30, 2018

    $ 39.35      $ 0.58     $ 4.05     $ 4.63     $ (0.48 )    $ (2.22 )    $ (2.70 ) 

Year Ended June 30, 2017

      33.20        0.29       6.20       6.49       (0.34 )      —       (0.34 ) 

Year Ended June 30, 2016

      34.01        0.62 (d)      (0.87 )(d)      (0.25 )      (0.56 )      —       (0.56 ) 

Year Ended June 30, 2015

      31.93        0.28       2.02       2.30       (0.22 )      —       (0.22 ) 

Year Ended June 30, 2014

      25.54        0.20       6.37       6.57       (0.18 )      —       (0.18 ) 

Class C

                

Year Ended June 30, 2018

      38.51        0.41       3.92       4.33       (0.18 )      (2.22 )      (2.40 ) 

Year Ended June 30, 2017

      32.48        0.11       6.06       6.17       (0.14 )      —       (0.14 ) 

Year Ended June 30, 2016

      33.29        0.44 (d)      (0.85 )(d)      (0.41 )      (0.40 )      —       (0.40 ) 

Year Ended June 30, 2015

      31.38        0.12       1.98       2.10       (0.19 )      —       (0.19 ) 

Year Ended June 30, 2014

      25.14        0.05       6.26       6.31       (0.07 )      —       (0.07 ) 

Class I

                

Year Ended June 30, 2018

      39.59        0.66       4.10       4.76       (0.57 )      (2.22 )      (2.79 ) 

Year Ended June 30, 2017

      33.40        0.38       6.25       6.63       (0.44 )      —       (0.44 ) 

Year Ended June 30, 2016

      34.22        0.68 (d)      (0.86 )(d)      (0.18 )      (0.64 )      —       (0.64 ) 

Year Ended June 30, 2015

      32.07        0.37       2.04       2.41       (0.26 )      —       (0.26 ) 

Year Ended June 30, 2014

      25.65        0.28       6.39       6.67       (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) The amount reflects an out of period adjustment related to a corporate action involving two of the Fund’s holdings. Had the Fund not recorded the out of period adjustment, the net investment income (loss) per share would have been $0.33, $0.15 and $0.38, for Class A, Class C and Class I Shares, respectively, the net realized and unrealized gains (losses) on investment per share would have been $(0.58), $(0.56) and $(0.56) for Class A, Class C and Class I Shares, respectively, and the net investment income (loss) ratio would have been 0.99%, 0.47% and 1.14% for Class A, Class C and Class I Shares, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (b)		     Net assets,
end of
period
(000’s)		     Net
expenses (c)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate		  
           
           
$ 41.28       11.88 %    $ 9,497       0.90 %      1.41 %      1.92 %      38 % 
  39.35       19.64       7,943       1.08       0.80       2.29       53  
  33.20       (0.72 )      8,760       1.15       1.90 (d)      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  
           
  40.44       11.35       3,277       1.42       1.01       2.45       38  
  38.51       19.02       5,063       1.58       0.30       2.79       53  
  32.48       (1.21 )      6,131       1.65       1.38 (d)      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  
           
  41.56       12.16       9,172       0.64       1.59       1.63       38  
  39.59       19.95       5,038       0.83       1.04       2.03       53  
  33.40       (0.48 )      4,148       0.90       2.05 (d)      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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         51  

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

    

 

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

JPMorgan Intrepid Value Fund

                 

Class A

                 

Year Ended June 30, 2018

    $ 35.54      $ 0.53      $ 4.10     $ 4.63     $ (0.55 )    $ (5.09 )    $ (5.64 ) 

Year Ended June 30, 2017

      31.20        0.47        4.66       5.13       (0.52 )      (0.27 )      (0.79 ) 

Year Ended June 30, 2016

      35.66        0.53        (2.95 )      (2.42 )      (0.49 )      (1.55 )      (2.04 ) 

Year Ended June 30, 2015

      37.13        0.46        1.38       1.84       (0.44 )      (2.87 )      (3.31 ) 

Year Ended June 30, 2014

      29.76        0.40        7.36       7.76       (0.39 )      —       (0.39 ) 

Class C

                 

Year Ended June 30, 2018

      35.14        0.35        4.05       4.40       (0.39 )      (5.09 )      (5.48 ) 

Year Ended June 30, 2017

      30.87        0.30        4.60       4.90       (0.36 )      (0.27 )      (0.63 ) 

Year Ended June 30, 2016

      35.29        0.36        (2.91 )      (2.55 )      (0.32 )      (1.55 )      (1.87 ) 

Year Ended June 30, 2015

      36.80        0.27        1.37       1.64       (0.28 )      (2.87 )      (3.15 ) 

Year Ended June 30, 2014

      29.52        0.23        7.28       7.51       (0.23 )      —       (0.23 ) 

Class I

                 

Year Ended June 30, 2018

      35.69        0.62        4.11       4.73       (0.62 )      (5.09 )      (5.71 ) 

Year Ended June 30, 2017

      31.34        0.53        4.67       5.20       (0.58 )      (0.27 )      (0.85 ) 

Year Ended June 30, 2016

      35.80        0.57        (2.95 )      (2.38 )      (0.53 )      (1.55 )      (2.08 ) 

Year Ended June 30, 2015

      37.25        0.51        1.40       1.91       (0.49 )      (2.87 )      (3.36 ) 

Year Ended June 30, 2014

      29.85        0.45        7.38       7.83       (0.43 )      —       (0.43 ) 

Class R2

                 

Year Ended June 30, 2018

      35.33        0.46        4.03       4.49       (0.47 )      (5.09 )      (5.56 ) 

Year Ended June 30, 2017

      31.04        0.38        4.62       5.00       (0.44 )      (0.27 )      (0.71 ) 

Year Ended June 30, 2016

      35.48        0.44        (2.92 )      (2.48 )      (0.41 )      (1.55 )      (1.96 ) 

Year Ended June 30, 2015

      37.02        0.35        1.40       1.75       (0.42 )      (2.87 )      (3.29 ) 

Year Ended June 30, 2014

      29.69        0.31        7.33       7.64       (0.31 )      —       (0.31 ) 

Class R5

                 

Year Ended June 30, 2018

      35.78        0.66        4.13       4.79       (0.68 )      (5.09 )      (5.77 ) 

Year Ended June 30, 2017

      31.42        0.59        4.69       5.28       (0.65 )      (0.27 )      (0.92 ) 

Year Ended June 30, 2016

      35.88        0.64        (2.95 )      (2.31 )      (0.60 )      (1.55 )      (2.15 ) 

Year Ended June 30, 2015

      37.33        0.59        1.39       1.98       (0.56 )      (2.87 )      (3.43 ) 

Year Ended June 30, 2014

      29.91        0.52        7.40       7.92       (0.50 )      —       (0.50 ) 

Class R6

                 

Year Ended June 30, 2018

      35.78        0.69        4.13       4.82       (0.71 )      (5.09 )      (5.80 ) 

Year Ended June 30, 2017

      31.42        0.61        4.69       5.30       (0.67 )      (0.27 )      (0.94 ) 

Year Ended June 30, 2016

      35.89        0.66        (2.97 )      (2.31 )      (0.61 )      (1.55 )      (2.16 ) 

Year Ended June 30, 2015

      37.33        0.61        1.39       2.00       (0.57 )      (2.87 )      (3.44 ) 

Year Ended June 30, 2014

      29.91        0.47        7.46       7.93       (0.51 )      —       (0.51 ) 

 

 

(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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (b)		     Net assets,
end of
period
(000’s)		     Net
expenses (c)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings  credits		     Portfolio
turnover
rate		  
           
           
$ 34.53       13.39 %    $ 86,400       0.83 %      1.48 %      1.02 %      68 % 
  35.54       16.55       95,891       0.83       1.41       1.16       81  
  31.20       (6.70 )      240,808       0.83       1.64       1.18       66  
  35.66       5.24       173,149       0.86       1.26       1.13       52  
  37.13       26.17       114,036       0.94       1.19       1.17       49  
           
  34.06       12.84       23,686       1.33       1.00       1.53       68  
  35.14       15.97       35,999       1.32       0.89       1.59       81  
  30.87       (7.16 )      42,788       1.33       1.12       1.62       66  
  35.29       4.72       53,413       1.36       0.76       1.62       52  
  36.80       25.50       35,963       1.44       0.69       1.67       49  
           
  34.71       13.65       772,556       0.62       1.71       0.76       68  
  35.69       16.72       886,602       0.68       1.56       0.90       81  
  31.34       (6.56 )      1,224,039       0.68       1.77       0.91       66  
  35.80       5.41       1,424,101       0.71       1.39       0.90       52  
  37.25       26.35       1,214,765       0.79       1.34       0.92       49  
           
  34.26       13.04       5,781       1.12       1.28       1.52       68  
  35.33       16.24       19,693       1.10       1.12       1.59       81  
  31.04       (6.91 )      17,721       1.08       1.39       1.75       66  
  35.48       4.98       14,237       1.09       0.97       1.43       52  
  37.02       25.82       1,346       1.19       0.92       1.42       49  
           
  34.80       13.80       90,714       0.45       1.82       0.62       68  
  35.78       16.97       86,134       0.48       1.73       0.61       81  
  31.42       (6.35 )      85,624       0.48       1.98       0.61       66  
  35.88       5.60       83,859       0.51       1.59       0.63       52  
  37.33       26.60       80,008       0.59       1.53       0.72       49  
           
  34.80       13.90       118,726       0.37       1.90       0.52       68  
  35.78       17.03       108,525       0.43       1.79       0.52       81  
  31.42       (6.33 )      86,255       0.43       2.07       0.51       66  
  35.89       5.67       39,024       0.46       1.65       0.55       52  
  37.33       26.66       19,495       0.54       1.41       0.67       49  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         53  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018

 

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 5 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

 

      Classes Offered    Trust    Diversified/Non-Diversified
JPMorgan Intrepid America Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM I    Diversified
JPMorgan Intrepid Growth Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM I    Diversified
JPMorgan Intrepid Mid Cap Fund    Class A, Class C, Class I, Class R3, Class R4 and Class R6    JPM II    Diversified
JPMorgan Intrepid Sustainable Equity Fund    Class A, Class C and Class I    JPM I    Diversified
JPMorgan Intrepid Value Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM I    Diversified

The investment objective of both the JPMorgan Intrepid America Fund (“Intrepid America Fund”) and the JPMorgan Intrepid Growth Fund (“Intrepid Growth Fund”) is to seek to provide long-term capital growth.

The investment objective of the JPMorgan Intrepid Mid Cap Fund (“Intrepid Mid Cap Fund”) is to seek long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.

The investment objective of both the JPMorgan Intrepid Sustainable Equity Fund (“Intrepid Sustainable Equity Fund”) and the JPMorgan Intrepid Value Fund (“Intrepid Value Fund”) is to seek to provide long-term capital appreciation.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Beginning on November 14, 2017, Class C Shares automatically convert to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.

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

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, 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 Boards of Trustees (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at 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 Boards.

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

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 Boards. 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.

 

 
54       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

Table of Contents

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

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

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

 

•  

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

 

•  

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

 

•  

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

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

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

Intrepid America Fund

 

      Level 1
Quoted prices		     Level 2
Other significant
observable inputs		     

Level 3
Significant

unobservable inputs

      Total  

Total Investments in Securities (a)

    $ 4,064,195     $ —      $ —      $ 4,064,195  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts

    $ (257 )    $ —      $ —      $ (257 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  
Intrepid Growth Fund           
      Level 1
Quoted prices		     Level 2
Other significant
observable inputs		     

Level 3
Significant

unobservable inputs

      Total  

Total Investments in Securities (a)

    $ 1,170,880     $ —      $ —      $ 1,170,880  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts

    $ (139 )    $ —      $ —      $ (139 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  
Intrepid Mid Cap Fund           
      Level 1
Quoted prices		     Level 2
Other significant
observable inputs		     

Level 3
Significant

unobservable inputs

      Total  

Total Investments in Securities (a)

    $ 819,469     $ —      $ —      $ 819,469  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts

    $ (33 )    $ —      $ —      $ (33 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  
Intrepid Sustainable Equity Fund           
      Level 1
Quoted prices		     Level 2
Other significant
observable inputs		     

Level 3
Significant

unobservable inputs

      Total  

Total Investments in Securities (a)

    $ 21,957     $ —      $ —      $ 21,957  
  

 

 

    

 

 

     

 

 

     

 

 

  

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         55  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (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)

    $ 1,092,227     $ —      $ —      $ 1,092,227  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts

    $ (878 )    $ —      $ —      $ (878 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

(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, 2018.

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, 2018 (amounts in thousands):

 

      Intrepid
America
Fund		        Intrepid
Growth
Fund		        Intrepid
Mid Cap
Fund		        Intrepid
Value
Fund		  

Futures Contracts:

                  

Average Notional Balance Long

    $ 86,482        $ 25,258        $ 14,683        $ 24,858  

Ending Notional Balance Long

      82,192          25,175          2,934          51,302  

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.

 

 
56       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

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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 are class-specific expenses. The amount of the transfer agency fees charged to each class of the Funds for the year ended June 30, 2018 are as follows (amounts in thousands):

 

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

Intrepid America Fund

                        

Transfer agency fees

    $ 22      $ 1      $ 4      $ 1        n/a       n/a     $  — (a)    $ 28      $ 56  

Intrepid Growth Fund

                        

Transfer agency fees

      10        3        7        3        n/a       n/a       3       4        30  

Intrepid Mid Cap Fund

                        

Transfer agency fees

      70        6        9        n/a      $  — (a)    $  — (a)      n/a       3        88  

Intrepid Sustainable Equity Fund

                        

Transfer agency fees

      3        1        1        n/a        n/a       n/a       n/a       n/a        5  

Intrepid Value Fund

                        

Transfer agency fees

      6        3        10        43        n/a       n/a       2       4        68  

 

(a)

Amount rounds to less than one thousand.

E. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2018, 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, if any, are generally declared and paid at least annually, except for the Intrepid Value Fund, for which distributions are generally declared and paid at least quarterly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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 America Fund

      $ — (a)       $ (282 )       $ 282  

Intrepid Growth Fund

        6,532          (160 )         (6,372 ) 

Intrepid Mid Cap Fund

        —          (465 )         465  

Intrepid Sustainable Equity Fund

        — (a)         (18 )         18  

Intrepid Value Fund

        (76 )         (537 )         613  

 

(a)

Amount rounds to less than one thousand.

The reclassifications for the Funds relate primarily to non-taxable dividends and tax equalization.

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 America Fund

      0.40 % 

Intrepid Growth Fund

      0.50  

Intrepid Mid Cap Fund

      0.65  

Intrepid Sustainable Equity Fund

      0.50  

Intrepid Value Fund

      0.40  

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         57  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

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, 2018, the effective rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

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

The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class I, Class R4, Class R5 and Class R6 Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:

 

      Class A        Class C        Class R2        Class R3  

Intrepid America Fund

      0.25 %         0.75 %         0.50 %         n/a  

Intrepid Growth Fund

      0.25          0.75          0.50          n/a  

Intrepid Mid Cap Fund

      0.25          0.75          n/a          0.25 % 

Intrepid Sustainable Equity Fund

      0.25          0.75          n/a          n/a  

Intrepid Value Fund

      0.25          0.75          0.50          n/a  

In addition, JPMDS is entitled to receive 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, 2018, JPMDS retained the following (amounts in thousands):

 

      Front-End Sales Charge        CDSC  

Intrepid America Fund

    $ 1        $ — (a) 

Intrepid Growth Fund

      21          — (a) 

Intrepid Mid Cap Fund

      10          —  

Intrepid Sustainable Equity Fund

      1          —  

Intrepid Value Fund

      3          — (a) 

 

(a)

Amount rounds to less than one thousand.

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

 

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

Intrepid America Fund

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

Intrepid Growth Fund

      0.25          0.25          0.25          0.25          n/a          n/a          0.10  

Intrepid Mid Cap Fund

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

Intrepid Sustainable Equity Fund

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

Intrepid Value Fund

      0.25          0.25          0.25          0.25          n/a          n/a          0.10  

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

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

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations. Prior to March 1, 2018, payments to the custodian were 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.

 

 
58       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

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

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

 

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

Intrepid America Fund (1)

      0.84 %       1.34 %       0.59 %       1.09 %       n/a        n/a        0.44 %       0.34 % 

Intrepid Growth Fund (2)

      0.84        1.34        0.59        1.09        n/a        n/a        0.44        0.34  

Intrepid Mid Cap Fund (3)

      1.14        1.64        0.89        n/a        1.14 %       0.89 %       n/a        0.64  

Intrepid Sustainable Equity Fund (4)

      0.84        1.34        0.59        n/a        n/a        n/a        n/a        n/a  

Intrepid Value Fund (5)

      0.83 *       1.33 *       0.59        1.09        n/a        n/a        0.44        0.34  

 

(1)  

Prior to November 1, 2017, the contractual expense limitations for Intrepid America Fund were 1.04%, 1.54%, 0.80%, 1.30%, 0.60% and 0.55% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively.

(2) 

Prior to November 1, 2017, the contractual expense limitations for Intrepid Growth Fund were 0.93%, 1.42%, 0.68%, 1.18%, 0.48% and 0.43% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively.

(3) 

Prior to November 1, 2017, the contractual expense limitations for Intrepid Mid Cap Fund were 1.15%, 1.79%, 0.90%, 1.15%, 0.90% and 0.65% for Class A, Class C, Class I, Class R3, Class R4 and Class R6 Shares, respectively.

(4) 

Prior to November 1, 2017, the contractual expense limitations for Intrepid Sustainable Equity Fund were 1.05%, 1.55% and 0.80% for Class A, Class C and Class I Shares, respectively.

(5) 

Prior to November 1, 2017, the contractual expense limitations for Intrepid Value Fund were 0.68%, 1.18%, 0.48% and 0.43% for Class I, Class R2, Class R5 and Class R6 Shares, respectively.

*

The contractual expense percentages in the table above are in place until at least October 31, 2018.

Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2018 and are in place until at least October 31, 2019.

For the year ended June 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

 

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

Intrepid America Fund

    $ 2,499        $ 1,666        $ 23        $ 4,188        $ 19  

Intrepid Growth Fund

      1,804          891          58          2,753          1  

Intrepid Mid Cap Fund

      706          469          81          1,256          3  

Intrepid Sustainable Equity Fund

      103          17          51          171          36  

Intrepid Value Fund

      951          634          106          1,691          13  

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

The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2018 were as follows (amounts in thousands):

 

Intrepid America Fund

    $ 177  

Intrepid Growth Fund

      50  

Intrepid Mid Cap Fund

      35  

Intrepid Sustainable Equity Fund

      1  

Intrepid Value Fund

      45  

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

The Boards 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.

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         59  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

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, 2018, Intrepid Mid Cap Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended June 30, 2018, 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

      —(a)  

Intrepid Value Fund

      —(a)  

 

(a)

Amount rounds to less than one thousand.

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, 2018, 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 America Fund

    $ 3,243,082        $ 3,936,675  

Intrepid Growth Fund

      759,148          827,902  

Intrepid Mid Cap Fund

      553,807          718,104  

Intrepid Sustainable Equity Fund

      8,780          7,553  

Intrepid Value Fund

      729,742          1,008,736  

During the year ended June 30, 2018, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2018 were as follows (amounts in thousands):

 

      Aggregate
Cost		        Gross
Unrealized
Appreciation		        Gross
Unrealized
Depreciation		        Net Unrealized
Appreciation
(Depreciation)		  

Intrepid America Fund

    $ 3,181,287        $ 934,786        $ 52,135        $ 882,651  

Intrepid Growth Fund

      815,678          366,093          11,030          355,063  

Intrepid Mid Cap Fund

      652,318          187,454          20,336          167,118  

Intrepid Sustainable Equity Fund

      17,216          5,452          711          4,741  

Intrepid Value Fund

      904,480          210,295          23,426          186,869  

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to mark to market of futures contracts and wash sale loss deferrals.

The tax character of distributions paid during the year ended June 30, 2018 was as follows (amounts in thousands):

 

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

Intrepid America Fund

      $ 137,137        $ 349,651        $ 486,788  

Intrepid Growth Fund

        8,634          —          8,634  

Intrepid Mid Cap Fund

        7,633          63,948          71,581  

Intrepid Sustainable Equity Fund

        311          989          1,300  

Intrepid Value Fund

        34,038          127,831          161,869  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

 

 
60       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

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

 

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

Intrepid America Fund

      $ 52,470        $ 101,892        $ 154,362  

Intrepid Growth Fund

        9,445          —          9,445  

Intrepid Mid Cap Fund

        4,358          194          4,552  

Intrepid Sustainable Equity Fund

        147          —          147  

Intrepid Value Fund

        20,876          9,899          30,775  

 

*

Short-term gain distributions are treated as ordinary income for income tax purposes.

As of June 30, 2018, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

 

        Current
Distributable
Ordinary
Income		        Current
Distributable
Long-Term
Capital Gain or
(Tax Basis Capital
Loss Carryover)		        Unrealized
Appreciation
(Depreciation)		  

Intrepid America Fund

      $ 120,849        $ 238,507        $ 882,651  

Intrepid Growth Fund

        4,133          77,150          355,063  

Intrepid Mid Cap Fund

        25,675          62,127          167,118  

Intrepid Sustainable Equity Fund

        231          940          4,741  

Intrepid Value Fund

        11,837          73,741          186,869  

For the Funds, the cumulative timing differences primarily consist of mark to market of futures contracts, wash sale loss deferrals and trustee deferred compensation.

At June 30, 2018, the following Fund utilized net capital loss carryforwards as follows (amount in thousands):

 

Intrepid Growth Fund

    $ 52,532  

6. Borrowings

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

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 5, 2018.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the year ended June 30, 2018.

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

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF JUNE 30, 2018 (continued)

 

on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 14, 2018, this agreement has been amended and restated for a term of 364 days, unless extended.

The Funds did not utilize the Credit Facility during the year ended June 30, 2018.

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, 2018, the Funds had omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

      Number of Affiliated
Omnibus Accounts		        % of the Fund        Number of Non-Affiliated
Omnibus Accounts		        % of the Fund  

Intrepid Mid Cap Fund

      2          13.2 %         4          14.1 % 

Intrepid Sustainable Equity Fund

      2          14.8          4          32.4  

Intrepid Value Fund

      —          —          3          57.8  

As of June 30, 2018, 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:

 

      JPMorgan
Investor Funds		        JPMorgan
SmartRetirement Funds		  

Intrepid America Fund

      28.0 %         59.9 % 

Intrepid Growth Fund

      41.3          —  

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

8. Investment Company Reporting Modernization

In October 2016, the SEC adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of June 30, 2018. The adoption had no effect on the Funds’ net assets or results of operations.

 

 
62       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Boards of Trustees of JPMorgan Trust I and JPMorgan Trust II and Shareholders of JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Mid Cap Fund, JPMorgan Intrepid Sustainable Equity Fund and JPMorgan Intrepid Value Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Sustainable Equity Fund and JPMorgan Intrepid Value Fund (four of the funds constituting JPMorgan Trust I) and JPMorgan Intrepid Mid Cap Fund (one of the funds constituting JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, 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 ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

New York, New York

August 28, 2018

We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.

 

 
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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 Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees

     
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998.    Chairman (1985-present), Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).    135    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).
Stephen P. Fisher (1959); Trustee of Trusts since 2018.    Retired; Chairman and Chief Executive Officer (2014-2017), President and Chief Operating Officer, NYLIFE Distributors LLC (registered broker-dealer) (2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); President (2015-2017), Co-President (2014-2015) and Senior Managing Director, New York Life Investment Management LLC (registered investment adviser) (2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (formerly MainStay VP Series Fund, Inc.) (registered investment companies) (2007-2017); President, MainStay DefinedTerm Municipal Opportunities Fund (registered investment company) (2011-2017); President, MainStay Funds Trust (registered investment companies) (2009-2017); President, The MainStay Funds (registered investment companies) (2007-2017).    135    Advisory Board Member, Scholarship Committee Member and Investment Committee Member, The First Tee of Plainfield (non-profit youth sports organization that provides need-based scholarships) (2014-present); Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).
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).    135    Trustee, Museum of Jewish Heritage (2011-present); Trustee, National Museum of Mathematics (present); Chair, Association of College and University Administrators (present).
Dennis P. Harrington* (1950); Trustee of Trusts since 2017.    Retired; Partner, Deloitte LLP (1984-2012).    135    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).    135    None

Raymond Kanner** (1953);

Trustee of Trusts since 2017.

    Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016).    135    Director, Emerging Markets Growth Fund (1997-2016); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA), 2016-2017; Advisory Board Member, Betterment for Business (2016-2017) (robo advisor); Advisory Board Member, Blue Star Indexes (2013-2017) (index creator); Member, Russell Index Client Advisory Board (2001-2015); Advisory Board Member, State Street Global Advisors’ OCIO Board (2017-present).

 

 
64       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

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Name (Year of Birth);

Positions With

the Funds (1)

   

Principal Occupation

During Past 5 Years

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

Other Directorships Held

During the Past 5 Years

Independent Trustees (continued)

     
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985.    Self-employed business consultant
(2002-present).		    135    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).    135    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).    135    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) (1985-2005).    135    Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance).
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997.    Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).    135    Vice Chair, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American University in Cairo (1999-2014); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Trout Unlimited (2017-present).
Marian U. Pardo**** (1946); Trustee of Trusts since 2013.    Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).    135    Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001.    Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).    135    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 eleven registered investment companies (135 funds).

 

 
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TRUSTEES

(Unaudited) (continued)

 

 

     * Two family members of Mr. Harrington are partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee.

 

    ** A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof.

 

  *** 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.

 

 
66       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

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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).

Timothy J. Clemens (1975),

Treasurer and Principal Financial Officer (2018)*

    Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016; Chief Financial Officer and Head of Valuation, Aberdeen Asset Management PLC (previously Artio Global Management) (2009 to September 2013).

Noah Greenhill (1969),

Secretary (2018)

    Managing Director and General Counsel, JPMorgan Asset Management (2015 – Present); Managing Director and General Counsel, JPMorgan Global Alternative Funds (2012-2015).
Stephen M. Ungerman (1953),
Chief Compliance Officer (2005)		    Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964),

Assistant Secretary (2005)**

    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 to February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.
Jessica K. Ditullio (1962),
Assistant Secretary (2005)**		    Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.
Carmine Lekstutis (1980),
Assistant Secretary (2011)		    Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015.
Gregory S. Samuels (1980),
Assistant Secretary (2010)		    Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014.
Pamela L. Woodley (1971),
Assistant Secretary (2012)		    Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Zachary E. Vonnegut-Gabovitch (1986),

Assistant Secretary (2017)

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

Michael M. D’Ambrosio (1969),

Assistant Treasurer (2012)

    Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 to May 2014.

Jeffrey D. House (1972),

Assistant Treasurer (2017)**

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 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.

Gillian I. Sands (1969),

Assistant Treasurer (2012)*

    Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012.

 

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 4 New York Plaza, New York, NY 10004.

 

  **

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

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2018, and continued to hold your shares at the end of the reporting period, June 30, 2018.

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, 2018		        Ending
Account Value
June 30, 2018		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Intrepid America Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,028.30        $ 4.22          0.84 % 

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

Class C

                    

Actual

        1,000.00          1,025.70          6.73          1.34  

Hypothetical

        1,000.00          1,018.15          6.71          1.34  

Class I

                    

Actual

        1,000.00          1,029.50          2.97          0.59  

Hypothetical

        1,000.00          1,021.87          2.96          0.59  

Class R2

                    

Actual

        1,000.00          1,026.90          5.48          1.09  

Hypothetical

        1,000.00          1,019.39          5.46          1.09  

Class R5

                    

Actual

        1,000.00          1,030.10          2.21          0.44  

Hypothetical

        1,000.00          1,022.61          2.21          0.44  

Class R6

                    

Actual

        1,000.00          1,030.80          1.71          0.34  

Hypothetical

        1,000.00          1,023.11          1.71          0.34  

JPMorgan Intrepid Growth Fund

                    

Class A

                    

Actual

        1,000.00          1,058.20          4.29          0.84  

Hypothetical

        1,000.00          1,020.63          4.21          0.84  

Class C

                    

Actual

        1,000.00          1,055.70          6.83          1.34  

Hypothetical

        1,000.00          1,018.15          6.71          1.34  

Class I

                    

Actual

        1,000.00          1,059.70          3.01          0.59  

Hypothetical

        1,000.00          1,021.87          2.96          0.59  

 

 
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        Beginning
Account Value
January 1, 2018		        Ending
Account Value
June 30, 2018		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Intrepid Growth Fund (continued)

                    

Class R2

                    

Actual

      $ 1,000.00        $ 1,056.90        $ 5.56          1.09 % 

Hypothetical

        1,000.00          1,019.39          5.46          1.09  

Class R5

                    

Actual

        1,000.00          1,060.40          2.25          0.44  

Hypothetical

        1,000.00          1,022.61          2.21          0.44  

Class R6

                    

Actual

        1,000.00          1,061.00          1.74          0.34  

Hypothetical

        1,000.00          1,023.11          1.71          0.34  

JPMorgan Intrepid Mid Cap Fund

                    

Class A

                    

Actual

        1,000.00          1,009.30          5.68          1.14  

Hypothetical

        1,000.00          1,019.14          5.71          1.14  

Class C

                    

Actual

        1,000.00          1,007.30          8.16          1.64  

Hypothetical

        1,000.00          1,016.66          8.20          1.64  

Class I

                    

Actual

        1,000.00          1,010.50          4.44          0.89  

Hypothetical

        1,000.00          1,020.38          4.46          0.89  

Class R3

                    

Actual

        1,000.00          1,009.30          5.68          1.14  

Hypothetical

        1,000.00          1,019.14          5.71          1.14  

Class R4

                    

Actual

        1,000.00          1,010.50          4.44          0.89  

Hypothetical

        1,000.00          1,020.38          4.46          0.89  

Class R6

                    

Actual

        1,000.00          1,011.80          3.19          0.64  

Hypothetical

        1,000.00          1,021.62          3.21          0.64  

JPMorgan Intrepid Sustainable Equity Fund

                    

Class A

                    

Actual

        1,000.00          1,012.80          4.14          0.83  

Hypothetical

        1,000.00          1,020.68          4.16          0.83  

Class C

                    

Actual

        1,000.00          1,010.50          6.63          1.33  

Hypothetical

        1,000.00          1,018.20          6.66          1.33  

Class I

                    

Actual

        1,000.00          1,014.20          2.90          0.58  

Hypothetical

        1,000.00          1,021.92          2.91          0.58  

JPMorgan Intrepid Value Fund

                    

Class A

                    

Actual

        1,000.00          1,009.00          4.13          0.83  

Hypothetical

        1,000.00          1,020.68          4.16          0.83  

Class C

                    

Actual

        1,000.00          1,006.70          6.62          1.33  

Hypothetical

        1,000.00          1,018.20          6.66          1.33  

Class I

                    

Actual

        1,000.00          1,010.30          2.94          0.59  

Hypothetical

        1,000.00          1,021.87          2.96          0.59  

Class R2

                    

Actual

        1,000.00          1,007.60          5.43          1.09  

Hypothetical

        1,000.00          1,019.39          5.46          1.09  

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         69  

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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
January 1, 2018		        Ending
Account Value
June 30, 2018		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Intrepid Value Fund (continued)

                    

Class R5

                    

Actual

      $ 1,000.00        $ 1,011.10        $ 2.19          0.44 % 

Hypothetical

        1,000.00          1,022.61          2.21          0.44  

Class R6

                    

Actual

        1,000.00          1,011.60          1.70          0.34  

Hypothetical

        1,000.00          1,023.11          1.71          0.34  

 

*

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

 

 
70       J.P. MORGAN INTREPID FUNDS   JUNE 30, 2018

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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, 2018. 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, 2018. The information necessary to complete your income tax returns for the calendar year ending December 31, 2018 will be provided under separate cover.

Dividends Received Deduction (DRD)

Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2018:

 

      Dividends
Received
Deduction		  

JPMorgan Intrepid America Fund

      45.74 % 

JPMorgan Intrepid Growth Fund

      100.00  

JPMorgan Intrepid Mid Cap Fund

      45.89  

JPMorgan Intrepid Sustainable Equity Fund

      94.51  

JPMorgan Intrepid Value Fund

      53.88  

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, 2018 (amounts in thousands):

 

      Long-Term
Capital Gain
Distribution		  

JPMorgan Intrepid America Fund

    $ 349,651  

JPMorgan Intrepid Growth Fund

      6,532  

JPMorgan Intrepid Mid Cap Fund

      63,948  

JPMorgan Intrepid Sustainable Equity Fund

      989  

JPMorgan Intrepid Value Fund

      127,831  

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, 2018 (amounts in thousands):

 

      Qualified
Dividend
Income		  

JPMorgan Intrepid America Fund

    $ 80,847  

JPMorgan Intrepid Growth Fund

      8,634  

JPMorgan Intrepid Mid Cap Fund

      7,633  

JPMorgan Intrepid Sustainable Equity Fund

      311  

JPMorgan Intrepid Value Fund

      25,217  
 

 

 
JUNE 30, 2018   J.P. MORGAN INTREPID FUNDS         71  

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LOGO

Rev. January 2011

 

 

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

 

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

 

What?  

The types of personal information we collect and share depend on the product or service you have with us. This information can include:

 

◾  Social Security number and account balances

 

◾  transaction history and account transactions

 

◾  checking account information and wire transfer instructions

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

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

 

Reasons we can share your personal information   Does  J.P. Morgan
Funds share?		   Can you limit this
sharing?

For our everyday business purposes —

such as to process your transactions, maintain your account(s),

respond to court orders and legal investigations, or report to

credit bureaus

   Yes   No

For marketing purposes —

to offer our products and services to you

   Yes   No
For joint marketing with other financial companies   No   We don’t share

For our affiliates’ everyday business purposes —

information about your transactions and experiences

   No   We don’t share

For our affiliates’ everyday business purposes —

information about your creditworthiness

   No   We don’t share
For nonaffiliates to market to you   No   We don’t share

 

 

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

 

LOGO

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LOGO

 

Page 2

    

 

 

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

 

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

How does J.P. Morgan

Funds collect my personal

information?

  

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

 

◾  open an account or provide contact information

 

◾  give us your account information or pay us by check

 

◾  make a wire transfer

 

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

Why can’t I limit all sharing?  

Federal law gives you the right to limit only

 

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

 

◾  affiliates from using your information to market to you

 

◾  sharing for nonaffiliates to market to you

 

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

 

Definitions
Affiliates  

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

 

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

Nonaffiliates  

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

 

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

Joint Marketing  

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

 

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

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

Contact JPMorgan Distribution Services, Inc. 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 prospectuses and Statement of Additional Information.

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

 

LOGO

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LOGO

 

 

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

 

  © JPMorgan Chase & Co., 2018. All rights reserved. June 2018.   AN-INT-618

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ITEM 2.

CODE OF ETHICS.

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

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

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

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 October 31, 2017, Dennis P. Harrington replaced James Schonbachler 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.

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ITEM 4.

PRINCIPAL ACCOUNTANT FEES AND SERVICES.

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

services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

AUDIT FEES

2018 – $411,932

2017 – $411,344

(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

2018 – $58,400

2017 – $57,800

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

2018 – $153,003

2017 – $151,461

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, 2018 and 2017, 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

2018 – Not applicable

2017 – 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

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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.

2018 – 0.0%

2017 – 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:

2017—$32.2 million

2016—$28.5 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.

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ITEM 6.

INVESTMENTS.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth 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.

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.

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.

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ITEM 12.

DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

 

ITEM 13.

EXHIBITS.

 

  (a)

File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

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.

(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.

(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.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

JPMorgan Trust II
By:   /s/ Brian S. Shlissel
  Brian S. Shlissel
  President and Principal Executive Officer
  August 31, 2018

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
  August 31, 2018

 

By:   /s/ Timothy J. Clemens
  Timothy J. Clemens
  Treasurer and Principal Financial Officer
  August 31, 2018