N-CSRS 1 d12814dncsrs.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)

 

 

277 Park Avenue

New York, NY 10172

(Address of principal executive offices) (Zip code)

 

 

Gregory S. Samuels

277 Park Avenue

New York, NY 10172

(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, 2019 through December 31, 2019

 

 

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.

 

 

 

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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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Semi-Annual Report

J.P. Morgan Small Cap Funds

December 31, 2019 (Unaudited)

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

JPMorgan U.S. Small Company Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.

You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going to www.jpmorganfunds.com/edelivery.

You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us at funds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).

LOGO

Table of Contents

CONTENTS

 

Letter to Shareholders        1  
Market Overview        2  

Fund Commentaries:

    

JPMorgan Small Cap Blend Fund

        3  

JPMorgan Small Cap Core Fund

        5  

JPMorgan Small Cap Equity Fund

        7  

JPMorgan Small Cap Growth Fund

        9  

JPMorgan Small Cap Value Fund

        11  

JPMorgan U.S. Small Company Fund

        13  
Schedules of Portfolio Investments        15  
Financial Statements        46  
Financial Highlights        62  
Notes to Financial Statements        74  
Schedule of Shareholder Expenses        86  
Board Approval of Investment Advisory Agreements        90  

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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LETTER TO SHAREHOLDERS

February 10, 2020 (Unaudited)

 

Dear Shareholders,

We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.

 

LOGO   

 

“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher

At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.

While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.

Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

 

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J.P. Morgan Small Cap Funds

MARKET OVERVIEW

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.

In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.

Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period. For the six months ended December 31, 2019, the S&P 500 returned 10.9% and the Russell 2000 Index returned 7.3%.

 

 
2       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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JPMorgan Small Cap Blend Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      8.11%  
Russell 2000 Index      7.30%  
Net Assets as of 12/31/2019 (In Thousands)    $ 438,912  

 

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 the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the industrials and its underweight position in the energy sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and information technology sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Nevro Corp. and Generac Holdings Inc. and its out-of-Benchmark position in Horizon Therapeutics PLC. Shares of Nevro, a medical devices maker, rose after the company reported better-than-expected results for the third quarter of 2019 and raised its 2019 revenue forecast. Shares of Generac Holdings, a maker of electrical generators and related products, rose amid scheduled electricity blackouts in California and natural disasters elsewhere during the reporting period. Shares of Horizon Therapeutics, a pharmaceuticals company, rose after an advisory committee of the U.S. Food and Drug Administration recommended approval of the company’s drug for thyroid eye disease.

Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in Farfetch Ltd. and Pluralsight Inc. and its underweight position in Medicines Co. Shares of Farfetch, a U.K. online luxury fashion retailer, fell after the company reported a wider-than-expected loss for the second quarter of 2019. Shares of Pluralsight, a provider of a cloud-based technology learning platform, fell after the company reported weak results for the second quarter of 2019. Shares of Medicines, a German pharmaceutical company not held in the Fund, rose ahead of its acquisition by Novartis AG.

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 companies that are attractively valued and stocks that have a history of growth. The Fund’s

portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate consistent earnings. The Fund is positioned to invest in small cap companies across both growth and value styles.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      ITT, Inc.      1.2 % 
  2.      Simpson Manufacturing Co., Inc.      1.1  
  3.      Performance Food Group Co.      1.0  
  4.      Generac Holdings, Inc.      0.9  
  5.      Teladoc Health, Inc.      0.9  
  6.      MSA Safety, Inc.      0.9  
  7.      Littelfuse, Inc.      0.8  
  8.      Amedisys, Inc.      0.8  
  9.      Applied Industrial Technologies, Inc.      0.8  
  10.      John Bean Technologies Corp.      0.8  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Industrials      19.2 % 
Information Technology      15.3
Financials      14.0
Health Care      13.0
Consumer Discretionary      10.5
Real Estate      6.3
Communication Services      4.1
Utilities      3.3
Consumer Staples      2.5
Materials      1.8
Energy      1.3
Short-Term Investments      8.7

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         3  

Table of Contents

JPMorgan Small Cap Blend Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    May 19, 1997                    

With Sales Charge**

           2.41 %         23.32 %         12.11 %         14.06 % 

Without Sales Charge

           8.11          30.15          13.33          14.67  

CLASS C SHARES

    January 7, 1998                    

With CDSC***

           6.88        28.60        12.77        14.08

Without CDSC

           7.88          29.60          12.77          14.08  

CLASS I SHARES

    April 5, 1999        8.30        30.51        13.62        15.00

CLASS R6 SHARES

    July 2, 2018        8.45        30.87        13.91        15.35

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 dates 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 have different expenses than Class I Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Blend Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from December 31, 2009 to December 31, 2019. 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.

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.

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 SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Small Cap Core Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class R5 Shares)*      6.95%  
Russell 2000 Index      7.30%  
Net Assets as of 12/31/2019 (In Thousands)    $ 492,786  

 

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 underperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the pharmaceutical and consumer cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the software & services sector and the industrial cyclical sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Sinclair Broadcast Group Inc., Meritage Corp. and Core-Mark Holding Co. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of Meritage, a developer of residential properties, fell amid weakness in the broader real estate sector during the second half of 2019. Shares of Core-Mark Holdings, a consumer goods distributor, fell amid investor concerns about the company’s tobacco products business.

Leading individual contributors to relative performance included the Fund’s overweight positions in Tenet Healthcare Corp., Atkore International Group Inc. and Medicines Co. Shares of Tenet Healthcare, a hospitals and health care facilities operator, rose after the company reported better-than-expected results for both the second and third quarters of 2019. Shares of Atkore International Group, a manufacturer of electrical infrastructure products, rose after the company reported better-than-expected earnings for the third quarter of 2019 and raised its forecast for the 2020 first quarter and full year. Shares of Medicines, a German pharmaceutical company, rose ahead of its acquisition by Novartis AG.

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 the Fund’s 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.      Deckers Outdoor Corp.      1.1 % 
  2.      EMCOR Group, Inc.      1.0  
  3.      Tenet Healthcare Corp.      1.0  
  4.      Rent-A-Center, Inc.      1.0  
  5.      Essent Group Ltd.      1.0  
  6.      Atkore International Group, Inc.      0.9  
  7.      Investors Bancorp, Inc.      0.9  
  8.      PennyMac Financial Services, Inc.      0.9  
  9.      First Horizon National Corp.      0.9  
  10.      Vectrus, Inc.      0.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Health Care      17.1 % 
Financials      16.4
Industrials      16.1
Information Technology      12.5
Consumer Discretionary      8.6
Real Estate      6.4
Materials      3.6
Utilities      2.9
Communication Services      2.5  
Energy      2.5
Consumer Staples      2.2
Short-Term Investments      9.2  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         5  

Table of Contents

JPMorgan Small Cap Core Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
       INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      May 31, 2016                    

With Sales Charge**

             1.12 %         17.50 %         6.10 %         11.84 % 

Without Sales Charge

             6.73          24.00          7.25          12.45  

CLASS C SHARES

      May 31, 2016                    

With CDSC***

             5.44        22.36        6.87        12.25

Without CDSC

             6.44          23.36          6.87          12.25  

CLASS I SHARES

      January 3, 2017        6.85        24.31        7.47        12.56

CLASS R2 SHARES

      July 31, 2017        6.57        23.66        6.85        11.84

CLASS R3 SHARES

      July 31, 2017        6.71        23.94        7.11        12.12

CLASS R4 SHARES

      July 31, 2017        6.85        24.30        7.38        12.40

CLASS R5 SHARES

      January 1, 1997        6.95        24.54        7.60        12.63

CLASS R6 SHARES

      May 31, 2016        6.98        24.60        7.64        12.65

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 dates 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 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
6       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Small Cap Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      7.06%  
Russell 2000 Index      7.30%  
Net Assets as of 12/31/2019 (In Thousands)    $ 7,273,029  

 

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 six months ended December 31, 2019. The Fund’s security selection and underweight position in the health care sector and its security selection in the materials & processing sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the producer durables sector and its underweight position and security selection in the energy sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in ICU Medical Inc. and AptarGroup Inc. and its overweight position in Quaker Chemical Corp. Shares of ICU Medical, a medical devices manufacturer, fell after the company reported weaker-than-expected earnings for the second quarter of 2019. Shares of AptarGroup, a maker of consumer product dispensers, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of Quaker Chemical, a specialty chemicals manufacturer, fell after the company reported weak August and September 2019 sales and lowered its forecast for the full year 2019.

Leading individual contributors to relative performance included the Fund’s overweight position in Performance Food Group Co. and its out-of-Benchmark positions in Toro Co. and Brunswick Corp. Shares of Performance Food Group, a food products distributor, rose after the company reported better-than-expected earnings and revenue for its fiscal first quarter. Shares of Toro, a manufacturer of lawn care and irrigation equipment, rose after the company reported better-than-expected earnings and issued a positive forecast for the full year 2019. Shares of Brunswick, a maker of recreational products, rose after the company increased its quarterly dividend by 14% and reported better-than-expected earnings for the third quarter of 2019.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing portfolios based on company fundamentals and proprietary analysis. The Fund’s portfolio managers looked for companies that, in their view, had leading competitive advantages, predictable and durable business models, and sustainable free cash flow generation with management teams committed to increasing intrinsic value.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Toro Co. (The)      2.5 % 
  2.      Performance Food Group Co.      2.5  
  3.      Pool Corp.      2.5  
  4.      AptarGroup, Inc.      2.2  
  5.      Catalent, Inc.      1.7  
  6.      Brunswick Corp.      1.5  
  7.      EastGroup Properties, Inc.      1.5  
  8.      MSA Safety, Inc.      1.5  
  9.      West Pharmaceutical Services, Inc.      1.5  
  10.      Encompass Health Corp.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Industrials      21.3 % 
Financials      16.9
Information Technology      10.5
Health Care      10.4
Consumer Discretionary      9.5
Materials      6.5
Real Estate      6.4
Consumer Staples      4.0
Utilities      2.6
Energy      1.9
Communication Services      1.5
Mutual Funds      0.4  
Short-Term Investments      8.1  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         7  

Table of Contents

JPMorgan Small Cap Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		        6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      December 20, 1994                      

With Sales Charge**

           1.44 %         21.37 %         8.71 %         12.87 % 

Without Sales Charge

           7.06          28.10          9.88          13.49  

CLASS C SHARES

      February 19, 2005                      

With CDSC***

           5.78        26.45        9.34        12.92

Without CDSC

           6.78          27.45          9.34          12.92  

CLASS I SHARES

      May 7, 1996          7.20        28.40        10.19        13.81

CLASS R2 SHARES

      November 3, 2008          6.92        27.76        9.61        13.20

CLASS R3 SHARES

      September 9, 2016          7.06        28.08        9.89        13.49

CLASS R4 SHARES

      September 9, 2016          7.20        28.40        10.18        13.81

CLASS R5 SHARES

      May 15, 2006          7.31        28.66        10.40        14.04

CLASS R6 SHARES

      May 31, 2016          7.34        28.72        10.45        14.06

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

LOGO

 

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

Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
8       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Small Cap Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class A Shares, without a sales charge)*      8.29%  
Russell 2000 Growth Index      6.75%  
Net Assets as of 12/31/2019 (In Thousands)    $ 3,271,877  

 

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 six months ended December 31, 2019. The Fund’s security selection in the producer durable and consumer staples sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and energy sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Nevro Corp. and Generac Holdings Inc. and its out-of-Benchmark position in Horizon Therapeutics PLC. Shares of Nevro, a medical devices maker, rose after the company reported better-than-expected results for the third quarter of 2019 and raised its 2019 revenue forecast. Shares of Generac Holdings, a maker of electrical generators and related products, rose amid scheduled electricity blackouts in California and natural disasters elsewhere during the reporting period. Shares of Horizon Therapeutics, a pharmaceuticals company not held in the Benchmark, rose after an advisory committee of the U.S. Food and Drug Administration recommended approval of the company’s drug for thyroid eye disease.

Leading individual detractors from relative performance included the Fund’s out-of-Benchmark positions in Farfetch Ltd., Pluralsight Inc. and Zscaler Inc. Shares of Farfetch, a U.K. online luxury fashion retailer, fell after the company reported a wider-than-expected loss for the second quarter of 2019. Shares of Pluralsight, a provider of a cloud-based technology learning platform, fell after the company reported weak results for the second quarter of 2019. Shares of Zscaler, a provider of cloud-based internet security, fell amid investor concerns about slowing billings late in 2019.

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.      1.9 % 
  2.      Generac Holdings, Inc.      1.9  
  3.      Teladoc Health, Inc.      1.7  
  4.      MSA Safety, Inc.      1.7  
  5.      Amedisys, Inc.      1.6  
  6.      John Bean Technologies Corp.      1.5  
  7.      National Vision Holdings, Inc.      1.5  
  8.      ManTech International Corp., Class A      1.5  
  9.      Trex Co., Inc.      1.4  
  10.      Simpson Manufacturing Co., Inc.      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Health Care      23.2 % 
Information Technology      21.0  
Industrials      20.2  
Consumer Discretionary      14.4  
Consumer Staples      3.7  
Financials      3.6  
Real Estate      2.6  
Communication Services      2.6  
Materials      0.3  
Short-Term Investments      8.4  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         9  

Table of Contents

JPMorgan Small Cap Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		    6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    July 1, 1991                  

With Sales Charge**

         2.61 %         29.93 %         12.98 %         14.68 % 

Without Sales Charge

         8.29          37.10          14.20          15.30  

CLASS C SHARES

    November 4, 1997                  

With CDSC***

         7.06        35.46        13.63        14.71

Without CDSC

         8.06          36.46          13.63          14.71  

CLASS I SHARES

    March 26, 1996      8.43        37.48        14.48        15.59

CLASS L SHARES

    February 19, 2005      8.52        37.66        14.66        15.76

CLASS R2 SHARES

    November 3, 2008      8.15        36.76        13.92        15.02

CLASS R3 SHARES

    July 31, 2017      8.28        37.09        14.20        15.29

CLASS R4 SHARES

    July 31, 2017      8.47        37.54        14.48        15.59

CLASS R5 SHARES

    September 9, 2016      8.55        37.70        14.66        15.76

CLASS R6 SHARES

    November 30, 2010      8.60        37.86        14.77        15.86

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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. Prior performance for Class R3 Shares has been adjusted to reflect the differences in expenses between classes.

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

Returns for Class R5 and Class R6 Shares prior to their inception dates 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
10       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Small Cap Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      7.14%  
Russell 2000 Value Index      7.87%  
Net Assets as of 12/31/2019 (In Thousands)      $1,330,886  

 

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 six months ended December 31, 2019. The Fund’s security selection in the industrial and real estate investment trusts (REITs) sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the pharmaceutical and systems hardware sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight position in K12 Inc. and its out-of-Benchmark positions in Sinclair Broadcast Group Inc. and Geo Group Inc. Shares of K12, a provider of online educational products and services, fell after the company reported lower-than-expected earnings for its fiscal first quarter. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of Geo Group, a prison and detention facilities REIT, fell amid U.S. Congressional scrutiny of private prison operators.

Leading individual contributors to relative performance included the Fund’s overweight positions in Medicines Co., Builders FirstSource Inc. and Synaptics Inc. Shares of Medicines, a German pharmaceutical company, rose ahead of its acquisition by Novartis AG. Shares of Builders FirstSource, a construction materials and components manufacturer, rose after the company reported better-than-expected earnings for the second and third quarters of 2019. Shares of Synaptics, a maker of human interface semiconductors for mobile and other electronic devices, rose on news reports that the company may have won a significant supplier contract from Apple Inc.

HOW WAS THE FUND POSITIONED?

In accordance 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 the Fund’s

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.      Washington Federal, Inc.      1.2 % 
  2.      United Bankshares, Inc.      1.1  
  3.      Trustmark Corp.      1.1  
  4.      TRI Pointe Group, Inc.      1.1  
  5.      Rambus, Inc.      1.0  
  6.      Westamerica Bancorp      1.0  
  7.      Sanderson Farms, Inc.      1.0  
  8.      Portland General Electric Co.      1.0  
  9.      Delek US Holdings, Inc.      1.0  
  10.      Sunstone Hotel Investors, Inc.      1.0  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      26.8 % 
Industrials      14.4  
Real Estate      9.2  
Consumer Discretionary      9.2  
Information Technology      8.8  
Health Care      6.1  
Utilities      5.3  
Energy      4.9  
Materials      3.7  
Communication Services      2.2  
Consumer Staples      1.5  
Short-Term Investments      7.9  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         11  

Table of Contents

JPMorgan Small Cap Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    January 27, 1995                    

With Sales Charge**

           1.39 %         12.61 %         3.53 %         9.30 % 

Without Sales Charge

           7.01          18.82          4.65          9.89  

CLASS C SHARES

    March 22, 1999                    

With CDSC***

           5.77          17.20          4.07          9.25  

Without CDSC

           6.77          18.20          4.07          9.25  

CLASS I SHARES

    January 27, 1995        7.14          19.08          4.90          10.17  

CLASS R2 SHARES

    November 3, 2008        6.89          18.53          4.37          9.61  

CLASS R3 SHARES

    September 9, 2016        7.03          18.84          4.64          9.88  

CLASS R4 SHARES

    September 9, 2016        7.14          19.09          4.88          10.15  

CLASS R5 SHARES

    May 15, 2006        7.21          19.28          5.04          10.28  

CLASS R6 SHARES

    February 22, 2005        7.29          19.42          5.16          10.37  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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. Prior performance for Class R3 Shares has been adjusted to reflect the differences in expenses between classes.

Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. Prior performance for 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
12       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan U.S. Small Company Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)*      9.25%  
Russell 2000 Index      7.30%  
Net Assets as of 12/31/2019 (In Thousands)      $1,334,155  

 

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 outperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the systems hardware and semiconductors sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the real estate investment trusts and finance sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Forty Seven Inc., Cirrus Logic Co. and Generac Holdings Inc. Shares of Forty Seven, a drug development company, rose following positive data from clinical trials of its lead anti-cancer treatment. Shares of Cirrus Logic, a maker of analog and other integrated circuits, rose after the company reported better-than-expected earnings and revenue for its fiscal second quarter. Shares of Generac Holdings, a maker of electrical generators and related products, rose amid scheduled electricity blackouts in California and natural disasters elsewhere during the reporting period.

Leading individual detractors from relative performance included the Fund’s overweight positions in K12 Inc. and Allscripts Healthcare Solutions Inc. and its out-of-Benchmark position in Sinclair Broadcast Group Inc. Shares of K12, a provider of online educational products and services, fell after the company reported lower-than-expected earnings for its fiscal first quarter. Shares of Allscripts Healthcare Solutions, a provider of information technology to the health care sector, fell after the company reported lower-than-expected revenue for the second quarter of 2019. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019.

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 the Fund’s 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.      EMCOR Group, Inc.      1.2 % 
  2.      TRI Pointe Group, Inc.      1.1  
  3.      Integer Holdings Corp.      1.1  
  4.      Darling Ingredients, Inc.      1.1  
  5.      ACI Worldwide, Inc.      1.0  
  6.      KB Home      1.0  
  7.      Allscripts Healthcare Solutions, Inc.      1.0  
  8.      CommVault Systems, Inc.      1.0  
  9.      Generac Holdings, Inc.      1.0  
  10.      Trustmark Corp.      1.0  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Health Care      18.3 % 
Industrials      15.1
Financials      14.5
Information Technology      13.2
Consumer Discretionary      11.3
Real Estate      6.2
Utilities      3.0
Materials      3.0
Energy      2.7
Communication Services      2.3
Consumer Staples      1.9
Short-Term Investments      8.5

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         13  

Table of Contents

JPMorgan U.S. Small Company Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    November 1, 2007                    

With Sales Charge**

           3.32 %         15.22 %         4.89 %         10.94 % 

Without Sales Charge

           9.01          21.58          6.03          11.54  

CLASS C SHARES

    November 1, 2007                    

With CDSC***

           7.69        19.98        5.49        10.98

Without CDSC

           8.69          20.98          5.49          10.98  

CLASS I SHARES

    September 10, 2001        9.12        21.90        6.29        11.83

CLASS L SHARES

    November 4, 1993        9.25        22.15        6.47        12.02

CLASS R2 SHARES

    November 1, 2011        8.79        21.24        5.75        11.31

CLASS R3 SHARES

    September 9, 2016        8.97        21.61        6.03        11.54

CLASS R4 SHARES

    September 9, 2016        9.10        21.96        6.29        11.83

CLASS R5 SHARES

    September 9, 2016        9.23        22.08        6.46        12.01

CLASS R6 SHARES

    November 1, 2011        9.22        22.18        6.57        12.09

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 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 R2 and Class R3 shares prior to their inception dates 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 dates are based on the performance of the Class L Shares. The actual returns of Class R5 Shares would have been similar to those shown because Class R5 Shares have similar expenses to 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
14       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Small Cap Blend Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.0%

     

Aerospace & Defense — 1.0%

     

Curtiss-Wright Corp.

     12        1,698  

Hexcel Corp.

     25        1,851  

National Presto Industries, Inc. (a)

     11        934  
    

 

 

  
       4,483  
    

 

 

  

Auto Components — 0.6%

     

Cooper-Standard Holdings, Inc. *

     11        381  

Fox Factory Holding Corp. * (a)

     22        1,509  

LCI Industries

     8        813  
    

 

 

  
       2,703  
    

 

 

  

Automobiles — 0.6%

     

Winnebago Industries, Inc. (a)

     50        2,666  
    

 

 

  

Banks — 10.1%

     

1st Source Corp.

     22        1,137  

BancFirst Corp.

     33        2,052  

Camden National Corp.

     57        2,633  

City Holding Co.

     25        2,065  

Community Trust Bancorp, Inc.

     53        2,476  

First Busey Corp.

     86        2,358  

First Commonwealth Financial Corp. (a)

     139        2,019  

First Financial Bancorp

     91        2,314  

First Financial Bankshares, Inc.

     58        2,042  

First Merchants Corp.

     53        2,214  

Great Western Bancorp, Inc. (a)

     44        1,523  

Heritage Commerce Corp.

     143        1,841  

Heritage Financial Corp.

     50        1,428  

Independent Bank Corp.

     70        1,580  

Independent Bank Corp. (a)

     27        2,280  

Lakeland Bancorp, Inc.

     127        2,201  

NBT Bancorp, Inc.

     27        1,088  

Park National Corp.

     11        1,099  

S&T Bancorp, Inc.

     46        1,870  

Sandy Spring Bancorp, Inc. (a)

     22        830  

Signature Bank

     10        1,363  

Simmons First National Corp., Class A

     45        1,206  

Tompkins Financial Corp. (a)

     18        1,666  

Trustmark Corp. (a)

     53        1,824  

Webster Financial Corp.

     22        1,149  
    

 

 

  
       44,258  
    

 

 

  

Biotechnology — 6.0%

     

ACADIA Pharmaceuticals, Inc. *

     36        1,520  

Adverum Biotechnologies, Inc. *

     24        272  

Amicus Therapeutics, Inc. *

     113        1,098  

Atara Biotherapeutics, Inc. * (a)

     62        1,026  

Avrobio, Inc. *

     57        1,142  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Biotechnology — continued

     

Biohaven Pharmaceutical Holding Co. Ltd. *

     37        2,024  

Bridgebio Pharma, Inc. *

     16        560  

Coherus Biosciences, Inc. *

     84        1,518  

FibroGen, Inc. *

     51        2,175  

G1 Therapeutics, Inc. * (a)

     44        1,172  

Global Blood Therapeutics, Inc. *

     12        922  

Halozyme Therapeutics, Inc. *

     125        2,222  

Heron Therapeutics, Inc. * (a)

     67        1,572  

Homology Medicines, Inc. * (a)

     59        1,215  

Intercept Pharmaceuticals, Inc. * (a)

     18        2,200  

Natera, Inc. * (a)

     46        1,557  

REGENXBIO, Inc. * (a)

     31        1,271  

Rubius Therapeutics, Inc. * (a)

     30        288  

Sage Therapeutics, Inc. *

     10        702  

Twist Bioscience Corp. * (a)

     61        1,274  

Viela Bio, Inc. * (a)

     26        704  
    

 

 

  
       26,434  
    

 

 

  

Building Products — 3.5%

     

Advanced Drainage Systems, Inc.

     83        3,243  

CSW Industrials, Inc.

     26        2,018  

Simpson Manufacturing Co., Inc.

     67        5,378  

Trex Co., Inc. *

     37        3,333  

Universal Forest Products, Inc.

     30        1,436  
    

 

 

  
       15,408  
    

 

 

  

Capital Markets — 1.0%

     

Evercore, Inc., Class A

     26        1,964  

LPL Financial Holdings, Inc.

     26        2,426  
    

 

 

  
       4,390  
    

 

 

  

Chemicals — 1.8%

     

Ferro Corp. *

     48        710  

Innophos Holdings, Inc. (a)

     60        1,922  

Innospec, Inc.

     24        2,527  

Sensient Technologies Corp.

     16        1,068  

Stepan Co.

     16        1,608  
    

 

 

  
       7,835  
    

 

 

  

Commercial Services & Supplies — 3.0%

     

Brady Corp., Class A

     37        2,140  

Brink’s Co. (The)

     28        2,527  

Deluxe Corp.

     36        1,814  

Kimball International, Inc., Class B

     63        1,299  

MSA Safety, Inc. (a)

     32        4,063  

UniFirst Corp.

     6        1,178  
    

 

 

  
       13,021  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         15  

Table of Contents

JPMorgan Small Cap Blend Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Communications Equipment — 0.8%

     

Ciena Corp. *

     39        1,663  

EchoStar Corp., Class A *

     47        2,041  
    

 

 

  
       3,704  
    

 

 

  

Construction & Engineering — 0.5%

     

Comfort Systems USA, Inc.

     42        2,117  
    

 

 

  

Containers & Packaging — 0.2%

     

Silgan Holdings, Inc.

     22        681  
    

 

 

  

Distributors — 0.6%

     

Pool Corp.

     12        2,646  
    

 

 

  

Diversified Consumer Services — 0.5%

     

Bright Horizons Family Solutions, Inc. *

     14        2,176  
    

 

 

  

Diversified Telecommunication Services — 0.4%

     

Cincinnati Bell, Inc. * (a)

     174        1,824  
    

 

 

  

Electric Utilities — 0.3%

     

Portland General Electric Co.

     26        1,467  
    

 

 

  

Electrical Equipment — 1.6%

     

EnerSys

     16        1,230  

Generac Holdings, Inc. *

     44        4,405  

nVent Electric plc

     60        1,541  
    

 

 

  
       7,176  
    

 

 

  

Electronic Equipment, Instruments & Components — 2.2%

 

ePlus, Inc. *

     19        1,570  

Fabrinet (Thailand) *

     25        1,634  

Littelfuse, Inc. (a)

     20        3,900  

SYNNEX Corp.

     19        2,399  
    

 

 

  
       9,503  
    

 

 

  

Entertainment — 1.1%

     

Cinemark Holdings, Inc.

     39        1,336  

Glu Mobile, Inc. * (a)

     137        829  

Sciplay Corp., Class A *

     55        677  

World Wrestling Entertainment, Inc., Class A (a)

     30        1,937  
    

 

 

  
       4,779  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 6.8%

 

   

American Campus Communities, Inc.

     43        2,011  

American Homes 4 Rent, Class A

     86        2,242  

Brixmor Property Group, Inc.

     110        2,371  

CubeSmart

     41        1,299  

EastGroup Properties, Inc.

     14        1,861  

Equity Commonwealth

     56        1,825  

Highwoods Properties, Inc.

     39        1,884  

JBG SMITH Properties

     48        1,928  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Equity Real Estate Investment Trusts (REITs) — continued

 

National Health Investors, Inc.

     16        1,335  

Rayonier, Inc.

     62        2,039  

Rexford Industrial Realty, Inc.

     52        2,370  

RLJ Lodging Trust

     110        1,941  

Sunstone Hotel Investors, Inc.

     123        1,715  

Terreno Realty Corp.

     60        3,257  

Washington (a)

     56        1,626  
    

 

 

  
       29,704  
    

 

 

  

Food & Staples Retailing — 1.3%

     

Grocery Outlet Holding Corp. *

     37        1,187  

Performance Food Group Co. *

     89        4,602  
    

 

 

  
       5,789  
    

 

 

  

Food Products — 1.1%

     

Flowers Foods, Inc.

     71        1,549  

Freshpet, Inc. *

     53        3,123  
    

 

 

  
       4,672  
    

 

 

  

Gas Utilities — 1.6%

     

Chesapeake Utilities Corp.

     22        2,080  

ONE Gas, Inc.

     30        2,809  

Southwest Gas Holdings, Inc.

     28        2,103  
    

 

 

  
       6,992  
    

 

 

  

Health Care Equipment & Supplies — 2.1%

     

Insulet Corp. *

     14        2,321  

iRhythm Technologies, Inc. * (a)

     33        2,258  

Nevro Corp. *

     28        3,277  

Shockwave Medical, Inc. *

     27        1,199  
    

 

 

  
       9,055  
    

 

 

  

Health Care Providers & Services — 2.6%

     

Acadia Healthcare Co., Inc. *

     48        1,587  

Amedisys, Inc. *

     22        3,739  

Encompass Health Corp.

     29        2,014  

Ensign Group, Inc. (The)

     31        1,413  

Pennant Group, Inc. (The) *

     13        426  

Providence Service Corp. (The) * (a)

     34        2,027  
    

 

 

  
       11,206  
    

 

 

  

Health Care Technology — 1.1%

     

Evolent Health, Inc., Class A * (a)

     100        905  

Teladoc Health, Inc. *

     49        4,096  
    

 

 

  
       5,001  
    

 

 

  

Hotels, Restaurants & Leisure — 3.3%

     

Boyd Gaming Corp.

     108        3,244  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Hotels, Restaurants & Leisure — continued

     

Cheesecake Factory, Inc. (The) (a)

     35        1,376  

Cracker Barrel Old Country Store, Inc. (a)

     8        1,283  

Jack in the Box, Inc.

     9        684  

Planet Fitness, Inc., Class A *

     29        2,185  

Red Rock Resorts, Inc., Class A

     89        2,123  

Ruth’s Hospitality Group, Inc. (a)

     50        1,097  

Texas Roadhouse, Inc.

     47        2,658  
    

 

 

  
       14,650  
    

 

 

  

Household Durables — 0.7%

     

Helen of Troy Ltd. *

     9        1,652  

TRI Pointe Group, Inc. *

     91        1,421  
    

 

 

  
       3,073  
    

 

 

  

Insurance — 2.2%

     

Argo Group International Holdings Ltd.

     7        487  

eHealth, Inc. * (a)

     20        1,950  

James River Group Holdings Ltd.

     17        706  

Old Republic International Corp.

     78        1,742  

Safety Insurance Group, Inc.

     16        1,446  

Selective Insurance Group, Inc.

     27        1,786  

Third Point Reinsurance Ltd. (Bermuda) *

     127        1,341  
    

 

 

  
       9,458  
    

 

 

  

Interactive Media & Services — 0.3%

     

Cars.com, Inc. *

     99        1,205  
    

 

 

  

Internet & Direct Marketing Retail — 0.3%

     

Farfetch Ltd., Class A (United Kingdom) *

     87        897  

RealReal, Inc. (The) * (a)

     29        548  
    

 

 

  
       1,445  
    

 

 

  

IT Services — 2.8%

 

CSG Systems International, Inc.

     35        1,812  

ManTech International Corp., Class A (a)

     43        3,452  

MAXIMUS, Inc.

     20        1,467  

MongoDB, Inc. * (a)

     11        1,449  

Science Applications International Corp.

     23        2,009  

Wix.com Ltd. (Israel) *

     19        2,300  
    

 

 

  
       12,489  
    

 

 

  

Leisure Products — 0.3%

     

Callaway Golf Co.

     58        1,220  
    

 

 

  

Life Sciences Tools & Services — 0.3%

     

10X Genomics, Inc., Class A * (a)

     9        693  

Adaptive Biotechnologies Corp. * (a)

     13        375  

Personalis, Inc. * (a)

     36        387  
    

 

 

  
       1,455  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Machinery — 6.6%

     

Alamo Group, Inc.

     19        2,443  

Blue Bird Corp. *

     93        2,136  

Chart Industries, Inc. *

     28        1,856  

Crane Co.

     12        1,074  

Graco, Inc.

     35        1,841  

Hillenbrand, Inc.

     61        2,044  

ITT, Inc.

     75        5,514  

John Bean Technologies Corp. (a)

     33        3,679  

Kadant, Inc.

     19        2,019  

Lincoln Electric Holdings, Inc. (a)

     21        2,014  

Mueller Industries, Inc.

     54        1,702  

Oshkosh Corp.

     9        870  

Watts Water Technologies, Inc., Class A

     18        1,844  
    

 

 

  
       29,036  
    

 

 

  

Marine — 0.3%

     

Kirby Corp. *

     15        1,382  
    

 

 

  

Media — 2.6%

     

Cable One, Inc.

     1        927  

Emerald Expositions Events, Inc.

     119        1,260  

Hemisphere Media Group, Inc. *

     104        1,546  

John Wiley & Sons, Inc., Class A

     16        797  

Liberty Latin America Ltd., Class C (Chile) * (a)

     126        2,452  

New York Times Co. (The), Class A (a)

     82        2,645  

Nexstar Media Group, Inc., Class A

     15        1,704  
    

 

 

  
       11,331  
    

 

 

  

Multiline Retail — 0.2%

     

Ollie’s Bargain Outlet Holdings, Inc. * (a)

     17        1,088  
    

 

 

  

Multi-Utilities — 0.5%

     

Unitil Corp.

     34        2,086  
    

 

 

  

Oil, Gas & Consumable Fuels — 1.3%

     

Callon Petroleum Co. *

     155        748  

CNX Resources Corp. * (a)

     104        923  

Delek US Holdings, Inc.

     39        1,293  

Matador Resources Co. * (a)

     50        900  

PDC Energy, Inc. * (a)

     33        860  

SRC Energy, Inc. *

     219        903  
    

 

 

  
       5,627  
    

 

 

  

Personal Products — 0.3%

     

Inter Parfums, Inc. (a)

     21        1,521  
    

 

 

  

Pharmaceuticals — 1.8%

     

Horizon Therapeutics plc *

     90        3,250  

Optinose, Inc. *

     75        691  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         17  

Table of Contents

JPMorgan Small Cap Blend Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Pharmaceuticals — continued

     

Revance Therapeutics, Inc. * (a)

     101        1,641  

TherapeuticsMD, Inc. *

     317        767  

Tricida, Inc. * (a)

     43        1,636  
    

 

 

  
       7,985  
    

 

 

  

Professional Services — 0.7%

     

FTI Consulting, Inc. *

     7        827  

Insperity, Inc.

     24        2,055  
    

 

 

  
       2,882  
    

 

 

  

Road & Rail — 1.0%

     

Marten Transport Ltd.

     63        1,357  

Saia, Inc. *

     34        3,140  
    

 

 

  
       4,497  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.4%

 

   

Cabot Microelectronics Corp.

     8        1,107  

Entegris, Inc.

     58        2,906  

Inphi Corp. * (a)

     39        2,863  

MKS Instruments, Inc.

     29        3,140  

Monolithic Power Systems, Inc.

     13        2,251  

Semtech Corp. *

     51        2,696  
    

 

 

  
       14,963  
    

 

 

  

Software — 7.2%

     

Anaplan, Inc. *

     45        2,366  

Bill.Com Holdings, Inc. *

     13        481  

Coupa Software, Inc. *

     10        1,535  

CyberArk Software Ltd. *

     19        2,220  

Dynatrace, Inc. * (a)

     68        1,725  

Elastic NV *

     27        1,741  

Envestnet, Inc. *

     47        3,265  

Globant SA (Argentina) *

     1        106  

HubSpot, Inc. *

     10        1,509  

LogMeIn, Inc.

     23        2,003  

Medallia, Inc. * (a)

     35        1,088  

Nuance Communications, Inc. *

     99        1,758  

PagerDuty, Inc. * (a)

     23        540  

Progress Software Corp.

     36        1,502  

Proofpoint, Inc. *

     21        2,453  

SailPoint Technologies Holding, Inc. *

     28        667  

Smartsheet, Inc., Class A *

     43        1,953  

Trade Desk, Inc. (The), Class A *

     3        847  

Upland Software, Inc. * (a)

     39        1,393  

Zendesk, Inc. *

     15        1,122  

Zscaler, Inc. * (a)

     32        1,488  
    

 

 

  
       31,762  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Specialty Retail — 2.5%

     

Aaron’s, Inc.

     15        865  

Hudson Ltd., Class A *

     137        2,094  

Lithia Motors, Inc., Class A (a)

     19        2,843  

National Vision Holdings, Inc. *

     113        3,678  

Williams-Sonoma, Inc.

     19        1,367  
    

 

 

  
       10,847  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.6%

     

Carter’s, Inc.

     19        2,037  

Columbia Sportswear Co. (a)

     13        1,321  

Kontoor Brands, Inc. (a)

     29        1,221  

Movado Group, Inc.

     39        857  

Wolverine World Wide, Inc.

     47        1,580  
    

 

 

  
       7,016  
    

 

 

  

Thrifts & Mortgage Finance — 1.8%

     

First Defiance Financial Corp.

     88        2,760  

TrustCo Bank Corp.

     120        1,041  

Washington Federal, Inc.

     44        1,621  

WSFS Financial Corp.

     54        2,373  
    

 

 

  
       7,795  
    

 

 

  

Trading Companies & Distributors — 2.4%

     

Applied Industrial Technologies, Inc.

     56        3,726  

H&E Equipment Services, Inc. (a)

     47        1,570  

Rush Enterprises, Inc., Class A

     52        2,420  

SiteOne Landscape Supply, Inc. *

     31        2,827  
    

 

 

  
       10,543  
    

 

 

  

Water Utilities — 1.2%

     

American States Water Co.

     31        2,693  

Middlesex Water Co.

     40        2,571  
    

 

 

  
       5,264  
    

 

 

  

Total Common Stocks
(Cost $350,975)

        430,310  
    

 

 

  

Master Limited Partnerships — 0.2%

     

Oil, Gas & Consumable Fuels — 0.2%

     

Energy Transfer LP *
(Cost $740)

     51        648  
  

 

 

  
     NO. OF
RIGHTS
(000)		          

Rights — 0.0% (b)

     

Biotechnology — 0.0% (b)

     

Clementia Pharmaceuticals, Inc. (Canada) * ‡
(Cost $ —)

     51        — (c) 
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

INVESTMENTS

  

SHARES
(000)

     

VALUE
($000)

  

Short-Term Investments — 9.4%

     

Investment Companies — 1.7%

     

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (d) (e)
(Cost $7,198)

     7,196        7,198  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 7.7%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e)

     27,002        27,005  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e)

     6,922        6,922  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $33,926)

        33,927  
    

 

 

  

Total Short-Term Investments
(Cost $41,124)

 

      41,125  
  

 

 

  

Total Investments — 107.6%
(Cost $392,839)

        472,083  

Liabilities in Excess of
Other Assets — (7.6)%

        (33,171 ) 
  

 

 

  

NET ASSETS — 100.0%

        438,912  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $33,180,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Amount rounds to less than one thousand.
(d)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(e)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
‡   Value determined using significant unobservable inputs.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         19  

Table of Contents

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 96.7%

 

Aerospace & Defense — 1.0%

 

Moog, Inc., Class A

     6        499  

Vectrus, Inc. *

     87        4,460  
    

 

 

  
       4,959  
    

 

 

  

Air Freight & Logistics — 0.1%

 

Echo Global Logistics, Inc. *

     27        549  
    

 

 

  

Airlines — 0.6%

 

SkyWest, Inc.

     44        2,829  
    

 

 

  

Auto Components — 0.1%

 

Dana, Inc.

     29        528  

Modine Manufacturing Co. *

     10        74  
    

 

 

  
       602  
    

 

 

  

Banks — 9.2%

 

Ameris Bancorp

     19        819  

Bancorp, Inc. (The) *

     84        1,089  

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

     48        1,784  

Cathay General Bancorp

     14        535  

Central Valley Community Bancorp

     5        118  

Community Trust Bancorp, Inc.

     2        111  

ConnectOne Bancorp, Inc. (a)

     42        1,083  

Customers Bancorp, Inc. *

     75        1,778  

Enterprise Financial Services Corp.

     3        134  

Financial Institutions, Inc.

     32        1,022  

First BanCorp (Puerto Rico)

     344        3,641  

First Bank

     8        89  

First Business Financial Services, Inc.

     8        214  

First Choice Bancorp

     2        59  

First Community Bankshares, Inc.

     6        182  

First Hawaiian, Inc.

     15        428  

First Horizon National Corp.

     272        4,504  

Hancock Whitney Corp.

     67        2,931  

Hanmi Financial Corp.

     59        1,176  

Hilltop Holdings, Inc.

     6        152  

IBERIABANK Corp.

     36        2,718  

Investors Bancorp, Inc.

     399        4,751  

Northeast Bank

     7        155  

PacWest Bancorp

     43        1,630  

Popular, Inc. (Puerto Rico)

     20        1,159  

Shore Bancshares, Inc.

     11        188  

Sierra Bancorp (a)

     5        150  

Signature Bank

     24        3,217  

Sterling Bancorp

     45        940  

TCF Financial Corp.

     61        2,846  

Umpqua Holdings Corp.

     138        2,439  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Banks — continued

 

United Community Banks, Inc.

     31        959  

Wintrust Financial Corp.

     33        2,352  
    

 

 

  
       45,353  
    

 

 

  

Biotechnology — 7.4%

 

Acorda Therapeutics, Inc. *

     17        34  

Aduro Biotech, Inc. *

     321        379  

Akebia Therapeutics, Inc. *

     60        376  

Alector, Inc. * (a)

     85        1,471  

AMAG Pharmaceuticals, Inc. * (a)

     12        146  

Amicus Therapeutics, Inc. *

     100        976  

AnaptysBio, Inc. *

     85        1,386  

Arrowhead Pharmaceuticals, Inc. * (a)

     41        2,569  

Assembly Biosciences, Inc. *

     46        933  

Atara Biotherapeutics, Inc. *

     9        149  

Bluebird Bio, Inc. * (a)

     7        590  

Blueprint Medicines Corp. * (a)

     21        1,714  

Bridgebio Pharma, Inc. *

     25        879  

Catalyst Pharmaceuticals, Inc. *

     210        788  

Coherus Biosciences, Inc. *

     65        1,164  

Concert Pharmaceuticals, Inc. *

     33        305  

Dicerna Pharmaceuticals, Inc. *

     100        2,193  

Esperion Therapeutics, Inc. * (a)

     15        896  

FibroGen, Inc. * (a)

     21        915  

Gritstone Oncology, Inc. *

     14        130  

Heron Therapeutics, Inc. * (a)

     78        1,824  

Homology Medicines, Inc. *

     39        802  

Immunomedics, Inc. *

     83        1,749  

Insmed, Inc. * (a)

     46        1,087  

Jounce Therapeutics, Inc. *

     41        356  

Kura Oncology, Inc. *

     6        80  

Medicines Co. (The) *

     14        1,191  

MeiraGTx Holdings plc *

     35        694  

Myriad Genetics, Inc. *

     130        3,540  

Principia Biopharma, Inc. * (a)

     2        82  

Radius Health, Inc. *

     5        104  

Rhythm Pharmaceuticals, Inc. * (a)

     26        585  

Sage Therapeutics, Inc. *

     21        1,541  

Sarepta Therapeutics, Inc. * (a)

     10        1,245  

Sutro Biopharma, Inc. *

     12        131  

Syros Pharmaceuticals, Inc. * (a)

     228        1,578  

TCR2 Therapeutics, Inc. *

     24        348  

Viela Bio, Inc. * (a)

     31        836  

Xencor, Inc. * (a)

     19        665  

Y-mAbs Therapeutics, Inc. *

     4        116  
    

 

 

  
       36,547  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

Building Products — 1.6%

 

Advanced Drainage Systems, Inc.

     22        839  

Builders FirstSource, Inc. *

     130        3,306  

CSW Industrials, Inc.

     10        755  

JELD-WEN Holding, Inc. *

     15        344  

Quanex Building Products Corp.

     19        324  

Universal Forest Products, Inc.

     49        2,353  
    

 

 

  
       7,921  
    

 

 

  

Capital Markets — 1.7%

 

BGC Partners, Inc., Class A

     34        204  

Blucora, Inc. * (a)

     96        2,501  

Brightsphere Investment Group, Inc.

     13        135  

Federated Investors, Inc., Class B

     87        2,830  

Focus Financial Partners, Inc., Class A *

     55        1,606  

Houlihan Lokey, Inc.

     14        692  

Moelis & Co., Class A

     11        348  
    

 

 

  
       8,316  
    

 

 

  

Chemicals — 1.7%

 

AdvanSix, Inc. *

     6        122  

FutureFuel Corp.

     32        393  

Koppers Holdings, Inc. *

     42        1,586  

Kraton Corp. *

     39        979  

PolyOne Corp.

     25        912  

Stepan Co.

     22        2,259  

Trinseo SA

     41        1,535  

Tronox Holdings plc, Class A

     40        452  

Valhi, Inc.

     16        29  
    

 

 

  
       8,267  
    

 

 

  

Commercial Services & Supplies — 3.0%

 

ABM Industries, Inc.

     51        1,911  

ACCO Brands Corp.

     272        2,542  

Herman Miller, Inc.

     5        196  

HNI Corp.

     52        1,956  

Kimball International, Inc., Class B

     45        920  

Knoll, Inc.

     104        2,631  

Quad/Graphics, Inc. (a)

     52        241  

RR Donnelley & Sons Co.

     102        401  

Steelcase, Inc., Class A (a)

     102        2,095  

UniFirst Corp.

     10        1,959  
    

 

 

  
       14,852  
    

 

 

  

Communications Equipment — 0.8%

 

Cambium Networks Corp. *

     117        1,019  

Ciena Corp. *

     11        449  

Comtech Telecommunications Corp.

     24        841  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Communications Equipment — continued

 

Extreme Networks, Inc. *

     79        582  

Lumentum Holdings, Inc. *

     14        1,142  
    

 

 

  
       4,033  
    

 

 

  

Construction & Engineering — 2.5%

 

Comfort Systems USA, Inc.

     24        1,183  

EMCOR Group, Inc.

     61        5,274  

Great Lakes Dredge & Dock Corp. *

     135        1,534  

MasTec, Inc. * (a)

     62        3,967  

Sterling Construction Co., Inc. *

     12        173  
    

 

 

  
       12,131  
    

 

 

  

Consumer Finance — 0.1%

 

Enova International, Inc. * (a)

     21        493  
    

 

 

  

Containers & Packaging — 0.1%

 

Berry Global Group, Inc. *

     5        259  

Myers Industries, Inc.

     21        353  
    

 

 

  
       612  
    

 

 

  

Diversified Consumer Services — 0.8%

 

American Public Education, Inc. *

     14        378  

K12, Inc. *

     84        1,719  

Strategic Education, Inc.

     6        969  

WW International, Inc. *

     19        719  
    

 

 

  
       3,785  
    

 

 

  

Diversified Telecommunication Services — 0.2%

 

IDT Corp., Class B *

     39        278  

Ooma, Inc. *

     54        708  
    

 

 

  
       986  
    

 

 

  

Electric Utilities — 1.3%

 

IDACORP, Inc.

     10        1,052  

PNM Resources, Inc.

     20        1,002  

Portland General Electric Co.

     51        2,829  

Spark Energy, Inc., Class A (a)

     150        1,386  
    

 

 

  
       6,269  
    

 

 

  

Electrical Equipment — 1.4%

 

Atkore International Group, Inc. *

     122        4,933  

Encore Wire Corp.

     14        802  

Generac Holdings, Inc. *

     12        1,245  
    

 

 

  
       6,980  
    

 

 

  

Electronic Equipment, Instruments & Components — 3.4%

 

Benchmark Electronics, Inc.

     108        3,702  

Fabrinet (Thailand) *

     21        1,357  

Kimball Electronics, Inc. *

     11        194  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         21  

Table of Contents

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Electronic Equipment, Instruments & Components — continued

 

Methode Electronics, Inc.

     82        3,237  

Sanmina Corp. *

     109        3,724  

Tech Data Corp. *

     8        1,112  

Vishay Intertechnology, Inc.

     143        3,035  

Vishay Precision Group, Inc. * (a)

     17        563  
    

 

 

  
       16,924  
    

 

 

  

Energy Equipment & Services — 0.7%

 

FTS International, Inc. *

     26        26  

Matrix Service Co. *

     45        1,027  

Nine Energy Service, Inc. * (a)

     35        276  

Select Energy Services, Inc., Class A *

     202        1,872  
    

 

 

  
       3,201  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 6.7%

 

American Assets Trust, Inc.

     9        404  

Americold Realty Trust

     68        2,367  

Armada Hoffler Properties, Inc.

     140        2,562  

Ashford Hospitality Trust, Inc.

     18        49  

Braemar Hotels & Resorts, Inc.

     14        125  

CatchMark Timber Trust, Inc., Class A

     32        364  

Chatham Lodging Trust (a)

     16        294  

City Office REIT, Inc.

     88        1,190  

CoreCivic, Inc.

     14        237  

CorEnergy Infrastructure Trust, Inc.

     8        376  

CoreSite Realty Corp.

     4        403  

Cousins Properties, Inc.

     43        1,762  

DiamondRock Hospitality Co.

     61        678  

EastGroup Properties, Inc.

     9        1,128  

First Industrial Realty Trust, Inc.

     76        3,151  

Front Yard Residential Corp.

     11        141  

GEO Group, Inc. (The)

     29        485  

Getty Realty Corp.

     21        687  

Gladstone Commercial Corp.

     58        1,270  

Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a)

     29        918  

Healthcare Realty Trust, Inc.

     61        2,019  

Highwoods Properties, Inc.

     5        237  

Hudson Pacific Properties, Inc.

     18        695  

Investors Real Estate Trust

     2        174  

Jernigan Capital, Inc. (a)

     4        78  

Lexington Realty Trust

     29        312  

LTC Properties, Inc.

     9        412  

New Senior Investment Group, Inc.

     160        1,223  

Physicians Realty Trust (a)

     170        3,224  

Rexford Industrial Realty, Inc.

     6        268  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Equity Real Estate Investment Trusts (REITs) — continued

 

Saul Centers, Inc.

     6        333  

Senior Housing Properties Trust

     50        420  

Sun Communities, Inc.

     5        721  

Sunstone Hotel Investors, Inc.

     134        1,866  

Terreno Realty Corp.

     6        319  

Urban Edge Properties

     24        462  

Xenia Hotels & Resorts, Inc.

     75        1,610  
    

 

 

  
       32,964  
    

 

 

  

Food & Staples Retailing — 0.9%

 

Grocery Outlet Holding Corp. * (a)

     21        666  

Performance Food Group Co. *

     59        3,027  

SpartanNash Co.

     14        203  

US Foods Holding Corp. *

     16        667  
    

 

 

  
       4,563  
    

 

 

  

Food Products — 1.0%

 

Sanderson Farms, Inc.

     22        3,868  

Simply Good Foods Co. (The) *

     36        1,019  

TreeHouse Foods, Inc. *

     4        216  
    

 

 

  
       5,103  
    

 

 

  

Gas Utilities — 0.7%

 

New Jersey Resources Corp.

     20        908  

ONE Gas, Inc.

     8        756  

Southwest Gas Holdings, Inc.

     22        1,682  
    

 

 

  
       3,346  
    

 

 

  

Health Care Equipment & Supplies — 2.7%

 

CONMED Corp.

     6        657  

Globus Medical, Inc., Class A *

     36        2,095  

Haemonetics Corp. *

     29        3,344  

Integer Holdings Corp. *

     47        3,756  

Masimo Corp. *

     6        893  

NuVasive, Inc. *

     25        1,933  

OraSure Technologies, Inc. * (a)

     77        621  
    

 

 

  
       13,299  
    

 

 

  

Health Care Providers & Services — 5.2%

 

Amedisys, Inc. * (a)

     6        981  

American Renal Associates Holdings, Inc. * (a)

     23        243  

Cross Country Healthcare, Inc. *

     151        1,760  

Encompass Health Corp.

     14        956  

Ensign Group, Inc. (The) (a)

     92        4,166  

Magellan Health, Inc. *

     35        2,715  

Molina Healthcare, Inc. *

     22        2,924  

Owens & Minor, Inc.

     456        2,355  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

Health Care Providers & Services — continued

 

Pennant Group, Inc. (The) *

     46        1,517  

Select Medical Holdings Corp. *

     72        1,683  

Tenet Healthcare Corp. * (a)

     136        5,162  

Tivity Health, Inc. *

     52        1,050  
    

 

 

  
       25,512  
    

 

 

  

Health Care Technology — 0.1%

 

Livongo Health, Inc. * (a)

     18        456  
    

 

 

  

Hotels, Restaurants & Leisure — 1.1%

 

Bloomin’ Brands, Inc.

     24        537  

Boyd Gaming Corp.

     15        449  

Everi Holdings, Inc. *

     153        2,055  

Marriott Vacations Worldwide Corp.

     9        1,209  

Penn National Gaming, Inc. *

     33        835  

Red Robin Gourmet Burgers, Inc. * (a)

     3        93  
    

 

 

  
       5,178  
    

 

 

  

Household Durables — 2.9%

 

Bassett Furniture Industries, Inc.

     9        153  

Hamilton Beach Brands Holding Co., Class A

     6        114  

Helen of Troy Ltd. *

     22        3,989  

KB Home

     49        1,696  

Lifetime Brands, Inc.

     22        151  

Meritage Homes Corp. * (a)

     69        4,204  

Taylor Morrison Home Corp. *

     183        3,993  
    

 

 

  
       14,300  
    

 

 

  

Household Products — 0.4%

 

Central Garden & Pet Co., Class A * (a)

     68        2,007  
    

 

 

  

Independent Power and Renewable Electricity Producers — 0.9%

 

Atlantic Power Corp. *

     81        189  

Clearway Energy, Inc.

     39        738  

TerraForm Power, Inc., Class A

     206        3,174  

Vistra Energy Corp.

     17        388  
    

 

 

  
       4,489  
    

 

 

  

Insurance — 0.3%

 

FedNat Holding Co.

     16        264  

National General Holdings Corp.

     15        335  

ProSight Global, Inc. *

     16        256  

Selective Insurance Group, Inc.

     7        429  

Third Point Reinsurance Ltd. (Bermuda) *

     17        174  
    

 

 

  
       1,458  
    

 

 

  

Interactive Media & Services — 0.2%

 

Yelp, Inc. *

     31        1,087  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Internet & Direct Marketing Retail — 0.4%

 

Groupon, Inc. *

     141        337  

Stamps.com, Inc. *

     19        1,579  
    

 

 

  
       1,916  
    

 

 

  

IT Services — 3.0%

 

Brightcove, Inc. *

     42        363  

KBR, Inc.

     114        3,481  

Limelight Networks, Inc. *

     126        513  

ManTech International Corp., Class A

     6        495  

MAXIMUS, Inc.

     4        275  

NIC, Inc. (a)

     103        2,294  

Perspecta, Inc.

     151        4,005  

Unisys Corp. *

     194        2,297  

Virtusa Corp. * (a)

     22        1,003  
    

 

 

  
       14,726  
    

 

 

  

Life Sciences Tools & Services — 0.3%

 

10X Genomics, Inc., Class A * (a)

     8        572  

Adaptive Biotechnologies Corp. * (a)

     18        523  

Personalis, Inc. *

     21        227  
    

 

 

  
       1,322  
    

 

 

  

Machinery — 1.9%

 

Columbus McKinnon Corp.

     33        1,336  

Hillenbrand, Inc.

     46        1,536  

Hurco Cos., Inc.

     8        305  

Meritor, Inc. *

     47        1,237  

Mueller Industries, Inc.

     35        1,095  

Park-Ohio Holdings Corp.

     7        226  

TriMas Corp. *

     17        537  

Wabash National Corp.

     224        3,297  
    

 

 

  
       9,569  
    

 

 

  

Marine — 0.1%

 

Costamare, Inc. (Monaco)

     53        505  
    

 

 

  

Media — 2.3%

 

Central European Media Enterprises Ltd., Class A (Czech Republic) *

     73        331  

Fluent, Inc. *

     123        308  

Gray Television, Inc. * (a)

     67        1,430  

Liberty Latin America Ltd., Class A (Chile) *

     172        3,322  

Meredith Corp. (a)

     43        1,380  

Nexstar Media Group, Inc., Class A

     15        1,729  

Sinclair Broadcast Group, Inc., Class A

     51        1,687  

TEGNA, Inc.

     66        1,095  
    

 

 

  
       11,282  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         23  

Table of Contents

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Metals & Mining — 0.9%

 

Commercial Metals Co.

     64        1,429  

Ramaco Resources, Inc. *

     16        56  

Ryerson Holding Corp. *

     24        286  

Warrior Met Coal, Inc.

     102        2,148  

Worthington Industries, Inc.

     9        359  
    

 

 

  
       4,278  
    

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 1.2%

 

Apollo Commercial Real Estate Finance, Inc. (a)

     34        629  

Ladder Capital Corp.

     36        644  

PennyMac Mortgage Investment Trust

     151        3,357  

Redwood Trust, Inc. (a)

     64        1,056  
    

 

 

  
       5,686  
    

 

 

  

Multi-Utilities — 0.2%

 

Black Hills Corp. (a)

     14        1,074  
    

 

 

  

Oil, Gas & Consumable Fuels — 2.0%

 

Amplify Energy Corp.

     55        360  

Arch Coal, Inc., Class A (a)

     14        1,001  

Berry Petroleum Corp.

     138        1,298  

CVR Energy, Inc.

     36        1,445  

Delek US Holdings, Inc. (a)

     25        855  

Denbury Resources, Inc. *

     1,366        1,926  

Dorian LPG Ltd. *

     68        1,056  

Gulfport Energy Corp. *

     135        410  

Hallador Energy Co.

     8        23  

REX American Resources Corp. *

     1        62  

W&T Offshore, Inc. *

     219        1,220  
    

 

 

  
       9,656  
    

 

 

  

Paper & Forest Products — 1.2%

 

Boise Cascade Co.

     49        1,782  

Schweitzer-Mauduit International, Inc.

     90        3,764  

Verso Corp., Class A *

     7        122  
    

 

 

  
       5,668  
    

 

 

  

Pharmaceuticals — 2.5%

 

Aclaris Therapeutics, Inc. * (a)

     47        88  

Arvinas, Inc. * (a)

     1        43  

Cara Therapeutics, Inc. * (a)

     29        469  

Dermira, Inc. * (a)

     101        1,528  

Endo International plc * (a)

     569        2,667  

Horizon Therapeutics plc *

     73        2,645  

Lannett Co., Inc. * (a)

     190        1,673  

Menlo Therapeutics, Inc. *

     92        425  

NGM Biopharmaceuticals, Inc. * (a)

     66        1,224  

Phibro Animal Health Corp., Class A

     18        437  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Pharmaceuticals — continued

 

Revance Therapeutics, Inc. * (a)

     8        136  

TherapeuticsMD, Inc. * (a)

     170        411  

WaVe Life Sciences Ltd. * (a)

     39        313  

Zynerba Pharmaceuticals, Inc. * (a)

     78        470  
    

 

 

  
       12,529  
    

 

 

  

Professional Services — 2.0%

 

Acacia Research Corp. *

     21        57  

Barrett Business Services, Inc. (a)

     45        4,028  

CBIZ, Inc. *

     52        1,397  

CRA International, Inc.

     8        449  

Heidrick & Struggles International, Inc.

     16        512  

Kelly Services, Inc., Class A (a)

     21        463  

Korn Ferry (a)

     10        429  

TriNet Group, Inc. *

     8        470  

TrueBlue, Inc. *

     85        2,047  
    

 

 

  
       9,852  
    

 

 

  

Real Estate Management & Development — 0.1%

 

Jones Lang LaSalle, Inc.

     3        526  
    

 

 

  

Road & Rail — 0.5%

 

ArcBest Corp.

     68        1,880  

Avis Budget Group, Inc. *

     13        427  

Covenant Transportation Group, Inc., Class A *

     8        97  
    

 

 

  
       2,404  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.1%

 

Advanced Energy Industries, Inc. * (a)

     23        1,608  

Alpha & Omega Semiconductor Ltd. *

     99        1,343  

Ichor Holdings Ltd. *

     37        1,217  

NeoPhotonics Corp. *

     132        1,168  

NVE Corp.

     10        714  

Onto Innovation, Inc. * (a)

     41        1,516  

Rambus, Inc. *

     262        3,612  

SMART Global Holdings, Inc. *

     49        1,855  

Ultra Clean Holdings, Inc. *

     49        1,143  

Xperi Corp.

     65        1,201  
    

 

 

  
       15,377  
    

 

 

  

Software — 2.9%

 

ACI Worldwide, Inc. *

     33        1,242  

Avaya Holdings Corp. * (a)

     29        392  

Bottomline Technologies DE, Inc. *

     10        548  

Cloudflare, Inc., Class A * (a)

     124        2,121  

Cornerstone OnDemand, Inc. *

     50        2,907  

MicroStrategy, Inc., Class A *

     5        677  

Progress Software Corp.

     83        3,461  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

Software — continued

 

SPS Commerce, Inc. *

     13        729  

SVMK, Inc. *

     29        514  

TiVo Corp.

     228        1,931  
    

 

 

  
       14,522  
    

 

 

  

Specialty Retail — 2.7%

 

Barnes & Noble Education, Inc. *

     177        756  

Hibbett Sports, Inc. *

     67        1,884  

Lithia Motors, Inc., Class A

     4        632  

Office Depot, Inc.

     481        1,318  

Rent-A-Center, Inc.

     178        5,144  

RH * (a)

     6        1,174  

Signet Jewelers Ltd.

     7        161  

Sportsman’s Warehouse Holdings, Inc. *

     61        486  

Tilly’s, Inc., Class A

     62        761  

Zumiez, Inc. * (a)

     33        1,129  
    

 

 

  
       13,445  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.2%

 

Deckers Outdoor Corp. *

     33        5,572  

Kontoor Brands, Inc. (a)

     13        546  
    

 

 

  
       6,118  
    

 

 

  

Thrifts & Mortgage Finance — 5.0%

 

Essent Group Ltd.

     99        5,137  

Flagstar Bancorp, Inc.

     79        3,022  

FS Bancorp, Inc.

     3        187  

HomeStreet, Inc. *

     17        564  

Luther Burbank Corp.

     22        250  

MGIC Investment Corp.

     217        3,079  

NMI Holdings, Inc., Class A * (a)

     29        969  

OceanFirst Financial Corp.

     21        527  

PennyMac Financial Services, Inc.

     133        4,542  

Radian Group, Inc.

     107        2,702  

Walker & Dunlop, Inc. (a)

     58        3,766  
    

 

 

  
       24,745  
    

 

 

  

Trading Companies & Distributors — 2.4%

 

Aircastle Ltd.

     83        2,660  

Applied Industrial Technologies, Inc.

     15        992  

BMC Stock Holdings, Inc. *

     101        2,895  

GMS, Inc. *

     72        1,950  

MRC Global, Inc. *

     197        2,689  

Rush Enterprises, Inc., Class A

     6        283  

Veritiv Corp.* (a)

     22        433  
    

 

 

  
       11,902  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Water Utilities — 0.0% (b)

 

Consolidated Water Co. Ltd. (Cayman Islands)

     4        71  
    

 

 

  

Total Common Stocks
(Cost $405,491)

        476,544  
  

 

 

  

Short-Term Investments — 9.8%

 

Investment Companies — 3.0%

     

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d)
(Cost $14,774)

     14,770        14,774  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 6.8%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d)

     28,000        28,002  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d)

     5,623        5,623  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $33,624)

        33,625  
  

 

 

  

Total Short-term Investments
(Cost $48,398)

 

      48,399  
    

 

 

  

Total Investments — 106.5%
(Cost $453,889)

 

      524,943  

Liabilities in Excess of
Other Assets — (6.5)%

 

      (32,157 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      492,786  
  

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

 

REIT   Real Estate Investment Trust
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $32,946,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         25  

Table of Contents

JPMorgan Small Cap Core Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Futures contracts outstanding as of December 31, 2019 (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

        151          03/2020          USD          12,608          54  
                        

 

 

  

 

Abbreviations

  

USD

   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Small Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — 95.2%

 

   

Auto Components — 1.4%

 

   

LCI Industries (a)

     921        98,702  
    

 

 

  

Automobiles — 0.4%

 

   

Thor Industries, Inc. (a)

     435        32,340  
    

 

 

  

Banks — 10.0%

 

   

BankUnited, Inc.

     1,979        72,367  

Cadence BanCorp

     2,572        46,633  

Commerce Bancshares, Inc. (a)

     1,332        90,474  

Cullen/Frost Bankers, Inc. (a)

     666        65,165  

First Financial Bancorp

     2,778        70,678  

First Hawaiian, Inc.

     2,901        83,698  

First Horizon National Corp.

     4,078        67,533  

IBERIABANK Corp.

     790        59,134  

Western Alliance Bancorp (a)

     1,636        93,276  

Wintrust Financial Corp.

     1,154        81,794  
    

 

 

  
       730,752  
    

 

 

  

Beverages — 0.7%

 

   

Cott Corp. (a)

     3,579        48,964  
    

 

 

  

Building Products — 1.1%

 

   

Fortune Brands Home & Security, Inc.

     1,215        79,364  
    

 

 

  

Capital Markets — 5.1%

 

   

Assetmark Financial Holdings, Inc. *

     556        16,126  

Eaton Vance Corp.

     1,085        50,649  

FactSet Research Systems, Inc. (a)

     197        52,890  

Focus Financial Partners, Inc., Class A *

     1,890        55,696  

Lazard Ltd., Class A

     1,858        74,257  

Moelis & Co., Class A

     1,681        53,671  

Morningstar, Inc. (a)

     434        65,658  
    

 

 

  
       368,947  
    

 

 

  

Chemicals — 3.6%

 

   

GCP Applied Technologies, Inc. *

     2,632        59,765  

PQ Group Holdings, Inc. *

     3,794        65,189  

Quaker Chemical Corp. (a)

     520        85,508  

Valvoline, Inc.

     2,234        47,839  
    

 

 

  
       258,301  
    

 

 

  

Commercial Services & Supplies — 5.9%

 

   

Advanced Disposal Services, Inc. *

     1,319        43,370  

Brady Corp., Class A

     1,665        95,337  

BrightView Holdings, Inc. *

     1,393        23,493  

IAA, Inc. *

     1,766        83,118  

KAR Auction Services, Inc.

     1,819        39,635  

MSA Safety, Inc.

     894        113,021  

US Ecology, Inc. (a)

     558        32,342  
    

 

 

  
       430,316  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Construction & Engineering — 1.2%

 

   

WillScot Corp. *

     4,780        88,382  
    

 

 

  

Containers & Packaging — 3.2%

 

   

AptarGroup, Inc.

     1,445        167,071  

Crown Holdings, Inc. *

     941        68,287  
    

 

 

  
       235,358  
    

 

 

  

Distributors — 2.6%

 

   

Pool Corp.

     878        186,383  
    

 

 

  

Diversified Consumer Services — 0.5%

 

   

ServiceMaster Global Holdings, Inc. *

     956        36,951  
    

 

 

  

Electric Utilities — 1.3%

 

   

Portland General Electric Co. (a)

     1,751        97,675  
    

 

 

  

Electrical Equipment — 1.0%

 

   

Generac Holdings, Inc. *

     716        71,974  
    

 

 

  

Electronic Equipment, Instruments & Components — 0.6%

 

nLight, Inc. * (a)

     2,119        42,964  
    

 

 

  

Energy Equipment & Services — 1.4%

 

   

Core Laboratories NV (a)

     1,053        39,679  

Patterson-UTI Energy, Inc.

     5,719        60,047  
    

 

 

  
       99,726  
    

 

 

  

Entertainment — 1.2%

 

   

Cinemark Holdings, Inc. (a)

     2,554        86,465  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 5.6%

 

   

CubeSmart

     2,508        78,958  

EastGroup Properties, Inc.

     855        113,393  

National Retail Properties, Inc.

     1,784        95,638  

Outfront Media, Inc.

     1,943        52,117  

RLJ Lodging Trust

     3,642        64,543  
    

 

 

  
       404,649  
    

 

 

  

Food & Staples Retailing — 3.5%

 

   

BJ’s Wholesale Club Holdings, Inc. * (a)

     2,850        64,803  

Performance Food Group Co. *

     3,625        186,605  
    

 

 

  
       251,408  
    

 

 

  

Health Care Equipment & Supplies — 2.9%

 

   

Envista Holdings Corp. *

     1,037        30,736  

ICU Medical, Inc. *

     366        68,460  

West Pharmaceutical Services, Inc.

     748        112,454  
    

 

 

  
       211,650  
    

 

 

  

Health Care Providers & Services — 4.5%

 

   

Encompass Health Corp. (a)

     1,623        112,412  

HealthEquity, Inc. * (a)

     762        56,456  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         27  

Table of Contents

JPMorgan Small Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

     

Health Care Providers & Services — continued

 

   

Molina Healthcare, Inc. *

     728        98,744  

Premier, Inc., Class A *

     1,647        62,379  
    

 

 

  
       329,991  
    

 

 

  

Hotels, Restaurants & Leisure — 1.2%

 

   

Monarch Casino & Resort, Inc. *

     509        24,736  

Planet Fitness, Inc., Class A *

     442        33,014  

Wendy’s Co. (The) (a)

     1,439        31,967  
    

 

 

  
       89,717  
    

 

 

  

Insurance — 2.5%

 

   

Kinsale Capital Group, Inc.

     896        91,053  

RLI Corp. (a)

     983        88,458  
    

 

 

  
       179,511  
    

 

 

  

Internet & Direct Marketing Retail — 0.4%

 

Grubhub, Inc. * (a)

     622        30,272  
    

 

 

  

IT Services — 0.8%

 

CoreLogic, Inc. * (a)

     1,298        56,720  
    

 

 

  

Leisure Products — 2.4%

 

Acushnet Holdings Corp. (a)

     1,801        58,547  

Brunswick Corp.

     1,915        114,867  

Malibu Boats, Inc., Class A *

     88        3,589  
    

 

 

  
       177,003  
    

 

 

  

Life Sciences Tools & Services — 1.0%

 

Syneos Health, Inc. * (a)

     1,174        69,839  
    

 

 

  

Machinery — 10.0%

 

Altra Industrial Motion Corp.

     1,944        70,376  

Douglas Dynamics, Inc.

     996        54,773  

Gates Industrial Corp. plc * (a)

     4,343        59,760  

Lincoln Electric Holdings, Inc. (a)

     1,147        110,959  

RBC Bearings, Inc. *

     621        98,355  

Toro Co. (The)

     2,406        191,675  

Welbilt, Inc. * (a)

     2,779        43,379  

Woodward, Inc.

     837        99,192  
    

 

 

  
       728,469  
    

 

 

  

Media — 0.4%

 

EW Scripps Co. (The), Class A

     1,895        29,777  
    

 

 

  

Multi-Utilities — 1.3%

 

NorthWestern Corp.

     1,353        96,957  
    

 

 

  

Oil, Gas & Consumable Fuels — 0.6%

 

Cimarex Energy Co.

     814        42,728  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Pharmaceuticals — 2.4%

 

Catalent, Inc. *

     2,280        128,366  

Prestige Consumer Healthcare, Inc. *

     1,135        45,969  
    

 

 

  
       174,335  
    

 

 

  

Real Estate Management & Development — 1.1%

 

Cushman & Wakefield plc *

     3,905        79,820  
    

 

 

  

Road & Rail — 1.9%

 

Knight-Swift Transportation Holdings, Inc. (a)

     2,022        72,463  

Landstar System, Inc.

     596        67,880  
    

 

 

  
       140,343  
    

 

 

  

Semiconductors & Semiconductor Equipment — 2.1%

 

Cabot Microelectronics Corp. (a)

     677        97,760  

Power Integrations, Inc.

     550        54,429  
    

 

 

  
       152,189  
    

 

 

  

Software — 7.5%

 

Aspen Technology, Inc. *

     580        70,156  

Bill.Com Holdings, Inc. *

     246        9,353  

Blackbaud, Inc. (a)

     763        60,706  

Cision Ltd. * (a)

     3,798        37,862  

Cornerstone OnDemand, Inc. * (a)

     995        58,278  

Envestnet, Inc. * (a)

     571        39,759  

Guidewire Software, Inc. * (a)

     635        69,664  

Medallia, Inc. * (a)

     396        12,331  

Q2 Holdings, Inc. * (a)

     1,043        84,586  

SailPoint Technologies Holding, Inc. * (a)

     1,294        30,550  

Tyler Technologies, Inc. * (a)

     232        69,587  
    

 

 

  
       542,832  
    

 

 

  

Specialty Retail — 0.0% (b)

 

National Vision Holdings, Inc. *

     113        3,652  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.9%

 

Carter’s, Inc. (a)

     583        63,772  
    

 

 

  

Trading Companies & Distributors — 1.0%

 

Applied Industrial Technologies, Inc.

     1,119        74,610  
    

 

 

  

Total Common Stocks
(Cost $4,744,907)

        6,923,808  
  

 

 

  

Exchange-Traded Funds — 0.4%

     

U.S. Equity — 0.4%

 

iShares Russell 2000 ETF (a)
(Cost $30,136)

     196        32,447  
    

 

 

  

Short-Term Investments — 8.5%

     

Investment Companies — 4.6%

     

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d)
(Cost $333,076)

     332,976        333,076  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Short-Term Investments — continued

     

Investment of Cash Collateral from Securities Loaned — 3.9%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d)

     253,017        253,043  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d)

     30,027        30,027  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $283,062)

        283,070  
  

 

 

  

Total Short-Term Investments
(Cost $616,138)

 

      616,146  
    

 

 

  

Total Investments — 104.1%
(Cost $5,391,181)

 

      7,572,401  

Liabilities in Excess of
Other Assets — (4.1)%

 

      (299,372 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      7,273,029  
  

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

 

ETF   Exchange-Traded Fund
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $270,653,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         29  

Table of Contents

JPMorgan Small Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.8%

 

Aerospace & Defense — 0.8%

 

Hexcel Corp.

     375        27,481  
    

 

 

  

Auto Components — 0.7%

 

Fox Factory Holding Corp. * (a)

     322        22,410  
    

 

 

  

Automobiles — 1.2%

 

Winnebago Industries, Inc. (a)

     747        39,579  
    

 

 

  

Banks — 2.1%

 

First Financial Bankshares, Inc. (a)

     864        30,322  

Signature Bank

     148        20,242  

Webster Financial Corp.

     320        17,055  
    

 

 

  
       67,619  
    

 

 

  

Biotechnology — 12.0%

 

ACADIA Pharmaceuticals, Inc. *

     527        22,562  

Adverum Biotechnologies, Inc. * (a)

     351        4,043  

Amicus Therapeutics, Inc. *

     1,673        16,297  

Atara Biotherapeutics, Inc. * (a)

     925        15,231  

Avrobio, Inc. * (a)

     843        16,961  

Biohaven Pharmaceutical Holding Co. Ltd. *

     552        30,052  

Bridgebio Pharma, Inc. * (a)

     237        8,312  

Coherus Biosciences, Inc. *

     1,252        22,541  

FibroGen, Inc. * (a)

     753        32,287  

G1 Therapeutics, Inc. * (a)

     658        17,395  

Global Blood Therapeutics, Inc. *

     172        13,684  

Halozyme Therapeutics, Inc. * (a)

     1,861        32,991  

Heron Therapeutics, Inc. * (a)

     993        23,343  

Homology Medicines, Inc. * (a)

     872        18,044  

Intercept Pharmaceuticals, Inc. * (a)

     264        32,660  

Natera, Inc. * (a)

     686        23,116  

REGENXBIO, Inc. * (a)

     461        18,871  

Rubius Therapeutics, Inc. * (a)

     451        4,284  

Sage Therapeutics, Inc. *

     144        10,420  

Twist Bioscience Corp. * (a)

     901        18,912  

Viela Bio, Inc. * (a)

     385        10,451  
    

 

 

  
       392,457  
    

 

 

  

Building Products — 4.5%

 

Advanced Drainage Systems, Inc.

     1,240        48,150  

Simpson Manufacturing Co., Inc.

     610        48,932  

Trex Co., Inc. * (a)

     551        49,479  
    

 

 

  
       146,561  
    

 

 

  

Capital Markets — 0.9%

 

Evercore, Inc., Class A

     390        29,156  
    

 

 

  

Chemicals — 0.3%

 

Ferro Corp. *

     711        10,544  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Commercial Services & Supplies — 3.0%

 

Brink’s Co. (The) (a)

     414        37,523  

MSA Safety, Inc. (a)

     477        60,316  
    

 

 

  
       97,839  
    

 

 

  

Communications Equipment — 0.7%

 

Ciena Corp. *

     578        24,692  
    

 

 

  

Distributors — 1.2%

 

Pool Corp.

     185        39,285  
    

 

 

  

Diversified Consumer Services — 1.0%

 

Bright Horizons Family Solutions, Inc. *

     215        32,314  
    

 

 

  

Electrical Equipment — 2.0%

 

Generac Holdings, Inc. *

     650        65,394  
    

 

 

  

Electronic Equipment, Instruments & Components — 0.9%

 

Littelfuse, Inc. (a)

     156        29,900  
    

 

 

  

Entertainment — 1.6%

 

Glu Mobile, Inc. * (a)

     2,033        12,302  

Sciplay Corp., Class A *

     818        10,051  

World Wrestling Entertainment, Inc., Class A (a)

     443        28,766  
    

 

 

  
       51,119  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.8%

 

CubeSmart

     613        19,285  

EastGroup Properties, Inc.

     208        27,624  

National Health Investors, Inc.

     243        19,819  

Terreno Realty Corp.

     461        24,952  
    

 

 

  
       91,680  
    

 

 

  

Food & Staples Retailing — 2.6%

 

Grocery Outlet Holding Corp. * (a)

     543        17,625  

Performance Food Group Co. *

     1,327        68,321  
    

 

 

  
       85,946  
    

 

 

  

Food Products — 1.4%

 

Freshpet, Inc. *

     785        46,359  
    

 

 

  

Health Care Equipment & Supplies — 4.1%

 

Insulet Corp. *

     201        34,469  

iRhythm Technologies, Inc. * (a)

     492        33,519  

Nevro Corp. * (a)

     414        48,650  

Shockwave Medical, Inc. * (a)

     405        17,805  
    

 

 

  
       134,443  
    

 

 

  

Health Care Providers & Services — 2.4%

 

Acadia Healthcare Co., Inc. * (a)

     709        23,560  

Amedisys, Inc. * (a)

     333        55,509  
    

 

 

  
       79,069  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Health Care Technology — 2.3%

 

Evolent Health, Inc., Class A * (a)

     1,486        13,444  

Teladoc Health, Inc. *

     726        60,810  
    

 

 

  
       74,254  
    

 

 

  

Hotels, Restaurants & Leisure — 4.6%

 

Boyd Gaming Corp.

     1,609        48,163  

Planet Fitness, Inc., Class A *

     434        32,441  

Red Rock Resorts, Inc., Class A

     1,316        31,526  

Texas Roadhouse, Inc.

     701        39,468  
    

 

 

  
       151,598  
    

 

 

  

Household Durables — 0.6%

 

TRI Pointe Group, Inc. *

     1,354        21,102  
    

 

 

  

Insurance — 0.9%

 

eHealth, Inc. * (a)

     301        28,946  
    

 

 

  

Internet & Direct Marketing Retail — 0.7%

 

Farfetch Ltd., Class A (United Kingdom) * (a)

     1,286        13,313  

RealReal, Inc. (The) * (a)

     432        8,135  
    

 

 

  
       21,448  
    

 

 

  

IT Services — 3.3%

 

ManTech International Corp., Class A

     642        51,257  

MongoDB, Inc. * (a)

     163        21,517  

Wix.com Ltd. (Israel) * (a)

     279        34,140  
    

 

 

  
       106,914  
    

 

 

  

Life Sciences Tools & Services — 0.7%

 

10X Genomics, Inc., Class A * (a)

     135        10,294  

Adaptive Biotechnologies Corp. * (a)

     186        5,567  

Personalis, Inc. * (a)

     527        5,747  
    

 

 

  
       21,608  
    

 

 

  

Machinery — 5.1%

 

Chart Industries, Inc. * (a)

     408        27,564  

Graco, Inc.

     526        27,331  

ITT, Inc.

     595        43,992  

John Bean Technologies Corp. (a)

     485        54,628  

Oshkosh Corp.

     137        12,922  
    

 

 

  
       166,437  
    

 

 

  

Marine — 0.6%

 

Kirby Corp. * (a)

     229        20,522  
    

 

 

  

Media — 1.2%

 

New York Times Co. (The), Class A (a)

     1,221        39,264  
    

 

 

  

Multiline Retail — 0.5%

 

Ollie’s Bargain Outlet Holdings, Inc. * (a)

     247        16,155  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Pharmaceuticals — 3.6%

 

Horizon Therapeutics plc * (a)

     1,333        48,252  

Optinose, Inc. *

     1,113        10,264  

Revance Therapeutics, Inc.* (a)

     1,501        24,355  

TherapeuticsMD, Inc. *

     4,708        11,394  

Tricida, Inc.* (a)

     643        24,282  
    

 

 

  
       118,547  
    

 

 

  

Professional Services — 0.4%

 

FTI Consulting, Inc. *

     111        12,283  
    

 

 

  

Road & Rail — 1.4%

 

Saia, Inc. * (a)

     501        46,619  
    

 

 

  

Semiconductors & Semiconductor Equipment — 6.3%

 

Entegris, Inc.

     862        43,153  

Inphi Corp. *

     574        42,500  

MKS Instruments, Inc.

     424        46,625  

Monolithic Power Systems, Inc. (a)

     188        33,427  

Semtech Corp. *

     757        40,024  
    

 

 

  
       205,729  
    

 

 

  

Software — 11.4%

 

Anaplan, Inc. *

     670        35,125  

Bill.Com Holdings, Inc. *

     188        7,144  

Coupa Software, Inc. *

     156        22,794  

CyberArk Software Ltd. * (a)

     283        32,954  

Dynatrace, Inc. * (a)

     1,012        25,607  

Elastic NV * (a)

     402        25,844  

Envestnet, Inc. *

     696        48,470  

Globant SA (Argentina) *

     14        1,529  

HubSpot, Inc. *

     141        22,401  

Medallia, Inc. * (a)

     519        16,159  

PagerDuty, Inc. * (a)

     343        8,016  

Proofpoint, Inc. *

     317        36,419  

SailPoint Technologies Holding, Inc. *

     420        9,910  

Smartsheet, Inc., Class A *

     646        28,999  

Trade Desk, Inc. (The), Class A * (a)

     48        12,574  

Zendesk, Inc. *

     217        16,661  

Zscaler, Inc. * (a)

     475        22,086  
    

 

 

  
       372,692  
    

 

 

  

Specialty Retail — 4.3%

 

Aaron’s, Inc.

     225        12,844  

Hudson Ltd., Class A *

     2,034        31,203  

Lithia Motors, Inc., Class A (a)

     287        42,202  

National Vision Holdings, Inc. *

     1,684        54,612  
    

 

 

  
       140,861  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         31  

Table of Contents

JPMorgan Small Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Textiles, Apparel & Luxury Goods — 0.7%

 

Wolverine World Wide, Inc.

     695        23,466  
    

 

 

  

Trading Companies & Distributors — 4.0%

 

Applied Industrial Technologies, Inc.

     429        28,594  

H&E Equipment Services, Inc.

     697        23,313  

Rush Enterprises, Inc., Class A

     773        35,933  

SiteOne Landscape Supply, Inc. * (a)

     463        41,969  
    

 

 

  
       129,809  
    

 

 

  

Total Common Stocks
(Cost $2,411,990)

 

      3,232,101  
    

 

 

  
     NO. OF
RIGHTS
(000)		          

Rights — 0.0% (b)

 

Biotechnology — 0.0% (b)

 

Clementia Pharmaceuticals, Inc. (Canada) * ‡
(Cost $—)

     927        — (c) 
    

 

 

  
     SHARES
(000)		          

Short-Term Investments — 9.1%

 

Investment Companies — 1.1%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (d) (e)
(Cost $37,125)

     37,114        37,125  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Investment of Cash Collateral from Securities Loaned — 8.0%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e)

    234,016        234,039  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e)

     26,845        26,845  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $260,874)

 

      260,884  
  

 

 

  

Total Short-Term Investments
(Cost $297,999)

 

      298,009  
    

 

 

  

Total Investments — 107.9%
(Cost $2,709,989)

 

      3,530,110  

Liabilities in Excess of
Other Assets — (7.9)%

 

      (258,233 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      3,271,877  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $255,206,000.

(b)   Amount rounds to less than 0.1% of net assets.
(c)   Amount rounds to less than one thousand.
(d)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(e)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
‡   Value determined using significant unobservable inputs.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.1%

 

   

Aerospace & Defense — 0.4%

 

   

Moog, Inc., Class A

     67        5,726  
    

 

 

  

Air Freight & Logistics — 0.5%

 

   

Echo Global Logistics, Inc. *

     289        5,972  
    

 

 

  

Airlines — 0.3%

 

   

Hawaiian Holdings, Inc.

     119        3,494  
    

 

 

  

Auto Components — 0.7%

 

   

Adient plc * (a)

     113        2,393  

Cooper-Standard Holdings, Inc. *

     6        199  

Gentherm, Inc. *

     99        4,394  

Stoneridge, Inc. *

     90        2,645  
    

 

 

  
       9,631  
    

 

 

  

Banks — 18.2%

 

   

1st Source Corp. (a)

     85        4,384  

American National Bankshares, Inc.

     5        198  

Atlantic Capital Bancshares, Inc. *

     60        1,097  

Atlantic Union Bankshares Corp.

     7        244  

BancFirst Corp.

     98        6,144  

BancorpSouth Bank

     61        1,907  

BankFinancial Corp.

     176        2,305  

Banner Corp.

     33        1,867  

Brookline Bancorp, Inc.

     181        2,981  

Bryn Mawr Bank Corp.

     24        998  

Cadence BanCorp

     13        239  

Cathay General Bancorp

     161        6,137  

Central Pacific Financial Corp.

     350        10,362  

Central Valley Community Bancorp

     19        410  

Century Bancorp, Inc., Class A (a)

     3        279  

Citizens & Northern Corp.

     15        429  

City Holding Co.

     50        4,122  

Columbia Banking System, Inc.

     155        6,322  

Community Bank System, Inc. (a)

     106        7,541  

Community Trust Bancorp, Inc.

     96        4,457  

East West Bancorp, Inc.

     10        465  

Enterprise Financial Services Corp.

     166        7,984  

Financial Institutions, Inc.

     54        1,746  

First Bancorp

     24        946  

First BanCorp (Puerto Rico)

     947        10,032  

First Citizens BancShares, Inc., Class A (a)

     7        3,459  

First Commonwealth Financial Corp. (a)

     754        10,939  

First Community Bankshares, Inc.

     47        1,464  

First Financial Corp.

     16        741  

First Hawaiian, Inc.

     74        2,135  

First Interstate BancSystem, Inc., Class A

     27        1,147  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
  

Banks — continued

 

   

Flushing Financial Corp.

     114        2,467  

Glacier Bancorp, Inc. (a)

     166        7,625  

Great Southern Bancorp, Inc.

     29        1,830  

Great Western Bancorp, Inc.

     80        2,783  

Hancock Whitney Corp.

     20        887  

Hilltop Holdings, Inc.

     188        4,677  

Home BancShares, Inc. (a)

     301        5,918  

Hope Bancorp, Inc.

     502        7,456  

Independent Bank Corp.

     43        972  

Investors Bancorp, Inc.

     761        9,071  

Lakeland Financial Corp. (a)

     33        1,595  

Mercantile Bank Corp. (a)

     15        547  

OFG Bancorp (Puerto Rico)

     82        1,924  

People’s United Financial, Inc.

     66        1,117  

Preferred Bank

     14        823  

Republic Bancorp, Inc., Class A

     15        716  

S&T Bancorp, Inc.

     18        717  

South State Corp.

     129        11,212  

Stock Yards Bancorp, Inc. (a)

     15        616  

Tompkins Financial Corp. (a)

     18        1,601  

TriState Capital Holdings, Inc. * (a)

     20        522  

Trustmark Corp. (a)

     450        15,540  

UMB Financial Corp. (a)

     174        11,950  

Umpqua Holdings Corp.

     461        8,168  

United Bankshares, Inc. (a)

     410        15,843  

Valley National Bancorp

     36        410  

Washington Trust Bancorp, Inc.

     30        1,592  

Webster Financial Corp.

     87        4,658  

West Bancorp, Inc.

     10        258  

Westamerica Bancorp (a)

     217        14,713  
    

 

 

  
       241,689  
    

 

 

  

Biotechnology — 2.1%

 

   

Acorda Therapeutics, Inc. *

     26        53  

Arcus Biosciences, Inc. *

     259        2,612  

Enanta Pharmaceuticals, Inc. * (a)

     27        1,686  

Epizyme, Inc. * (a)

     234        5,764  

Fate Therapeutics, Inc. * (a)

     136        2,656  

Five Prime Therapeutics, Inc. *

     126        577  

Iovance Biotherapeutics, Inc. * (a)

     225        6,239  

Medicines Co. (The) *

     95        8,061  
    

 

 

  
       27,648  
    

 

 

  

Building Products — 1.4%

 

   

Armstrong Flooring, Inc. *

     33        142  

Builders FirstSource, Inc. *

     529        13,447  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         33  

Table of Contents

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Building Products — continued

 

   

Masonite International Corp. *

     43        3,120  

Quanex Building Products Corp.

     115        1,964  
    

 

 

  
       18,673  
    

 

 

  

Capital Markets — 0.9%

 

   

Brightsphere Investment Group, Inc.

     83        850  

Donnelley Financial Solutions, Inc. *

     141        1,480  

Moelis & Co., Class A (a)

     11        361  

Oppenheimer Holdings, Inc., Class A

     12        316  

Stifel Financial Corp. (a)

     154        9,340  
    

 

 

  
       12,347  
    

 

 

  

Chemicals — 1.0%

 

   

FutureFuel Corp.

     173        2,141  

Minerals Technologies, Inc.

     106        6,091  

Trinseo SA

     141        5,258  
    

 

 

  
       13,490  
    

 

 

  

Commercial Services & Supplies — 2.2%

 

   

ABM Industries, Inc. (a)

     218        8,236  

ACCO Brands Corp.

     1,062        9,938  

Deluxe Corp.

     91        4,523  

Ennis, Inc.

     65        1,412  

Quad/Graphics, Inc. (a)

     523        2,441  

VSE Corp.

     71        2,686  
    

 

 

  
       29,236  
    

 

 

  

Communications Equipment — 0.3%

 

   

Comtech Telecommunications Corp. (a)

     28        983  

NetScout Systems, Inc. *

     97        2,330  
    

 

 

  
       3,313  
    

 

 

  

Construction & Engineering — 1.6%

 

   

EMCOR Group, Inc.

     156        13,489  

MYR Group, Inc. *

     135        4,413  

Sterling Construction Co., Inc. *

     84        1,177  

Tutor Perini Corp. * (a)

     171        2,195  
    

 

 

  
       21,274  
    

 

 

  

Consumer Finance — 0.3%

 

   

Nelnet, Inc., Class A

     71        4,135  
    

 

 

  

Containers & Packaging — 0.1%

 

   

Myers Industries, Inc.

     43        712  
    

 

 

  

Distributors — 0.3%

 

   

Core-Mark Holding Co., Inc.

     169        4,601  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
  

Diversified Consumer Services — 0.9%

 

   

Houghton Mifflin Harcourt Co. *

     429        2,680  

K12, Inc. *

     436        8,869  
    

 

 

  
       11,549  
    

 

 

  

Diversified Financial Services — 0.0% (b)

 

   

Marlin Business Services Corp.

     25        552  
    

 

 

  

Diversified Telecommunication Services — 0.3%

 

   

Consolidated Communications Holdings, Inc. (a)

     1,161        4,505  
    

 

 

  

Electric Utilities — 1.2%

 

   

IDACORP, Inc.

     12        1,303  

Portland General Electric Co.

     253        14,093  

Spark Energy, Inc., Class A

     73        677  
    

 

 

  
       16,073  
    

 

 

  

Electrical Equipment — 0.5%

 

   

American Superconductor Corp. *

     269        2,108  

Bloom Energy Corp., Class A *

     11        78  

Powell Industries, Inc. (a)

     93        4,576  
    

 

 

  
       6,762  
    

 

 

  

Electronic Equipment, Instruments & Components — 1.9%

 

   

Bel Fuse, Inc., Class B

     64        1,310  

Benchmark Electronics, Inc.

     314        10,786  

Fabrinet (Thailand) *

     89        5,764  

OSI Systems, Inc. *

     9        886  

Tech Data Corp. *

     46        6,548  
    

 

 

  
       25,294  
    

 

 

  

Energy Equipment & Services — 1.3%

 

   

Dril-Quip, Inc. * (a)

     45        2,106  

Era Group, Inc. *

     65        663  

FTS International, Inc. *

     75        78  

Matrix Service Co. *

     307        7,031  

NexTier Oilfield Solutions, Inc. * (a)

     133        894  

SEACOR Holdings, Inc. *

     136        5,869  
    

 

 

  
       16,641  
    

 

 

  

Entertainment — 0.3%

 

   

Eros International plc (India) * (a)

     1,181        4,003  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 9.8%

 

   

Acadia Realty Trust

     106        2,749  

Agree Realty Corp. (a)

     9        603  

Alexander & Baldwin, Inc. (a)

     156        3,263  

American Assets Trust, Inc.

     233        10,690  

Ashford Hospitality Trust, Inc.

     604        1,684  

Braemar Hotels & Resorts, Inc.

     167        1,493  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

   

Equity Real Estate Investment Trusts (REITs) — continued

 

   

Cedar Realty Trust, Inc.

     214        631  

City Office REIT, Inc.

     139        1,873  

CoreCivic, Inc.

     61        1,064  

CorEnergy Infrastructure Trust, Inc. (a)

     43        1,912  

CoreSite Realty Corp.

     34        3,846  

DiamondRock Hospitality Co.

     854        9,463  

Easterly Government Properties, Inc.

     213        5,054  

First Industrial Realty Trust, Inc.

     163        6,779  

Franklin Street Properties Corp.

     140        1,199  

Front Yard Residential Corp.

     65        796  

GEO Group, Inc. (The)

     344        5,717  

Getty Realty Corp.

     164        5,385  

Gladstone Commercial Corp.

     179        3,913  

Hersha Hospitality Trust

     48        700  

Highwoods Properties, Inc.

     23        1,140  

Industrial Logistics Properties Trust

     29        639  

Kite Realty Group Trust

     70        1,365  

Lexington Realty Trust

     356        3,778  

Mack-Cali Realty Corp.

     224        5,186  

Pebblebrook Hotel Trust (a)

     213        5,716  

Physicians Realty Trust

     143        2,701  

Piedmont Office Realty Trust, Inc., Class A

     271        6,036  

PotlatchDeltic Corp.

     10        428  

PS Business Parks, Inc.

     23        3,841  

Retail Opportunity Investments Corp.

     244        4,311  

RLJ Lodging Trust

     66        1,170  

Saul Centers, Inc.

     9        486  

Service Properties Trust

     25        601  

STAG Industrial, Inc.

     126        3,968  

Sunstone Hotel Investors, Inc.

     972        13,532  

Terreno Realty Corp.

     38        2,068  

UMH Properties, Inc.

     27        426  

Urstadt Biddle Properties, Inc., Class A

     61        1,503  

Xenia Hotels & Resorts, Inc.

     154        3,334  
    

 

 

  
       131,043  
    

 

 

  

Food & Staples Retailing — 0.1%

 

   

Grocery Outlet Holding Corp. * (a)

     33        1,074  

Rite Aid Corp. * (a)

     46        707  
    

 

 

  
       1,781  
    

 

 

  

Food Products — 1.2%

 

   

Darling Ingredients, Inc. *

     83        2,325  

Sanderson Farms, Inc.

     81        14,256  
    

 

 

  
       16,581  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
  

Gas Utilities — 1.5%

 

   

Northwest Natural Holding Co.

     76        5,611  

ONE Gas, Inc.

     25        2,367  

Southwest Gas Holdings, Inc.

     117        8,919  

Spire, Inc.

     40        3,291  
    

 

 

  
       20,188  
    

 

 

  

Health Care Equipment & Supplies — 0.3%

 

   

Varex Imaging Corp. *

     127        3,771  
    

 

 

  

Health Care Providers & Services — 1.7%

 

   

American Renal Associates Holdings, Inc. * (a)

     71        740  

Cross Country Healthcare, Inc. *

     180        2,094  

Diplomat Pharmacy, Inc. *

     406        1,625  

Magellan Health, Inc. *

     166        12,989  

Owens & Minor, Inc. (a)

     835        4,319  

Patterson Cos., Inc. (a)

     56        1,141  
    

 

 

  
       22,908  
    

 

 

  

Health Care Technology — 0.9%

 

   

Allscripts Healthcare Solutions, Inc. *

     1,172        11,507  

Computer Programs & Systems, Inc. (a)

     24        631  
    

 

 

  
       12,138  
    

 

 

  

Hotels, Restaurants & Leisure — 1.0%

 

   

Boyd Gaming Corp.

     68        2,030  

Brinker International, Inc. (a)

     268        11,269  

Red Lion Hotels Corp. * (a)

     149        557  
    

 

 

  
       13,856  
    

 

 

  

Household Durables — 2.8%

 

   

Helen of Troy Ltd. * (a)

     11        1,942  

KB Home

     219        7,498  

Meritage Homes Corp. * (a)

     49        2,982  

Sonos, Inc. *

     602        9,398  

Taylor Morrison Home Corp. *

     35        772  

TRI Pointe Group, Inc. *

     974        15,175  
    

 

 

  
       37,767  
    

 

 

  

Independent Power and Renewable Electricity Producers — 1.3%

 

Atlantic Power Corp. *

     1,612        3,756  

Clearway Energy, Inc.

     319        6,103  

Clearway Energy, Inc., Class C (a)

     366        7,298  
    

 

 

  
       17,157  
    

 

 

  

Insurance — 2.4%

 

   

Ambac Financial Group, Inc. * (a)

     88        1,903  

American Equity Investment Life Holding Co.

     265        7,943  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         35  

Table of Contents

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Insurance — continued

 

   

AMERISAFE, Inc.

     75        4,946  

Argo Group International Holdings Ltd.

     12        816  

CNO Financial Group, Inc.

     482        8,742  

Global Indemnity Ltd. (Cayman Islands)

     9        270  

Hallmark Financial Services, Inc. *

     57        1,005  

Heritage Insurance Holdings, Inc.

     78        1,032  

Horace Mann Educators Corp.

     18        764  

MBIA, Inc. * (a)

     193        1,790  

Primerica, Inc.

     8        1,097  

Third Point Reinsurance Ltd. (Bermuda) *

     98        1,028  
    

 

 

  
       31,336  
    

 

 

  

Internet & Direct Marketing Retail — 0.6%

 

   

Stamps.com, Inc. *

     87        7,291  
    

 

 

  

IT Services — 0.8%

 

   

KBR, Inc.

     185        5,652  

Perficient, Inc. *

     78        3,607  

Unisys Corp. *

     141        1,672  
    

 

 

  
       10,931  
    

 

 

  

Machinery — 2.5%

 

   

AGCO Corp.

     74        5,740  

Astec Industries, Inc.

     105        4,401  

Douglas Dynamics, Inc.

     118        6,512  

EnPro Industries, Inc.

     16        1,077  

Graham Corp.

     20        438  

Harsco Corp. *

     25        577  

Hurco Cos., Inc.

     35        1,354  

LB Foster Co., Class A *

     26        502  

Wabash National Corp. (a)

     867        12,739  
    

 

 

  
       33,340  
    

 

 

  

Media — 1.7%

 

   

Cumulus Media, Inc., Class A *

     155        2,715  

Gannett Co., Inc. (a)

     213        1,356  

Hemisphere Media Group, Inc. *

     234        3,481  

Liberty Latin America Ltd., Class A (Chile) *

     151        2,912  

Liberty Latin America Ltd., Class C (Chile) * (a)

     196        3,822  

Sinclair Broadcast Group, Inc., Class A

     147        4,894  

WideOpenWest, Inc. * (a)

     384        2,850  
    

 

 

  
       22,030  
    

 

 

  

Metals & Mining — 1.3%

 

   

Century Aluminum Co. * (a)

     258        1,936  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
  

Metals & Mining — continued

 

   

Warrior Met Coal, Inc.

     262        5,528  

Worthington Industries, Inc.

     236        9,933  
    

 

 

  
       17,397  
    

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 2.7%

 

   

ARMOUR Residential REIT, Inc. (a)

     208        3,724  

Blackstone Mortgage Trust, Inc., Class A (a)

     309        11,509  

Cherry Hill Mortgage Investment Corp. (a)

     158        2,300  

Exantas Capital Corp.

     45        528  

Invesco Mortgage Capital, Inc.

     299        4,978  

Ladder Capital Corp.

     383        6,913  

Two Harbors Investment Corp.

     394        5,765  
    

 

 

  
       35,717  
    

 

 

  

Multi-Utilities — 1.4%

 

   

Avista Corp.

     120        5,761  

Black Hills Corp.

     151        11,867  

Unitil Corp.

     17        1,039  
    

 

 

  
       18,667  
    

 

 

  

Oil, Gas & Consumable Fuels — 4.0%

 

   

Amplify Energy Corp.

     344        2,273  

Arch Coal, Inc., Class A (a)

     103        7,375  

CNX Resources Corp. *

     495        4,383  

Delek US Holdings, Inc. (a)

     416        13,952  

Green Plains, Inc. (a)

     230        3,549  

Gulfport Energy Corp. *

     1,473        4,478  

Peabody Energy Corp.

     81        742  

Renewable Energy Group, Inc. * (a)

     72        1,935  

REX American Resources Corp. *

     96        7,876  

W&T Offshore, Inc. *

     999        5,552  

Whiting Petroleum Corp. * (a)

     189        1,390  
    

 

 

  
       53,505  
    

 

 

  

Paper & Forest Products — 1.6%

 

Boise Cascade Co.

     74        2,703  

Domtar Corp.

     67        2,547  

Louisiana-Pacific Corp.

     164        4,857  

Schweitzer-Mauduit International, Inc.

     176        7,407  

Verso Corp., Class A *

     176        3,168  
    

 

 

  
       20,682  
    

 

 

  

Pharmaceuticals — 1.5%

 

Endo International plc * (a)

     1,397        6,551  

Intra-Cellular Therapies, Inc. * (a)

     104        3,551  

Lannett Co., Inc. * (a)

     545        4,811  

Prestige Consumer Healthcare, Inc. *

     127        5,123  
    

 

 

  
       20,036  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

   

Professional Services — 2.9%

 

Acacia Research Corp. *

     369        980  

Barrett Business Services, Inc.

     87        7,899  

FTI Consulting, Inc. *

     112        12,438  

Heidrick & Struggles International, Inc.

     48        1,560  

Huron Consulting Group, Inc. *

     145        9,992  

Kelly Services, Inc., Class A (a)

     59        1,326  

TrueBlue, Inc. *

     201        4,846  
    

 

 

  
       39,041  
    

 

 

  

Road & Rail — 0.6%

 

ArcBest Corp.

     289        7,968  

Covenant Transportation Group, Inc., Class A *

     34        437  
    

 

 

  
       8,405  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.2%

 

Amkor Technology, Inc. *

     584        7,591  

Cirrus Logic, Inc. *

     90        7,375  

NeoPhotonics Corp. *

     566        4,993  

Rambus, Inc. *

     1,073        14,785  

Synaptics, Inc. *

     150        9,892  

Veeco Instruments, Inc. * (a)

     319        4,689  

Xperi Corp.

     385        7,128  
    

 

 

  
       56,453  
    

 

 

  

Software — 2.2%

 

ACI Worldwide, Inc. * (a)

     196        7,441  

Fair Isaac Corp. *

     10        3,634  

MicroStrategy, Inc., Class A *

     17        2,453  

SecureWorks Corp., Class A *

     112        1,858  

Synchronoss Technologies, Inc. * (a)

     121        574  

TiVo Corp.

     1,581        13,409  
    

 

 

  
       29,369  
    

 

 

  

Specialty Retail — 2.7%

 

Abercrombie & Fitch Co., Class A (a)

     442        7,639  

Barnes & Noble Education, Inc. *

     748        3,194  

Cato Corp. (The), Class A

     116        2,011  

Express, Inc. * (a)

     430        2,096  

Haverty Furniture Cos., Inc.

     2        33  

Hibbett Sports, Inc. * (a)

     309        8,670  

Murphy USA, Inc. *

     26        3,054  

Office Depot, Inc.

     1,129        3,093  

Sally Beauty Holdings, Inc. * (a)

     111        2,033  

Zumiez, Inc. * (a)

     108        3,713  
    

 

 

  
       35,536  
    

 

 

  
  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
  

Textiles, Apparel & Luxury Goods — 0.7%

 

Deckers Outdoor Corp. *

     27        4,542  

Fossil Group, Inc. * (a)

     324        2,550  

G-III Apparel Group Ltd. *

     23        761  

Movado Group, Inc.

     94        2,050  
    

 

 

  
       9,903  
    

 

 

  

Thrifts & Mortgage Finance — 4.1%

 

Essent Group Ltd.

     84        4,341  

First Defiance Financial Corp.

     53        1,681  

Luther Burbank Corp.

     48        557  

Meridian Bancorp, Inc.

     242        4,870  

MGIC Investment Corp.

     444        6,297  

Northfield Bancorp, Inc. (a)

     487        8,251  

Radian Group, Inc.

     260        6,547  

Territorial Bancorp, Inc.

     12        384  

United Community Financial Corp.

     33        386  

Washington Federal, Inc.

     453        16,606  

Waterstone Financial, Inc.

     69        1,313  

WSFS Financial Corp.

     66        2,896  
    

 

 

  
       54,129  
    

 

 

  

Tobacco — 0.2%

 

Vector Group Ltd. (a)

     170        2,278  
    

 

 

  

Trading Companies & Distributors — 2.5%

 

BMC Stock Holdings, Inc. *

     173        4,952  

DXP Enterprises, Inc. *

     90        3,579  

Foundation Building Materials, Inc. *

     93        1,800  

MRC Global, Inc. *

     392        5,343  

NOW, Inc. * (a)

     1,024        11,509  

Titan Machinery, Inc. *

     256        3,785  

Veritiv Corp. * (a)

     94        1,851  
    

 

 

  
       32,819  
    

 

 

  

Water Utilities — 0.2%

 

American States Water Co.

     35        3,032  
    

 

 

  

Total Common Stocks
(Cost $1,052,447)

 

      1,306,407  
  

 

 

  

Short-term Investments — 8.4%

     

Investment Companies — 2.0%

     

JPMorgan Prime Money Market Fund
Class IM Shares, 1.77% (c) (d)
(Cost $26,287)

     26,280        26,287  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         37  

Table of Contents

JPMorgan Small Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — continued

     

Investment of Cash Collateral from Securities Loaned — 6.4%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d)

    73,012        73,020  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d)

    12,287        12,287  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $85,306)

        85,307  
  

 

 

  

Total Short-term Investments
(Cost $111,593)

        111,594  
    

 

 

  

Total Investments — 106.5%
(Cost $1,164,040)

 

      1,418,001  

Liabilities in Excess of
Other Assets — (6.5)%

 

      (87,115 ) 
  

 

 

  

Net Assets — 100.0%

 

      1,330,886  
  

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations  

REIT

   Real Estate Investment Trust
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $82,472,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

Futures contracts outstanding as of December 31, 2019 (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    296      03/2020        USD        24,715        96  
              

 

 

  

 

Abbreviations  
USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.6%

     

Aerospace & Defense — 0.2%

     

Moog, Inc., Class A

     24        2,069  
    

 

 

  

Air Freight & Logistics — 0.2%

     

Echo Global Logistics, Inc. *

     141        2,922  
    

 

 

  

Auto Components — 1.0%

     

Gentherm, Inc. *

     144        6,388  

Stoneridge, Inc. *

     256        7,512  
    

 

 

  
       13,900  
    

 

 

  

Banks — 8.6%

     

1st Source Corp.

     41        2,138  

Atlantic Union Bankshares Corp.

     33        1,241  

BancFirst Corp.

     126        7,855  

BancorpSouth Bank

     169        5,303  

BankFinancial Corp.

     64        834  

Banner Corp.

     131        7,395  

Brookline Bancorp, Inc.

     168        2,760  

Cadence BanCorp

     10        187  

Cathay General Bancorp

     66        2,510  

Central Pacific Financial Corp.

     205        6,061  

Central Valley Community Bancorp

     15        330  

Columbia Banking System, Inc. (a)

     164        6,663  

CVB Financial Corp. (a)

     273        5,885  

Enterprise Financial Services Corp.

     39        1,871  

First Commonwealth Financial Corp. (a)

     276        3,999  

First Community Bankshares, Inc.

     18        568  

First Hawaiian, Inc.

     60        1,735  

First Interstate BancSystem, Inc., Class A

     42        1,758  

Flushing Financial Corp.

     56        1,207  

Great Western Bancorp, Inc.

     20        702  

Hope Bancorp, Inc.

     135        2,003  

IBERIABANK Corp.

     24        1,803  

Independent Bank Corp.

     78        1,774  

Independent Bank Corp.

     9        724  

Investors Bancorp, Inc.

     185        2,205  

National Bank Holdings Corp., Class A

     15        542  

PacWest Bancorp

     45        1,720  

People’s United Financial, Inc. (a)

     92        1,551  

Simmons First National Corp., Class A

     78        2,097  

South State Corp.

     10        841  

TCF Financial Corp.

     86        4,036  

Trustmark Corp. (a)

     413        14,257  

UMB Financial Corp. (a)

     41        2,795  

United Bankshares, Inc.

     121        4,676  

Webster Financial Corp.

     39        2,102  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Banks — continued

     

West Bancorp, Inc. (a)

     27        684  

Westamerica Bancorp (a)

     152        10,303  
    

 

 

  
       115,115  
    

 

 

  

Biotechnology — 8.0%

     

ACADIA Pharmaceuticals, Inc. *

     153        6,536  

Aimmune Therapeutics, Inc. * (a)

     92        3,068  

Alector, Inc. * (a)

     36        613  

AMAG Pharmaceuticals, Inc. * (a)

     18        221  

Amicus Therapeutics, Inc. *

     281        2,737  

Arena Pharmaceuticals, Inc. * (a)

     86        3,890  

Atara Biotherapeutics, Inc. * (a)

     94        1,556  

Athenex, Inc. * (a)

     224        3,422  

Biohaven Pharmaceutical Holding Co. Ltd. *

     105        5,699  

Bluebird Bio, Inc. * (a)

     14        1,250  

Bridgebio Pharma, Inc. * (a)

     70        2,450  

Clovis Oncology, Inc. * (a)

     277        2,889  

CytomX Therapeutics, Inc. *

     96        797  

Eagle Pharmaceuticals, Inc. *

     23        1,365  

Eiger BioPharmaceuticals, Inc. * (a)

     241        3,592  

Flexion Therapeutics, Inc. * (a)

     99        2,044  

Forty Seven, Inc. * (a)

     179        7,044  

Global Blood Therapeutics, Inc. * (a)

     92        7,349  

Gritstone Oncology, Inc. * (a)

     42        373  

Homology Medicines, Inc. *

     58        1,203  

Intercept Pharmaceuticals, Inc. * (a)

     54        6,738  

La Jolla Pharmaceutical Co. * (a)

     91        357  

Mersana Therapeutics, Inc. *

     586        3,359  

Myriad Genetics, Inc. *

     49        1,323  

Principia Biopharma, Inc. * (a)

     103        5,640  

Protagonist Therapeutics, Inc. *

     222        1,567  

Puma Biotechnology, Inc. * (a)

     66        577  

REGENXBIO, Inc. * (a)

     102        4,179  

Sangamo Therapeutics, Inc. *

     55        458  

Sarepta Therapeutics, Inc. * (a)

     25        3,181  

Seres Therapeutics, Inc. * (a)

     466        1,608  

Solid Biosciences, Inc. *

     89        396  

Sutro Biopharma, Inc. *

     33        364  

Synlogic, Inc. *

     183        471  

TCR2 Therapeutics, Inc. *

     71        1,020  

TG Therapeutics, Inc. * (a)

     198        2,195  

UroGen Pharma Ltd. * (a)

     121        4,041  

Vanda Pharmaceuticals, Inc. *

     143        2,340  

Viela Bio, Inc. * (a)

     91        2,462  

Voyager Therapeutics, Inc. *

     152        2,118  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         39  

Table of Contents

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Biotechnology — continued

     

Xencor, Inc. * (a)

     109        3,732  

Y-mAbs Therapeutics, Inc. *

     10        303  
    

 

 

  
       106,527  
    

 

 

  

Building Products — 2.1%

     

Builders FirstSource, Inc. *

     303        7,709  

Continental Building Products, Inc. *

     191        6,957  

CSW Industrials, Inc.

     90        6,967  

Masonite International Corp. *

     78        5,618  

Quanex Building Products Corp.

     20        349  
    

 

 

  
       27,600  
    

 

 

  

Capital Markets — 1.0%

     

Brightsphere Investment Group, Inc.

     49        502  

Cowen, Inc., Class A * (a)

     56        879  

Donnelley Financial Solutions, Inc. *

     91        955  

Houlihan Lokey, Inc.

     111        5,406  

Moelis & Co., Class A

     30        961  

Stifel Financial Corp. (a)

     74        4,485  
    

 

 

  
       13,188  
    

 

 

  

Chemicals — 1.0%

     

FutureFuel Corp.

     207        2,559  

Minerals Technologies, Inc.

     81        4,667  

PolyOne Corp.

     32        1,171  

Stepan Co.

     13        1,332  

Trinseo SA

     112        4,172  
    

 

 

  
       13,901  
    

 

 

  

Commercial Services & Supplies — 1.8%

     

ABM Industries, Inc.

     42        1,573  

ACCO Brands Corp.

     884        8,271  

Deluxe Corp.

     82        4,070  

Ennis, Inc.

     231        4,996  

HNI Corp.

     80        3,009  

Quad/Graphics, Inc. (a)

     314        1,468  

VSE Corp.

     16        614  
    

 

 

  
       24,001  
    

 

 

  

Communications Equipment — 0.6%

     

Extreme Networks, Inc. * (a)

     565        4,164  

InterDigital, Inc. (a)

     68        3,689  
    

 

 

  
       7,853  
    

 

 

  

Construction & Engineering — 2.7%

     

Comfort Systems USA, Inc.

     86        4,272  

EMCOR Group, Inc.

     203        17,536  

MasTec, Inc. * (a)

     157        10,099  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Construction & Engineering — continued

     

MYR Group, Inc. *

     81        2,654  

Sterling Construction Co., Inc. *

     125        1,755  
    

 

 

  
       36,316  
    

 

 

  

Consumer Finance — 0.5%

     

Credit Acceptance Corp. * (a)

     7        3,218  

FirstCash, Inc.

     22        1,800  

Green Dot Corp., Class A *

     35        817  

Nelnet, Inc., Class A

     10        594  
    

 

 

  
       6,429  
    

 

 

  

Containers & Packaging — 0.2%

     

Graphic Packaging Holding Co.

     90        1,490  

Myers Industries, Inc.

     83        1,380  
    

 

 

  
       2,870  
    

 

 

  

Distributors — 0.1%

     

Core-Mark Holding Co., Inc. (a)

     71        1,939  
    

 

 

  

Diversified Consumer Services — 0.6%

     

Houghton Mifflin Harcourt Co. * (a)

     46        286  

K12, Inc. *

     394        8,014  
    

 

 

  
       8,300  
    

 

 

  

Diversified Telecommunication Services — 0.8%

     

Cogent Communications Holdings, Inc.

     112        7,371  

Consolidated Communications Holdings, Inc. (a)

     1,006        3,901  
    

 

 

  
       11,272  
    

 

 

  

Electric Utilities — 1.0%

     

IDACORP, Inc.

     12        1,282  

PNM Resources, Inc.

     59        2,982  

Portland General Electric Co.

     133        7,416  

Spark Energy, Inc., Class A (a)

     208        1,915  
    

 

 

  
       13,595  
    

 

 

  

Electrical Equipment — 1.3%

     

Bloom Energy Corp., Class A *

     8        62  

Generac Holdings, Inc. *

     142        14,324  

Powell Industries, Inc.

     69        3,396  
    

 

 

  
       17,782  
    

 

 

  

Electronic Equipment, Instruments & Components — 2.0%

 

   

Benchmark Electronics, Inc.

     115        3,966  

Fabrinet (Thailand) *

     76        4,933  

Insight Enterprises, Inc. * (a)

     39        2,741  

OSI Systems, Inc. *

     84        8,500  

Tech Data Corp. *

     22        3,102  

TTM Technologies, Inc. *

     252        3,791  
    

 

 

  
       27,033  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Energy Equipment & Services — 0.7%

     

FTS International, Inc. *

     16        17  

Matrix Service Co. *

     294        6,721  

SEACOR Holdings, Inc. *

     69        2,982  
    

 

 

  
       9,720  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 6.7%

 

   

Agree Realty Corp.

     9        603  

Alexander & Baldwin, Inc.

     34        711  

American Assets Trust, Inc.

     212        9,730  

Americold Realty Trust (a)

     165        5,798  

Ashford Hospitality Trust, Inc.

     300        837  

CoreSite Realty Corp.

     86        9,617  

CubeSmart

     53        1,654  

DiamondRock Hospitality Co.

     507        5,614  

Easterly Government Properties, Inc.

     52        1,241  

EastGroup Properties, Inc.

     27        3,642  

Equity LifeStyle Properties, Inc.

     40        2,823  

First Industrial Realty Trust, Inc.

     138        5,728  

Four Corners Property Trust, Inc.

     23        634  

Front Yard Residential Corp.

     31        386  

GEO Group, Inc. (The)

     302        5,017  

Getty Realty Corp.

     59        1,930  

Gladstone Commercial Corp.

     80        1,750  

Hersha Hospitality Trust

     64        925  

Highwoods Properties, Inc.

     29        1,423  

Lexington Realty Trust

     272        2,890  

Mack-Cali Realty Corp.

     70        1,624  

National Retail Properties, Inc.

     10        515  

Pebblebrook Hotel Trust (a)

     204        5,481  

Physicians Realty Trust

     117        2,207  

Piedmont Office Realty Trust, Inc., Class A

     193        4,286  

PS Business Parks, Inc.

     6        977  

RLJ Lodging Trust

     44        777  

Saul Centers, Inc.

     38        2,016  

Sunstone Hotel Investors, Inc.

     405        5,638  

Taubman Centers, Inc.

     14        441  

Terreno Realty Corp.

     16        883  

UMH Properties, Inc.

     27        420  

Xenia Hotels & Resorts, Inc.

     33        712  
    

 

 

  
       88,930  
    

 

 

  

Food & Staples Retailing — 0.1%

     

Grocery Outlet Holding Corp. * (a)

     33        1,058  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Food Products — 1.6%

     

Darling Ingredients, Inc. *

     544        15,269  

Sanderson Farms, Inc.

     30        5,322  

Seneca Foods Corp., Class A *

     16        634  
    

 

 

  
       21,225  
    

 

 

  

Gas Utilities — 0.6%

     

New Jersey Resources Corp.

     27        1,221  

Northwest Natural Holding Co.

     20        1,475  

ONE Gas, Inc.

     27        2,554  

Southwest Gas Holdings, Inc.

     40        3,016  
    

 

 

  
       8,266  
    

 

 

  

Health Care Equipment & Supplies — 3.5%

 

AngioDynamics, Inc. *

     234        3,738  

Integer Holdings Corp. *

     191        15,350  

Lantheus Holdings, Inc. *

     62        1,264  

Meridian Bioscience, Inc.

     171        1,674  

Nevro Corp. *

     57        6,709  

NuVasive, Inc. *

     107        8,258  

Orthofix Medical, Inc. *

     38        1,750  

Varex Imaging Corp. * (a)

     276        8,216  
    

 

 

  
       46,959  
    

 

 

  

Health Care Providers & Services — 2.2%

 

Amedisys, Inc. *

     10        1,749  

Community Health Systems, Inc. * (a)

     240        696  

Cross Country Healthcare, Inc. *

     312        3,622  

Diplomat Pharmacy, Inc. * (a)

     164        654  

Magellan Health, Inc. *

     149        11,675  

Owens & Minor, Inc.

     467        2,413  

Patterson Cos., Inc. (a)

     232        4,754  

Surgery Partners, Inc. * (a)

     109        1,713  

Tenet Healthcare Corp. * (a)

     60        2,281  
    

 

 

  
       29,557  
    

 

 

  

Health Care Technology — 1.9%

 

Allscripts Healthcare Solutions, Inc. *

     1,479        14,513  

Evolent Health, Inc., Class A * (a)

     518        4,684  

HealthStream, Inc. *

     179        4,866  

Livongo Health, Inc. * (a)

     50        1,251  
    

 

 

  
       25,314  
    

 

 

  

Hotels, Restaurants & Leisure — 1.9%

 

Bloomin’ Brands, Inc.

     410        9,053  

Boyd Gaming Corp.

     110        3,306  

Brinker International, Inc. (a)

     288        12,101  

Red Lion Hotels Corp. * (a)

     140        521  
    

 

 

  
       24,981  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         41  

Table of Contents

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Household Durables — 3.2%

 

Hamilton Beach Brands Holding Co., Class A

     32        614  

KB Home

     425        14,566  

Sonos, Inc. * (a)

     706        11,020  

TRI Pointe Group, Inc. *

     1,018        15,854  
    

 

 

  
       42,054  
    

 

 

  

Independent Power and Renewable Electricity Producers — 0.4%

 

Atlantic Power Corp. *

     1,910        4,451  

Clearway Energy, Inc.

     73        1,399  
    

 

 

  
       5,850  
    

 

 

  

Insurance — 1.3%

 

American Equity Investment Life Holding Co.

     13        391  

CNO Financial Group, Inc.

     134        2,422  

First American Financial Corp.

     26        1,544  

Global Indemnity Ltd. (Cayman Islands)

     16        461  

Kemper Corp.

     14        1,081  

Kinsale Capital Group, Inc.

     45        4,529  

MBIA, Inc. * (a)

     47        434  

Primerica, Inc.

     49        6,339  

Third Point Reinsurance Ltd. (Bermuda) *

     46        485  
    

 

 

  
       17,686  
    

 

 

  

Interactive Media & Services — 0.4%

 

Yelp, Inc. *

     152        5,287  
    

 

 

  

Internet & Direct Marketing Retail — 0.6%

 

Etsy, Inc. *

     19        859  

Groupon, Inc. *

     401        959  

Stamps.com, Inc. *

     73        6,089  
    

 

 

  
       7,907  
    

 

 

  

IT Services — 1.9%

 

Brightcove, Inc. *

     282        2,451  

CACI International, Inc., Class A *

     21        5,262  

Euronet Worldwide, Inc. *

     14        2,214  

KBR, Inc.

     62        1,900  

NIC, Inc. (a)

     63        1,416  

Perficient, Inc. *

     260        11,962  

Unisys Corp. *

     29        349  
    

 

 

  
       25,554  
    

 

 

  

Life Sciences Tools & Services — 0.8%

 

10X Genomics, Inc., Class A * (a)

     21        1,609  

Adaptive Biotechnologies Corp. * (a)

     50        1,484  

Medpace Holdings, Inc. *

     75        6,319  

Personalis, Inc. *

     56        612  
    

 

 

  
       10,024  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Machinery — 3.1%

 

Actuant Corp., Class A

     12        301  

Astec Industries, Inc.

     119        4,990  

Douglas Dynamics, Inc.

     183        10,090  

EnPro Industries, Inc.

     39        2,582  

Graham Corp.

     28        603  

Harsco Corp. *

     58        1,335  

Kadant, Inc. (a)

     35        3,737  

LB Foster Co., Class A *

     18        344  

Meritor, Inc. *

     136        3,559  

Wabash National Corp. (a)

     968        14,219  
    

 

 

  
       41,760  
    

 

 

  

Media — 1.2%

 

Gannett Co., Inc. (a)

     98        624  

Hemisphere Media Group, Inc. *

     172        2,551  

Nexstar Media Group, Inc., Class A (a)

     43        5,065  

Sinclair Broadcast Group, Inc., Class A

     142        4,743  

WideOpenWest, Inc. * (a)

     346        2,570  
    

 

 

  
       15,553  
    

 

 

  

Metals & Mining — 1.0%

 

Kaiser Aluminum Corp.

     10        1,064  

Warrior Met Coal, Inc.

     216        4,558  

Worthington Industries, Inc.

     193        8,157  
    

 

 

  
       13,779  
    

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 1.0%

 

Blackstone Mortgage Trust, Inc., Class A (a)

     198        7,384  

Cherry Hill Mortgage Investment Corp.

     19        276  

Invesco Mortgage Capital, Inc.

     117        1,951  

Ladder Capital Corp.

     62        1,111  

Two Harbors Investment Corp.

     172        2,515  
    

 

 

  
       13,237  
    

 

 

  

Multi-Utilities — 0.4%

 

Black Hills Corp.

     62        4,854  
    

 

 

  

Oil, Gas & Consumable Fuels — 2.2%

 

Arch Coal, Inc., Class A (a)

     51        3,655  

CVR Energy, Inc.

     15        597  

Delek US Holdings, Inc.

     251        8,406  

Dorian LPG Ltd. *

     4        68  

Gulfport Energy Corp. * (a)

     694        2,110  

Peabody Energy Corp. (a)

     49        449  

Renewable Energy Group, Inc. * (a)

     71        1,914  

REX American Resources Corp. *

     72        5,907  

W&T Offshore, Inc. *

     1,003        5,577  
    

 

 

  
       28,683  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Paper & Forest Products — 0.9%

 

Boise Cascade Co.

     73        2,672  

Domtar Corp.

     31        1,194  

Louisiana-Pacific Corp.

     119        3,526  

Verso Corp., Class A *

     258        4,655  
    

 

 

  
       12,047  
    

 

 

  

Personal Products — 0.4%

 

Edgewell Personal Care Co. *

     36        1,117  

Herbalife Nutrition Ltd. * (a)

     27        1,310  

Medifast, Inc.

     10        1,128  

USANA Health Sciences, Inc. *

     16        1,237  
    

 

 

  
       4,792  
    

 

 

  

Pharmaceuticals — 3.1%

 

Arvinas, Inc. * (a)

     3        124  

Endo International plc * (a)

     690        3,236  

Horizon Therapeutics plc *

     231        8,349  

Lannett Co., Inc. * (a)

     342        3,013  

Menlo Therapeutics, Inc. *

     76        354  

MyoKardia, Inc. * (a)

     99        7,186  

Paratek Pharmaceuticals, Inc. * (a)

     1,246        5,021  

Prestige Consumer Healthcare, Inc. * (a)

     147        5,958  

Reata Pharmaceuticals, Inc., Class A *

     41        8,449  

resTORbio, Inc. *

     56        84  
    

 

 

  
       41,774  
    

 

 

  

Professional Services — 2.5%

 

Barrett Business Services, Inc. (a)

     128        11,616  

Heidrick & Struggles International, Inc.

     18        591  

Huron Consulting Group, Inc. *

     164        11,248  

Kforce, Inc.

     108        4,291  

Korn Ferry

     75        3,159  

TrueBlue, Inc. *

     124        2,990  
    

 

 

  
       33,895  
    

 

 

  

Road & Rail — 0.5%

 

ArcBest Corp.

     218        6,004  

Schneider National, Inc., Class B

     40        866  
    

 

 

  
       6,870  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.0%

 

Amkor Technology, Inc. *

     720        9,357  

Cirrus Logic, Inc. *

     144        11,896  

NeoPhotonics Corp. *

     201        1,777  

Rambus, Inc. *

     942        12,970  

Synaptics, Inc. * (a)

     120        7,891  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Semiconductors & Semiconductor Equipment — continued

 

Veeco Instruments, Inc. *

     247        3,623  

Xperi Corp.

     289        5,339  
    

 

 

  
       52,853  
    

 

 

  

Software — 5.6%

 

ACI Worldwide, Inc. *

     393        14,875  

Avaya Holdings Corp. * (a)

     335        4,517  

Box, Inc., Class A * (a)

     228        3,821  

Cloudflare, Inc., Class A *

     28        474  

CommVault Systems, Inc. *

     321        14,327  

Dynatrace, Inc. * (a)

     175        4,415  

j2 Global, Inc. (a)

     57        5,356  

Manhattan Associates, Inc. *

     33        2,668  

MicroStrategy, Inc., Class A *

     14        1,933  

Proofpoint, Inc. *

     30        3,409  

Qualys, Inc. * (a)

     57        4,783  

Synchronoss Technologies, Inc. * (a)

     814        3,866  

Telenav, Inc. *

     127        618  

TiVo Corp.

     1,132        9,603  
    

 

 

  
       74,665  
    

 

 

  

Specialty Retail — 3.2%

 

Abercrombie & Fitch Co., Class A (a)

     512        8,853  

Barnes & Noble Education, Inc. *

     554        2,366  

Conn’s, Inc. * (a)

     36        443  

Five Below, Inc. *

     10        1,228  

Haverty Furniture Cos., Inc.

     2        32  

Hibbett Sports, Inc. * (a)

     180        5,048  

Murphy USA, Inc. * (a)

     50        5,900  

Office Depot, Inc.

     1,119        3,067  

Sally Beauty Holdings, Inc. *

     25        451  

Sleep Number Corp. * (a)

     167        8,203  

Tailored Brands, Inc. (a)

     166        686  

Zumiez, Inc. * (a)

     184        6,358  
    

 

 

  
       42,635  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.4%

 

Crocs, Inc. *

     58        2,444  

Deckers Outdoor Corp. *

     84        14,104  

Fossil Group, Inc. * (a)

     327        2,578  
    

 

 

  
       19,126  
    

 

 

  

Thrifts & Mortgage Finance — 3.1%

 

Capitol Federal Financial, Inc.

     14        199  

Essent Group Ltd.

     83        4,336  

First Defiance Financial Corp.

     30        935  

Meridian Bancorp, Inc.

     404        8,123  

MGIC Investment Corp.

     315        4,462  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         43  

Table of Contents

JPMorgan U.S. Small Company Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Thrifts & Mortgage Finance — continued

 

NMI Holdings, Inc., Class A *

     41        1,345  

Northfield Bancorp, Inc.

     393        6,665  

Radian Group, Inc.

     80        2,002  

Washington Federal, Inc.

     348        12,766  
    

 

 

  
       40,833  
    

 

 

  

Trading Companies & Distributors — 1.7%

 

BMC Stock Holdings, Inc. *

     95        2,723  

DXP Enterprises, Inc. *

     91        3,617  

MRC Global, Inc. *

     278        3,798  

NOW, Inc. * (a)

     865        9,717  

Titan Machinery, Inc. *

     74        1,096  

Veritiv Corp. * (a)

     56        1,093  
    

 

 

  
       22,044  
    

 

 

  

Water Utilities — 0.8%

 

American States Water Co.

     122        10,540  
    

 

 

  

Total Common Stocks
(Cost $1,035,200)

 

      1,302,924  
  

 

 

  
     NO. OF
RIGHTS
(000)		          

Rights — 0.0% (b)

 

Biotechnology — 0.0% (b)

 

Alder Biopharmaceuticals, Inc. * ‡
(Cost $—)

     187        164  
    

 

 

  
     SHARES
(000)		          

Short-Term Investments — 9.1%

 

Investment Companies — 0.7%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d)
(Cost $9,495)

     9,492        9,495  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Investment of Cash Collateral from Securities Loaned — 8.4%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d)

    87,012        87,021  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d)

    24,394        24,394  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $111,412)

 

      111,415  
  

 

 

  

Total Short-Term Investments
(Cost $120,907)

        120,910  
    

 

 

  

Total Investments — 106.7%
(Cost $1,156,107)

 

      1,423,998  

Liabilities in Excess of
Other Assets — (6.7)%

 

      (89,843 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      1,334,155  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)  

The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $108,465,000.

(b)   Amount rounds to less than 0.1% of net assets.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
‡   Value determined using significant unobservable inputs.
 

 

Futures contracts outstanding as of December 31, 2019 (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      382        03/2020          USD          31,895          110  
                        

 

 

  

 

Abbreviations

  

USD

   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         45  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Small Cap
Blend Fund		        JPMorgan
Small Cap
Core Fund		        JPMorgan
Small Cap
Equity Fund		  

ASSETS:

 

Investments in non-affiliates, at value

      $ 430,958        $ 476,544        $ 6,956,255  

Investments in affiliates, at value

        7,198          14,774          333,076  

Investment of cash collateral received from securities loaned, at value (See Note 2.C.)

        33,927          33,625          283,070  

Cash

        16          16          492  

Deposits at broker for futures contracts

        —          547          —  

Receivables:

               

Investment securities sold

        —          695          801  

Fund shares sold

        1,327          14,786          3,099  

Dividends from non-affiliates

        369          566          7,032  

Dividends from affiliates

        1          1          16  

Securities lending income (See Note 2.C.)

        22          15          250  

Variation margin on futures contracts

        —          13          —  
    

 

 

       

 

 

       

 

 

  

Total Assets

        473,818          541,582          7,584,091  
    

 

 

       

 

 

       

 

 

  

LIABILITIES:

 

Payables:

               

Investment securities purchased

        —          14,507          728  

Collateral received on securities loaned (See Note 2.C.)

        33,927          33,625          283,070  

Fund shares redeemed

        488          204          21,100  

Accrued liabilities:

               

Investment advisory fees

        228          248          3,933  

Administration fees

        22          22          458  

Distribution fees

        51          4          250  

Service fees

        63          18          946  

Custodian and accounting fees

        15          14          27  

Trustees’ and Chief Compliance Officer’s fees

        1          1          —  

Other

        111          153          550  
    

 

 

       

 

 

       

 

 

  

Total Liabilities

        34,906          48,796          311,062  
    

 

 

       

 

 

       

 

 

  

Net Assets

      $ 438,912        $ 492,786        $ 7,273,029  
    

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents
        JPMorgan
Small Cap
Blend Fund		        JPMorgan
Small Cap
Core Fund		        JPMorgan
Small Cap
Equity Fund		  

NET ASSETS:

 

Paid-in-Capital

      $ 368,887        $ 427,603        $ 5,077,974  

Total distributable earnings (loss)

        70,025          65,183          2,195,055  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 438,912        $ 492,786        $ 7,273,029  
    

 

 

       

 

 

       

 

 

  

Net Assets:

 

Class A

      $ 136,538        $ 5,483        $ 851,677  

Class C

        34,609          2,467          106,662  

Class I

        142,821          18,953          3,394,469  

Class R2

        —          202          9,134  

Class R3

        —          5,685          2,950  

Class R4

        —          2,587          541  

Class R5

        —          226,890          1,232,025  

Class R6

        124,944          230,519          1,675,571  
    

 

 

       

 

 

       

 

 

  

Total

      $ 438,912        $ 492,786        $ 7,273,029  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

 

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

               

Class A

        6,591          107          16,697  

Class C

        2,612          49          2,941  

Class I

        5,712          368          56,705  

Class R2

        —          4          183  

Class R3

        —          110          58  

Class R4

        —          50          9  

Class R5

        —          4,390          20,531  

Class R6

        4,986          4,468          27,936  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 20.71        $ 51.32        $ 51.01  

Class C — Offering price per share (b)

        13.25          50.58          36.27  

Class I — Offering and redemption price per share

        25.00          51.54          59.86  

Class R2 — Offering and redemption price per share

        —          51.33          49.95  

Class R3 — Offering and redemption price per share

        —          51.45          50.65  

Class R4 — Offering and redemption price per share

        —          51.56          59.78  

Class R5 — Offering and redemption price per share

        —          51.69          60.01  

Class R6 — Offering and redemption price per share

        25.06          51.59          59.98  

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)]

      $ 21.86        $ 54.16        $ 53.84  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 351,715        $ 405,491        $ 4,775,043  

Cost of investments in affiliates

        7,198          14,774          333,076  

Investment securities on loan, at value (See Note 2.C.)

        33,180          32,946          270,653  

Cost of investment of cash collateral (See Note 2.C.)

        33,926          33,624          283,062  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         47  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited) (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

      $ 3,232,101      $ 1,306,407        $ 1,303,088  

Investments in affiliates, at value

        37,125        26,287          9,495  

Investment of cash collateral received from securities loaned, at value
(See Note 2.C.)

        260,884        85,307          111,415  

Cash

        73        52          33  

Deposits at broker for futures contracts

        —        1,262          476  

Receivables:

             

Investment securities sold

        —        2,669          25,465  

Fund shares sold

        9,628        485          1,524  

Dividends from non-affiliates

        1,247        2,787          1,463  

Dividends from affiliates

        2        1          — (a) 

Securities lending income (See Note 2.C.)

        284        27          185  

Variation margin on futures contracts

        —        28          29  
    

 

 

     

 

 

       

 

 

  

Total Assets

        3,541,344        1,425,312          1,453,173  
    

 

 

     

 

 

       

 

 

  

LIABILITIES:

 

Payables:

             

Investment securities purchased

        —        1,776          484  

Collateral received on securities loaned (See Note 2.C.)

        260,884        85,307          111,415  

Fund shares redeemed

        6,159        6,162          5,993  

Accrued liabilities:

             

Investment advisory fees

        1,744        745          680  

Administration fees

        191        87          86  

Distribution fees

        143        65          66  

Service fees

        228        99          142  

Custodian and accounting fees

        12        14          21  

Trustees’ and Chief Compliance Officer’s fees

        — (a)       —          —  

Other

        106        171          131  
    

 

 

     

 

 

       

 

 

  

Total Liabilities

        269,467        94,426          119,018  
    

 

 

     

 

 

       

 

 

  

Net Assets

      $ 3,271,877      $ 1,330,886        $ 1,334,155  
    

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents
        JPMorgan
Small Cap
Growth Fund		        JPMorgan
Small Cap
Value Fund		        JPMorgan
U.S. Small
Company Fund		  

NET ASSETS:

 

Paid-in-Capital

      $ 2,508,553        $ 1,129,145        $ 1,097,456  

Total distributable earnings (loss)

        763,324          201,741          236,699  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 3,271,877        $ 1,330,886        $ 1,334,155  
    

 

 

       

 

 

       

 

 

  

Net Assets:

 

Class A

      $ 444,329        $ 174,095        $ 128,369  

Class C

        60,733          14,874          25,996  

Class I

        331,901          236,475          266,398  

Class L

        624,305          —          432,903  

Class R2

        25,758          35,334          38,212  

Class R3

        3,691          15,347          25,693  

Class R4

        2,417          83          8,765  

Class R5

        17,110          43,401          7,917  

Class R6

        1,761,633          811,277          399,902  
    

 

 

       

 

 

       

 

 

  

Total

      $ 3,271,877        $ 1,330,886        $ 1,334,155  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

 

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

               

Class A

        25,670          7,316          7,399  

Class C

        5,222          795          1,589  

Class I

        16,982          9,243          14,967  

Class L

        30,818          —          24,365  

Class R2

        1,557          1,504          2,255  

Class R3

        214          646          1,491  

Class R4

        139          3          495  

Class R5

        844          1,694          447  

Class R6

        85,901          31,629          22,498  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 17.31        $ 23.80        $ 17.35  

Class C — Offering price per share (b)

        11.63          18.71          16.36  

Class I — Offering and redemption price per share

        19.54          25.58          17.80  

Class L — Offering and redemption price per share

        20.26          —          17.77  

Class R2 — Offering and redemption price per share

        16.54          23.49          16.95  

Class R3 — Offering and redemption price per share

        17.28          23.75          17.23  

Class R4 — Offering and redemption price per share

        17.41          25.59          17.70  

Class R5 — Offering and redemption price per share

        20.28          25.61          17.73  

Class R6 — Offering and redemption price per share

        20.51          25.65          17.77  

Class A maximum sales charge

        5.25 %         5.25 %         5.25 % 

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

      $ 18.27        $ 25.12        $ 18.31  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 2,411,990        $ 1,052,447        $ 1,035,200  

Cost of investments in affiliates

        37,125          26,287          9,495  

Investment securities on loan, at value (See Note 2.C.)

        255,206          82,472          108,465  

Cost of investment of cash collateral (See Note 2.C.)

        260,874          85,306          111,412  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         49  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands)

 

        JPMorgan
Small Cap
Blend Fund		      JPMorgan
Small Cap
Core Fund		      JPMorgan
Small Cap
Equity Fund		  

INVESTMENT INCOME:

 

Interest income from non-affiliates

      $ —      $ 7      $ —  

Interest income from affiliates

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

Dividend income from non-affiliates

        2,728        3,177        46,676  

Dividend income from affiliates

        108        167        3,293  

Income from securities lending (net) (See Note 2.C.)

        102        109        2,035  
    

 

 

     

 

 

     

 

 

  

Total investment income

        2,938        3,460        52,004  
    

 

 

     

 

 

     

 

 

  

EXPENSES:

           

Investment advisory fees

        1,251        1,475        22,378  

Administration fees

        144        170        2,582  

Distribution fees:

           

Class A

        155        7        1,014  

Class C

        134        9        403  

Class R2

        —        — (a)       23  

Class R3

        —        6        4  

Service fees:

           

Class A

        155        7        1,014  

Class C

        45        3        134  

Class I

        154        21        3,984  

Class R2

        —        — (a)       12  

Class R3

        —        6        3  

Class R4

        —        3        1  

Class R5

        —        107        610  

Custodian and accounting fees

        41        38        94  

Interest expense to affiliates

        — (a)       — (a)       5  

Professional fees

        28        30        64  

Trustees’ and Chief Compliance Officer’s fees

        14        14        25  

Printing and mailing costs

        29        4        235  

Registration and filing fees

        34        86        42  

Transfer agency fees (See Note 2.F.)

        17        9        131  

Other

        5        7        53  
    

 

 

     

 

 

     

 

 

  

Total expenses

        2,206        2,002        32,811  
    

 

 

     

 

 

     

 

 

  

Less fees waived

        (147 )       (207 )       (589 ) 

Less expense reimbursements

        —        — (a)       —  
    

 

 

     

 

 

     

 

 

  

Net expenses

        2,059        1,795        32,222  
    

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        879        1,665        19,782  
    

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

           

Net realized gain (loss) on transactions from:

           

Investments in non-affiliates

        2,544        4,124        131,247  

Investments in affiliates

        — (a)       (1 )       (12 ) 

Futures contracts

        —        610        —  
    

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

        2,544        4,733        131,235  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

 

Investments in non-affiliates

        29,162        24,856        340,956  

Investments in affiliates

        (3 )       (2 )       (33 ) 

Futures contracts

        —        (187 )       —  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        29,159        24,667        340,923  
    

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        31,703        29,400        472,158  
    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 32,582      $ 31,065      $ 491,940  
    

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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

      $ —        $ 14      $ 11  

Interest income from affiliates

        1          — (a)       — (a) 

Dividend income from non-affiliates

        8,149          15,154        8,883  

Dividend income from affiliates

        548          350        288  

Income from securities lending (net) (See Note 2.C.)

        1,414          192        494  
    

 

 

       

 

 

     

 

 

  

Total investment income

        10,112          15,710        9,676  
    

 

 

       

 

 

     

 

 

  

EXPENSES:

 

Investment advisory fees

        9,768          4,735        4,083  

Administration fees

        1,127          546        510  

Distribution fees:

             

Class A

        515          226        162  

Class C

        217          61        99  

Class R2

        64          90        103  

Class R3

        2          19        30  

Service fees:

             

Class A

        515          226        162  

Class C

        72          20        33  

Class I

        375          314        331  

Class L

        293          —        218  

Class R2

        32          45        52  

Class R3

        2          19        31  

Class R4

        2          — (a)       9  

Class R5

        7          29        5  

Custodian and accounting fees

        56          39        39  

Interest expense to affiliates

        2          — (a)       — (a) 

Professional fees

        43          34        34  

Trustees’ and Chief Compliance Officer’s fees

        18          16        15  

Printing and mailing costs

        145          64        65  

Registration and filing fees

        134          65        58  

Transfer agency fees (See Note 2.F.)

        58          55        52  

Other

        23          15        14  
    

 

 

       

 

 

     

 

 

  

Total expenses

        13,470          6,618        6,105  
    

 

 

       

 

 

     

 

 

  

Less fees waived

        (267 )         (160 )       (20 ) 

Less expense reimbursements

        (16 )         (8 )       —  
    

 

 

       

 

 

     

 

 

  

Net expenses

        13,187          6,450        6,085  
    

 

 

       

 

 

     

 

 

  

Net investment income (loss)

        (3,075 )         9,260        3,591  
    

 

 

       

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

             

Net realized gain (loss) on transactions from:

 

Investments in non-affiliates

      $ 15,034        $ 8,393      $ 10,400  

Investments in affiliates

        (3 )         (3 )       2  

Futures contracts

        —          2,488        1,320  
    

 

 

       

 

 

     

 

 

  

Net realized gain (loss)

        15,031          10,878        11,722  
    

 

 

       

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

 

Investments in non-affiliates

      $ 241,831        $ 75,037      $ 101,514  

Investments in affiliates

        (23 )         (9 )       (10 ) 

Futures contracts

        —          (486 )       (609 ) 
    

 

 

       

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        241,808          74,542        100,895  
    

 

 

       

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        256,839          85,420        112,617  
    

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 253,764        $ 94,680      $ 116,208  
    

 

 

       

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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      JPMorgan Small Cap Core Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

              

Net investment income (loss)

      $ 879      $ 197      $ 1,665      $ 2,136  

Net realized gain (loss)

        2,544        14,852        4,733        16,926  

Change in net unrealized appreciation/depreciation

        29,159        (8,858 )       24,667        (32,543 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        32,582        6,191        31,065        (13,481 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

        (4,206 )       (22,374 )       (207 )       (352 ) 

Class C

        (1,643 )       (12,520 )       (85 )       (172 ) 

Class I

        (3,897 )       (24,328 )       (765 )       (1,269 ) 

Class R2

        —        —        (7 )       (3 ) 

Class R3

        —        —        (227 )       (2 ) 

Class R4

        —        —        (104 )       (114 ) 

Class R5

        —        —        (9,535 )       (16,043 ) 

Class R6 (a)

        (3,543 )       (4 )       (9,154 )       (6,241 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (13,289 )       (59,226 )       (20,084 )       (24,196 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        71,362        182,535        32,261        173,401  
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        90,655        129,500        43,242        135,724  

Beginning of period

        348,257        218,757        449,544        313,820  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 438,912      $ 348,257      $ 492,786      $ 449,544  
    

 

 

     

 

 

     

 

 

     

 

 

  
             

 

(a)

Commencement of offering of class of shares effective July 2, 2018 for JPMorgan Small Cap Blend Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

       JPMorgan Small Cap Equity Fund      JPMorgan Small Cap Growth Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

      $ 19,782      $ 35,326      $ (3,075 )     $ (7,955 ) 

Net realized gain (loss)

        131,235        378,486        15,031        206,505  

Change in net unrealized appreciation/depreciation

        340,923        (267,309 )       241,808        (56,778 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        491,940        146,503        253,764        141,772  
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

        (40,838 )       (61,854 )       (25,608 )       (37,004 ) 

Class C

        (6,716 )       (11,312 )       (5,161 )       (8,359 ) 

Class I

        (145,648 )       (172,497 )       (17,200 )       (25,203 ) 

Class L

        —        —        (32,083 )       (48,328 ) 

Class R2

        (416 )       (723 )       (1,612 )       (3,487 ) 

Class R3

        (144 )       (155 )       (220 )       (93 ) 

Class R4

        (23 )       (50 )       (139 )       (91 ) 

Class R5

        (54,434 )       (79,273 )       (807 )       (3,229 ) 

Class R6

        (73,447 )       (85,443 )       (90,416 )       (122,202 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (321,666 )       (411,307 )       (173,246 )       (247,996 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        826,831        (287,511 )       314,693        792,978  
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        997,105        (552,315 )       395,211        686,754  

Beginning of period

        6,275,924        6,828,239        2,876,666        2,189,912  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 7,273,029      $ 6,275,924      $ 3,271,877      $ 2,876,666  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

      $ 9,260      $ 20,233      $ 3,591      $ 7,591  

Net realized gain (loss)

        10,878        128,031        11,722        28,971  

Change in net unrealized appreciation/depreciation

        74,542        (325,551 )       100,895        (191,152 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        94,680        (177,287 )       116,208        (154,590 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

        (10,605 )       (33,379 )       (357 )       (17,753 ) 

Class C

        (1,133 )       (3,600 )       (14 )       (3,937 ) 

Class I

        (13,916 )       (37,990 )       (1,438 )       (34,817 ) 

Class L

        —        —        (3,033 )       (50,872 ) 

Class R2

        (2,102 )       (5,236 )       (20 )       (5,054 ) 

Class R3

        (912 )       (1,914 )       (95 )       (2,105 ) 

Class R4

        (4 )       (53 )       (52 )       (678 ) 

Class R5

        (2,575 )       (15,233 )       (50 )       (1,146 ) 

Class R6

        (49,428 )       (121,650 )       (3,261 )       (45,521 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (80,675 )       (219,055 )       (8,320 )       (161,883 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

 

Change in net assets resulting from capital transactions

        (236,401 )       21,342        (166,680 )       (69,426 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

 

Change in net assets

        (222,396 )       (375,000 )       (58,792 )       (385,899 ) 

Beginning of period

        1,553,282        1,928,282        1,392,947        1,778,846  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 1,330,886      $ 1,553,282      $ 1,334,155      $ 1,392,947  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents
     JPMorgan Small Cap Blend Fund      JPMorgan Small Cap Core Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

            

Class A

            

Proceeds from shares issued

    $ 25,068      $ 56,422      $ 386      $ 3,052  

Distributions reinvested

      3,607        17,078        206        351  

Cost of shares redeemed

      (14,724 )       (21,654 )       (1,124 )       (1,451 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

    $ 13,951      $ 51,846      $ (532 )     $ 1,952  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class C

            

Proceeds from shares issued

    $ 5,715      $ 24,795      $ 416      $ 1,749  

Distributions reinvested

      347        1,178        85        172  

Cost of shares redeemed

      (10,971 )       (15,655 )       (395 )       (1,065 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

    $ (4,909 )     $ 10,318      $ 106      $ 856  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class I

            

Proceeds from shares issued

    $ 42,141      $ 122,678      $ 8,794      $ 14,346  

Distributions reinvested

      3,883        24,212        750        1,269  

Cost of shares redeemed

      (20,047 )       (105,365 )       (4,320 )       (15,564 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

    $ 25,977      $ 41,525      $ 5,224      $ 51  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

            

Proceeds from shares issued

    $ —      $ —      $ 25      $ 164  

Distributions reinvested

      —        —        7        3  

Cost of shares redeemed

      —        —        (1 )       (31 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ —      $ —      $ 31      $ 136  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R3

            

Proceeds from shares issued

    $ —      $ —      $ 2,803      $ 4,058  

Distributions reinvested

      —        —        227        2  

Cost of shares redeemed

      —        —        (1,390 )       (369 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ —      $ —      $ 1,640      $ 3,691  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R4

            

Proceeds from shares issued

    $ —      $ —      $ 836      $ 825  

Distributions reinvested

      —        —        104        114  

Cost of shares redeemed

      —        —        (352 )       (337 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ —      $ —      $ 588      $ 602  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R5

            

Proceeds from shares issued

    $ —      $ —      $ 19,703      $ 53,375  

Distributions reinvested

      —        —        9,135        15,379  

Cost of shares redeemed

      —        —        (22,634 )       (50,254 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ —      $ —      $ 6,204      $ 18,500  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R6 (a)

            

Proceeds from shares issued

    $ 43,921      $ 84,215      $ 38,287      $ 159,605  

Distributions reinvested

      3,542        4        9,153        6,240  

Cost of shares redeemed

      (11,120 )       (5,373 )       (28,440 )       (18,232 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ 36,343      $ 78,846      $ 19,000      $ 147,613  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

    $ 71,362      $ 182,535      $ 32,261      $ 173,401  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective July 2, 2018 for JPMorgan Small Cap Blend Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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      JPMorgan Small Cap Core Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

                

Class A

                

Issued

        1,258          2,757        8        58  

Reinvested

        177          976        4        7  

Redeemed

        (746 )         (1,042 )       (23 )       (28 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class A Shares

        689          2,691        (11 )       37  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class C

                

Issued

        441          1,952        8        33  

Reinvested

        27          103        2        4  

Redeemed

        (851 )         (1,095 )       (8 )       (22 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class C Shares

        (383 )         960        2        15  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class I

                

Issued

        1,764          4,930        178        277  

Reinvested

        157          1,154        15        27  

Redeemed

        (845 )         (4,485 )       (88 )       (312 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class I Shares

        1,076          1,599        105        (8 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R2

                

Issued

        —          —        1        4  

Reinvested

        —          —        — (a)       — (a) 

Redeemed

        —          —        — (a)       (1 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R2 Shares

        —          —        1        3  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R3

                

Issued

        —          —        59        82  

Reinvested

        —          —        4        — (a) 

Redeemed

        —          —        (28 )       (7 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R3 Shares

        —          —        35        75  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R4

                

Issued

        —          —        16        16  

Reinvested

        —          —        2        2  

Redeemed

        —          —        (7 )       (6 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R4 Shares

        —          —        11        12  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R5

 

Issued

        —          —        391        1,028  

Reinvested

        —          —        177        329  

Redeemed

        —          —        (455 )       (966 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R5 Shares

        —          —        113        391  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R6 (b)

                

Issued

        1,833          3,705        757        3,183  

Reinvested

        143          — (a)       177        134  

Redeemed

        (465 )         (230 )       (570 )       (365 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R6 Shares

        1,511          3,475        364        2,952  
    

 

 

       

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

(b)

Commencement of offering of class of shares effective July 2, 2018 for JPMorgan Small Cap Blend Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents
     JPMorgan Small Cap Equity Fund      JPMorgan Small Cap Growth Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

            

Class A

            

Proceeds from shares issued

    $ 165,984      $ 161,692      $ 73,609      $ 186,511  

Distributions reinvested

      38,275        57,371        24,237        34,926  

Cost of shares redeemed

      (160,698 )       (467,700 )       (61,250 )       (139,043 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

    $ 43,561      $ (248,637 )     $ 36,596      $ 82,394  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class C

            

Proceeds from shares issued

    $ 1,241      $ 4,981      $ 10,146      $ 31,303  

Distributions reinvested

      6,552        11,037        4,812        8,141  

Cost of shares redeemed

      (12,778 )       (37,555 )       (11,813 )       (17,570 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

    $ (4,985 )     $ (21,537 )     $ 3,145      $ 21,874  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class I

            

Proceeds from shares issued

    $ 826,923      $ 812,167      $ 80,607      $ 249,007  

Distributions reinvested

      138,087        161,114        13,161        22,035  

Cost of shares redeemed

      (372,305 )       (1,009,139 )       (58,801 )       (234,917 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

    $ 592,705      $ (35,858 )     $ 34,967      $ 36,125  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class L

            

Proceeds from shares issued

    $ —      $ —      $ 97,332      $ 299,095  

Distributions reinvested

      —        —        28,396        42,498  

Cost of shares redeemed

      —        —        (86,682 )       (182,736 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class L capital transactions

    $ —      $ —      $ 39,046      $ 158,857  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

            

Proceeds from shares issued

    $ 1,034      $ 3,928      $ 1,759      $ 5,637  

Distributions reinvested

      325        442        1,583        3,392  

Cost of shares redeemed

      (2,130 )       (6,276 )       (3,939 )       (12,461 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ (771 )     $ (1,906 )     $ (597 )     $ (3,432 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R3

            

Proceeds from shares issued

    $ 320      $ 780      $ 2,503      $ 700  

Distributions reinvested

      125        131        220        93  

Cost of shares redeemed

      (145 )       (764 )       (170 )       (162 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ 300      $ 147      $ 2,553      $ 631  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R4

            

Proceeds from shares issued

    $ 37      $ 437      $ 1,348      $ 742  

Distributions reinvested

      23        49        138        91  

Cost of shares redeemed

      (8 )       (556 )       (404 )       (210 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ 52      $ (70 )     $ 1,082      $ 623  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R5

            

Proceeds from shares issued

    $ 76,268      $ 249,768      $ 4,039      $ 15,804  

Distributions reinvested

      49,703        72,102        807        3,229  

Cost of shares redeemed

      (139,470 )       (311,556 )       (1,966 )       (29,628 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ (13,499 )     $ 10,314      $ 2,880      $ (10,595 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R6

            

Proceeds from shares issued

    $ 346,762      $ 273,648      $ 387,796      $ 737,982  

Distributions reinvested

      72,408        84,729        89,486        120,678  

Cost of shares redeemed

      (209,702 )       (348,341 )       (282,261 )       (352,159 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ 209,468      $ 10,036      $ 195,021      $ 506,501  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

    $ 826,831      $ (287,511 )     $ 314,693      $ 792,978  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

                  

Class A

                  

Issued

        3,292        3,220          4,326          11,086  

Reinvested

        760        1,280          1,419          2,442  

Redeemed

        (3,177 )       (9,569 )         (3,612 )         (8,306 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        875        (5,069 )         2,133          5,222  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class C

                  

Issued

        34        137          869          2,555  

Reinvested

        184        339          419          819  

Redeemed

        (352 )       (1,057 )         (1,014 )         (1,609 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        (134 )       (581 )         274          1,765  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class I

                  

Issued

        14,077        14,200          4,222          13,101  

Reinvested

        2,334        3,089          682          1,377  

Redeemed

        (6,328 )       (18,069 )         (3,101 )         (12,472 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        10,083        (780 )         1,803          2,006  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class L

                  

Issued

        —        —          4,948          15,406  

Reinvested

        —        —          1,419          2,570  

Redeemed

        —        —          (4,393 )         (9,858 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class L Shares

        —        —          1,974          8,118  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R2

                  

Issued

        20        81          107          352  

Reinvested

        7        10          97          247  

Redeemed

        (43 )       (128 )         (242 )         (774 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R2 Shares

        (16 )       (37 )         (38 )         (175 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R3

                  

Issued

        6        15          148          42  

Reinvested

        3        3          13          7  

Redeemed

        (3 )       (15 )         (10 )         (10 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R3 Shares

        6        3          151          39  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R4

                  

Issued

        1        7          77          45  

Reinvested

        — (a)       1          8          6  

Redeemed

        — (a)       (10 )         (24 )         (12 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R4 Shares

        1        (2 )         61          39  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R5

                  

Issued

        1,292        4,320          202          779  

Reinvested

        837        1,380          40          195  

Redeemed

        (2,348 )       (5,632 )         (99 )         (1,640 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R5 Shares

        (219 )       68          143          (666 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R6

                  

Issued

        5,892        4,903          19,521          37,658  

Reinvested

        1,219        1,623          4,411          7,213  

Redeemed

        (3,547 )       (6,057 )         (14,155 )         (18,147 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        3,564        469          9,777          26,724  
    

 

 

     

 

 

       

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Small Cap Value Fund      JPMorgan U.S. Small Company Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

              

Class A

              

Proceeds from shares issued

      $ 9,818      $ 39,092      $ 8,065      $ 31,276  

Distributions reinvested

        9,932        30,915        328        16,222  

Cost of shares redeemed

        (40,469 )       (150,367 )       (26,876 )       (84,556 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (20,719 )     $ (80,360 )     $ (18,483 )     $ (37,058 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class C

              

Proceeds from shares issued

      $ 275      $ 1,412      $ 649      $ 4,264  

Distributions reinvested

        1,043        3,378        13        3,767  

Cost of shares redeemed

        (4,373 )       (6,345 )       (5,187 )       (17,367 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (3,055 )     $ (1,555 )     $ (4,525 )     $ (9,336 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class I

              

Proceeds from shares issued

      $ 33,775      $ 111,050      $ 29,178      $ 93,832  

Distributions reinvested

        13,904        37,950        1,403        33,313  

Cost of shares redeemed

        (99,258 )       (129,351 )       (58,755 )       (216,008 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (51,579 )     $ 19,649      $ (28,174 )     $ (88,863 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class L

              

Proceeds from shares issued

      $ —      $ —      $ 62,546      $ 138,828  

Distributions reinvested

        —        —        2,129        43,991  

Cost of shares redeemed

        —        —        (99,753 )       (204,856 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class L capital transactions

      $ —      $ —      $ (35,078 )     $ (22,037 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

              

Proceeds from shares issued

      $ 4,122      $ 11,408      $ 3,238      $ 18,232  

Distributions reinvested

        2,044        4,865        18        3,913  

Cost of shares redeemed

        (7,292 )       (15,716 )       (12,353 )       (17,683 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ (1,126 )     $ 557      $ (9,097 )     $ 4,462  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R3

              

Proceeds from shares issued

      $ 2,492      $ 6,293      $ 2,984      $ 13,013  

Distributions reinvested

        912        1,910        86        2,049  

Cost of shares redeemed

        (3,066 )       (2,872 )       (3,304 )       (5,163 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ 338      $ 5,331      $ (234 )     $ 9,899  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R4

              

Proceeds from shares issued

      $ 20      $ 514      $ 2,472      $ 3,626  

Distributions reinvested

        4        53        52        678  

Cost of shares redeemed

        (355 )       (142 )       (777 )       (2,627 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ (331 )     $ 425      $ 1,747      $ 1,677  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R5

              

Proceeds from shares issued

      $ 4,700      $ 23,910      $ 1,421      $ 8,102  

Distributions reinvested

        2,427        14,495        33        958  

Cost of shares redeemed

        (33,611 )       (70,249 )       (6,031 )       (1,751 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (26,484 )     $ (31,844 )     $ (4,577 )     $ 7,309  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R6

              

Proceeds from shares issued

      $ 67,057      $ 212,292      $ 32,180      $ 117,831  

Subscriptions in-kind (See Note 8)

        —        —        —        13,799  

Distributions reinvested

        49,428        121,650        3,215        45,073  

Cost of shares redeemed

        (249,930 )       (224,803 )       (103,654 )       (112,182 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ (133,445 )     $ 109,139      $ (68,259 )     $ 64,521  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

      $ (236,401 )     $ 21,342      $ (166,680 )     $ (69,426 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

                  

Class A

                  

Issued

        416        1,538          499          1,816  

Reinvested

        421        1,333          19          1,049  

Redeemed

        (1,703 )       (5,737 )         (1,666 )         (5,034 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        (866 )       (2,866 )         (1,148 )         (2,169 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class C

                  

Issued

        15        68          43          258  

Reinvested

        56        182          1          257  

Redeemed

        (233 )       (320 )         (344 )         (1,066 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        (162 )       (70 )         (300 )         (551 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class I

                  

Issued

        1,327        4,075          1,728          5,437  

Reinvested

        548        1,528          79          2,098  

Redeemed

        (3,969 )       (4,698 )         (3,512 )         (12,470 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        (2,094 )       905          (1,705 )         (4,935 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class L

                  

Issued

        —        —          3,797          8,225  

Reinvested

        —        —          120          2,772  

Redeemed

        —        —          (6,014 )         (12,189 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class L Shares

        —        —          (2,097 )         (1,192 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R2

                  

Issued

        176        456          204          1,048  

Reinvested

        88        212          1          259  

Redeemed

        (313 )       (619 )         (779 )         (1,064 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R2 Shares

        (49 )       49          (574 )         243  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R3

                  

Issued

        106        233          186          778  

Reinvested

        39        83          5          133  

Redeemed

        (128 )       (113 )         (205 )         (312 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R3 Shares

        17        203          (14 )         599  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R4

                  

Issued

        1        17          152          208  

Reinvested

        — (a)       2          3          43  

Redeemed

        (15 )       (5 )         (47 )         (153 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R4 Shares

        (14 )       14          108          98  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R5

                  

Issued

        184        838          84          437  

Reinvested

        95        582          2          61  

Redeemed

        (1,342 )       (2,739 )         (359 )         (102 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R5 Shares

        (1,063 )       (1,319 )         (273 )         396  
    

 

 

     

 

 

       

 

 

       

 

 

  

Class R6

                  

Issued

        2,696        8,015          1,934          6,749  

Subscriptions in-kind (See Note 8)

        —        —          —          828  

Reinvested

        1,942        4,881          181          2,839  

Redeemed

        (9,786 )       (8,321 )         (6,156 )         (6,595 ) 
    

 

 

     

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        (5,148 )       4,575          (4,041 )         3,821  
    

 

 

     

 

 

       

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
DECEMBER 31, 2019   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) (b)		     Net realized
and unrealized
gains
(losses) on
investments		      Total from
investment
operations		      Net
investment
income		      Net
realized
gain		      Total
distributions		  

JPMorgan Small Cap Blend Fund

                    

Class A

                    

Six Months Ended December 31, 2019 (Unaudited)

    $ 19.78      $ 0.03     $ 1.57      $ 1.60      $ (0.02 )     $ (0.65 )     $ (0.67 ) 

Year Ended June 30, 2019

      26.65        — (f)      (0.63 )       (0.63 )       —        (6.24 )       (6.24 ) 

Year Ended June 30, 2018

      22.03        (0.20 )      7.54        7.34        —        (2.72 )       (2.72 ) 

Year Ended June 30, 2017

      19.14        (0.16 )      6.24        6.08        —        (3.19 )       (3.19 ) 

Year Ended June 30, 2016

      26.04        (0.16 )      (3.52 )       (3.68 )       —        (3.22 )       (3.22 ) 

Year Ended June 30, 2015

      25.11        (0.20 )      3.17        2.97        —        (2.04 )       (2.04 ) 

Class C

                    

Six Months Ended December 31, 2019 (Unaudited)

      12.90        (0.01 )      1.01        1.00        —        (0.65 )       (0.65 ) 

Year Ended June 30, 2019

      19.89        (0.08 )      (0.67 )       (0.75 )       —        (6.24 )       (6.24 ) 

Year Ended June 30, 2018

      17.12        (0.24 )      5.73        5.49        —        (2.72 )       (2.72 ) 

Year Ended June 30, 2017

      15.58        (0.21 )      4.94        4.73        —        (3.19 )       (3.19 ) 

Year Ended June 30, 2016

      21.97        (0.22 )      (2.95 )       (3.17 )       —        (3.22 )       (3.22 ) 

Year Ended June 30, 2015

      21.61        (0.28 )      2.68        2.40        —        (2.04 )       (2.04 ) 

Class I

                    

Six Months Ended December 31, 2019 (Unaudited)

      23.75        0.07       1.88        1.95        (0.05 )       (0.65 )       (0.70 ) 

Year Ended June 30, 2019

      30.53        0.05       (0.59 )       (0.54 )       —        (6.24 )       (6.24 ) 

Year Ended June 30, 2018

      24.83        (0.15 )      8.57        8.42        —        (2.72 )       (2.72 ) 

Year Ended June 30, 2017

      21.17        (0.12 )      6.97        6.85        —        (3.19 )       (3.19 ) 

Year Ended June 30, 2016

      28.34        (0.14 )      (3.81 )       (3.95 )       —        (3.22 )       (3.22 ) 

Year Ended June 30, 2015

      27.08        (0.15 )      3.45        3.30        —        (2.04 )       (2.04 ) 

Class R6

                    

Six Months Ended December 31, 2019 (Unaudited)

      23.82        0.10       1.89        1.99        (0.10 )       (0.65 )       (0.75 ) 

July 2, 2018 (g) through June 30, 2019

      30.73        0.18       (0.85 )       (0.67 )       —        (6.24 )       (6.24 ) 

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Amount rounds to less than $0.005.

(g)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 20.71       8.11 %    $ 136,538       1.24 %      0.29 %      1.33 %      15 % 
  19.78       0.70       116,751       1.24       (0.01 )      1.37       75  
  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  
           
  13.25       7.80       34,609       1.74       (0.22 )      1.82       15  
  12.90       0.25       38,625       1.74       (0.53 )      1.85       75  
  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  
           
  25.00       8.25       142,821       0.99       0.54       1.06       15  
  23.75       0.94       110,123       0.99       0.20       1.10       75  
  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  
           
  25.06       8.40       124,944       0.74       0.80       0.81       15  
  23.82       0.55       82,758       0.74       0.79       1.10       75  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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) (b)		     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

                    

Six Months Ended December 31, 2019 (Unaudited)

    $ 49.98      $ 0.07     $ 3.28      $ 3.35      $ (0.15 )     $ (1.86 )     $ (2.01 ) 

Year Ended June 30, 2019

      57.16        0.11       (3.52 )       (3.41 )       (0.02 )       (3.75 )       (3.77 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

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

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

      45.81        0.02 (f)      0.05        0.07        —        —        —  

Class C

                    

Six Months Ended December 31, 2019 (Unaudited)

      49.27        (0.05 )      3.22        3.17        —        (1.86 )       (1.86 ) 

Year Ended June 30, 2019

      56.67        (0.15 )      (3.50 )       (3.65 )       —        (3.75 )       (3.75 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

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

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

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

Class I

                    

Six Months Ended December 31, 2019 (Unaudited)

      50.25        0.14       3.30        3.44        (0.29 )       (1.86 )       (2.15 ) 

Year Ended June 30, 2019

      57.44        0.23       (3.55 )       (3.32 )       (0.12 )       (3.75 )       (3.87 ) 

Year Ended June 30, 2018

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

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

      50.44        0.07       2.07        2.14        —        —        —  

Class R2

                    

Six Months Ended December 31, 2019 (Unaudited)

      50.01        0.01       3.28        3.29        (0.11 )       (1.86 )       (1.97 ) 

Year Ended June 30, 2019

      57.32        0.04       (3.60 )       (3.56 )       —        (3.75 )       (3.75 ) 

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

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

Class R3

                    

Six Months Ended December 31, 2019 (Unaudited)

      50.18        0.08       3.28        3.36        (0.23 )       (1.86 )       (2.09 ) 

Year Ended June 30, 2019

      57.40        0.26       (3.71 )       (3.45 )       (0.02 )       (3.75 )       (3.77 ) 

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

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

Class R4

                    

Six Months Ended December 31, 2019 (Unaudited)

      50.28        0.14       3.30        3.44        (0.30 )       (1.86 )       (2.16 ) 

Year Ended June 30, 2019

      57.48        0.23       (3.56 )       (3.33 )       (0.12 )       (3.75 )       (3.87 ) 

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

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

Class R5

                    

Six Months Ended December 31, 2019 (Unaudited)

      50.42        0.18       3.32        3.50        (0.37 )       (1.86 )       (2.23 ) 

Year Ended June 30, 2019

      57.63        0.33       (3.58 )       (3.25 )       (0.21 )       (3.75 )       (3.96 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

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

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Class R6

                    

Six Months Ended December 31, 2019 (Unaudited)

      50.34        0.20       3.31        3.51        (0.40 )       (1.86 )       (2.26 ) 

Year Ended June 30, 2019

      57.55        0.39       (3.61 )       (3.22 )       (0.24 )       (3.75 )       (3.99 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

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

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

      45.81        0.04 (f)      0.05        0.09        —        —        —  

 

(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.

(h)

Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 51.32       6.73 %    $ 5,483       1.24 %      0.28 %      1.37 %      36 % 
  49.98       (5.48 )      5,896       1.23       0.21       1.36       74  
  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  
           
  50.58       6.46       2,467       1.74       (0.21 )      1.83       36  
  49.27       (5.97 )      2,307       1.73       (0.30 )      1.86       74  
  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  
           
  51.54       6.87       18,953       0.99       0.57       1.07       36  
  50.25       (5.24 )      13,211       0.98       0.45       1.09       74  
  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  
           
  51.33       6.62       202       1.49       0.05       1.72       36  
  50.01       (5.73 )      166       1.48       0.08       2.08       74  
  57.32       16.67       24       1.49       (0.15 )(f)      1.72       39  
           
  51.45       6.73       5,685       1.24       0.31       1.30       36  
  50.18       (5.51 )      3,768       1.23       0.53       1.59       74  
  57.40       16.94       24       1.24       0.10 (f)      1.46       39  
           
  51.56       6.88       2,587       0.99       0.57       1.07       36  
  50.28       (5.26 )      1,941       0.98       0.45       1.10       74  
  57.48       17.21       1,536       0.99       0.36 (f)      1.11       39  
           
  51.69       6.98       226,890       0.80       0.73       0.91       36  
  50.42       (5.07 )      215,630       0.79       0.63       0.93       74  
  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  
           
  51.59       7.00       230,519       0.74       0.79       0.81       36  
  50.34       (5.02 )      206,625       0.73       0.75       0.83       74  
  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.

 

 
DECEMBER 31, 2019   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

                    

Six Months Ended December 31, 2019 (Unaudited)

    $ 50.05      $ 0.07     $ 3.42      $ 3.49      $ (0.15 )     $ (2.38 )     $ (2.53 ) 

Year Ended June 30, 2019

      52.43        0.12       0.95        1.07        (0.06 )       (3.39 )       (3.45 ) 

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 ) 

Class C

                    

Six Months Ended December 31, 2019 (Unaudited)

      36.25        (0.04 )      2.46        2.42        (0.02 )       (2.38 )       (2.40 ) 

Year Ended June 30, 2019

      39.12        (0.09 )      0.61        0.52        —        (3.39 )       (3.39 ) 

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 ) 

Class I

                    

Six Months Ended December 31, 2019 (Unaudited)

      58.34        0.16       4.00        4.16        (0.26 )       (2.38 )       (2.64 ) 

Year Ended June 30, 2019

      60.52        0.29       1.12        1.41        (0.20 )       (3.39 )       (3.59 ) 

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 ) 

Class R2

                    

Six Months Ended December 31, 2019 (Unaudited)

      48.98        — (g)      3.35        3.35        —        (2.38 )       (2.38 ) 

Year Ended June 30, 2019

      51.44        — (g)      0.93        0.93        —        (3.39 )       (3.39 ) 

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        — (g)      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 ) 

Class R3

                    

Six Months Ended December 31, 2019 (Unaudited)

      49.73        0.07       3.40        3.47        (0.17 )       (2.38 )       (2.55 ) 

Year Ended June 30, 2019

      52.13        0.13       0.92        1.05        (0.06 )       (3.39 )       (3.45 ) 

Year Ended June 30, 2018

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

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

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

Class R4

                    

Six Months Ended December 31, 2019 (Unaudited)

      58.26        0.16       3.99        4.15        (0.25 )       (2.38 )       (2.63 ) 

Year Ended June 30, 2019

      60.42        0.29       1.12        1.41        (0.18 )       (3.39 )       (3.57 ) 

Year Ended June 30, 2018

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

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

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

Class R5

                    

Six Months Ended December 31, 2019 (Unaudited)

      58.51        0.21       4.02        4.23        (0.35 )       (2.38 )       (2.73 ) 

Year Ended June 30, 2019

      60.69        0.41       1.11        1.52        (0.31 )       (3.39 )       (3.70 ) 

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 ) 

Class R6

                    

Six Months Ended December 31, 2019 (Unaudited)

      58.50        0.23       4.02        4.25        (0.39 )       (2.38 )       (2.77 ) 

Year Ended June 30, 2019

      60.68        0.44       1.11        1.55        (0.34 )       (3.39 )       (3.73 ) 

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 (i) 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)

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.

 

 
66       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 51.01       7.06 %    $ 851,677       1.24 %      0.26 %      1.26 %      7 % 
  50.05       2.82       791,846       1.23       0.24       1.25       23  
  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  
           
  36.27       6.78       106,662       1.74       (0.24 )      1.75       7  
  36.25       2.31       111,453       1.73       (0.25 )      1.75       23  
  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  
           
  59.86       7.20       3,394,469       0.99       0.54       0.99       7  
  58.34       3.05       2,720,056       0.98       0.51       1.00       23  
  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  
           
  49.95       6.92       9,134       1.49       0.01       1.52       7  
  48.98       2.56       9,718       1.48       0.00 (h)      1.52       23  
  51.44       14.02       12,133       1.49       (0.06 )      1.52       17  
  47.81       19.85       13,078       1.53       0.00 (h)      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  
           
  50.65       7.06       2,950       1.24       0.28       1.24       7  
  49.73       2.79       2,597       1.23       0.26       1.25       23  
  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  
           
  59.78       7.20       541       0.99       0.53       1.02       7  
  58.26       3.05       475       0.98       0.50       1.03       23  
  60.42       14.61       624       0.98       0.57       1.07       17  
  55.64       16.14       60       0.99       0.55       1.14       21  
           
  60.01       7.31       1,232,025       0.80       0.71       0.84       7  
  58.51       3.26       1,214,075       0.79       0.70       0.85       23  
  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  
           
  59.98       7.34       1,675,571       0.73       0.78       0.74       7  
  58.50       3.33       1,425,704       0.73       0.76       0.75       23  
  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.

 

 
DECEMBER 31, 2019   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
investment
income		      Net
realized
gain		      Total
distributions		  

JPMorgan Small Cap Growth Fund

                    

Class A

                    

Six Months Ended December 31, 2019 (Unaudited)

    $ 17.00      $ (0.05 )    $ 1.43      $ 1.38      $ —      $ (1.07 )     $ (1.07 ) 

Year Ended June 30, 2019

      18.45        (0.11 )      0.67        0.56        —        (2.01 )       (2.01 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      11.43        (0.10 )      3.94        3.84        —        (0.46 )       (0.46 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Class C

                    

Six Months Ended December 31, 2019 (Unaudited)

      11.78        (0.06 )      0.98        0.92        —        (1.07 )       (1.07 ) 

Year Ended June 30, 2019

      13.55        (0.14 )      0.38        0.24        —        (2.01 )       (2.01 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      8.82        (0.13 )      3.00        2.87        —        (0.46 )       (0.46 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Class I

                    

Six Months Ended December 31, 2019 (Unaudited)

      19.05        (0.03 )      1.60        1.57        (0.01 )       (1.07 )       (1.08 ) 

Year Ended June 30, 2019

      20.35        (0.08 )      0.79        0.71        —        (2.01 )       (2.01 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      12.42        (0.07 )      4.29        4.22        —        (0.46 )       (0.46 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Class L

                    

Six Months Ended December 31, 2019 (Unaudited)

      19.71        (0.02 )      1.67        1.65        (0.03 )       (1.07 )       (1.10 ) 

Year Ended June 30, 2019

      20.95        (0.05 )      0.82        0.77        —        (2.01 )       (2.01 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      12.72        (0.05 )      4.39        4.34        —        (0.46 )       (0.46 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Class R2

                    

Six Months Ended December 31, 2019 (Unaudited)

      16.31        (0.07 )      1.37        1.30        —        (1.07 )       (1.07 ) 

Year Ended June 30, 2019

      17.84        (0.15 )      0.63        0.48        —        (2.01 )       (2.01 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      11.15        (0.13 )      3.83        3.70        —        (0.46 )       (0.46 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

Class R3

                    

Six Months Ended December 31, 2019 (Unaudited)

      17.00        (0.04 )      1.42        1.38        (0.03 )       (1.07 )       (1.10 ) 

Year Ended June 30, 2019

      18.45        (0.10 )      0.66        0.56        —        (2.01 )       (2.01 ) 

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

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

Class R4

                    

Six Months Ended December 31, 2019 (Unaudited)

      17.09        (0.03 )      1.45        1.42        (0.03 )       (1.07 )       (1.10 ) 

Year Ended June 30, 2019

      18.50        (0.07 )      0.67        0.60        —        (2.01 )       (2.01 ) 

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

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

Class R5

                    

Six Months Ended December 31, 2019 (Unaudited)

      19.72        (0.02 )      1.67        1.65        (0.02 )       (1.07 )       (1.09 ) 

Year Ended June 30, 2019

      20.96        (0.07 )      0.84        0.77        —        (2.01 )       (2.01 ) 

Year Ended June 30, 2018

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

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

      13.75        (0.04 )      3.35        3.31        —        (0.46 )       (0.46 ) 

Class R6

                    

Six Months Ended December 31, 2019 (Unaudited)

      19.95        (0.01 )      1.69        1.68        (0.05 )       (1.07 )       (1.12 ) 

Year Ended June 30, 2019

      21.16        (0.03 )      0.83        0.80        —        (2.01 )       (2.01 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      12.80        (0.04 )      4.43        4.39        —        (0.46 )       (0.46 ) 

Year Ended June 30, 2016

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

Year Ended June 30, 2015

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

 

(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   DECEMBER 31, 2019

Table of Contents

 

 

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

Net
investment
income
(loss)

     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 17.31       8.23 %    $ 444,329       1.24 %      (0.57 )%      1.27 %      22 % 
  17.00       5.08       400,127       1.24       (0.68 )      1.27       58  
  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  
           
  11.63       7.96       60,733       1.74       (1.07 )      1.76       22  
  11.78       4.51       58,288       1.74       (1.17 )      1.77       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  
           
  19.54       8.32       331,901       0.99       (0.31 )      1.01       22  
  19.05       5.36       289,094       0.99       (0.43 )      1.02       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  
           
  20.26       8.46       624,305       0.84       (0.17 )      0.86       22  
  19.71       5.51       568,539       0.84       (0.27 )      0.86       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  
           
  16.54       8.08       25,758       1.49       (0.82 )      1.52       22  
  16.31       4.79       26,011       1.49       (0.94 )      1.52       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  
           
  17.28       8.22       3,691       1.24       (0.52 )      1.32       22  
  17.00       5.08       1,072       1.24       (0.63 )      1.37       58  
  18.45       31.93       446       1.23       (0.80 )(f)      1.28       58  
           
  17.41       8.41       2,417       0.99       (0.30 )      1.01       22  
  17.09       5.30       1,336       0.99       (0.39 )      1.01       58  
  18.50       32.28       726       0.99       (0.53 )(f)      1.17       58  
           
  20.28       8.44       17,110       0.84       (0.16 )      0.86       22  
  19.72       5.50       13,817       0.84       (0.34 )      0.86       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  
           
  20.51       8.49       1,761,633       0.74       (0.06 )      0.76       22  
  19.95       5.60       1,518,382       0.74       (0.16 )      0.76       58  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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

                    

Six Months Ended December 31, 2019 (Unaudited)

    $ 23.65      $ 0.11     $ 1.52      $ 1.63      $ (0.15 )     $ (1.33 )     $ (1.48 ) 

Year Ended June 30, 2019

      30.42        0.21       (3.28 )       (3.07 )       (0.24 )       (3.46 )       (3.70 ) 

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 ) 

Class C

                    

Six Months Ended December 31, 2019 (Unaudited)

      18.90        0.04       1.22        1.26        (0.12 )       (1.33 )       (1.45 ) 

Year Ended June 30, 2019

      25.21        0.07       (2.73 )       (2.66 )       (0.19 )       (3.46 )       (3.65 ) 

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 ) 

Class I

                    

Six Months Ended December 31, 2019 (Unaudited)

      25.32        0.15       1.62        1.77        (0.18 )       (1.33 )       (1.51 ) 

Year Ended June 30, 2019

      32.25        0.31       (3.48 )       (3.17 )       (0.30 )       (3.46 )       (3.76 ) 

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 ) 

Class R2

                    

Six Months Ended December 31, 2019 (Unaudited)

      23.37        0.08       1.50        1.58        (0.13 )       (1.33 )       (1.46 ) 

Year Ended June 30, 2019

      30.13        0.15       (3.25 )       (3.10 )       (0.20 )       (3.46 )       (3.66 ) 

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 ) 

Class R3

                    

Six Months Ended December 31, 2019 (Unaudited)

      23.61        0.11       1.52        1.63        (0.16 )       (1.33 )       (1.49 ) 

Year Ended June 30, 2019

      30.38        0.23       (3.29 )       (3.06 )       (0.25 )       (3.46 )       (3.71 ) 

Year Ended June 30, 2018

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

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

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

Class R4

                    

Six Months Ended December 31, 2019 (Unaudited)

      25.28        0.09       1.69        1.78        (0.14 )       (1.33 )       (1.47 ) 

Year Ended June 30, 2019

      32.21        0.30       (3.47 )       (3.17 )       (0.30 )       (3.46 )       (3.76 ) 

Year Ended June 30, 2018

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

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

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

Class R5

                    

Six Months Ended December 31, 2019 (Unaudited)

      25.34        0.16       1.64        1.80        (0.20 )       (1.33 )       (1.53 ) 

Year Ended June 30, 2019

      32.26        0.34       (3.47 )       (3.13 )       (0.33 )       (3.46 )       (3.79 ) 

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 ) 

Class R6

                    

Six Months Ended December 31, 2019 (Unaudited)

      25.38        0.18       1.63        1.81        (0.21 )       (1.33 )       (1.54 ) 

Year Ended June 30, 2019

      32.30        0.38       (3.49 )       (3.11 )       (0.35 )       (3.46 )       (3.81 ) 

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 ) 

 

(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.

 

 
70       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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)		  
$ 23.80       7.01 %    $ 174,095       1.25 %      0.92 %      1.27 %      12 % 
  23.65       (9.73 )      193,505       1.24       0.80       1.26       60  
  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  
           
  18.71       6.77       14,874       1.74       0.41       1.79       12  
  18.90       (10.18 )      18,088       1.74       0.33       1.77       60  
  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  
           
  25.58       7.10       236,475       0.99       1.16       1.01       12  
  25.32       (9.49 )      287,014       0.99       1.10       1.01       60  
  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  
           
  23.49       6.84       35,334       1.49       0.69       1.59       12  
  23.37       (9.94 )      36,276       1.49       0.60       1.58       60  
  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  
           
  23.75       6.99       15,347       1.24       0.95       1.29       12  
  23.61       (9.72 )      14,854       1.24       0.89       1.28       60  
  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  
           
  25.59       7.14       83       0.99       0.75       1.04       12  
  25.28       (9.51 )      436       0.99       1.10       1.04       60  
  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  
           
  25.61       7.21       43,401       0.85       1.28       0.87       12  
  25.34       (9.35 )      69,857       0.84       1.21       0.86       60  
  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  
           
  25.65       7.25       811,277       0.75       1.42       0.76       12  
  25.38       (9.25 )      933,252       0.74       1.36       0.76       60  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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

                  

Six Months Ended December 31, 2019 (Unaudited)

    $ 15.96      $ 0.02     $ 1.42      $ 1.44      $ (0.04 )    $ (0.01 )    $ (0.05 ) 

Year Ended June 30, 2019

      19.60        0.03       (1.81 )       (1.78 )       —       (1.86 )      (1.86 ) 

Year Ended June 30, 2018

      18.10        — (f)(g)      2.69        2.69        —       (1.19 )      (1.19 ) 

Year Ended June 30, 2017

      15.09        — (f)(g)      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 ) 

Class C

                  

Six Months Ended December 31, 2019 (Unaudited)

      15.06        (0.02 )      1.33        1.31        —       (0.01 )      (0.01 ) 

Year Ended June 30, 2019

      18.70        (0.06 )      (1.72 )       (1.78 )       —       (1.86 )      (1.86 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      14.57        (0.08 )(g)      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 ) 

Class I

                  

Six Months Ended December 31, 2019 (Unaudited)

      16.40        0.04       1.46        1.50        (0.09 )      (0.01 )      (0.10 ) 

Year Ended June 30, 2019

      20.05        0.07       (1.84 )       (1.77 )       (0.02 )      (1.86 )      (1.88 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      15.40        0.04 (g)      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 ) 

Class L

                  

Six Months Ended December 31, 2019 (Unaudited)

      16.38        0.05       1.47        1.52        (0.12 )      (0.01 )      (0.13 ) 

Year Ended June 30, 2019

      20.05        0.10       (1.86 )       (1.76 )       (0.05 )      (1.86 )      (1.91 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      15.39        0.08 (g)      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 ) 

Class R2

                  

Six Months Ended December 31, 2019 (Unaudited)

      15.58        (0.01 )      1.39        1.38        —       (0.01 )      (0.01 ) 

Year Ended June 30, 2019

      19.22        (0.01 )      (1.77 )       (1.78 )       —       (1.86 )      (1.86 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      14.88        (0.04 )(g)      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 ) 

Class R3

                  

Six Months Ended December 31, 2019 (Unaudited)

      15.87        0.02       1.40        1.42        (0.05 )      (0.01 )      (0.06 ) 

Year Ended June 30, 2019

      19.50        0.04       (1.81 )       (1.77 )       — (f)      (1.86 )      (1.86 ) 

Year Ended June 30, 2018

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

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

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

Class R4

                  

Six Months Ended December 31, 2019 (Unaudited)

      16.32        0.04       1.45        1.49        (0.10 )      (0.01 )      (0.11 ) 

Year Ended June 30, 2019

      19.98        0.08       (1.85 )       (1.77 )       (0.03 )      (1.86 )      (1.89 ) 

Year Ended June 30, 2018

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

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

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

Class R5

                  

Six Months Ended December 31, 2019 (Unaudited)

      16.34        0.05       1.46        1.51        (0.11 )      (0.01 )      (0.12 ) 

Year Ended June 30, 2019

      20.01        0.11       (1.86 )       (1.75 )       (0.06 )      (1.86 )      (1.92 ) 

Year Ended June 30, 2018

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

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

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

Class R6

                  

Six Months Ended December 31, 2019 (Unaudited)

      16.40        0.06       1.45        1.51        (0.13 )      (0.01 )      (0.14 ) 

Year Ended June 30, 2019

      20.07        0.12       (1.86 )       (1.74 )       (0.07 )      (1.86 )      (1.93 ) 

Year Ended June 30, 2018

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

Year Ended June 30, 2017

      15.40        0.10 (g)      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 ) 

 

(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)

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.

(h)

Amount rounds to less than 0.005%.

(i)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

 

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

    
Expenses

without waivers,
reimbursements and
earnings credits

     Portfolio
turnover
rate (c)		  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  
           
           
$ 17.35       9.01 %    $ 128,369       1.23 %      0.20 %      1.23 %      17 % 
  15.96       (8.77 )      136,432       1.22       0.16       1.22       64  
  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 )(g)      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  
           
  16.36       8.69       25,996       1.74       (0.32 )      1.74       17  
  15.06       (9.22 )      28,451       1.72       (0.35 )      1.73       64  
  18.70       14.85       45,633       1.73       (0.50 )(g)      1.73       52  
  17.40       19.43       49,946       1.75       (0.51 )(g)      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  
           
  17.80       9.12       266,398       0.96       0.46       0.97       17  
  16.40       (8.49 )      273,370       0.96       0.41       0.96       64  
  20.05       15.73       433,317       0.96       0.27 (g)      0.97       52  
  18.47       20.29       387,043       1.01       0.25 (g)      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  
           
  17.77       9.25       432,903       0.81       0.62       0.81       17  
  16.38       (8.42 )      433,521       0.81       0.58       0.81       64  
  20.05       15.95       554,361       0.81       0.42 (g)      0.82       52  
  18.46       20.50       711,139       0.82       0.43 (g)      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  
           
  16.95       8.85       38,212       1.50       (0.08 )      1.50       17  
  15.58       (8.95 )      44,064       1.47       (0.07 )      1.49       64  
  19.22       15.13       49,715       1.48       (0.25 )(g)      1.48       52  
  17.81       19.70       51,511       1.50       (0.24 )(g)      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  
           
  17.23       8.97       25,693       1.21       0.22       1.21       17  
  15.87       (8.75 )      23,887       1.21       0.23       1.21       64  
  19.50       15.49       17,655       1.21       0.04 (g)      1.21       52  
  18.03       13.01       9,560       1.23       0.25 (g)      1.24       53  
           
  17.70       9.10       8,765       0.98       0.46       0.99       17  
  16.32       (8.52 )      6,313       0.97       0.45       0.98       64  
  19.98       15.73       5,773       1.01       0.28 (g)      1.04       52  
  18.44       13.24       794       1.00       0.89 (g)      1.07       53  
           
  17.73       9.23       7,917       0.81       0.58       0.81       17  
  16.34       (8.39 )      11,770       0.81       0.64       0.81       64  
  20.01       15.83       6,491       0.85       0.43 (g)      0.86       52  
  18.45       13.44       145       0.83       0.51 (g)      0.90       53  
           
  17.77       9.22       399,902       0.71       0.71       0.72       17  
  16.40       (8.30 )      435,139       0.71       0.70       0.72       64  
  20.07       16.05       455,851       0.71       0.53 (g)      0.72       52  
  18.48       20.64       296,577       0.72       0.55 (g)      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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

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   Diversification Classification
JPMorgan Small Cap Blend Fund   Class A, Class C, Class I and Class R6(1)   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

 

(1) 

Class R6 commenced operations on July 2, 2018 for JPMorgan Small Cap Blend 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 Class L shares of the Funds unless they meet certain requirements as described in the Funds’ prospectuses.

All share classes of the Small 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.

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. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (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 their market value 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

 

 
74       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 (“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)

      $ 472,083        $ —        $ — (b)     $ 472,083  
    

 

 

       

 

 

       

 

 

     

 

 

  
Small Cap Core Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		       

Level 3
Significant

unobservable inputs

      Total  

Total Investments in Securities (c)

      $ 524,943        $ —        $ —      $ 524,943  
    

 

 

       

 

 

       

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts (c)

      $ 54        $ —        $ —      $ 54  
    

 

 

       

 

 

       

 

 

     

 

 

  
Small Cap Equity Fund                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		       

Level 3
Significant

unobservable inputs

      Total  

Total Investments in Securities (c)

      $ 7,572,401        $ —        $ —      $ 7,572,401  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         75  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (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)

      $ 3,530,110        $ —        $ — (b)     $ 3,530,110  
    

 

 

       

 

 

       

 

 

     

 

 

  

Small Cap Value Fund

                  
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		       

Level 3

Significant

unobservable inputs

      Total  

Total Investments in Securities (c)

      $ 1,418,001        $ —        $ —      $ 1,418,001  
    

 

 

       

 

 

       

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts (c)

      $ 96        $ —        $ —      $ 96  
    

 

 

       

 

 

       

 

 

     

 

 

  

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 (a)

      $ 1,423,834        $ —        $ 164      $ 1,423,998  
    

 

 

       

 

 

       

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts (c)

      $ 110        $ —        $ —      $ 110  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a)

All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOIs. Level 3 consists of rights. Please refer to the SOIs for industry specifics of portfolio holdings.

(b)

Amount rounds to less than one thousand.

(c)

All portfolio holdings designated as level 1 are disclosed individually on the SOIs.

There were no transfers into or out of level 3 for the six months ended December 31, 2019.

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, while cash deposited, which is considered restricted, 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 six months ended December 31, 2019 (amounts in thousands):

 

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

Futures Contracts — Equity:

               

Average Notional Balance Long

      $ 15,608        $ 32,159        $ 30,433  

Ending Notional Balance Long

        12,608          24,715          31,895  

 

 
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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. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.

The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).

 

      Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities		        Cash Collateral
Posted by Borrower*		        Net Amount Due
to Counterparty
(not less than zero)		  

Small Cap Blend Fund

    $ 33,180        $ (33,180 )       $ —  

Small Cap Core Fund

      32,946          (32,946 )         —  

Small Cap Equity Fund

      270,653          (270,653 )         —  

Small Cap Growth Fund

      255,206          (255,206 )         —  

Small Cap Value Fund

      82,472          (82,472 )         —  

U.S. Small Company Fund

      108,465          (108,465 )         —  

 

*

Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):

 

Small Cap Blend Fund

    $ 4  

Small Cap Core Fund

      3  

Small Cap Equity Fund

      19  

Small Cap Growth Fund

      25  

Small Cap Value Fund

      9  

U.S. Small Company Fund

      10  

The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).

 

 

 
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Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

D. 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. Amounts in the tables below are in thousands.

Small Cap Blend Fund

 

For the six months ended December 31, 2019

  
Security Description   Value at
June 30,
2019 		    Purchases at
Cost		     Proceeds from
Sales		     Net Realized
Gain (Loss)		     Change
in Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 12,791     $ 69,487     $ 75,079     $ — (c)    $ (1 )    $ 7,198       7,196     $ 108     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     26,008       26,000       25,000       (1 )*      (2 )      27,005       27,002       251 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     10,612       82,793       86,483       —       —       6,922       6,922       84 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 49,411     $ 178,280     $ 186,562     $ (1 )    $ (3 )    $ 41,125       $ 443     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Small Cap Core Fund

 

For the six months ended December 31, 2019

  
Security Description   Value at
June 30,
2019 		    Purchases at
Cost		     Proceeds from
Sales		     Net Realized
Gain (Loss)		     Change
in Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 47,070     $ 52,026     $ 84,321     $ (1 )    $ — (c)    $ 14,774       14,770     $ 167     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     25,006       38,000       35,000       (2 )*      (2 )      28,002       28,000       255 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     7,388       85,046       86,811       —       —       5,623       5,623       67 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 79,464     $ 175,072     $ 206,132     $ (3 )    $ (2 )    $ 48,399       $ 489     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Small Cap Equity Fund

 

For the six months ended December 31, 2019

  
Security Description   Value at
June 30,
2019 		    Purchases at
Cost		     Proceeds from
Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 254,743     $ 1,077,844     $ 999,474     $ (12 )    $ (25 )    $ 333,076       332,976     $ 3,293     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     177,054       582,000       506,000       (3 )*      (8 )      253,043       253,017       2,544 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     39,120       507,139       516,232       —       —       30,027       30,027       413 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 470,917     $ 2,166,983     $ 2,021,706     $ (15 )    $ (33 )    $ 616,146       $ 6,250     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

 
78       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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Small Cap Growth Fund

 

For the six months ended December 31, 2019

  
Security Description   Value at
June 30,
2019 		    Purchases at
Cost		     Proceeds from
Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 24,541     $ 723,673     $ 711,085     $ (3 )    $ (1 )    $ 37,125       37,114     $ 548     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     341,079       445,000       552,000       (18 )*      (22 )      234,039       234,016       3,161 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     75,263       455,149       503,567       —       —       26,845       26,845       511 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 440,883     $ 1,623,822     $ 1,766,652     $ (21 )    $ (23 )    $ 298,009       $ 4,220     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Small Cap Value Fund

 

For the six months ended December 31, 2019

  
Security Description   Value at
June 30,
2019 		    Purchases at
Cost		     Proceeds from
Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 35,272     $ 341,714     $ 350,692     $ (3 )    $ (4 )    $ 26,287       26,280     $ 350     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     70,028       82,000       79,000       (3 )*      (5 )      73,020       73,012       890 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     23,241       167,526       178,480       —       —       12,287       12,287       188 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 128,541     $ 591,240     $ 608,172     $ (6 )    $ (9 )    $ 111,594       $ 1,428     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

U.S. Small Company Fund

 

For the six months ended December 31, 2019

  
Security Description   Value at
June 30,
2019 		    Purchases
at Cost		     Proceeds from
Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 38,896     $ 187,276     $ 216,677     $ 2     $ (2 )    $ 9,495       9,492     $ 288     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     106,032       89,000       108,000       (3 )*      (8 )      87,021       87,012       968 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     25,260       204,365       205,231       —       —       24,394       24,394       215 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 170,188     $ 480,641     $ 529,908     $ (1 )    $ (10 )    $ 120,910       $ 1,471     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b)

The rate shown is the current yield as of December 31, 2019.

(c)

Amount rounds to less than one thousand.

  *

Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         79  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

E. 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.

F. 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 applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 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

    $ 14      $ 1     $ 2        n/a        n/a       n/a       n/a       n/a     $ — (a)    $ 17  

Small Cap Core Fund

                        

Transfer agency fees

      2        — (a)      2        n/a      $ — (a)    $ — (a)    $ — (a)    $ 4       1       9  

Small Cap Equity Fund

                        

Transfer agency fees

      74        4       33        n/a        1       — (a)      — (a)      11       8       131  

Small Cap Growth Fund

                        

Transfer agency fees

      29        2       5      $ 3        2       1       — (a)      — (a)      16       58  

Small Cap Value Fund

                        

Transfer agency fees

      9        2       4        n/a        14       2       — (a)      4       20       55  

U.S. Small Company Fund

                        

Transfer agency fees

      13        4       7        6        8       — (a)      1       — (a)      13       52  

 

(a)

Amount rounds to less than one thousand.

G. 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 December 31, 2019, no liability for Federal 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.

H. 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.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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  

 

 
80       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ 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 pursuant to Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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  

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 six months ended December 31, 2019, JPMDS retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Small Cap Blend Fund

      $ 20        $ — (a) 

Small Cap Core Fund

        1          —  

Small Cap Equity Fund

        5          1  

Small Cap Growth Fund

        53          — (a) 

Small Cap Value Fund

        2          —  

U.S. Small Company Fund

        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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except 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. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         81  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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.

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, expenses related to trustee elections 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        0.74 % 

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

      n/a (1)        n/a (1)        0.99        n/a        1.49        n/a (1)        0.99        0.80        n/a (1)  

Small Cap Growth Fund

      1.24        1.74        0.99        n/a (2)        1.49        1.24        0.99        0.84        0.74  

Small Cap Value Fund

      n/a (3)        1.74        0.99        n/a        1.49        1.24        0.99        n/a (3)        n/a (3)  

U.S. Small Company Fund

      n/a (4)        n/a (4)        n/a (4)        n/a (4)        n/a (4)        n/a (4)        n/a (4)        n/a (4)        n/a (4)  

 

(1)

Effective November 1, 2019, the contractual expense limitation for Class A, Class C, Class R3 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.24%, 1.74%, 1.24% and 0.74% for Class A, Class C, Class R3 and Class R6 Shares, respectively.

(2)

Effective November 1, 2019, the contractual expense limitation for Class L Shares expired. Prior to November 1, 2019, the contractual expense limitation was 0.85% for Class L Shares.

(3)

Effective November 1, 2019, the contractual expense limitation for Class A, Class R5 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.24%, 0.84% and 0.74% for Class A, Class R5 and Class R6 Shares, respectively.

(4)

Effective November 1, 2019, the contractual expense limitation for Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.26%, 1.76%, 1.01%, 0.83%, 1.51%, 1.26%, 1.01%, 0.86% and 0.76% for Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively.

The expense limitation agreements were in effect for the six months ended December 31, 2019. The contractual expense limitation percentages are in place until at least October 31, 2020.

For the six months ended December 31, 2019, 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

      $ 74        $ 49        $ 17        $ 140        $ —  

Small Cap Core Fund

        88          59          49          196          — (a) 

Small Cap Equity Fund

        38          24          314          376          —  

Small Cap Growth Fund

        116          77          39          232          16  

Small Cap Value Fund

        58          38          40          136          8  

U.S. Small Company Fund

        —          —          1          1          —  

Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral.

 

 
82       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 was as follows (amounts in thousands):

 

Small Cap Blend Fund

    $ 7  

Small Cap Core Fund

      11  

Small Cap Equity Fund

      213  

Small Cap Growth Fund

      35  

Small Cap Value Fund

      24  

U.S. Small Company Fund

      19  

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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with 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 six months ended December 31, 2019, the Small Cap Blend Fund, Small Cap Core Fund, Small Cap Equity Fund, Small Cap Growth Fund, and U.S. Small Company Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

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 six months ended December 31, 2019, 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

      $ 120,588        $ 57,704  

Small Cap Core Fund

        183,261          157,520  

Small Cap Equity Fund

        963,353          473,316  

Small Cap Growth Fund

        785,527          641,349  

Small Cap Value Fund

        169,016          476,393  

U.S. Small Company Fund

        218,355          351,032  

During the six months ended December 31, 2019, 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 December 31, 2019 were as follows (amounts in thousands):

 

       

Aggregate

Cost

       

Gross

Unrealized

Appreciation

      

Gross

Unrealized
Depreciation

        Net Unrealized
Appreciation
(Depreciation)		  

Small Cap Blend Fund

      $ 392,839        $ 90,858        $ 11,614        $ 79,244  

Small Cap Core Fund

        453,889          88,156          17,048          71,108  

Small Cap Equity Fund

        5,391,181          2,326,685          145,465          2,181,220  

Small Cap Growth Fund

        2,709,989          921,226          101,105          820,121  

Small Cap Value Fund

        1,164,040          326,475          72,418          254,057  

U.S. Small Company Fund

        1,156,107          336,181          68,180          268,001  

At June 30, 2019, the Funds did not have any capital loss carryforwards.

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         83  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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 Funds’ next taxable year. For the year ended June 30, 2019, the following Funds deferred to July 1, 2019 late year ordinary losses and post-October capital losses of (amounts in thousands):

 

     Net Capital Losses (Gains)  
      Short-Term      Long-Term     Late Year Ordinary
Loss Deferral		  

Small Cap Blend Fund

    $ 1,287      $ —     $ —  

Small Cap Core Fund

      3,995        —       —  

Small Cap Equity Fund

      31,929        —       —  

Small Cap Growth Fund

      23,715        —       2,937  

Small Cap Value Fund

      55,298        —       —  

U.S. Small Company Fund

      58,563        (32,278 )      —  

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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.

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 2, 2020.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.

The Trusts, along with certain other trusts for J.P. Morgan Funds (“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 London InterBank Offered Rate (“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 13, 2019, 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 six months ended December 31, 2019.

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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.

 

 
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As of December 31, 2019, the Funds had individual shareholder and/or non-affiliated omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

      Number of
individual shareholder
and/or Non-Affiliated
Omnibus Accounts		        % of
the Fund		  

Small Cap Blend Fund

      3          68.3 % 

Small Cap Core Fund

      2          48.9  

Small Cap Equity Fund

      3          44.2  

Small Cap Growth Fund

      1          15.9  

Small Cap Value Fund

      1          13.5  

U.S. Small Company Fund

      2          30.9  

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

As of December 31, 2019, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the following Funds as follows:

 

      J.P. Morgan
Investor
Funds		     JPMorgan
SmartRetirement
Funds		  

Small Cap Value Fund

      15.3 %      17.2 % 

Because the Funds may invest a significant portion of their assets in real estate investment trusts (“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. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

8. Subscription in-kind

On April 3, 2019, certain shareholders purchased Class R6 Shares of U.S. Small Company 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  
   $13,799      Subscription in-kind  

 

 
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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, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.

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 titled “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
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Small Cap Blend Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,081.10        $ 6.49          1.24 % 

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class C

                    

Actual

        1,000.00          1,078.00          9.09          1.74  

Hypothetical

        1,000.00          1,016.39          8.82          1.74  

Class I

                    

Actual

        1,000.00          1,082.50          5.18          0.99  

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R6

                    

Actual

        1,000.00          1,084.00          3.88          0.74  

Hypothetical

        1,000.00          1,021.42          3.76          0.74  

JPMorgan Small Cap Core Fund

                    

Class A

                    

Actual

        1,000.00          1,067.30          6.44          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class C

                    

Actual

        1,000.00          1,064.60          9.03          1.74  

Hypothetical

        1,000.00          1,016.39          8.82          1.74  

Class I

                    

Actual

        1,000.00          1,068.70          5.15          0.99  

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R2

                    

Actual

        1,000.00          1,066.20          7.74          1.49  

Hypothetical

        1,000.00          1,017.65          7.56          1.49  

Class R3

                    

Actual

        1,000.00          1,067.30          6.44          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

 

 
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Table of Contents
        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Small Cap Core Fund (continued)

                    

Class R4

                    

Actual

      $ 1,000.00        $ 1,068.80        $ 5.15          0.99 % 

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R5

                    

Actual

        1,000.00          1,069.80          4.16          0.80  

Hypothetical

        1,000.00          1,021.11          4.06          0.80  

Class R6

                    

Actual

        1,000.00          1,070.00          3.85          0.74  

Hypothetical

        1,000.00          1,021.42          3.76          0.74  

JPMorgan Small Cap Equity Fund

                    

Class A

                    

Actual

        1,000.00          1,070.60          6.45          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class C

                    

Actual

        1,000.00          1,067.80          9.04          1.74  

Hypothetical

        1,000.00          1,016.39          8.82          1.74  

Class I

                    

Actual

        1,000.00          1,072.00          5.16          0.99  

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R2

                    

Actual

        1,000.00          1,069.20          7.75          1.49  

Hypothetical

        1,000.00          1,017.65          7.56          1.49  

Class R3

                    

Actual

        1,000.00          1,070.60          6.45          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class R4

                    

Actual

        1,000.00          1,072.00          5.16          0.99  

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R5

                    

Actual

        1,000.00          1,073.10          4.17          0.80  

Hypothetical

        1,000.00          1,021.11          4.06          0.80  

Class R6

                    

Actual

        1,000.00          1,073.40          3.80          0.73  

Hypothetical

        1,000.00          1,021.47          3.71          0.73  

JPMorgan Small Cap Growth Fund

                    

Class A

                    

Actual

        1,000.00          1,082.30          6.49          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class C

                    

Actual

        1,000.00          1,079.60          9.10          1.74  

Hypothetical

        1,000.00          1,016.39          8.82          1.74  

Class I

                    

Actual

        1,000.00          1,083.20          5.18          0.99  

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class L

                    

Actual

        1,000.00          1,084.60          4.40          0.84  

Hypothetical

        1,000.00          1,020.91          4.27          0.84  

Class R2

                    

Actual

        1,000.00          1,080.80          7.79          1.49  

Hypothetical

        1,000.00          1,017.65          7.56          1.49  

Class R3

                    

Actual

        1,000.00          1,082.20          6.49          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         87  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Small Cap Growth Fund (continued)

                    

Class R4

                    

Actual

      $ 1,000.00        $ 1,084.10        $ 5.19          0.99 % 

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R5

                    

Actual

        1,000.00          1,084.40          4.40          0.84  

Hypothetical

        1,000.00          1,020.91          4.27          0.84  

Class R6

                    

Actual

        1,000.00          1,084.90          3.88          0.74  

Hypothetical

        1,000.00          1,021.42          3.76          0.74  

JPMorgan Small Cap Value Fund

                    

Class A

                    

Actual

        1,000.00          1,070.10          6.50          1.25  

Hypothetical

        1,000.00          1,018.85          6.34          1.25  

Class C

                    

Actual

        1,000.00          1,067.70          9.04          1.74  

Hypothetical

        1,000.00          1,016.39          8.82          1.74  

Class I

                    

Actual

        1,000.00          1,071.00          5.15          0.99  

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R2

                    

Actual

        1,000.00          1,068.40          7.75          1.49  

Hypothetical

        1,000.00          1,017.65          7.56          1.49  

Class R3

                    

Actual

        1,000.00          1,069.90          6.45          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class R4

                    

Actual

        1,000.00          1,071.40          5.15          0.99  

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R5

                    

Actual

        1,000.00          1,072.10          4.43          0.85  

Hypothetical

        1,000.00          1,020.86          4.32          0.85  

Class R6

                    

Actual

        1,000.00          1,072.50          3.91          0.75  

Hypothetical

        1,000.00          1,021.37          3.81          0.75  

JPMorgan U.S. Small Company Fund

                    

Class A

                    

Actual

        1,000.00          1,090.10          6.46          1.23  

Hypothetical

        1,000.00          1,018.95          6.24          1.23  

Class C

                    

Actual

        1,000.00          1,086.90          9.13          1.74  

Hypothetical

        1,000.00          1,016.39          8.82          1.74  

Class I

                    

Actual

        1,000.00          1,091.20          5.05          0.96  

Hypothetical

        1,000.00          1,020.31          4.88          0.96  

Class L

                    

Actual

        1,000.00          1,092.50          4.26          0.81  

Hypothetical

        1,000.00          1,021.06          4.12          0.81  

Class R2

                    

Actual

        1,000.00          1,088.50          7.87          1.50  

Hypothetical

        1,000.00          1,017.60          7.61          1.50  

Class R3

                    

Actual

        1,000.00          1,089.70          6.36          1.21  

Hypothetical

        1,000.00          1,019.05          6.14          1.21  

 

 
88       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents
        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan U.S. Small Company Fund (continued)

                    

Class R4

                    

Actual

      $ 1,000.00        $ 1,091.00        $ 5.15          0.98 % 

Hypothetical

        1,000.00          1,020.21          4.98          0.98  

Class R5

                    

Actual

        1,000.00          1,092.30          4.26          0.81  

Hypothetical

        1,000.00          1,021.06          4.12          0.81  

Class R6

                    

Actual

        1,000.00          1,092.20          3.73          0.71  

Hypothetical

        1,000.00          1,021.57          3.61          0.71  
                   

 

  *

Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         89  

Table of Contents

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 14, 2019.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.

The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.

 

 

 
90       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

Table of Contents

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodian and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer

The Trustees noted that, upon their direction, the Senior Officer for the Small Cap Blend Fund and Small Cap Value Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Small Cap Growth Fund, Small Cap Core Fund, Small Cap Equity Fund, and U.S. Small Company Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         91  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Small Cap Blend Fund’s performance for Class A shares was in the second, first and first quintiles based upon the Universe for the one-, three-, and five-year

periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was also in the second, first and first quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Small Cap Core Fund’s performance for Class A shares was in the third quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2018. The Trustees noted that the performance for Class R5 shares was in the third, third and first quintiles based upon the Peer Group, and in the third, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Small Cap Equity Fund’s performance for Class A shares was in the first quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class I shares was also in the first quintile based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class R6 shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Small Cap Growth Fund’s performance for Class A, Class I and Class R6 shares was in the third, first and first quintiles based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

 

 

 
92       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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The Trustees noted that the Small Cap Value Fund’s performance for Class A shares was in the second, second and fifth quintiles based upon the Peer Group, and in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the third, fourth and fourth quintiles based upon the Peer Group, and in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, respectively, and in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the U.S. Small Company Fund’s performance for Class A shares was in the second, fourth and third quintiles based upon the Peer Group, and in the third, fourth and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, third and third quintiles based upon the Peer Group, and in the third, fourth and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the second, third and first quintiles based upon the Peer Group, and in the third, fourth and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates and that changes

made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Small Cap Blend Fund’s net advisory fee for Class A and Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe; and Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, and actual total expenses for Class R6 shares were in the first quintile for both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Small Cap Core Fund’s net advisory fee and actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R5 shares was in the second quintile based upon both the Peer Group and Universe, and actual total expenses for Class R5 shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Small Cap Equity Fund’s net advisory fee and actual total expenses for Class A shares were in the third quintile based upon the Peer Group and in the second quintile based upon the Universe. The Trustees noted that the net advisory fee for Class I shares was in the second quintile based upon both the Peer Group and Universe, and that the

 

 

 
DECEMBER 31, 2019   J.P. MORGAN SMALL CAP FUNDS         93  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Small Cap Growth Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that actual total expenses were in the third and second quintiles, based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that actual total expenses were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, and that actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Small Cap Value Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and second

quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the U.S. Small Company Fund’s net advisory fee for Class A shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, and that actual total expenses were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

 

 

 
94       J.P. MORGAN SMALL CAP FUNDS   DECEMBER 31, 2019

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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-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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.

 

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LOGO

J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

 

  © JPMorgan Chase & Co., 2019. All rights reserved. December 2019.   SAN-SC-1219

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Semi-Annual Report

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

December 31, 2019 (Unaudited)

JPMorgan Growth Advantage Fund

JPMorgan Mid Cap Equity Fund

JPMorgan Mid Cap Growth Fund

JPMorgan Mid Cap Value Fund

JPMorgan Value Advantage Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.

You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going to www.jpmorganfunds.com/edelivery.

You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us at funds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).

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CONTENTS

 

Letter to Shareholders        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  
Schedule of Shareholder Expenses        65  
Board Approval of Investment Advisory Agreements        68  

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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LETTER TO SHAREHOLDERS

February 10, 2020 (Unaudited)

 

Dear Shareholders,

We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.

 

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“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher

At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.

While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.

Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

 

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

MARKET OVERVIEW

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.

In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.

Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period. For the six months ended December 31, 2019, the S&P 500 returned 10.9% and the Russell Midcap Index returned 7.6%.

 

 
2       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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JPMorgan Growth Advantage Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class A Shares, without a sales charge)*      10.31%  
Russell 3000 Growth Index      11.89%  
Net Assets as of 12/31/2019 (In Thousands)    $ 9,410,089  

 

INVESTMENT OBJECTIVE**

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

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

The Fund’s Class A Shares, without a sales charge, underperformed the Russell 3000 Growth Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the health care and energy sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the producer durables and technology sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. its overweight position in Exact Sciences Co. and its out-of-Benchmark position in Waste Connections Inc. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of Exact Sciences, a maker of cancer screening diagnostics, fell amid investor disappointment with its forecast for the third quarter of 2019. Shares of Waste Connections, a solid waste collection and treatment company, fell amid lower demand for recycled materials in China as well as a shift in investor demand toward more cyclical industrial businesses.

Leading individual contributors to relative performance included the Fund’s overweight positions Advanced Micro Devices Inc. and DexCom Inc. and its underweight position in Cisco Systems Inc. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of DexCom, a medical device manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth.

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.      Microsoft Corp.      7.5 % 
  2.      Apple, Inc.      5.3  
  3.      Alphabet, Inc., Class C      5.2  
  4.      Amazon.com, Inc.      4.3  
  5.      Mastercard, Inc., Class A      2.8  
  6.      UnitedHealth Group, Inc.      2.6  
  7.      Advanced Micro Devices, Inc.      1.9  
  8.      Global Payments, Inc.      1.9  
  9.      Ross Stores, Inc.      1.8  
  10.      PayPal Holdings, Inc.      1.7  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      38.3 % 
Health Care      14.3
Consumer Discretionary      13.7
Industrials      10.8
Communication Services      9.4
Financials      6.2
Materials      2.5
Others (each less than 1.0%)      1.4  
Short-Term Investments      3.4  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         3  

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JPMorgan Growth Advantage Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
       INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      October 29, 1999                    

With Sales Charge**

             4.50 %         28.68 %         13.43 %         15.14 % 

Without Sales Charge

             10.31          35.81          14.65          15.76  

CLASS C SHARES

      May 1, 2006                    

With CDSC***

             9.04          34.12          14.09          15.18  

Without CDSC

             10.04          35.12          14.09          15.18  

CLASS I SHARES

      May 1, 2006        10.45          36.13          14.91          16.00  

CLASS R2 SHARES

      July 31, 2017        10.13          35.44          14.36          15.47  

CLASS R3 SHARES

      May 31, 2017        10.30          35.79          14.66          15.77  

CLASS R4 SHARES

      May 31, 2017        10.46          36.14          14.94          16.05  

CLASS R5 SHARES

      January 8, 2009        10.55          36.33          15.11          16.22  

CLASS R6 SHARES

      December 23, 2013        10.61          36.49          15.24          16.29  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 A Shares.

Returns for Class R4 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 different to those shown because Class R4 Shares have different expenses to 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 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 December 31, 2009 to December 31, 2019. 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      7.46%  
Russell Midcap Index      7.58%  
Net Assets as of 12/31/2019 (In Thousands)    $ 1,723,019  

 

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 underperformed the Russell Midcap Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the energy and industrials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and information technologies sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight position in Sage Therapeutics Inc. and its out-of-Benchmark positions in Progressive Corp. and Waste Connections Inc. Shares of Sage Therapeutics, a drug development company, fell after the company’s anti-depression drug candidate failed in a late-stage clinical trial. Shares of Progressive, a provider of property and casualty insurance, fell after the company reported a higher-than-expected core loss ratio for the second quarter of 2019. Shares of Waste Connections, a solid waste collection and treatment company, fell amid lower demand for recycled materials in China as well as a shift in investor demand toward more cyclical industrial businesses.

Leading individual contributors to relative performance included the Fund’s overweight positions in Advanced Micro Devices Inc., DexCom Inc. and Lam Research Corp. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of DexCom, a medical device manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers.

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.     

Advanced Micro Devices, Inc.

      1.6 % 
  2.     

Global Payments, Inc.

      1.5  
  3.     

O’Reilly Automotive, Inc.

      1.4  
  4.     

Fiserv, Inc.

      1.3  
  5.     

Synopsys, Inc.

      1.3  
  6.     

Amphenol Corp., Class A

      1.2  
  7.     

AMETEK, Inc.

      1.2  
  8.     

CBRE Group, Inc., Class A

      1.2  
  9.     

Hilton Worldwide Holdings, Inc.

      1.1  
  10.     

Xcel Energy, Inc.

      1.1  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      20.9 % 
Consumer Discretionary      14.3  
Financials      13.8  
Industrials      12.7  
Health Care      10.3  
Real Estate      7.4  
Utilities      5.3  
Materials      4.3  
Communication Services      3.0  
Energy      3.0  
Consumer Staples      1.9  
Short-Term Investments      3.1  

 

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         5  

Table of Contents

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
       INCEPTION DATE OF
CLASS		      6 MONTH*      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      November 2, 2009                    

With Sales Charge**

           1.68%        25.59 %         8.21 %         12.46 % 

Without Sales Charge

           7.31        32.56          9.38          13.07  

CLASS C SHARES

      November 2, 2009                    

With CDSC***

           6.05        30.89        8.84        12.51

Without CDSC

           7.05        31.89          8.84          12.51  

CLASS I SHARES

      January 1, 1997      7.46        32.91        9.73        13.44

CLASS R2 SHARES

      March 14, 2014      7.18        32.22        9.11        12.91

CLASS R5 SHARES

      March 14, 2014      7.54        33.09        9.86        13.52

CLASS R6 SHARES

      March 14, 2014      7.58        33.21        9.94        13.57

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 from December 31, 2009 to March 13, 2014. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.

Returns for Class R5 and Class R6 Shares prior to their inception 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 December 31, 2009 to December 31, 2019. 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 bench mark, 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      7.96%  
Russell Midcap Growth Index      7.45%  
Net Assets as of 12/31/2019 (In Thousands)      $4,842,246  

 

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 six months ended December 31, 2019. The Fund’s security selection in the consumer discretionary and financial services sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the materials & processing sector was the sole significant detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Advanced Micro Devices Inc. and Insulet Corp. and its out-of-Benchmark position in Generac Holdings Inc. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of Insulet, a maker of insulin infusion devices, rose after the company reported better-than-expected earnings and growth in product revenue for the third quarter of 2019. Shares of Generac Holdings, a maker of electrical generators and related products, rose amid scheduled electricity blackouts in California and natural disasters elsewhere during the reporting period.

Leading individual detractors from relative performance included the Fund’s overweight positions in Sage Therapeutics and Exact Sciences Corp. and its out-of-Benchmark position in Waste Connections Inc. Shares of Sage Therapeutics, a drug development company, fell after the company’s anti-depression drug candidate failed in a late-stage clinical trial. Shares of Exact Sciences, a maker of cancer screening diagnostics, fell amid investor disappointment with its forecast for the third quarter of 2019. Shares of Waste Connections, a solid waste collection and treatment company, fell amid lower demand for recycled materials in China as well as a shift in investor preferences toward more cyclical industrial businesses.

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 funda-

mentals. 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.      Advanced Micro Devices, Inc.      3.0 % 
  2.      Global Payments, Inc.      2.9  
  3.      O’Reilly Automotive, Inc.      2.7  
  4.      Fiserv, Inc.      2.6  
  5.      Synopsys, Inc.      1.7  
  6.      Lam Research Corp.      1.6  
  7.      Ingersoll-Rand plc      1.6  
  8.      Waste Connections, Inc.      1.5  
  9.      Lululemon Athletica, Inc.      1.5  
  10.      Zebra Technologies Corp., Class A      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      34.4 % 
Consumer Discretionary      16.4
Industrials      16.4
Health Care      14.0
Financials      5.9
Materials      3.8
Communication Services      3.2
Real Estate      1.1
Energy      0.7  
Short-Term Investments      4.1  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         7  

Table of Contents

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992                    

With Sales Charge**

           2.11 %         31.94 %         10.52 %         13.39 % 

Without Sales Charge

           7.78          39.23          11.71          14.00  

CLASS C SHARES

    November 4, 1997                    

With CDSC***

           6.55        37.55        11.16        13.44

Without CDSC

           7.55          38.55          11.16          13.44  

CLASS I SHARES

    March 2, 1989        7.96        39.66        12.06        14.36

CLASS R2 SHARES

    June 19, 2009        7.64        38.89        11.48        13.80

CLASS R3 SHARES

    September 9, 2016        7.80        39.23        11.71        14.01

CLASS R4 SHARES

    September 9, 2016        7.92        39.55        11.99        14.29

CLASS R5 SHARES

    November 1, 2011        8.03        39.85        12.21        14.49

CLASS R6 SHARES

    November 1, 2011        8.07        39.96        12.27        14.55

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 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 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 December 31, 2009 to December 31, 2019. 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)*      7.11%  
Russell Midcap Value Index      7.66%  
Net Assets as of 12/31/2019 (In Thousands)    $ 17,143,311  

 

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 six months ended December 31, 2019. The Fund’s security selection in the energy and financials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and materials sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Expedia Group Inc. and Middleby Corp. and its underweight position in State Street Corp. Shares of Expedia, a provider of online travel booking, fell amid increased competition and lower-than-expected earnings and revenue for the third quarter of 2019. Shares of Middleby, a food service equipment manufacturer, fell after the company reported lower-than-expected sales for the third quarter of 2019 and weak results for the second quarter of 2019. Shares of State Street, a banking and financial services company not held in the Fund, rose after the company reported better-than-expected earnings for the third quarter of 2019.

Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions in CDW Corp. and Sherwin-Williams Co. and its overweight position in Tiffany & Co. Shares of CDW, a provider of information technology and services, rose following the company’s initial public offering in June and its inclusion in the S&P 500 Index. Shares of Sherwin-Williams, a paints and coatings manufacturer, rose amid quarterly earnings growth and after the settlement of decades-long lead paint litigation with the state of California. Shares of Tiffany, a luxury retailer, rose after the company agreed to a $16.2 billion acquisition by LVMH Moet Hennessey Louis Vuitton SE.

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.      Xcel Energy, Inc.      2.2 % 
  2.      WEC Energy Group, Inc.      2.1  
  3.      CMS Energy Corp.      2.1  
  4.      Loews Corp.      1.9  
  5.      M&T Bank Corp.      1.9  
  6.      Diamondback Energy, Inc.      1.7  
  7.      Williams Cos., Inc. (The)      1.6  
  8.      Sempra Energy      1.6  
  9.      T. Rowe Price Group, Inc.      1.6  
  10.      AutoZone, Inc.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      22.1 % 
Real Estate      13.5
Consumer Discretionary      11.9
Utilities      10.9
Industrials      8.8
Information Technology      6.7
Health Care      6.6
Energy      5.4
Materials      4.8
Consumer Staples      3.9  
Communication Services      2.8
Short-Term Investments      2.6  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         9  

Table of Contents

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    April 30, 2001                    

With Sales Charge**

           1.23 %         19.37 %         5.65 %         11.51 % 

Without Sales Charge

           6.84          26.00          6.79          12.11  

CLASS C SHARES

    April 30, 2001                    

With CDSC***

           5.57        24.35        6.25        11.54

Without CDSC

           6.57          25.35          6.25          11.54  

CLASS I SHARES

    October 31, 2001        7.00        26.34        7.07        12.39

CLASS L SHARES

    November 13, 1997        7.11        26.63        7.32        12.65

CLASS R2 SHARES

    November 3, 2008        6.71        25.70        6.52        11.82

CLASS R3 SHARES

    September 9, 2016        6.85        26.00        6.79        12.11

CLASS R4 SHARES

    September 9, 2016        6.99        26.32        7.06        12.39

CLASS R5 SHARES

    September 9, 2016        7.07        26.51        7.25        12.62

CLASS R6 SHARES

    September 9, 2016        7.14        26.67        7.32        12.66

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 dates are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class A Shares.

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

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan 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 December 31, 2009 to December 31, 2019. 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Value Advantage Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)*      8.88%  
Russell 3000 Value Index      8.80%  
Net Assets as of 12/31/2019 (In Thousands)      $11,947,202  

 

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 six months ended December 31, 2019. The Fund’s security selection in the materials and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the information technology and communication services sector was a leading detractor from relative performance.

Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in Bank of America Corp., PNC Financial Services Group Inc. and Martin Marietta Materials Inc. Shares of Bank of America and PNC Financial Services Group, both diversified financial services companies, rose amid broader gains in shares of large banks during the reporting period. Shares of Martin Marietta, a provider of crushed stone, sand and gravel, rose after the company reported revenue growth for the second quarter of 2019 and raised its forecast for the full year 2019.

Leading individual detractors from relative performance included the Fund’s underweight positions in JPMorgan Chase & Co., Intel Corp. and AT&T Corp., none of which were held in the Fund. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in stocks of large banks during the reporting period. Shares of Intel, a manufacturer of computer products and technologies, rose amid strong demand for semiconductors during the reporting period. Shares of AT&T, a telecommunications provider, rose after the company announced plans to cut $1.5 billion in costs, increase in its dividend and repurchase of 100 million shares.

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.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Bank of America Corp.      3.7 % 
  2.      Capital One Financial Corp.      2.2  
  3.      PNC Financial Services Group, Inc. (The)      2.1  
  4.      Wells Fargo & Co.      1.9  
  5.      Loews Corp.      1.8  
  6.      Chevron Corp.      1.8  
  7.      Pfizer, Inc.      1.6  
  8.      Delta Air Lines, Inc.      1.5  
  9.      ConocoPhillips      1.5  
  10.      Verizon Communications, Inc.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials     
 31.4
 % 
Health Care      10.3
Energy      8.7
Consumer Discretionary      7.1
Industrials      7.0
Real Estate      6.9
Utilities      5.6
Communication Services      5.0
Information Technology      4.8
Consumer Staples      4.7
Materials      4.3
Short-Term Investments      4.2  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         11  

Table of Contents

JPMorgan Value Advantage Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 28, 2005                    

With Sales Charge**

           2.98 %         20.08 %         6.53 %         11.39 % 

Without Sales Charge

           8.67          26.72          7.68          12.00  

CLASS C SHARES

    February 28, 2005                    

With CDSC***

           7.40        25.09        7.15        11.44

Without CDSC

           8.40          26.09          7.15          11.44  

CLASS I SHARES

    February 28, 2005        8.80        27.03        7.95        12.27

CLASS L SHARES

    February 28, 2005        8.88        27.20        8.17        12.52

CLASS R2 SHARES

    July 31, 2017        8.53        26.39        7.41        11.72

CLASS R3 SHARES

    September 9, 2016        8.65        26.70        7.67        11.99

CLASS R4 SHARES

    September 9, 2016        8.81        27.05        7.95        12.27

CLASS R5 SHARES

    September 9, 2016        8.91        27.23        8.15        12.52

CLASS R6 SHARES

    September 9, 2016        8.94        27.36        8.22        12.55

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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. 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 Class R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns for Class R5 and Class R6 Shares would have been different to those shown because Class 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 December 31, 2009 to

December 31, 2019. 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Growth Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.6%

     

Automobiles — 1.6%

     

Tesla, Inc. * (a)

     354        148,172  
    

 

 

  

Banks — 1.5%

     

East West Bancorp, Inc.

     1,248        60,753  

First Republic Bank

     705        82,838  
    

 

 

  
       143,591  
    

 

 

  

Biotechnology — 3.7%

     

Amgen, Inc.

     509        122,584  

Exact Sciences Corp. *

     782        72,338  

Exelixis, Inc. * (a)

     2,317        40,817  

Intercept Pharmaceuticals, Inc. * (a)

     336        41,674  

Regeneron Pharmaceuticals, Inc. *

     123        45,996  

Sage Therapeutics, Inc. * (a)

     297        21,448  
    

 

 

  
       344,857  
    

 

 

  

Building Products — 0.9%

     

Fortune Brands Home & Security, Inc.

     1,240        81,028  
    

 

 

  

Capital Markets — 3.9%

     

BlackRock, Inc.

     136        68,266  

Charles Schwab Corp. (The)

     1,476        70,208  

Nasdaq, Inc.

     666        71,313  

S&P Global, Inc.

     475        129,699  

TD Ameritrade Holding Corp.

     519        25,809  
    

 

 

  
       365,295  
    

 

 

  

Commercial Services & Supplies — 2.6%

     

Copart, Inc. *

     1,047        95,242  

Waste Connections, Inc.

     1,597        145,005  
    

 

 

  
       240,247  
    

 

 

  

Communications Equipment — 0.4%

     

Arista Networks, Inc. * (a)

     204        41,443  
    

 

 

  

Construction Materials — 0.8%

     

Vulcan Materials Co. (a)

     552        79,439  
    

 

 

  

Containers & Packaging — 1.7%

     

Avery Dennison Corp.

     631        82,560  

Ball Corp.

     1,164        75,244  
    

 

 

  
       157,804  
    

 

 

  

Electrical Equipment — 2.0%

     

AMETEK, Inc.

     811        80,929  

Generac Holdings, Inc. *

     1,047        105,348  
    

 

 

  
       186,277  
    

 

 

  

Electronic Equipment, Instruments & Components — 2.8%

 

Amphenol Corp., Class A

     646        69,949  

Keysight Technologies, Inc. *

     843        86,517  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Electronic Equipment, Instruments & Components — continued

 

Zebra Technologies Corp., Class A *

     424        108,230  
    

 

 

  
       264,696  
    

 

 

  

Entertainment — 3.1%

     

Netflix, Inc. *

     300        96,909  

Spotify Technology SA *

     520        77,736  

Take-Two Interactive Software, Inc. *

     954        116,768  
    

 

 

  
       291,413  
    

 

 

  

Health Care Equipment & Supplies — 1.8%

     

DexCom, Inc. *

     387        84,630  

Intuitive Surgical, Inc. *

     149        88,318  
    

 

 

  
       172,948  
    

 

 

  

Health Care Providers & Services — 3.9%

     

Acadia Healthcare Co., Inc. * (a)

     1,167        38,774  

Anthem, Inc.

     253        76,384  

UnitedHealth Group, Inc.

     852        250,324  
    

 

 

  
       365,482  
    

 

 

  

Health Care Technology — 1.5%

     

Teladoc Health, Inc. *

     1,161        97,191  

Veeva Systems, Inc., Class A *

     303        42,634  
    

 

 

  
       139,825  
    

 

 

  

Hotels, Restaurants & Leisure — 0.6%

     

Hilton Worldwide Holdings, Inc.

     511        56,712  
    

 

 

  

Household Durables — 0.7%

     

Garmin Ltd.

     717        69,956  
    

 

 

  

Insurance — 0.9%

     

Progressive Corp. (The)

     1,163        84,219  
    

 

 

  

Interactive Media & Services — 6.1%

     

Alphabet, Inc., Class C *

     374        500,187  

Facebook, Inc., Class A *

     348        71,488  
    

 

 

  
       571,675  
    

 

 

  

Internet & Direct Marketing Retail — 4.4%

     

Amazon.com, Inc. *

     225        416,318  
    

 

 

  

IT Services — 10.5%

     

Booz Allen Hamilton Holding Corp.

     1,202        85,490  

Fiserv, Inc. *

     937        108,299  

Global Payments, Inc.

     991        180,862  

Mastercard, Inc., Class A

     908        270,971  

PayPal Holdings, Inc. *

     1,485        160,589  

Shopify, Inc., Class A (Canada) *

     134        53,435  

Visa, Inc., Class A

     689        129,407  
    

 

 

  
       989,053  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         13  

Table of Contents

JPMorgan Growth Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Life Sciences Tools & Services — 1.8%

     

Illumina, Inc. *

     223        74,078  

Thermo Fisher Scientific, Inc.

     301        97,818  
    

 

 

  
       171,896  
    

 

 

  

Machinery — 3.2%

     

Gardner Denver Holdings, Inc. * (a)

     950        34,850  

Ingersoll-Rand plc (a)

     507        67,430  

Nordson Corp. (a)

     308        50,089  

Parker-Hannifin Corp.

     258        52,999  

Stanley Black & Decker, Inc.

     597        98,980  
    

 

 

  
       304,348  
    

 

 

  

Media — 0.4%

     

New York Times Co. (The), Class A (a)

     1,212        38,987  
    

 

 

  

Oil, Gas & Consumable Fuels — 0.5%

     

EOG Resources, Inc.

     607        50,800  
    

 

 

  

Pharmaceuticals — 2.0%

     

Catalent, Inc. *

     904        50,867  

Elanco Animal Health, Inc. *

     1,511        44,508  

Jazz Pharmaceuticals plc * (a)

     507        75,670  

TherapeuticsMD, Inc. *

     4,983        12,058  
    

 

 

  
       183,103  
    

 

 

  

Professional Services — 1.2%

     

FTI Consulting, Inc. *

     303        33,552  

IHS Markit Ltd. *

     1,011        76,156  
    

 

 

  
       109,708  
    

 

 

  

Real Estate Management & Development — 0.9%

 

CBRE Group, Inc., Class A *

     1,434        87,865  
    

 

 

  

Road & Rail — 1.2%

     

Lyft, Inc., Class A *

     852        36,645  

Old Dominion Freight Line, Inc.

     401        76,168  
    

 

 

  
       112,813  
    

 

 

  

Semiconductors & Semiconductor Equipment — 6.3%

 

Advanced Micro Devices, Inc. *

     3,979        182,468  

KLA Corp.

     450        80,212  

Microchip Technology, Inc. (a)

     370        38,757  

NVIDIA Corp.

     508        119,438  

QUALCOMM, Inc.

     1,401        123,593  

Xilinx, Inc.

     488        47,741  
    

 

 

  
       592,209  
    

 

 

  

Software — 13.6%

     

Fair Isaac Corp. *

     102        38,105  

Intuit, Inc.

     456        119,335  

Microsoft Corp.

     4,534        714,980  

salesforce.com, Inc. *

     738        119,963  

ServiceNow, Inc. *

     321        90,512  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Software — continued

     

Slack Technologies, Inc., Class A * (a)

     701        15,763  

Synopsys, Inc. *

     494        68,780  

Trade Desk, Inc. (The), Class A * (a)

     318        82,532  

Zscaler, Inc. * (a)

     631        29,351  
    

 

 

  
       1,279,321  
    

 

 

  

Specialty Retail — 5.8%

     

Home Depot, Inc. (The)

     726        158,435  

National Vision Holdings, Inc. *

     1,201        38,954  

O’Reilly Automotive, Inc. *

     239        104,788  

Ross Stores, Inc.

     1,512        176,004  

Tractor Supply Co. (a)

     715        66,847  
    

 

 

  
       545,028  
    

 

 

  

Technology Hardware, Storage & Peripherals — 5.4%

 

Apple, Inc.

     1,734        509,086  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.9%

     

Lululemon Athletica, Inc. *

     356        82,382  
    

 

 

  

Total Common Stocks
(Cost $5,268,713)

 

      9,277,996  
  

 

 

  

Short-Term Investments — 3.4%

     

Investment Companies — 1.5%

     

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)
(Cost $139,991)

     139,949        139,991  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 1.9%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c)

     164,015        164,031  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c)

     18,429        18,429  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $182,459)

        182,460  
  

 

 

  

Total Short-Term Investments
(Cost $322,450)

 

      322,451  
    

 

 

  

Total Investments — 102.0%
(Cost $5,591,163)

 

      9,600,447  

Liabilities in Excess of
Other Assets — (2.0)%

 

      (190,358 ) 
  

 

 

  

NET ASSETS — 100.0%

        9,410,089  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $179,510,000.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.3%

 

Aerospace & Defense — 0.4%

 

HEICO Corp., Class A

     85        7,568  
    

 

 

  

Auto Components — 0.7%

 

Aptiv plc

     54        5,092  

BorgWarner, Inc.

     153        6,639  
    

 

 

  
       11,731  
    

 

 

  

Automobiles — 0.8%

 

Tesla, Inc. *

     20        8,367  

Thor Industries, Inc. (a)

     63        4,695  
    

 

 

  
       13,062  
    

 

 

  

Banks — 5.3%

 

Citizens Financial Group, Inc.

     234        9,490  

Comerica, Inc.

     61        4,379  

East West Bancorp, Inc.

     109        5,331  

Fifth Third Bancorp

     410        12,590  

First Republic Bank

     150        17,644  

Huntington Bancshares, Inc.

     458        6,911  

M&T Bank Corp.

     91        15,375  

TCF Financial Corp.

     64        2,984  

Truist Financial Corp.

     226        12,744  

Zions Bancorp NA

     68        3,536  
    

 

 

  
       90,984  
    

 

 

  

Beverages — 0.6%

 

Constellation Brands, Inc., Class A

     37        7,044  

Keurig Dr Pepper, Inc.

     128        3,695  
    

 

 

  
       10,739  
    

 

 

  

Biotechnology — 1.7%

 

Agios Pharmaceuticals, Inc. *

     48        2,275  

Alnylam Pharmaceuticals, Inc. *

     37        4,299  

BioMarin Pharmaceutical, Inc. *

     29        2,482  

Exact Sciences Corp. *

     96        8,895  

Exelixis, Inc. *

     236        4,162  

Intercept Pharmaceuticals, Inc. *

     32        3,947  

Sage Therapeutics, Inc. *

     42        3,051  
    

 

 

  
       29,111  
    

 

 

  

Building Products — 1.0%

 

Fortune Brands Home & Security, Inc.

     249        16,287  
    

 

 

  

Capital Markets — 4.4%

 

Ameriprise Financial, Inc.

     64        10,625  

MarketAxess Holdings, Inc.

     14        5,383  

MSCI, Inc.

     30        7,787  

Nasdaq, Inc.

     68        7,299  

Northern Trust Corp.

     92        9,793  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Capital Markets — continued

     

Raymond James Financial, Inc.

     103        9,228  

S&P Global, Inc.

     32        8,856  

T. Rowe Price Group, Inc.

     111        13,575  

TD Ameritrade Holding Corp.

     58        2,872  
    

 

 

  
       75,418  
    

 

 

  

Chemicals — 0.6%

 

Sherwin-Williams Co. (The)

     17        9,968  
    

 

 

  

Commercial Services & Supplies — 1.5%

 

Copart, Inc. *

     141        12,849  

Waste Connections, Inc.

     148        13,447  
    

 

 

  
       26,296  
    

 

 

  

Communications Equipment — 0.5%

     

Arista Networks, Inc. *

     33        6,743  

CommScope Holding Co., Inc. *

     151        2,145  
    

 

 

  
       8,888  
    

 

 

  

Construction Materials — 1.2%

     

Martin Marietta Materials, Inc.

     31        8,576  

Vulcan Materials Co.

     87        12,559  
    

 

 

  
       21,135  
    

 

 

  

Consumer Finance — 0.1%

     

Ally Financial, Inc.

     39        1,198  
    

 

 

  

Containers & Packaging — 2.5%

     

Avery Dennison Corp.

     77        10,092  

Ball Corp.

     273        17,639  

Silgan Holdings, Inc.

     278        8,649  

Westrock Co.

     158        6,790  
    

 

 

  
       43,170  
    

 

 

  

Distributors — 0.3%

     

Genuine Parts Co.

     52        5,532  
    

 

 

  

Diversified Consumer Services — 0.4%

 

Bright Horizons Family Solutions, Inc. *

     50        7,554  
    

 

 

  

Electric Utilities — 2.1%

     

Edison International

     132        9,931  

Entergy Corp.

     72        8,647  

Xcel Energy, Inc.

     289        18,342  
    

 

 

  
       36,920  
    

 

 

  

Electrical Equipment — 2.6%

     

Acuity Brands, Inc.

     58        7,957  

AMETEK, Inc.

     214        21,356  

Generac Holdings, Inc. *

     91        9,162  

Hubbell, Inc.

     37        5,459  
    

 

 

  
       43,934  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         15  

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Electronic Equipment, Instruments & Components — 4.7%

 

Amphenol Corp., Class A

     198        21,408  

Arrow Electronics, Inc. *

     82        6,922  

CDW Corp.

     69        9,904  

FLIR Systems, Inc.

     95        4,949  

Keysight Technologies, Inc. *

     178        18,263  

SYNNEX Corp.

     46        5,944  

Zebra Technologies Corp., Class A *

     51        13,062  
    

 

 

  
       80,452  
    

 

 

  

Entertainment — 1.3%

     

Spotify Technology SA *

     71        10,683  

Take-Two Interactive Software, Inc. *

     100        12,241  
    

 

 

  
       22,924  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 6.0%

 

American Campus Communities, Inc.

     99        4,672  

American Homes 4 Rent, Class A

     206        5,394  

AvalonBay Communities, Inc.

     54        11,411  

Boston Properties, Inc.

     81        11,120  

Brixmor Property Group, Inc.

     333        7,188  

Essex Property Trust, Inc.

     23        6,790  

Federal Realty Investment Trust

     67        8,568  

JBG SMITH Properties

     88        3,508  

Kimco Realty Corp.

     295        6,103  

Outfront Media, Inc.

     213        5,716  

Rayonier, Inc.

     206        6,733  

Regency Centers Corp.

     75        4,754  

Ventas, Inc.

     64        3,690  

Vornado Realty Trust

     125        8,328  

Weyerhaeuser Co.

     184        5,556  

WP Carey, Inc.

     43        3,479  
    

 

 

  
       103,010  
    

 

 

  

Food & Staples Retailing — 0.3%

 

Kroger Co. (The)

     195        5,640  
    

 

 

  

Food Products — 0.4%

 

Post Holdings, Inc. *

     69        7,529  
    

 

 

  

Gas Utilities — 0.4%

 

National Fuel Gas Co.

     151        7,047  
    

 

 

  

Health Care Equipment & Supplies — 2.5%

 

DexCom, Inc. *

     53        11,650  

Insulet Corp. * (a)

     53        9,096  

ResMed, Inc.

     67        10,420  

Zimmer Biomet Holdings, Inc.

     77        11,600  
    

 

 

  
       42,766  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Health Care Providers & Services — 3.9%

 

Acadia Healthcare Co., Inc. *

     115        3,824  

AmerisourceBergen Corp.

     97        8,289  

Centene Corp. *

     105        6,632  

Cigna Corp.

     35        7,235  

Henry Schein, Inc. *

     92        6,142  

Humana, Inc.

     12        4,426  

Laboratory Corp. of America Holdings *

     55        9,303  

Universal Health Services, Inc., Class B

     57        8,213  

WellCare Health Plans, Inc. *

     37        12,269  
    

 

 

  
       66,333  
    

 

 

  

Health Care Technology — 1.0%

 

Teladoc Health, Inc. *

     104        8,744  

Veeva Systems, Inc., Class A *

     55        7,733  
    

 

 

  
       16,477  
    

 

 

  

Hotels, Restaurants & Leisure — 1.7%

 

Chipotle Mexican Grill, Inc. *

     7        5,687  

Hilton Worldwide Holdings, Inc.

     175        19,444  

Red Rock Resorts, Inc., Class A

     203        4,852  
    

 

 

  
       29,983  
    

 

 

  

Household Durables — 1.6%

 

Garmin Ltd.

     69        6,732  

Mohawk Industries, Inc. *

     61        8,263  

Newell Brands, Inc.

     284        5,449  

NVR, Inc. *

     2        7,461  
    

 

 

  
       27,905  
    

 

 

  

Household Products — 0.4%

 

Energizer Holdings, Inc. (a)

     125        6,294  
    

 

 

  

Industrial Conglomerates — 0.8%

 

Carlisle Cos., Inc.

     79        12,806  
    

 

 

  

Insurance — 4.1%

 

Alleghany Corp. *

     8        6,480  

Hartford Financial Services Group, Inc. (The)

     184        11,204  

Lincoln National Corp.

     107        6,342  

Loews Corp.

     307        16,125  

Marsh & McLennan Cos., Inc.

     74        8,296  

Principal Financial Group, Inc.

     35        1,949  

Progressive Corp. (The)

     182        13,170  

Unum Group

     40        1,176  

WR Berkley Corp.

     81        5,613  
    

 

 

  
       70,355  
    

 

 

  

Internet & Direct Marketing Retail — 0.5%

 

Expedia Group, Inc.

     83        8,936  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

IT Services — 6.0%

 

Black Knight, Inc. *

     79        5,076  

Booz Allen Hamilton Holding Corp.

     178        12,650  

Fidelity National Information Services, Inc.

     27        3,720  

Fiserv, Inc. *

     196        22,635  

FleetCor Technologies, Inc. *

     28        7,970  

Global Payments, Inc.

     142        25,887  

Jack Henry & Associates, Inc.

     52        7,588  

MongoDB, Inc. *

     32        4,264  

Okta, Inc. *

     57        6,555  

Shopify, Inc., Class A (Canada) *

     18        7,270  
    

 

 

  
       103,615  
    

 

 

  

Life Sciences Tools & Services — 0.3%

 

Illumina, Inc. *

     13        4,477  
    

 

 

  

Machinery — 4.2%

 

Gardner Denver Holdings, Inc. *

     86        3,165  

IDEX Corp.

     46        7,927  

Ingersoll-Rand plc

     103        13,732  

ITT, Inc.

     66        4,901  

Lincoln Electric Holdings, Inc.

     53        5,089  

Middleby Corp. (The) *

     65        7,128  

Nordson Corp.

     42        6,766  

Parker-Hannifin Corp.

     23        4,785  

Snap-on, Inc.

     53        9,059  

Stanley Black & Decker, Inc.

     56        9,304  
    

 

 

  
       71,856  
    

 

 

  

Media — 1.7%

 

DISH Network Corp., Class A *

     152        5,386  

Liberty Broadband Corp., Class C *

     45        5,649  

Liberty Media Corp.-Liberty SiriusXM, Class C *

     187        9,007  

New York Times Co. (The), Class A

     154        4,968  

ViacomCBS, Inc.

     97        4,079  
    

 

 

  
       29,089  
    

 

 

  

Multiline Retail — 1.1%

 

Dollar General Corp.

     60        9,418  

Kohl’s Corp.

     110        5,586  

Nordstrom, Inc. (a)

     89        3,640  
    

 

 

  
       18,644  
    

 

 

  

Multi-Utilities — 2.8%

 

CMS Energy Corp.

     277        17,407  

Sempra Energy

     88        13,357  

WEC Energy Group, Inc.

     193        17,836  
    

 

 

  
       48,600  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Oil, Gas & Consumable Fuels — 3.0 %

 

Cabot Oil & Gas Corp.

     384        6,690  

Concho Resources, Inc.

     66        5,807  

Diamondback Energy, Inc.

     158        14,651  

EQT Corp.

     220        2,397  

Equitrans Midstream Corp.

     209        2,790  

PBF Energy, Inc., Class A

     177        5,561  

Williams Cos., Inc. (The)

     576        13,667  
    

 

 

  
       51,563  
    

 

 

  

Personal Products — 0.2%

 

Coty, Inc., Class A

     224        2,518  
    

 

 

  

Pharmaceuticals — 1.1%

 

Catalent, Inc. *

     83        4,659  

Elanco Animal Health, Inc. *

     196        5,765  

Jazz Pharmaceuticals plc *

     62        9,239  
    

 

 

  
       19,663  
    

 

 

  

Professional Services — 1.4%

 

CoStar Group, Inc. *

     13        8,015  

FTI Consulting, Inc. *

     44        4,830  

IHS Markit Ltd. *

     153        11,495  
    

 

 

  
       24,340  
    

 

 

  

Real Estate Management & Development — 1.4%

 

CBRE Group, Inc., Class A *

     348        21,351  

Cushman & Wakefield plc *

     158        3,237  
    

 

 

  
       24,588  
    

 

 

  

Road & Rail — 0.7%

 

Lyft, Inc., Class A *

     84        3,602  

Old Dominion Freight Line, Inc.

     45        8,446  
    

 

 

  
       12,048  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.6%

 

Advanced Micro Devices, Inc. *

     588        26,950  

Analog Devices, Inc.

     33        3,926  

KLA Corp.

     57        10,234  

Lam Research Corp.

     50        14,547  

Marvell Technology Group Ltd.

     280        7,443  

Microchip Technology, Inc. (a)

     57        5,992  

Xilinx, Inc.

     102        9,972  
    

 

 

  
       79,064  
    

 

 

  

Software — 5.2%

 

Anaplan, Inc. *

     107        5,596  

Crowdstrike Holdings, Inc., Class A *

     73        3,636  

Fair Isaac Corp. *

     16        6,148  

Intuit, Inc.

     28        7,314  

Paycom Software, Inc. *

     23        6,152  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         17  

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Software — continued

 

Proofpoint, Inc. *

     41        4,728  

RingCentral, Inc., Class A *

     37        6,273  

ServiceNow, Inc. *

     22        6,177  

Slack Technologies, Inc., Class A *

     72        1,608  

Splunk, Inc. *

     52        7,851  

Synopsys, Inc. *

     159        22,120  

Trade Desk, Inc. (The), Class A * (a)

     38        9,792  

Zscaler, Inc. * (a)

     59        2,760  
    

 

 

  
       90,155  
    

 

 

  

Specialty Retail — 5.5%

 

AutoZone, Inc. *

     11        13,044  

Best Buy Co., Inc.

     109        9,578  

Burlington Stores, Inc. *

     38        8,633  

Gap, Inc. (The)

     257        4,538  

National Vision Holdings, Inc. *

     178        5,757  

O’Reilly Automotive, Inc. *

     54        23,665  

Ross Stores, Inc.

     109        12,726  

Tiffany & Co.

     64        8,542  

Tractor Supply Co.

     95        8,895  
    

 

 

  
       95,378  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.6%

 

Lululemon Athletica, Inc. *

     57        13,281  

PVH Corp.

     64        6,685  

Ralph Lauren Corp.

     68        7,957  
    

 

 

  
       27,923  
    

 

 

  

Trading Companies & Distributors — 0.2%

 

MSC Industrial Direct Co., Inc., Class A

     51        4,016  
    

 

 

  

Total Common Stocks
(Cost $983,717)

 

      1,675,489  
  

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 3.1%

 

Investment Companies — 2.5%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)
(Cost $44,045)

     44,031        44,045  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 0.6%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c)

     3,010        3,010  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c)

     6,945        6,945  
    

 

 

  

Total Investment of Cash Collateral from
Securities Loaned
(Cost $9,955)

        9,955  
  

 

 

  

Total Short-Term Investments
(Cost $54,000)

        54,000  
    

 

 

  

Total Investments — 100.4%
(Cost $1,037,717)

 

      1,729,489  

Liabilities in Excess of
Other Assets — (0.4)%

 

      (6,470 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      1,723,019  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $9,779,000.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS    SHARES
(000)		     VALUE
($000)		  

Common Stocks — 100.1%

 

Aerospace & Defense — 0.9%

 

HEICO Corp., Class A

      484       43,322  
    

 

 

  

Auto Components — 0.6%

 

Aptiv plc

      307       29,118  
    

 

 

  

Automobiles — 1.5%

 

Tesla, Inc. * (a)

      114       47,731  

Thor Industries, Inc. (a)

      362       26,893  
    

 

 

  
       74,624  
    

 

 

  

Banks — 1.6%

 

East West Bancorp, Inc.

      627       30,518  

First Republic Bank (a)

      410       48,154  
    

 

 

  
       78,672  
    

 

 

  

Biotechnology — 3.4%

 

Agios Pharmaceuticals, Inc. * (a)

      273       13,026  

Alnylam Pharmaceuticals, Inc. *

      214       24,600  

BioMarin Pharmaceutical, Inc. *

      168       14,196  

Exact Sciences Corp. *

      552       51,003  

Exelixis, Inc. *

      1,352       23,826  

Intercept Pharmaceuticals, Inc. * (a)

      182       22,587  

Sage Therapeutics, Inc. *

      240       17,333  
    

 

 

  
       166,571  
    

 

 

  

Building Products — 1.0%

 

Fortune Brands Home & Security, Inc.

      772       50,410  
    

 

 

  

Capital Markets — 3.8%

 

MarketAxess Holdings, Inc.

      81       30,708  

MSCI, Inc.

      173       44,665  

Nasdaq, Inc.

      390       41,769  

S&P Global, Inc.

      185       50,468  

TD Ameritrade Holding Corp.

      331       16,447  
    

 

 

  
       184,057  
    

 

 

  

Commercial Services & Supplies — 3.1%

 

Copart, Inc. *

      809       73,552  

Waste Connections, Inc. (a)

      842       76,444  
    

 

 

  
       149,996  
    

 

 

  

Communications Equipment — 0.8%

 

Arista Networks, Inc. * (a)

      190       38,548  
    

 

 

  

Construction Materials — 1.5%

 

Vulcan Materials Co.

      494       71,140  
    

 

 

  

Containers & Packaging — 2.5%

 

Avery Dennison Corp.

      441       57,744  

Ball Corp. (a)

      996       64,440  
    

 

 

  
       122,184  
    

 

 

  
INVESTMENTS    SHARES
(000)		     VALUE
($000)		  
    

Diversified Consumer Services — 0.9%

 

Bright Horizons Family Solutions, Inc. *

      288       43,269  
    

 

 

  

Electrical Equipment — 2.5%

 

AMETEK, Inc.

      676       67,404  

Generac Holdings, Inc. *

      521       52,428  
    

 

 

  
       119,832  
    

 

 

  

Electronic Equipment, Instruments & Components — 5.2%

 

Amphenol Corp., Class A

      683       73,957  

FLIR Systems, Inc.

      544       28,321  

Keysight Technologies, Inc. *

      722       74,140  

Zebra Technologies Corp., Class A *

      292       74,691  
    

 

 

  
       251,109  
    

 

 

  

Entertainment — 2.7%

 

Spotify Technology SA *

      409       61,136  

Take-Two Interactive Software, Inc. *

      572       70,067  
    

 

 

  
       131,203  
    

 

 

  

Health Care Equipment & Supplies — 3.7%

 

DexCom, Inc. *

      303       66,256  

Insulet Corp. * (a)

      302       51,737  

ResMed, Inc. (a)

      385       59,633  
    

 

 

  
       177,626  
    

 

 

  

Health Care Providers & Services — 2.7%

 

Acadia Healthcare Co., Inc. * (a)

      659       21,883  

Centene Corp. *

      604       37,954  

WellCare Health Plans, Inc. *

      213       70,203  
    

 

 

  
       130,040  
    

 

 

  

Health Care Technology — 1.9%

 

Teladoc Health, Inc. *

      594       49,722  

Veeva Systems, Inc., Class A *

      315       44,273  
    

 

 

  
       93,995  
    

 

 

  

Hotels, Restaurants & Leisure — 2.7%

 

Chipotle Mexican Grill, Inc. *

      39       32,396  

Hilton Worldwide Holdings, Inc.

      635       70,388  

Red Rock Resorts, Inc., Class A

      1,159       27,768  
    

 

 

  
       130,552  
    

 

 

  

Household Durables — 1.7%

 

Garmin Ltd.

      395       38,520  

NVR, Inc. *

      12       43,797  
    

 

 

  
       82,317  
    

 

 

  

Industrial Conglomerates — 0.8%

 

Carlisle Cos., Inc.

      246       39,780  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         19  

Table of Contents

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS    SHARES
(000)		     VALUE
($000)		  

Common Stocks — continued

     

Insurance — 0.8%

 

Progressive Corp. (The)

      521       37,708  
    

 

 

  

IT Services — 11.3%

 

Black Knight, Inc. *

      451       29,048  

Booz Allen Hamilton Holding Corp.

      1,018       72,410  

Fidelity National Information Services, Inc.

      153       21,301  

Fiserv, Inc. *

      1,121       129,610  

FleetCor Technologies, Inc. *

      158       45,316  

Global Payments, Inc.

      811       148,093  

MongoDB, Inc. * (a)

      185       24,348  

Okta, Inc. *

      325       37,518  

Shopify, Inc., Class A (Canada) *

      104       41,508  
    

 

 

  
       549,152  
    

 

 

  

Life Sciences Tools & Services — 0.5%

 

Illumina, Inc. *

      77       25,669  
    

 

 

  

Machinery — 4.5%

 

Gardner Denver Holdings, Inc. * (a)

      498       18,256  

Ingersoll-Rand plc

      591       78,595  

Nordson Corp.

      238       38,740  

Parker-Hannifin Corp.

      133       27,333  

Stanley Black & Decker, Inc.

      322       53,285  
    

 

 

  
       216,209  
    

 

 

  

Media — 0.6%

 

New York Times Co. (The), Class A (a)

      884       28,445  
    

 

 

  

Multiline Retail — 1.1%

 

Dollar General Corp. (a)

      345       53,876  
    

 

 

  

Oil, Gas & Consumable Fuels — 0.7%

 

Concho Resources, Inc.

      379       33,174  
    

 

 

  

Pharmaceuticals — 2.3%

 

Catalent, Inc. *

      474       26,675  

Elanco Animal Health, Inc. *

      1,120       32,993  

Jazz Pharmaceuticals plc * (a)

      355       52,930  
    

 

 

  
       112,598  
    

 

 

  

Professional Services — 2.9%

 

CoStar Group, Inc. *

      77       45,889  

FTI Consulting, Inc. *

      250       27,632  

IHS Markit Ltd. *

      873       65,796  
    

 

 

  
       139,317  
    

 

 

  

Real Estate Management & Development — 1.2%

 

CBRE Group, Inc., Class A *

      915       56,088  
    

 

 

  
INVESTMENTS    SHARES
(000)		     VALUE
($000)		  
    

Road & Rail — 1.4%

 

Lyft, Inc., Class A *

      479       20,619  

Old Dominion Freight Line, Inc.

      255       48,356  
    

 

 

  
       68,975  
    

 

 

  
    

Semiconductors & Semiconductor Equipment — 8.8%

 

Advanced Micro Devices, Inc. *

      3,343       153,301  

KLA Corp.

      329       58,582  

Lam Research Corp.

      285       83,331  

Marvell Technology Group Ltd.

      1,604       42,606  

Microchip Technology, Inc. (a)

      328       34,296  

Xilinx, Inc.

      578       56,491  
    

 

 

  
       428,607  
    

 

 

  

Software — 9.8%

 

Anaplan, Inc. *

      610       31,964  

Crowdstrike Holdings, Inc., Class A * (a)

      413       20,596  

Fair Isaac Corp. *

      94       35,182  

Intuit, Inc.

      160       41,935  

Paycom Software, Inc. * (a)

      133       35,266  

Proofpoint, Inc. *

      234       26,904  

RingCentral, Inc., Class A * (a)

      211       35,505  

ServiceNow, Inc. *

      124       34,944  

Slack Technologies, Inc., Class A * (a)

      409       9,190  

Splunk, Inc. *

      300       44,967  

Synopsys, Inc. *

      604       84,105  

Trade Desk, Inc. (The), Class A *

      216       56,035  

Zscaler, Inc. * (a)

      339       15,782  
    

 

 

  
       472,375  
    

 

 

  

Specialty Retail — 7.1%

 

Burlington Stores, Inc. *

      217       49,414  

National Vision Holdings, Inc. *

      1,016       32,958  

O’Reilly Automotive, Inc. *

      309       135,495  

Ross Stores, Inc.

      625       72,784  

Tractor Supply Co.

      545       50,953  
    

 

 

  
       341,604  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.6%

 

Lululemon Athletica, Inc. *

      328       76,034  
    

 

 

  

Total Common Stocks
(Cost $3,362,507)

 

     4,848,196  
 

 

 

  

Short-Term Investments — 4.3%

 

Investment Companies — 1.2%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)
(Cost $56,417)

      56,400       56,417  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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

Investment of Cash Collateral from Securities Loaned — 3.1%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c)

      133,026       133,039  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c)

      17,244       17,244  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $150,285)

        150,283  
 

 

 

  

Total Short-Term Investments
(Cost $206,702)

 

     206,700  
    

 

 

  

Total Investments — 104.4%
(Cost $3,569,209)

 

     5,054,896  

Liabilities in Excess of
Other Assets — (4.4)%

 

     (212,650 ) 
 

 

 

  

NET ASSETS — 100.0%

 

     4,842,246  
 

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $147,700,000.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         21  

Table of Contents

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.4%

 

   

Auto Components — 0.8%

 

   

BorgWarner, Inc. (a)

     3,136        136,042  
    

 

 

  

Banks — 9.1%

 

   

Citizens Financial Group, Inc.

     4,781        194,157  

Comerica, Inc.

     883        63,330  

Fifth Third Bancorp

     8,371        257,319  

First Republic Bank

     1,610        189,044  

Huntington Bancshares, Inc.

     9,389        141,585  

M&T Bank Corp.

     1,928        327,330  

TCF Financial Corp.

     1,317        61,625  

Truist Financial Corp.

     4,538        255,557  

Zions Bancorp NA (a)

     1,403        72,836  
    

 

 

  
       1,562,783  
    

 

 

  

Beverages — 1.3%

 

   

Constellation Brands, Inc., Class A

     760        144,274  

Keurig Dr Pepper, Inc. (a)

     2,625        75,986  
    

 

 

  
       220,260  
    

 

 

  

Building Products — 0.9%

 

   

Fortune Brands Home & Security, Inc.

     2,345        153,193  
    

 

 

  

Capital Markets — 5.1%

 

   

Ameriprise Financial, Inc.

     1,279        213,070  

Northern Trust Corp.

     1,885        200,276  

Raymond James Financial, Inc.

     2,110        188,777  

T. Rowe Price Group, Inc.

     2,234        272,228  
    

 

 

  
       874,351  
    

 

 

  

Chemicals — 1.2%

 

   

Sherwin-Williams Co. (The)

     349        203,832  
    

 

 

  

Communications Equipment — 0.3%

 

   

CommScope Holding Co., Inc. * (a)

     3,132        44,443  
    

 

 

  

Construction Materials — 1.0%

 

   

Martin Marietta Materials, Inc.

     628        175,538  
    

 

 

  

Consumer Finance — 0.1%

 

   

Ally Financial, Inc.

     812        24,825  
    

 

 

  

Containers & Packaging — 2.6%

 

   

Ball Corp. (a)

     2,022        130,748  

Silgan Holdings, Inc.

     5,695        176,994  

Westrock Co.

     3,243        139,174  
    

 

 

  
       446,916  
    

 

 

  

Distributors — 0.7%

 

   

Genuine Parts Co. (a)

     1,068        113,478  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Electric Utilities — 4.4%

 

   

Edison International

     2,694        203,136  

Entergy Corp.

     1,464        175,382  

Xcel Energy, Inc.

     5,899        374,526  
    

 

 

  
       753,044  
    

 

 

  

Electrical Equipment — 2.7%

 

   

Acuity Brands, Inc.

     1,181        162,921  

AMETEK, Inc.

     1,964        195,935  

Hubbell, Inc.

     758        111,986  
    

 

 

  
       470,842  
    

 

 

  

Electronic Equipment, Instruments & Components — 4.2%

 

Amphenol Corp., Class A

     1,580        171,050  

Arrow Electronics, Inc. *

     1,674        141,840  

CDW Corp.

     1,309        187,043  

Keysight Technologies, Inc. *

     1,046        107,374  

SYNNEX Corp.

     929        119,686  
    

 

 

  
       726,993  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 11.9%

 

   

American Campus Communities, Inc.

     2,040        95,928  

American Homes 4 Rent, Class A

     4,222        110,651  

AvalonBay Communities, Inc.

     1,112        233,245  

Boston Properties, Inc.

     1,649        227,323  

Brixmor Property Group, Inc.

     6,811        147,192  

Essex Property Trust, Inc. (a)

     462        139,063  

Federal Realty Investment Trust

     1,362        175,330  

JBG SMITH Properties

     1,810        72,209  

Kimco Realty Corp.

     6,039        125,073  

Outfront Media, Inc.

     4,373        117,276  

Rayonier, Inc.

     4,212        137,981  

Regency Centers Corp.

     1,547        97,610  

Ventas, Inc.

     1,315        75,912  

Vornado Realty Trust

     2,563        170,462  

Weyerhaeuser Co.

     3,774        113,975  
    

 

 

  
       2,039,230  
    

 

 

  

Food & Staples Retailing — 0.7%

 

   

Kroger Co. (The)

     3,992        115,734  
    

 

 

  

Food Products — 0.9%

 

   

Post Holdings, Inc. *

     1,413        154,178  
    

 

 

  

Gas Utilities — 0.8%

 

   

National Fuel Gas Co. (a)

     3,102        144,362  
    

 

 

  

Health Care Equipment & Supplies — 1.4%

 

   

Zimmer Biomet Holdings, Inc.

     1,621        242,688  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

   

Health Care Providers & Services — 5.2%

 

   

AmerisourceBergen Corp. (a)

     1,995        169,620  

Cigna Corp.

     725        148,183  

Henry Schein, Inc. *

     1,887        125,875  

Humana, Inc.

     253        92,588  

Laboratory Corp. of America Holdings *

     1,125        190,304  

Universal Health Services, Inc., Class B

     1,198        171,822  
    

 

 

  
       898,392  
    

 

 

  

Hotels, Restaurants & Leisure — 0.9%

 

   

Hilton Worldwide Holdings, Inc.

     1,321        146,469  
    

 

 

  

Household Durables — 1.6%

 

   

Mohawk Industries, Inc. *

     1,240        169,085  

Newell Brands, Inc.

     5,709        109,722  
    

 

 

  
       278,807  
    

 

 

  

Household Products — 0.8%

 

   

Energizer Holdings, Inc. (a)

     2,569        129,031  
    

 

 

  

Industrial Conglomerates — 0.7%

 

   

Carlisle Cos., Inc.

     743        120,213  
    

 

 

  

Insurance — 7.6%

 

   

Alleghany Corp. *

     166        132,828  

Hartford Financial Services Group, Inc. (The)

     3,769        229,025  

Lincoln National Corp.

     2,203        130,004  

Loews Corp.

     6,274        329,347  

Marsh & McLennan Cos., Inc.

     1,524        169,819  

Principal Financial Group, Inc.

     735        40,451  

Progressive Corp. (The)

     1,864        134,957  

Unum Group

     847        24,696  

WR Berkley Corp.

     1,629        112,554  
    

 

 

  
       1,303,681  
    

 

 

  

Internet & Direct Marketing Retail — 1.1%

 

   

Expedia Group, Inc.

     1,677        181,380  
    

 

 

  

IT Services — 0.9%

 

   

Jack Henry & Associates, Inc.

     1,066        155,331  
    

 

 

  

Machinery — 4.1%

 

   

IDEX Corp.

     944        162,294  

ITT, Inc.

     1,362        100,657  

Lincoln Electric Holdings, Inc. (a)

     1,080        104,475  

Middleby Corp. (The) *

     1,333        145,960  

Snap-on, Inc.

     1,094        185,371  
    

 

 

  
       698,757  
    

 

 

  

Media — 2.9%

 

   

DISH Network Corp., Class A * (a)

     3,115        110,490  

Liberty Broadband Corp., Class C *

     921        115,878  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Media — continued

 

   

Liberty Media Corp.-Liberty SiriusXM, Class C *

     3,828        184,287  

ViacomCBS, Inc.

     1,999        83,901  
    

 

 

  
       494,556  
    

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.3%

 

   

Starwood Property Trust, Inc.

     2,257        56,102  
    

 

 

  

Multiline Retail — 1.1%

 

   

Kohl’s Corp. (a)

     2,250        114,629  

Nordstrom, Inc. (a)

     1,834        75,051  
    

 

 

  
       189,680  
    

 

 

  

Multi-Utilities — 5.8%

 

   

CMS Energy Corp.

     5,656        355,452  

Sempra Energy

     1,802        272,938  

WEC Energy Group, Inc. (a)

     3,949        364,219  
    

 

 

  
       992,609  
    

 

 

  

Oil, Gas & Consumable Fuels — 5.5%

 

   

Cabot Oil & Gas Corp.

     7,795        135,716  

Diamondback Energy, Inc.

     3,201        297,250  

EQT Corp.

     4,700        51,230  

Equitrans Midstream Corp. (a)

     4,331        57,865  

PBF Energy, Inc., Class A

     3,636        114,075  

Williams Cos., Inc. (The)

     11,774        279,284  
    

 

 

  
       935,420  
    

 

 

  

Personal Products — 0.3%

 

   

Coty, Inc., Class A (a)

     4,622        51,995  
    

 

 

  

Real Estate Management & Development — 1.7%

 

   

CBRE Group, Inc., Class A *

     3,780        231,673  

Cushman & Wakefield plc *

     3,266        66,750  
    

 

 

  
       298,423  
    

 

 

  

Semiconductors & Semiconductor Equipment — 0.5%

 

   

Analog Devices, Inc.

     680        80,785  
    

 

 

  

Software — 0.9%

 

   

Synopsys, Inc. *

     1,082        150,565  
    

 

 

  

Specialty Retail — 4.2%

 

   

AutoZone, Inc. *

     220        261,687  

Best Buy Co., Inc.

     2,187        192,062  

Gap, Inc. (The)

     5,276        93,273  

Tiffany & Co.

     1,308        174,860  
    

 

 

  
       721,882  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.7%

 

   

PVH Corp.

     1,303        137,010  

Ralph Lauren Corp.

     1,390        162,938  
    

 

 

  
       299,948  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         23  

Table of Contents

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Investments   Shares
(000)		      Value
($000)		  

Common Stocks — continued

 

   

Trading Companies & Distributors — 0.5%

 

   

MSC Industrial Direct Co., Inc., Class A

     1,053        82,610  
    

 

 

  

Total Common Stocks
(Cost $9,993,800)

        16,869,368  
    

 

 

  

Short-Term Investments — 2.6%

 

   

Investment Companies — 1.5%

 

   

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)
(Cost $252,935)

     252,859        252,935  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 1.1%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c)

     174,019        174,037  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c)

     21,933        21,933  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $195,970)

        195,970  
    

 

 

  

Total Short-term Investments
(Cost $448,905)

        448,905  
    

 

 

  

Total Investments — 101.0%
(Cost $10,442,705)

        17,318,273  

Liabilities in Excess of
Other Assets — (1.0)%

        (174,962 ) 
    

 

 

  

NET ASSETS — 100.0%

        17,143,311  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $193,021,000.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.3%

 

Aerospace & Defense — 1.3%

 

General Dynamics Corp.

     201        35,358  

United Technologies Corp.

     813        121,765  
    

 

 

  
       157,123  
    

 

 

  

Airlines — 2.0%

 

Delta Air Lines, Inc.

     3,258        190,504  

Southwest Airlines Co.

     910        49,138  
    

 

 

  
       239,642  
    

 

 

  

Banks — 15.2%

 

Bank of America Corp.

     13,053        459,730  

Citigroup, Inc.

     2,043        163,178  

Citizens Financial Group, Inc.

     3,338        135,553  

Fifth Third Bancorp

     2,095        64,411  

First Republic Bank (a)

     554        65,086  

M&T Bank Corp.

     1,000        169,804  

PNC Financial Services Group, Inc. (The)

     1,606        256,442  

Truist Financial Corp.

     2,792        157,258  

US Bancorp (a)

     1,946        115,402  

Wells Fargo & Co.

     4,319        232,364  
    

 

 

  
       1,819,228  
    

 

 

  

Beverages — 0.4%

 

Keurig Dr Pepper, Inc. (a)

     1,765        51,093  
    

 

 

  

Biotechnology — 0.8%

 

AbbVie, Inc.

     1,027        90,940  
    

 

 

  

Capital Markets — 4.5%

 

Charles Schwab Corp. (The)

     2,477        117,806  

Invesco Ltd. (a)

     1,727        31,049  

Morgan Stanley

     3,211        164,168  

Northern Trust Corp. (a)

     756        80,302  

T. Rowe Price Group, Inc.

     1,148        139,841  
    

 

 

  
       533,166  
    

 

 

  

Chemicals — 0.2%

 

AdvanSix, Inc. *

     952        18,996  
    

 

 

  

Communications Equipment — 1.2%

 

Cisco Systems, Inc.

     1,956        93,819  

CommScope Holding Co., Inc. *

     3,770        53,491  
    

 

 

  
       147,310  
    

 

 

  

Construction Materials — 1.2%

 

Martin Marietta Materials, Inc.

     523        146,385  
    

 

 

  

Consumer Finance — 3.2%

 

American Express Co.

     950        118,253  

Capital One Financial Corp.

     2,578        265,342  
    

 

 

  
       383,595  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Containers & Packaging — 3.0%

 

Ball Corp.

     1,809        116,960  

Graphic Packaging Holding Co.

     4,600        76,596  

Packaging Corp. of America (a)

     798        89,323  

Westrock Co.

     1,752        75,173  
    

 

 

  
       358,052  
    

 

 

  

Diversified Financial Services — 1.4%

 

Berkshire Hathaway, Inc., Class B *

     711        161,042  
    

 

 

  

Diversified Telecommunication Services — 1.5%

 

   

Verizon Communications, Inc.

     2,951        181,190  
    

 

 

  

Electric Utilities — 5.4%

 

American Electric Power Co., Inc.

     1,734        163,872  

Duke Energy Corp. (a)

     707        64,466  

Edison International

     849        64,016  

Entergy Corp.

     496        59,409  

NextEra Energy, Inc.

     589        142,703  

Xcel Energy, Inc. (a)

     2,458        156,030  
    

 

 

  
       650,496  
    

 

 

  

Electronic Equipment, Instruments & Components — 0.6%

 

Arrow Electronics, Inc. *

     855        72,454  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 6.0%

 

American Homes 4 Rent, Class A

     2,340        61,344  

Brixmor Property Group, Inc.

     3,456        74,689  

EastGroup Properties, Inc.

     255        33,830  

Federal Realty Investment Trust

     475        61,121  

Kimco Realty Corp.

     3,797        78,629  

Mid-America Apartment Communities, Inc. (a)

     733        96,673  

Outfront Media, Inc.

     2,700        72,412  

Public Storage

     564        120,024  

Rayonier, Inc.

     2,171        71,118  

Weyerhaeuser Co.

     1,448        43,742  
    

 

 

  
       713,582  
    

 

 

  

Food & Staples Retailing — 0.9%

 

Walgreens Boots Alliance, Inc.

     1,837        108,321  
    

 

 

  

Food Products — 0.8%

 

Post Holdings, Inc. *

     876        95,549  
    

 

 

  

Health Care Equipment & Supplies — 0.8%

 

Medtronic plc

     796        90,340  
    

 

 

  

Health Care Providers & Services — 2.3%

 

AmerisourceBergen Corp.

     702        59,667  

HCA Healthcare, Inc.

     427        63,136  

UnitedHealth Group, Inc.

     515        151,351  
    

 

 

  
       274,154  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         25  

Table of Contents

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Hotels, Restaurants & Leisure — 1.0%

 

Brinker International, Inc. (a)

     1,419        59,609  

Hilton Worldwide Holdings, Inc.

     481        53,393  
    

 

 

  
       113,002  
    

 

 

  

Household Products — 2.3%

 

Clorox Co. (The)

     212        32,612  

Energizer Holdings, Inc. (a)

     1,723        86,507  

Procter & Gamble Co. (The)

     1,280        159,902  
    

 

 

  
       279,021  
    

 

 

  

Industrial Conglomerates — 1.6%

 

Carlisle Cos., Inc.

     381        61,728  

Honeywell International, Inc.

     739        130,824  
    

 

 

  
       192,552  
    

 

 

  

Insurance — 7.6%

 

Alleghany Corp. *

     69        55,007  

American International Group, Inc.

     1,804        92,589  

Chubb Ltd.

     607        94,555  

Fairfax Financial Holdings Ltd. (Canada) (a)

     133        62,292  

Hartford Financial Services Group, Inc. (The)

     1,491        90,595  

Loews Corp.

     4,182        219,487  

Marsh & McLennan Cos., Inc.

     796        88,665  

Prudential Financial, Inc.

     389        36,422  

Travelers Cos., Inc. (The) (a)

     1,267        173,484  
    

 

 

  
       913,096  
    

 

 

  

Internet & Direct Marketing Retail — 0.8%

 

Booking Holdings, Inc. *

     47        96,731  
    

 

 

  

Machinery — 2.2%

 

Dover Corp.

     937        108,035  

Illinois Tool Works, Inc. (a)

     594        106,732  

Middleby Corp. (The) *

     447        48,977  
    

 

 

  
       263,744  
    

 

 

  

Media — 3.6%

 

Charter Communications, Inc., Class A *

     280        135,962  

DISH Network Corp., Class A *

     2,644        93,794  

Entercom Communications Corp., Class A (a)

     8,332        38,662  

Nexstar Media Group, Inc., Class A

     796        93,313  

ViacomCBS, Inc.

     1,508        63,277  
    

 

 

  
       425,008  
    

 

 

  

Multiline Retail — 1.3%

 

Kohl’s Corp.

     1,585        80,741  

Nordstrom, Inc. (a)

     1,713        70,109  
    

 

 

  
       150,850  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Multi-Utilities — 0.3%

 

NiSource, Inc. (a)

     1,060        29,510  
    

 

 

  

Oil, Gas & Consumable Fuels — 8.8%

 

Cabot Oil & Gas Corp.

     2,396        41,718  

Chevron Corp.

     1,793        216,038  

ConocoPhillips

     2,923        190,106  

Diamondback Energy, Inc.

     1,111        103,158  

EQT Corp.

     3,684        40,157  

Equitrans Midstream Corp. (a)

     3,051        40,766  

Kinder Morgan, Inc.

     5,649        119,593  

Marathon Petroleum Corp.

     1,598        96,292  

PBF Energy, Inc., Class A

     1,415        44,394  

Phillips 66

     526        58,577  

Williams Cos., Inc. (The)

     4,257        100,974  
    

 

 

  
       1,051,773  
    

 

 

  

Personal Products — 0.3%

 

Coty, Inc., Class A (a)

     3,438        38,683  
    

 

 

  

Pharmaceuticals — 6.6%

 

Allergan plc

     626        119,612  

Bristol-Myers Squibb Co.

     2,252        144,562  

Johnson & Johnson

     1,079        157,440  

Merck & Co., Inc.

     1,898        172,609  

Pfizer, Inc.

     5,013        196,418  
    

 

 

  
       790,641  
    

 

 

  

Real Estate Management & Development — 1.0%

 

CBRE Group, Inc., Class A *

     1,966        120,471  
    

 

 

  

Semiconductors & Semiconductor Equipment — 2.0%

 

Analog Devices, Inc.

     818        97,235  

QUALCOMM, Inc.

     318        28,051  

Texas Instruments, Inc.

     873        111,967  
    

 

 

  
       237,253  
    

 

 

  

Software — 0.9%

 

Microsoft Corp.

     654        103,186  
    

 

 

  

Specialty Retail — 3.7%

 

AutoZone, Inc. *

     121        144,690  

Best Buy Co., Inc.

     846        74,259  

Home Depot, Inc. (The)

     317        69,187  

Murphy USA, Inc. *

     567        66,306  

Tiffany & Co.

     686        91,669  
    

 

 

  
       446,111  
    

 

 

  

Technology Hardware, Storage & Peripherals — 0.2%

 

Hewlett Packard Enterprise Co.

     1,687        26,753  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Textiles, Apparel & Luxury Goods — 0.4%

 

Columbia Sportswear Co. (a)

     502        50,339  
    

 

 

  

Total Common Stocks
(Cost $7,898,925)

 

      11,621,382  
  

 

 

  
     NO. OF
RIGHTS
(000)		          

Rights — 0.0% (b)

 

Media — 0.0% (b)

 

Media General, Inc., CVR * ‡
(Cost $—)

     2,982        — (c) 
    

 

 

  
     SHARES
(000)		          

Short-Term Investments — 4.3%

 

Investment Companies — 2.7%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (d) (e)
(Cost $322,392)

     322,295        322,392  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 1.6%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e)

     157,003        157,018  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e)

     31,883        31,883  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $188,897)

        188,901  
  

 

 

  

Total Short-term Investments
(Cost $511,289)

        511,293  
    

 

 

  

Total Investments — 101.6%
(Cost $8,410,214)

 

      12,132,675  
  

 

 

  

Liabilities in Excess of
Other Assets — (1.6)%

 

      (185,473 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      11,947,202  
    

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations

 

CVR   Contingent Value Rights
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $185,815,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Amount rounds to less than one thousand.
(d)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(e)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
‡   Value determined using significant unobservable inputs.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         27  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited)

(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

      $ 9,277,996        $ 1,675,489        $ 4,848,196  

Investments in affiliates, at value

        139,991          44,045          56,417  

Investment of cash collateral received from securities loaned, at value (See Note 2.B.)

        182,460          9,955          150,283  

Cash

        218          623          106  

Receivables:

               

Investment securities sold

        —          1,424          1,416  

Fund shares sold

        7,095          1,937          7,557  

Dividends from non-affiliates

        336          1,867          834  

Dividends from affiliates

        7          2          3  

Securities lending income (See Note 2.B.)

        45          8          100  
    

 

 

       

 

 

       

 

 

  

Total Assets

        9,608,148          1,735,350          5,064,912  
    

 

 

       

 

 

       

 

 

  

LIABILITIES:

               

Payables:

               

Investment securities purchased

        —          113          552  

Collateral received on securities loaned (See Note 2.B.)

        182,460          9,955          150,283  

Fund shares redeemed

        8,326          957          67,941  

Accrued liabilities:

               

Investment advisory fees

        4,320          827          2,655  

Administration fees

        591          40          307  

Distribution fees

        933          117          297  

Service fees

        1,048          167          417  

Custodian and accounting fees

        34          15          18  

Trustees’ and Chief Compliance Officer’s fees

        1          1          — (a) 

Other

        346          139          196  
    

 

 

       

 

 

       

 

 

  

Total Liabilities

        198,059          12,331          222,666  
    

 

 

       

 

 

       

 

 

  

Net Assets

      $ 9,410,089        $ 1,723,019        $ 4,842,246  
    

 

 

       

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents
        JPMorgan
Growth
Advantage Fund		       

JPMorgan

Mid Cap
Equity Fund

        JPMorgan
Mid Cap
Growth Fund		  

NET ASSETS:

               

Paid-in-Capital

      $ 5,178,040        $ 791,137        $ 3,296,637  

Total distributable earnings (loss)

        4,232,049          931,882          1,545,609  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 9,410,089        $ 1,723,019        $ 4,842,246  
    

 

 

       

 

 

       

 

 

  

Net Assets:

               

Class A

      $ 1,943,737        $ 485,874        $ 1,038,915  

Class C

        834,197          23,421          84,281  

Class I

        2,277,130          295,590          1,093,077  

Class R2

        135          547          39,758  

Class R3

        687          —          39,109  

Class R4

        17,336          —          9,959  

Class R5

        119,957          5,040          493,498  

Class R6

        4,216,910          912,547          2,043,649  
    

 

 

       

 

 

       

 

 

  

Total

      $ 9,410,089        $ 1,723,019        $ 4,842,246  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

               

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

               

Class A

        89,150          9,803          31,828  

Class C

        45,018          495          3,456  

Class I

        100,488          5,863          28,345  

Class R2

        6          11          1,111  

Class R3

        32          —          1,026  

Class R4

        765          —          259  

Class R5

        5,171          100          12,600  

Class R6

        180,384          18,099          51,886  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 21.80        $ 49.56        $ 32.64  

Class C — Offering price per share (b)

        18.53          47.32          24.39  

Class I — Offering and redemption price per share

        22.66          50.42          38.56  

Class R2 — Offering and redemption price per share

        21.64          49.03          35.79  

Class R3 — Offering and redemption price per share

        21.81          —          38.11  

Class R4 — Offering and redemption price per share

        22.66          —          38.47  

Class R5 — Offering and redemption price per share

        23.20          50.42          39.17  

Class R6 — Offering and redemption price per share

        23.38          50.42          39.39  

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)]

      $ 23.01        $ 52.31        $ 34.45  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 5,268,713        $ 983,717        $ 3,362,507  

Cost of investments in affiliates

        139,991          44,045          56,417  

Investment securities on loan, at value (See Note 2.B.)

        179,510          9,779          147,700  

Cost of investment of cash collateral (See Note 2.B.)

        182,459          9,955          150,285  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         29  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

(Amounts in thousands, except per share amounts)

 

       

JPMorgan

Mid Cap

Value Fund

        JPMorgan
Value
Advantage Fund		  

ASSETS:

 

Investments in non-affiliates, at value

      $ 16,869,368        $ 11,621,382  

Investments in affiliates, at value

        252,935          322,392  

Investment of cash collateral received from securities loaned, at value (See Note 2.B.)

        195,970          188,901  

Cash

        551          673  

Receivables:

          

Investment securities sold

        33,384          —  

Fund shares sold

        20,382          8,570  

Dividends from non-affiliates

        35,172          10,906  

Dividends from affiliates

        12          16  

Securities lending income (See Note 2.B.)

        54          53  
    

 

 

       

 

 

  

Total Assets

        17,407,828          12,152,893  
    

 

 

       

 

 

  

LIABILITIES:

 

Payables:

          

Collateral received on securities loaned (See Note 2.B.)

        195,970          188,901  

Fund shares redeemed

        55,523          8,211  

Accrued liabilities:

          

Investment advisory fees

        9,327          5,462  

Administration fees

        936          717  

Distribution fees

        484          593  

Service fees

        1,101          1,130  

Custodian and accounting fees

        67          48  

Trustees’ and Chief Compliance Officer’s fees

        1          1  

Other

        1,108          628  
    

 

 

       

 

 

  

Total Liabilities

        264,517          205,691  
    

 

 

       

 

 

  

Net Assets

      $ 17,143,311        $ 11,947,202  
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       

JPMorgan

Mid Cap

Value Fund

        JPMorgan
Value
Advantage Fund		  

NET ASSETS:

 

Paid-in-Capital

      $ 10,135,027        $ 8,134,737  

Total distributable earnings (loss)

        7,008,284          3,812,465  
    

 

 

       

 

 

  

Total Net Assets

      $ 17,143,311        $ 11,947,202  
    

 

 

       

 

 

  

Net Assets:

 

Class A

      $ 1,632,529        $ 1,239,813  

Class C

        145,229          522,311  

Class I

        2,704,051          2,569,941  

Class L

        8,756,795          2,537,783  

Class R2

        74,409          74  

Class R3

        79,886          1,932  

Class R4

        25,663          29,803  

Class R5

        90,977          7,931  

Class R6

        3,633,772          5,037,614  
    

 

 

       

 

 

  

Total

      $ 17,143,311        $ 11,947,202  
    

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

 

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

 

Class A

        42,157          33,384  

Class C

        3,910          14,098  

Class I

        69,036          68,866  

Class L

        220,732          67,994  

Class R2

        2,013          2  

Class R3

        2,082          53  

Class R4

        659          802  

Class R5

        2,296          213  

Class R6

        91,652          135,143  

Net Asset Value (a):

          

Class A – Redemption price per share

      $ 38.72        $ 37.14  

Class C – Offering price per share (b)

        37.14          37.05  

Class I – Offering and redemption price per share

        39.17          37.32  

Class L – Offering and redemption price per share

        39.67          37.32  

Class R2 – Offering and redemption price per share

        36.97          36.91  

Class R3 – Offering and redemption price per share

        38.36          36.73  

Class R4 – Offering and redemption price per share

        38.96          37.14  

Class R5 – Offering and redemption price per share

        39.62          37.25  

Class R6 – Offering and redemption price per share

        39.65          37.28  

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)]

      $ 40.87        $ 39.20  
    

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 9,993,800        $ 7,898,925  

Cost of investments in affiliates

        252,935          322,392  

Investment securities on loan, at value (See Note 2.B.)

        193,021          185,815  

Cost of investment of cash collateral (See Note 2.B.)

        195,970          188,897  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         31  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

(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

        1        — (a)       — (a) 

Dividend income from non-affiliates

        31,224        14,330        11,871  

Dividend income from affiliates

        2,349        843        1,375  

Income from securities lending (net) (See Note 2.B.)

        302        111        597  
    

 

 

     

 

 

     

 

 

  

Total investment income

        33,876        15,284        13,843  
    

 

 

     

 

 

     

 

 

  

EXPENSES:

           

Investment advisory fees

        26,152        7,486        15,155  

Administration fees

        3,456        864        1,749  

Distribution fees:

           

Class A

        2,327        583        1,256  

Class C

        2,997        87        307  

Class R2

        — (a)       2        99  

Class R3

        1        —        44  

Service fees:

           

Class A

        2,327        583        1,256  

Class C

        999        29        102  

Class I

        2,657        358        1,351  

Class R2

        — (a)       1        49  

Class R3

        1        —        44  

Class R4

        21        —        12  

Class R5

        58        3        237  

Custodian and accounting fees

        124        41        65  

Professional fees

        76        42        50  

Trustees’ and Chief Compliance Officer’s fees

        31        18        22  

Printing and mailing costs

        242        103        145  

Registration and filing fees

        181        73        89  

Transfer agency fees (See Note 2.E.)

        155        31        238  

Other

        77        23        33  
    

 

 

     

 

 

     

 

 

  

Total expenses

        41,882        10,327        22,303  
    

 

 

     

 

 

     

 

 

  

Less fees waived

        (1,150 )       (1,371 )       (823 ) 

Less expense reimbursements

        (7 )       — (a)       (13 ) 
    

 

 

     

 

 

     

 

 

  

Net expenses

        40,725        8,956        21,467  
    

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        (6,849 )       6,328        (7,624 ) 
    

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

           

Net realized gain (loss) on transactions from:

           

Investments in non-affiliates

        736,656        329,267        223,040  

Investments in affiliates

        4        8        7  
    

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

        736,660        329,275        223,047  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

 

Investments in non-affiliates

        172,953        (228,757 )       147,470  

Investments in affiliates

        (34 )       (14 )       (27 ) 
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        172,919        (228,771 )       147,443  
    

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        909,579        100,504        370,490  
    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 902,730      $ 106,832      $ 362,866  
    

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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

        —        — (a) 

Dividend income from non-affiliates

        171,638        133,349  

Dividend income from affiliates

        5,470        3,151  

Income from securities lending (net) (See Note 2.B.)

        540        360  
    

 

 

     

 

 

  

Total investment income

        177,648        136,860  
    

 

 

     

 

 

  

EXPENSES:

 

Investment advisory fees

        54,941        31,424  

Administration fees

        5,490        4,060  

Distribution fees:

        

Class A

        2,027        1,533  

Class C

        543        1,929  

Class R2

        183        — (a) 

Class R3

        94        3  

Service fees:

        

Class A

        2,027        1,533  

Class C

        181        643  

Class I

        3,322        3,088  

Class L

        4,401        1,259  

Class R2

        92        — (a) 

Class R3

        94        2  

Class R4

        35        31  

Class R5

        48        4  

Custodian and accounting fees

        223        149  

Professional fees

        118        88  

Trustees’ and Chief Compliance Officer’s fees

        45        34  

Printing and mailing costs

        674        326  

Registration and filing fees

        178        195  

Transfer agency fees (See Note 2.E.)

        438        133  

Other

        143        83  
    

 

 

     

 

 

  

Total expenses

        75,297        46,517  
    

 

 

     

 

 

  

Less fees waived

        (4,369 )       (1,215 ) 

Less expense reimbursements

        (13 )       (14 ) 
    

 

 

     

 

 

  

Net expenses

        70,915        45,288  
    

 

 

     

 

 

  

Net investment income (loss)

        106,733        91,572  
    

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

        

Net realized gain (loss) on transactions from:

 

Investments in non-affiliates

        267,306        259,130  

Investments in affiliates

        44        (18 ) 
    

 

 

     

 

 

  

Net realized gain (loss)

        267,350        259,112  
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

 

Investments in non-affiliates

        775,684        606,642  

Investments in affiliates

        (94 )       (29 ) 
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        775,590        606,613  
    

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        1,042,940        865,725  
    

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 1,149,673      $ 957,297  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

      $ (6,849 )       $ (10,145 )       $ 6,328        $ 20,621  

Net realized gain (loss)

        736,660          629,057          329,275          205,661  

Change in net unrealized appreciation/depreciation

        172,919          213,962          (228,771 )         42,746  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        902,730          832,874          106,832          269,028  
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

        (176,120 )         (137,182 )         (38,917 )         (41,313 ) 

Class C

        (88,186 )         (69,324 )         (1,879 )         (2,590 ) 

Class I

        (199,341 )         (147,315 )         (23,411 )         (31,866 ) 

Class R2

        (12 )         (5 )         (49 )         (47 ) 

Class R3

        (61 )         (27 )         —          —  

Class R4

        (1,510 )         (957 )         —          —  

Class R5

        (10,297 )         (8,804 )         (518 )         (621 ) 

Class R6

        (359,755 )         (334,548 )         (159,341 )         (209,503 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (835,282 )         (698,162 )         (224,115 )         (285,940 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

 

Change in net assets resulting from capital transactions

        (46,448 )         562,790          (951,095 )         74,601  
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

 

Change in net assets

        21,000          697,502          (1,068,378 )         57,689  

Beginning of period

        9,389,089          8,691,587          2,791,397          2,733,708  
    

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 9,410,089        $ 9,389,089        $ 1,723,019        $ 2,791,397  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Mid Cap Growth Fund        JPMorgan Mid Cap Value Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

      $ (7,624 )       $ (10,571 )       $ 106,733        $ 262,116  

Net realized gain (loss)

        223,047          269,037          267,350          854,560  

Change in net unrealized appreciation/depreciation

        147,443          351,539          775,590          (449,626 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        362,866          610,005          1,149,673          667,050  
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

        (82,704 )         (64,068 )         (76,720 )         (113,824 ) 

Class C

        (8,737 )         (6,859 )         (6,335 )         (11,787 ) 

Class I

        (75,633 )         (66,577 )         (133,060 )         (180,706 ) 

Class L

        —          —          (443,822 )         (790,206 ) 

Class R2

        (2,939 )         (2,466 )         (3,525 )         (5,220 ) 

Class R3

        (2,669 )         (1,655 )         (3,809 )         (4,506 ) 

Class R4

        (679 )         (921 )         (1,419 )         (1,721 ) 

Class R5

        (33,403 )         (18,376 )         (4,996 )         (5,681 ) 

Class R6

        (138,679 )         (90,888 )         (181,586 )         (86,808 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (345,443 )         (251,810 )         (855,272 )         (1,200,459 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

 

Change in net assets resulting from capital transactions

        266,331          283,053          (166,575 )         (734,957 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

 

Change in net assets

        283,754          641,248          127,826          (1,268,366 ) 

Beginning of period

        4,558,492          3,917,244          17,015,485          18,283,851  
    

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 4,842,246        $ 4,558,492        $ 17,143,311        $ 17,015,485  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

      $ 91,572        $ 207,703  

Net realized gain (loss)

        259,112          344,698  

Change in net unrealized appreciation/depreciation

        606,613          219,801  
    

 

 

       

 

 

  

Change in net assets resulting from operations

        957,297          772,202  
    

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

          

Class A

        (44,981 )         (75,407 ) 

Class C

        (16,494 )         (31,120 ) 

Class I

        (99,554 )         (161,614 ) 

Class L

        (100,871 )         (175,343 ) 

Class R2

        (3 )         (3 ) 

Class R3

        (70 )         (123 ) 

Class R4

        (1,174 )         (1,103 ) 

Class R5

        (334 )         (451 ) 

Class R6

        (204,414 )         (263,786 ) 
    

 

 

       

 

 

  

Total distributions to shareholders

        (467,895 )         (708,950 ) 
    

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

 

Change in net assets resulting from capital transactions

        632,040          (621,729 ) 
    

 

 

       

 

 

  

NET ASSETS:

 

Change in net assets

        1,121,442          (558,477 ) 

Beginning of period

        10,825,760          11,384,237  
    

 

 

       

 

 

  

End of period

      $ 11,947,202        $ 10,825,760  
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents
     JPMorgan Growth Advantage Fund      JPMorgan Mid Cap Equity Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

            

Class A

            

Proceeds from shares issued

    $ 160,395      $ 403,155      $ 60,338      $ 104,599  

Distributions reinvested

      171,962        134,593        38,873        41,253  

Cost of shares redeemed

      (222,689 )       (459,409 )       (59,307 )       (96,097 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

    $ 109,668      $ 78,339      $ 39,904      $ 49,755  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class C

            

Proceeds from shares issued

    $ 52,361      $ 156,438      $ 807      $ 2,104  

Distributions reinvested

      83,432        66,057        1,879        2,589  

Cost of shares redeemed

      (83,806 )       (164,414 )       (3,001 )       (7,756 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

    $ 51,987      $ 58,081      $ (315 )     $ (3,063 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class I

            

Proceeds from shares issued

    $ 277,438      $ 749,623      $ 45,584      $ 49,175  

Distributions reinvested

      183,813        135,181        23,288        31,662  

Cost of shares redeemed

      (305,828 )       (558,012 )       (70,647 )       (100,951 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

    $ 155,423      $ 326,792      $ (1,775 )     $ (20,114 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

            

Proceeds from shares issued

    $ 64      $ 44      $ 268      $ 65  

Distributions reinvested

      12        5        42        40  

Cost of shares redeemed

      (29 )       (5 )       (283 )       (21 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ 47      $ 44      $ 27      $ 84  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R3

            

Proceeds from shares issued

    $ 209      $ 184      $ —      $ —  

Distributions reinvested

      61        27        —        —  

Cost of shares redeemed

      (33 )       (41 )       —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ 237      $ 170      $ —      $ —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R4

            

Proceeds from shares issued

    $ 1,007      $ 4,852      $ —      $ —  

Distributions reinvested

      1,510        957        —        —  

Cost of shares redeemed

      (1,765 )       (2,115 )       —        —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ 752      $ 3,694      $ —      $ —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R5

            

Proceeds from shares issued

    $ 7,803      $ 21,008      $ 533      $ 62  

Distributions reinvested

      10,290        8,803        517        621  

Cost of shares redeemed

      (17,747 )       (26,114 )       (1,988 )       (1,088 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ 346      $ 3,697      $ (938 )     $ (405 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R6

            

Proceeds from shares issued

    $ 670,782      $ 705,912      $ 189,876      $ 259,016  

Distributions reinvested

      358,754        333,918        159,315        209,472  

Cost of shares redeemed

      (1,394,444 )       (947,857 )       (136,474 )       (420,144 ) 

Redemptions in-kind (See Note 7)

      —        —        (1,200,715 )       —  
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ (364,908 )     $ 91,973      $ (987,998 )     $ 48,344  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

    $ (46,448 )     $ 562,790      $ (951,095 )     $ 74,601  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

                

Class A

                

Issued

        7,325          19,276        1,237        2,159  

Reinvested

        8,088          7,186        853        952  

Redeemed

        (10,068 )         (22,010 )       (1,216 )       (1,995 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class A Shares

        5,345          4,452        874        1,116  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class C

                

Issued

        2,775          8,466        18        45  

Reinvested

        4,615          4,060        43        63  

Redeemed

        (4,438 )         (9,125 )       (64 )       (167 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class C Shares

        2,952          3,401        (3 )       (59 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Class I

                

Issued

        12,153          34,535        901        996  

Reinvested

        8,317          6,986        501        719  

Redeemed

        (13,493 )         (26,418 )       (1,402 )       (2,083 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class I Shares

        6,977          15,103        — (a)       (368 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R2

                

Issued

        2          2        5        1  

Reinvested

        1          — (a)       1        1  

Redeemed

        (1 )         — (a)       (6 )       — (a) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R2 Shares

        2          2        — (a)       2  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R3

                

Issued

        11          9        —        —  

Reinvested

        3          1        —        —  

Redeemed

        (2 )         (2 )       —        —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R3 Shares

        12          8        —        —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R4

                

Issued

        44          238        —        —  

Reinvested

        68          50        —        —  

Redeemed

        (76 )         (96 )       —        —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R4 Shares

        36          192        —        —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R5

                

Issued

        331          934        11        2  

Reinvested

        455          446        11        14  

Redeemed

        (765 )         (1,188 )       (40 )       (22 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R5 Shares

        21          192        (18 )       (6 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Class R6

                

Issued

        28,916          31,785        3,749        5,236  

Reinvested

        15,742          16,814        3,444        4,754  

Redeemed

        (59,824 )         (43,117 )       (2,709 )       (8,527 ) 

Redemptions in-kind (See Note 7)

        —          —        (25,455 )       —  
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in Class R6 Shares

        (15,166 )         5,482        (20,971 )       1,463  
    

 

 

       

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents
     JPMorgan Mid Cap Growth Fund      JPMorgan Mid Cap Value Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

            

Class A

            

Proceeds from shares issued

    $ 56,521      $ 114,825      $ 100,052      $ 232,702  

Distributions reinvested

      80,011        61,839        69,743        101,729  

Cost of shares redeemed

      (103,872 )       (170,138 )       (229,269 )       (588,500 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class A capital transactions

    $ 32,660      $ 6,526      $ (59,474 )     $ (254,069 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class C

            

Proceeds from shares issued

    $ 5,022      $ 14,313      $ 6,954      $ 18,374  

Distributions reinvested

      8,149        6,348        5,516        10,374  

Cost of shares redeemed

      (9,659 )       (24,318 )       (19,763 )       (86,785 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class C capital transactions

    $ 3,512      $ (3,657 )     $ (7,293 )     $ (58,037 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class I

            

Proceeds from shares issued

    $ 112,137      $ 238,900      $ 237,099      $ 746,983  

Distributions reinvested

      71,080        63,129        123,074        166,354  

Cost of shares redeemed

      (182,392 )       (444,249 )       (366,664 )       (1,161,145 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class I capital transactions

    $ 825      $ (142,220 )     $ (6,491 )     $ (247,808 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class L

            

Proceeds from shares issued

    $ —      $ —      $ 480,014      $ 1,602,921  

Distributions reinvested

      —        —        394,599        713,339  

Cost of shares redeemed

      —        —        (1,264,957 )       (4,636,220 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class L capital transactions

    $ —      $ —      $ (390,344 )     $ (2,319,960 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

            

Proceeds from shares issued

    $ 4,580      $ 15,230      $ 7,523      $ 14,477  

Distributions reinvested

      2,875        2,347        3,405        4,936  

Cost of shares redeemed

      (12,194 )       (14,882 )       (11,959 )       (24,713 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ (4,739 )     $ 2,695      $ (1,031 )     $ (5,300 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R3

            

Proceeds from shares issued

    $ 10,005      $ 8,791      $ 8,124      $ 25,594  

Distributions reinvested

      2,669        1,655        3,652        4,297  

Cost of shares redeemed

      (3,856 )       (9,229 )       (6,517 )       (17,703 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ 8,818      $ 1,217      $ 5,259      $ 12,188  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R4

            

Proceeds from shares issued

    $ 2,129      $ 4,725      $ 3,199      $ 11,792  

Distributions reinvested

      679        921        1,419        1,720  

Cost of shares redeemed

      (2,246 )       (11,309 )       (7,108 )       (3,466 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ 562      $ (5,663 )     $ (2,490 )     $ 10,046  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R5

            

Proceeds from shares issued

    $ 67,054      $ 199,729      $ 8,966      $ 26,423  

Distributions reinvested

      31,743        17,215        4,992        5,681  

Cost of shares redeemed

      (66,233 )       (109,050 )       (19,844 )       (19,629 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ 32,564      $ 107,894      $ (5,886 )     $ 12,475  
  

 

 

     

 

 

     

 

 

     

 

 

  

Class R6

            

Proceeds from shares issued

    $ 300,442      $ 565,276      $ 468,081      $ 2,480,879  

Distributions reinvested

      137,892        90,442        174,996        82,670  

Cost of shares redeemed

      (246,205 )       (339,457 )       (341,902 )       (448,041 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ 192,129      $ 316,261      $ 301,175      $ 2,115,508  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total change in net assets resulting from capital transactions

    $ 266,331      $ 283,053      $ (166,575 )     $ (734,957 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        1,713          3,765          2,615          6,269  

Reinvested

        2,499          2,301          1,812          2,966  

Redeemed

        (3,132 )         (5,639 )         (6,005 )         (15,628 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        1,080          427          (1,578 )         (6,393 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

 

Issued

        199          610          190          538  

Reinvested

        341          306          150          315  

Redeemed

        (381 )         (1,023 )         (542 )         (2,429 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        159          (107 )         (202 )         (1,576 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

 

Issued

        2,901          6,807          6,148          20,189  

Reinvested

        1,879          2,019          3,157          4,798  

Redeemed

        (4,732 )         (12,716 )         (9,472 )         (30,988 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        48          (3,890 )         (167 )         (6,001 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class L

 

Issued

        —          —          12,221          41,784  

Reinvested

        —          —          9,979          20,337  

Redeemed

        —          —          (32,214 )         (124,718 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class L Shares

        —          —          (10,014 )         (62,597 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

 

Issued

        128          460          205          404  

Reinvested

        82          80          93          150  

Redeemed

        (337 )         (451 )         (328 )         (692 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R2 Shares

        (127 )         89          (30 )         (138 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R3

 

Issued

        267          248          213          680  

Reinvested

        71          53          96          127  

Redeemed

        (102 )         (267 )         (171 )         (469 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R3 Shares

        236          34          138          338  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R4

 

Issued

        55          134          83          313  

Reinvested

        18          30          37          50  

Redeemed

        (58 )         (325 )         (184 )         (92 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R4 Shares

        15          (161 )         (64 )         271  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

 

Issued

        1,710          5,532          229          697  

Reinvested

        826          544          126          162  

Redeemed

        (1,697 )         (3,055 )         (505 )         (517 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R5 Shares

        839          3,021          (150 )         342  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

 

Issued

        7,628          15,732          11,959          66,731  

Reinvested

        3,570          2,842          4,428          2,355  

Redeemed

        (6,254 )         (9,571 )         (8,722 )         (11,820 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        4,944          9,003          7,665          57,266  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Value Advantage Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

          

Class A

          

Proceeds from shares issued

      $ 96,288        $ 232,481  

Distributions reinvested

        42,378          70,886  

Cost of shares redeemed

        (187,113 )         (426,883 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (48,447 )       $ (123,516 ) 
    

 

 

       

 

 

  

Class C

          

Proceeds from shares issued

      $ 17,419        $ 49,965  

Distributions reinvested

        14,740          28,077  

Cost of shares redeemed

        (57,252 )         (149,047 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (25,093 )       $ (71,005 ) 
    

 

 

       

 

 

  

Class I

          

Proceeds from shares issued

      $ 249,402        $ 990,121  

Distributions reinvested

        87,746          145,394  

Cost of shares redeemed

        (323,495 )         (990,428 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 13,653        $ 145,087  
    

 

 

       

 

 

  

Class L

          

Proceeds from shares issued

      $ 234,410        $ 682,284  

Distributions reinvested

        96,694          161,936  

Cost of shares redeemed

        (474,489 )         (1,552,416 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class L capital transactions

      $ (143,385 )       $ (708,196 ) 
    

 

 

       

 

 

  

Class R2

          

Proceeds from shares issued

      $ 22        $ 33  

Distributions reinvested

        2          2  

Cost of shares redeemed

        (22 )         (6 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ 2        $ 29  
    

 

 

       

 

 

  

Class R3

          

Proceeds from shares issued

      $ 138        $ 1,084  

Distributions reinvested

        70          109  

Cost of shares redeemed

        (614 )         (69 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ (406 )       $ 1,124  
    

 

 

       

 

 

  

Class R4

          

Proceeds from shares issued

      $ 13,461        $ 4,132  

Distributions reinvested

        1,174          1,103  

Cost of shares redeemed

        (6,645 )         (2,174 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ 7,990        $ 3,061  
    

 

 

       

 

 

  

Class R5

          

Proceeds from shares issued

      $ 441        $ 2,695  

Distributions reinvested

        334          451  

Cost of shares redeemed

        (1,217 )         (1,340 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (442 )       $ 1,806  
    

 

 

       

 

 

  

Class R6

          

Proceeds from shares issued

      $ 1,658,468        $ 581,176  

Distributions reinvested

        203,530          263,676  

Cost of shares redeemed

        (1,033,830 )         (714,971 ) 
    

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 828,168        $ 129,881  
    

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 632,040        $ (621,729 ) 
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         41  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Value Advantage Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        2,694        6,752  

Reinvested

        1,145        2,205  

Redeemed

        (5,180 )       (12,282 ) 
    

 

 

     

 

 

  

Change in Class A Shares

        (1,341 )       (3,325 ) 
    

 

 

     

 

 

  

Class C

 

Issued

        485        1,459  

Reinvested

        401        875  

Redeemed

        (1,604 )       (4,326 ) 
    

 

 

     

 

 

  

Change in Class C Shares

        (718 )       (1,992 ) 
    

 

 

     

 

 

  

Class I

 

Issued

        6,868        28,239  

Reinvested

        2,357        4,502  

Redeemed

        (8,933 )       (28,665 ) 
    

 

 

     

 

 

  

Change in Class I Shares

        292        4,076  
    

 

 

     

 

 

  

Class L

 

Issued

        6,506        19,446  

Reinvested

        2,596        5,015  

Redeemed

        (13,102 )       (43,889 ) 
    

 

 

     

 

 

  

Change in Class L Shares

        (4,000 )       (19,428 ) 
    

 

 

     

 

 

  

Class R2

 

Issued

        1        1  

Reinvested

        — (a)       — (a) 

Redeemed

        (1 )       — (a) 
    

 

 

     

 

 

  

Change in Class R2 Shares

        — (a)       1  
    

 

 

     

 

 

  

Class R3

 

Issued

        4        31  

Reinvested

        2        3  

Redeemed

        (17 )       (2 ) 
    

 

 

     

 

 

  

Change in Class R3 Shares

        (11 )       32  
    

 

 

     

 

 

  

Class R4

 

Issued

        376        120  

Reinvested

        32        34  

Redeemed

        (184 )       (62 ) 
    

 

 

     

 

 

  

Change in Class R4 Shares

        224        92  
    

 

 

     

 

 

  

Class R5

 

Issued

        12        77  

Reinvested

        9        14  

Redeemed

        (33 )       (38 ) 
    

 

 

     

 

 

  

Change in Class R5 Shares

        (12 )       53  
    

 

 

     

 

 

  

Class R6

 

Issued

        45,558        16,654  

Reinvested

        5,469        8,179  

Redeemed

        (28,746 )       (20,665 ) 
    

 

 

     

 

 

  

Change in Class R6 Shares

        22,281        4,168  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
DECEMBER 31, 2019   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

 

Six Months Ended December 31, 2019 (Unaudited)

      $ 21.78        $ (0.04 )     $ 2.23        $ 2.19        $ (2.17 ) 

Year Ended June 30, 2019

        21.73          (0.08 )       1.89          1.81          (1.76 ) 

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 ) 

Class C

 

Six Months Ended December 31, 2019 (Unaudited)

        18.86          (0.09 )       1.93          1.84          (2.17 ) 

Year Ended June 30, 2019

        19.16          (0.16 )       1.62          1.46          (1.76 ) 

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 ) 

Class I

 

Six Months Ended December 31, 2019 (Unaudited)

        22.53          (0.02 )       2.32          2.30          (2.17 ) 

Year Ended June 30, 2019

        22.36          (0.03 )       1.96          1.93          (1.76 ) 

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 ) 

Class R2

 

Six Months Ended December 31, 2019 (Unaudited)

        21.67          (0.07 )       2.21          2.14          (2.17 ) 

Year Ended June 30, 2019

        21.68          (0.13 )       1.88          1.75          (1.76 ) 

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

        18.47          (0.14 )       4.19          4.05          (0.84 ) 

Class R3

 

Six Months Ended December 31, 2019 (Unaudited)

        21.79          (0.04 )       2.23          2.19          (2.17 ) 

Year Ended June 30, 2019

        21.74          (0.07 )       1.88          1.81          (1.76 ) 

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

 

Six Months Ended December 31, 2019 (Unaudited)

        22.53          (0.02 )       2.32          2.30          (2.17 ) 

Year Ended June 30, 2019

        22.36          (0.03 )       1.96          1.93          (1.76 ) 

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

 

Six Months Ended December 31, 2019 (Unaudited)

        23.00          — (g)       2.37          2.37          (2.17 ) 

Year Ended June 30, 2019

        22.76          0.01        1.99          2.00          (1.76 ) 

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 ) 

Class R6

 

Six Months Ended December 31, 2019 (Unaudited)

        23.15          0.01        2.39          2.40          (2.17 ) 

Year Ended June 30, 2019

        22.87          0.03        2.01          2.04          (1.76 ) 

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 ) 

 

(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.

(h)

Amount rounds to less than 0.005%.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 21.80       10.31 %    $ 1,943,737       1.14 %      (0.40 )%      1.17 %      15 % 
  21.78       9.63       1,825,607       1.14       (0.38 )      1.25       40  
  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  
           
  18.53       10.04       834,197       1.64       (0.90 )      1.67       15  
  18.86       9.06       793,489       1.64       (0.88 )      1.75       40  
  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  
           
  22.66       10.45       2,277,130       0.89       (0.15 )      0.91       15  
  22.53       9.91       2,107,041       0.89       (0.12 )      1.00       40  
  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  
           
  21.64       10.13       135       1.39       (0.64 )      1.94       15  
  21.67       9.36       88       1.39       (0.61 )      2.24       40  
  21.68       22.39       43       1.41       (0.77 )      1.59       31  
           
  21.81       10.30       687       1.14       (0.40 )      1.27       15  
  21.79       9.63       448       1.14       (0.36 )      1.40       40  
  21.74       26.20       266       1.15       (0.53 )      1.28       31  
  17.96       0.62       20       1.25       (0.55 )      1.25       34  
           
  22.66       10.46       17,336       0.89       (0.15 )      0.91       15  
  22.53       9.91       16,423       0.89       (0.12 )      1.00       40  
  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  
           
  23.20       10.55       119,957       0.74       — (h)      0.76       15  
  23.00       10.05       118,449       0.74       0.02       0.85       40  
  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  
           
  23.38       10.61       4,216,910       0.64       0.09       0.66       15  
  23.15       10.18       4,527,544       0.64       0.12       0.75       40  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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

                    

Six Months Ended December 31, 2019 (Unaudited)

    $ 50.52      $ 0.05     $ 3.22      $ 3.27      $ (0.30 )     $ (3.93 )     $ (4.23 ) 

Year Ended June 30, 2019

      51.57        0.18       4.04        4.22        (0.13 )       (5.14 )       (5.27 ) 

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 ) 

Class C

                    

Six Months Ended December 31, 2019 (Unaudited)

      48.32        (0.07 )      3.05        2.98        (0.05 )       (3.93 )       (3.98 ) 

Year Ended June 30, 2019

      49.66        (0.04 )      3.84        3.80        —        (5.14 )       (5.14 ) 

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 ) 

Class I

                    

Six Months Ended December 31, 2019 (Unaudited)

      51.35        0.12       3.28        3.40        (0.40 )       (3.93 )       (4.33 ) 

Year Ended June 30, 2019

      52.32        0.33       4.07        4.40        (0.23 )       (5.14 )       (5.37 ) 

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 ) 

Class R2

                    

Six Months Ended December 31, 2019 (Unaudited)

      49.96        (0.01 )      3.17        3.16        (0.16 )       (3.93 )       (4.09 ) 

Year Ended June 30, 2019

      51.08        0.05       4.00        4.05        (0.03 )       (5.14 )       (5.17 ) 

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 ) 

Class R5

                    

Six Months Ended December 31, 2019 (Unaudited)

      51.37        0.15       3.29        3.44        (0.46 )       (3.93 )       (4.39 ) 

Year Ended June 30, 2019

      52.35        0.41       4.06        4.47        (0.31 )       (5.14 )       (5.45 ) 

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 ) 

Class R6

                    

Six Months Ended December 31, 2019 (Unaudited)

      51.41        0.17       3.29        3.46        (0.52 )       (3.93 )       (4.45 ) 

Year Ended June 30, 2019

      52.39        0.43       4.09        4.52        (0.36 )       (5.14 )       (5.50 ) 

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 ) 

 

(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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 49.56       7.31 %    $ 485,874       1.14 %      0.21 %      1.26 %      16 % 
  50.52       9.92       451,118       1.13       0.37       1.26       34  
  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  
           
  47.32       7.05       23,421       1.64       (0.29 )      1.76       16  
  48.32       9.37       24,071       1.63       (0.09 )      1.76       34  
  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  
           
  50.42       7.46       295,590       0.89       0.46       1.01       16  
  51.35       10.20       301,071       0.88       0.65       1.00       34  
  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  
           
  49.03       7.18       547       1.39       (0.04 )      1.55       16  
  49.96       9.63       524       1.38       0.10       1.57       34  
  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  
           
  50.42       7.54       5,040       0.74       0.59       0.86       16  
  51.37       10.37       6,073       0.73       0.81       0.86       34  
  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  
           
  50.42       7.58       912,547       0.64       0.69       0.75       16  
  51.41       10.48       2,008,540       0.63       0.87       0.75       34  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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

                         

Six Months Ended December 31, 2019 (Unaudited)

      $ 32.94        $ (0.11 )       $ 2.62        $ 2.51        $ (2.81 ) 

Year Ended June 30, 2019

        30.84          (0.17 )         4.42          4.25          (2.15 ) 

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 ) 

Class C

                         

Six Months Ended December 31, 2019 (Unaudited)

        25.34          (0.15 )         2.01          1.86          (2.81 ) 

Year Ended June 30, 2019

        24.37          (0.25 )         3.37          3.12          (2.15 ) 

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 ) 

Class I

                         

Six Months Ended December 31, 2019 (Unaudited)

        38.37          (0.06 )         3.06          3.00          (2.81 ) 

Year Ended June 30, 2019

        35.44          (0.09 )         5.17          5.08          (2.15 ) 

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 ) 

Class R2

                         

Six Months Ended December 31, 2019 (Unaudited)

        35.91          (0.16 )         2.85          2.69          (2.81 ) 

Year Ended June 30, 2019

        33.49          (0.27 )         4.84          4.57          (2.15 ) 

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 ) 

Class R3

                         

Six Months Ended December 31, 2019 (Unaudited)

        38.01          (0.12 )         3.03          2.91          (2.81 ) 

Year Ended June 30, 2019

        35.23          (0.20 )         5.13          4.93          (2.15 ) 

Year Ended June 30, 2018

        31.71          (0.19 )         5.85          5.66          (2.14 ) 

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

        27.06          (0.13 )         4.79          4.66          (0.01 ) 

Class R4

                         

Six Months Ended December 31, 2019 (Unaudited)

        38.30          (0.08 )         3.06          2.98          (2.81 ) 

Year Ended June 30, 2019

        35.40          (0.11 )         5.16          5.05          (2.15 ) 

Year Ended June 30, 2018

        31.77          (0.12 )         5.89          5.77          (2.14 ) 

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

        27.06          (0.06 )         4.78          4.72          (0.01 ) 

Class R5

                         

Six Months Ended December 31, 2019 (Unaudited)

        38.90          (0.04 )         3.12          3.08          (2.81 ) 

Year Ended June 30, 2019

        35.85          (0.04 )         5.24          5.20          (2.15 ) 

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 ) 

Class R6

                         

Six Months Ended December 31, 2019 (Unaudited)

        39.09          (0.03 )         3.14          3.11          (2.81 ) 

Year Ended June 30, 2019

        36.00          (0.02 )         5.26          5.24          (2.15 ) 

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 ) 

 

(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.

 

 
48       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 32.64       7.78 %    $ 1,038,915       1.24 %      (0.65 )%      1.28 %      21 % 
  32.94       15.37       1,012,686       1.23       (0.56 )      1.28       54  
  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  
           
  24.39       7.55       84,281       1.74       (1.15 )      1.76       21  
  25.34       14.78       83,558       1.73       (1.06 )      1.75       54  
  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  
           
  38.56       7.96       1,093,077       0.93       (0.33 )      1.00       21  
  38.37       15.73       1,085,728       0.92       (0.25 )      1.00       54  
  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  
           
  35.79       7.64       39,758       1.49       (0.90 )      1.57       21  
  35.91       15.10       44,453       1.48       (0.81 )      1.55       54  
  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  
           
  38.11       7.80       39,109       1.24       (0.64 )      1.25       21  
  38.01       15.38       30,023       1.23       (0.56 )      1.25       54  
  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  
           
  38.47       7.92       9,959       0.99       (0.39 )      1.00       21  
  38.30       15.66       9,343       0.98       (0.31 )      1.00       54  
  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  
           
  39.17       8.06       493,498       0.79       (0.19 )      0.85       21  
  38.90       15.89       457,513       0.78       (0.11 )      0.85       54  
  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  
           
  39.39       8.10       2,043,649       0.74       (0.14 )      0.75       21  
  39.09       15.94       1,835,188       0.73       (0.05 )      0.75       54  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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

                     

Six Months Ended December 31, 2019 (Unaudited)

    $ 38.02      $ 0.17      $ 2.41      $ 2.58      $ (0.33 )     $ (1.55 )     $ (1.88 ) 

Year Ended June 30, 2019

      39.24        0.45        0.87        1.32        (0.38 )       (2.16 )       (2.54 ) 

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 ) 

Class C

                     

Six Months Ended December 31, 2019 (Unaudited)

      36.44        0.07        2.30        2.37        (0.12 )       (1.55 )       (1.67 ) 

Year Ended June 30, 2019

      37.68        0.26        0.83        1.09        (0.17 )       (2.16 )       (2.33 ) 

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 ) 

Class I

                     

Six Months Ended December 31, 2019 (Unaudited)

      38.48        0.22        2.45        2.67        (0.43 )       (1.55 )       (1.98 ) 

Year Ended June 30, 2019

      39.70        0.54        0.88        1.42        (0.48 )       (2.16 )       (2.64 ) 

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 ) 

Class L

                     

Six Months Ended December 31, 2019 (Unaudited)

      38.99        0.27        2.48        2.75        (0.52 )       (1.55 )       (2.07 ) 

Year Ended June 30, 2019

      40.21        0.62        0.90        1.52        (0.58 )       (2.16 )       (2.74 ) 

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 ) 

Class R2

                     

Six Months Ended December 31, 2019 (Unaudited)

      36.35        0.11        2.31        2.42        (0.25 )       (1.55 )       (1.80 ) 

Year Ended June 30, 2019

      37.64        0.31        0.86        1.17        (0.30 )       (2.16 )       (2.46 ) 

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 ) 

Class R3

                     

Six Months Ended December 31, 2019 (Unaudited)

      37.70        0.17        2.39        2.56        (0.35 )       (1.55 )       (1.90 ) 

Year Ended June 30, 2019

      38.97        0.39        0.91        1.30        (0.41 )       (2.16 )       (2.57 ) 

Year Ended June 30, 2018

      37.67        0.21        2.11        2.32        (0.30 )       (0.72 )       (1.02 ) 

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

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

Class R4

                     

Six Months Ended December 31, 2019 (Unaudited)

      38.29        0.22        2.43        2.65        (0.43 )       (1.55 )       (1.98 ) 

Year Ended June 30, 2019

      39.56        0.50        0.90        1.40        (0.51 )       (2.16 )       (2.67 ) 

Year Ended June 30, 2018

      38.16        0.33        2.13        2.46        (0.34 )       (0.72 )       (1.06 ) 

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

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

Class R5

                     

Six Months Ended December 31, 2019 (Unaudited)

      38.93        0.25        2.48        2.73        (0.49 )       (1.55 )       (2.04 ) 

Year Ended June 30, 2019

      40.15        0.58        0.90        1.48        (0.54 )       (2.16 )       (2.70 ) 

Year Ended June 30, 2018

      38.67        0.38        2.17        2.55        (0.35 )       (0.72 )       (1.07 ) 

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

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

Class R6

                     

Six Months Ended December 31, 2019 (Unaudited)

      38.97        0.27        2.49        2.76        (0.53 )       (1.55 )       (2.08 ) 

Year Ended June 30, 2019

      40.19        0.58        0.94        1.52        (0.58 )       (2.16 )       (2.74 ) 

Year Ended June 30, 2018

      38.69        0.43        2.16        2.59        (0.37 )       (0.72 )       (1.09 ) 

September 9, 2016 (f) 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)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 38.72       6.84 %    $ 1,632,529       1.24 %      0.87 %      1.24 %      6 % 
  38.02       4.12       1,662,841       1.23       1.20       1.25       11  
  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  
           
  37.14       6.57       145,229       1.74       0.37       1.74       6  
  36.44       3.59       149,839       1.73       0.72       1.74       11  
  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  
           
  39.17       7.00       2,704,051       0.98       1.13       0.99       6  
  38.48       4.38       2,662,983       0.98       1.41       0.99       11  
  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  
           
  39.67       7.11       8,756,795       0.75       1.36       0.84       6  
  38.99       4.63       8,996,364       0.74       1.61       0.85       11  
  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  
           
  36.97       6.71       74,409       1.49       0.62       1.50       6  
  36.35       3.86       74,236       1.49       0.87       1.50       11  
  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  
           
  38.36       6.85       79,886       1.23       0.89       1.24       6  
  37.70       4.12       73,299       1.24       1.04       1.25       11  
  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  
           
  38.96       6.99       25,663       0.98       1.14       0.99       6  
  38.29       4.38       27,681       0.98       1.32       0.99       11  
  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  
           
  39.62       7.07       90,977       0.83       1.27       0.83       6  
  38.93       4.52       95,243       0.83       1.50       0.84       11  
  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  
           
  39.65       7.14       3,633,772       0.73       1.39       0.73       6  
  38.97       4.63       3,272,999       0.73       1.52       0.74       11  
  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.

 

 
DECEMBER 31, 2019   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

                    

Six Months Ended December 31, 2019 (Unaudited)

    $ 35.46      $ 0.24     $ 2.82      $ 3.06      $ (0.45 )     $ (0.93 )     $ (1.38 ) 

Year Ended June 30, 2019

      35.38        0.55       1.68        2.23        (0.46 )       (1.69 )       (2.15 ) 

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 ) 

Class C

                    

Six Months Ended December 31, 2019 (Unaudited)

      35.29        0.15       2.80        2.95        (0.26 )       (0.93 )       (1.19 ) 

Year Ended June 30, 2019

      35.20        0.38       1.68        2.06        (0.28 )       (1.69 )       (1.97 ) 

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 ) 

Class I

                    

Six Months Ended December 31, 2019 (Unaudited)

      35.67        0.29       2.83        3.12        (0.54 )       (0.93 )       (1.47 ) 

Year Ended June 30, 2019

      35.60        0.62       1.70        2.32        (0.56 )       (1.69 )       (2.25 ) 

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 ) 

Class L

                    

Six Months Ended December 31, 2019 (Unaudited)

      35.69        0.32       2.83        3.15        (0.59 )       (0.93 )       (1.52 ) 

Year Ended June 30, 2019

      35.62        0.72       1.64        2.36        (0.60 )       (1.69 )       (2.29 ) 

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 ) 

Class R2

                    

Six Months Ended December 31, 2019 (Unaudited)

      35.24        0.20       2.79        2.99        (0.39 )       (0.93 )       (1.32 ) 

Year Ended June 30, 2019

      35.22        0.48       1.65        2.13        (0.42 )       (1.69 )       (2.11 ) 

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

                    

Six Months Ended December 31, 2019 (Unaudited)

      35.08        0.24       2.78        3.02        (0.44 )       (0.93 )       (1.37 ) 

Year Ended June 30, 2019

      35.11        0.49       1.71        2.20        (0.54 )       (1.69 )       (2.23 ) 

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

                    

Six Months Ended December 31, 2019 (Unaudited)

      35.52        0.29       2.82        3.11        (0.56 )       (0.93 )       (1.49 ) 

Year Ended June 30, 2019

      35.47        0.62       1.69        2.31        (0.57 )       (1.69 )       (2.26 ) 

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

                    

Six Months Ended December 31, 2019 (Unaudited)

      35.62        0.32       2.84        3.16        (0.60 )       (0.93 )       (1.53 ) 

Year Ended June 30, 2019

      35.57        0.65       1.71        2.36        (0.62 )       (1.69 )       (2.31 ) 

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

                    

Six Months Ended December 31, 2019 (Unaudited)

      35.67        0.34       2.83        3.17        (0.63 )       (0.93 )       (1.56 ) 

Year Ended June 30, 2019

      35.60        0.71       1.70        2.41        (0.65 )       (1.69 )       (2.34 ) 

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 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.

 

 
52       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		         
Net
investment
income
(loss)		     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 37.14       8.67 %    $ 1,239,813       1.14 %      1.33 %      1.17 %      13 % 
  35.46       7.00       1,231,325       1.14       1.59       1.25       15  
  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  
           
  37.05       8.40       522,311       1.64       0.83       1.67       13  
  35.29       6.45       522,878       1.64       1.08       1.75       15  
  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  
           
  37.32       8.80       2,569,941       0.89       1.58       0.91       13  
  35.67       7.28       2,445,747       0.89       1.76       0.99       15  
  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  
           
  37.32       8.88       2,537,783       0.74       1.74       0.76       13  
  35.69       7.41       2,569,596       0.74       2.04       0.84       15  
  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  
           
  36.91       8.53       74       1.39       1.09       1.58       13  
  35.24       6.72       69       1.39       1.40       2.14       15  
  35.22       5.54       38       1.41       0.78 (f)      1.61       23  
           
  36.73       8.65       1,932       1.14       1.33       1.18       13  
  35.08       7.00       2,241       1.14       1.44       1.26       15  
  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  
           
  37.14       8.81       29,803       0.89       1.62       0.91       13  
  35.52       7.27       20,538       0.89       1.79       0.99       15  
  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  
           
  37.25       8.91       7,931       0.74       1.73       0.76       13  
  35.62       7.41       8,018       0.74       1.85       0.84       15  
  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  
           
  37.28       8.94       5,037,614       0.64       1.84       0.66       13  
  35.67       7.57       4,025,348       0.64       2.02       0.74       15  
  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.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         53  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

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.

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    Diversification Classification
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

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.

Class L Shares of the Mid Cap Value Fund and the Value Advantage Fund are publicly offered only on a limited basis. Investors are not eligible to purchase Class L Shares of these 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’ prospectuses. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (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 their market value 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

 

 
54       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 (“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)

      $ 9,600,447        $ —        $ —        $ 9,600,447  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 1,729,489        $ —        $ —        $ 1,729,489  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 5,054,896        $ —        $ —        $ 5,054,896  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 17,318,273        $ —        $ —        $ 17,318,273  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         55  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Value Advantage Fund                  
       

Level 1

Quoted prices

       

Level 2

Other significant
observable inputs

       

Level 3

Significant

unobservable inputs

      Total  

Total Investments in Securities (b)

      $ 12,132,675        $ —        $ — (c)     $ 12,132,675  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(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 SOI. Level 3 consists of rights. Please refer to the SOI for industry specifics of portfolio holdings.

(c)

Amount rounds to less than one thousand.

There were no transfers into or out of level 3 for the six months ended December 31, 2019.

B. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.

The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).

 

      Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities		        Cash Collateral
Posted by Borrower*		        Net Amount Due to
Counterparty
(not less than zero)		  

Growth Advantage Fund

    $ 179,510        $ (179,510 )       $ —  

Mid Cap Equity Fund

      9,779          (9,779 )         —  

Mid Cap Growth Fund

      147,700          (147,700 )         —  

Mid Cap Value Fund

      193,021          (193,021 )         —  

Value Advantage Fund

      185,815          (185,815 )         —  

 

*

Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

 

 
56       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):

 

Growth Advantage Fund

    $ 15  

Mid Cap Equity Fund

      6  

Mid Cap Growth Fund

      15  

Mid Cap Value Fund

      25  

Value Advantage Fund

      17  

The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).

C. 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 table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the tables below. Amounts in the tables below are in thousands.

Growth Advantage Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		    

Purchases

at Cost

    

Proceeds

from Sales

     Net Realized
Gain (Loss)		    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 214,350     $ 1,343,220     $ 1,417,563     $ 4     $ (20 )    $ 139,991       139,949     $ 2,349     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     157,046       479,000       472,000       (1 )*      (14 )      164,031       164,015       1,744 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     36,180       389,503       407,254       —       —       18,429       18,429       311 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 407,576     $ 2,211,723     $ 2,296,817     $ 3     $ (34 )    $ 322,451       $ 4,404     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Mid Cap Equity Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases at
Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 97,782     $ 390,364     $ 444,100     $ 8     $ (9 )    $ 44,045       44,031     $ 843     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     69,023       100,000       166,001       (7 )*      (5 )      3,010       3,010       391 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     15,260       121,385       129,700       —       —       6,945       6,945       117 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 182,065     $ 611,749     $ 739,801     $ 1     $ (14 )    $ 54,000       $ 1,351     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         57  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Mid Cap Growth Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases at
Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 113,766     $ 613,156     $ 670,500     $ 7     $ (12 )    $ 56,417       56,400     $ 1,375     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     168,065       490,000       525,000       (11 )*      (15 )      133,039       133,026       1,715 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     30,123       441,888       454,767       —       —       17,244       17,244       313 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 311,954     $ 1,545,044     $ 1,650,267     $ (4 )    $ (27 )    $ 206,700       $ 3,403     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Mid Cap Value Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases at
Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 715,289     $ 822,627     $ 1,284,956     $ 44     $ (69 )    $ 252,935       252,859     $ 5,470     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     296,060       817,000       939,000       2 *      (25 )      174,037       174,019       3,202 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     58,776       594,514       631,357       —       —       21,933       21,933       516 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 1,070,125     $ 2,234,141     $ 2,855,313     $ 46     $ (94 )    $ 448,905       $ 9,188     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Value Advantage Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases at
Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 181,870     $ 1,514,215     $ 1,373,659     $ (18 )    $ (16 )    $ 322,392       322,295     $ 3,151     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     215,041       495,999       554,000       (9 )*      (13 )      157,018       157,003       2,051 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     42,795       466,658       477,570       —       —       31,883       31,883       367 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 439,706     $ 2,476,872     $ 2,405,229     $ (27 )    $ (29 )    $ 511,293       $ 5,569     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b)

The rate shown is the current yield as of December 31, 2019.

*

Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).

 

 
58       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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

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

E. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 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

    $ 73      $ 31      $ 23        n/a      $ — (a)    $ — (a)    $ — (a)    $ 2     $ 26      $ 155  

Mid Cap Equity Fund

                          

Transfer agency fees

      16        1        4        n/a        — (a)      n/a       n/a       — (a)      10        31  

Mid Cap Growth Fund

                          

Transfer agency fees

      165        4        16        n/a        14       1       — (a)      3       35        238  

Mid Cap Value Fund

                          

Transfer agency fees

      62        5        21      $ 329        4       — (a)      — (a)      — (a)      17        438  

Value Advantage Fund

                          

Transfer agency fees

      48        25        19        22        — (a)      — (a)      — (a)      — (a)      19        133  

 

(a)

Amount rounds to less than one thousand.

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 December 31, 2019, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

G. Distributions to Shareholders — Distributions from net investment income, if any, 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.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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

      0.55 %(1)  

Mid Cap Equity Fund

      0.65  

Mid Cap Growth Fund

      0.65  

Mid Cap Value Fund

      0.65  

Value Advantage Fund

      0.55 (1)  

 

(1)  

Prior to August 1, 2019, the investment advisory fee was accrued daily and paid monthly at an annual rate of 0.65% on each Fund’s respective average daily net assets.

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

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         59  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, the effective annualized rate for Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Value Advantage Fund was 0.08%, 0.08%, 0.08%, 0.07% and 0.07%, respectively, 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 Funds’ 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, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 six months ended December 31, 2019, JPMDS retained the following (amounts in thousands):

 

      Front-End Sales Charge      CDSC  

Growth Advantage Fund

    $ 199      $ 4  

Mid Cap Equity Fund

      62        —  

Mid Cap Growth Fund

      49        — (a) 

Mid Cap Value Fund

      34        — (a) 

Value Advantage Fund

      71        — (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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except 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. Pursuant to such contracts, 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.

 

 
60       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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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, expenses related to trustee elections 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 %      n/a (1)       n/a (1)       n/a (1)  

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       n/a (2)       0.93       n/a       1.49       n/a (2)       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       0.73  

Value Advantage Fund

      1.14       1.64       0.89       0.75       1.39       1.14       0.89       0.74       0.64  

 

(1) 

Effective November 1, 2019, the contractual expense limitation for Class R4, Class R5 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 0.89%, 0.74% and 0.64% for Class R4, Class R5 and Class R6 Shares, respectively.

(2)

Effective November 1, 2019, the contractual expense limitation for Class C and Class R3 Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.74% and 1.24% for Class C and Class R3 Shares, respectively.

The expense limitation agreements were in effect for the six months ended December 31, 2019 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2020.

For the six months ended December 31, 2019, 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

    $ 521      $ 348      $ 116      $ 985      $ 7  

Mid Cap Equity Fund

      776        518        15        1,309        — (a) 

Mid Cap Growth Fund

      67        42        612        721        13  

Mid Cap Value Fund

      86        51        3,835        3,972        13  

Value Advantage Fund

      565        376        77        1,018        14  

 

(a)

Amount rounds to less than one thousand.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral.

The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 was as follows (amounts in thousands):

 

Growth Advantage Fund

    $ 165  

Mid Cap Equity Fund

      62  

Mid Cap Growth Fund

      102  

Mid Cap Value Fund

      397  

Value Advantage Fund

      197  

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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with 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.

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         61  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

During the six months ended December 31, 2019, Mid Cap Equity Fund and Mid Cap Growth Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

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 six months ended December 31, 2019, 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

    $ 1,369,139      $ 2,232,388  

Mid Cap Equity Fund

      382,865        350,687  

Mid Cap Growth Fund

      954,816        935,310  

Mid Cap Value Fund

      1,010,873        1,425,477  

Value Advantage Fund

      1,546,128        1,438,927  

During the six months ended December 31, 2019, 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 December 31, 2019 were as follows (amounts in thousands):

 

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

Growth Advantage Fund

    $ 5,591,163      $ 4,071,736      $ 62,452      $ 4,009,284  

Mid Cap Equity Fund

      1,037,717        707,050        15,278        691,772  

Mid Cap Growth Fund

      3,569,209        1,536,564        50,877        1,485,687  

Mid Cap Value Fund

      10,442,705        7,141,032        265,464        6,875,568  

Value Advantage Fund

      8,410,214        3,921,581        199,120        3,722,461  

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, 2019, the following Funds deferred to July 1, 2019 late year ordinary losses and post-October capital losses of (amounts in thousands):

 

     Net Capital Losses      Late Year Ordinary
Loss Deferral		  
      Short-Term      Long-Term  

Growth Advantage Fund

    $ 32,062      $ —      $ 150  

Mid Cap Equity Fund

      1,839        —        —  

Mid Cap Growth Fund

      23,877        —        3,796  

Mid Cap Value Fund

      15,200        —        —  

Value Advantage Fund

      5,503        —        —  

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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.

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 2, 2020.

 

 
62       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.

The Trusts, along with certain other trusts for J.P. Morgan Funds (“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 London InterBank Offered Rate (“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 13, 2019, 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 six months ended December 31, 2019.

7. Redemptions in-Kind

On October 14, 2019, certain shareholders sold Class R6 Shares of Mid Cap Equity Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below (amounts in thousands):

 

      Value    

Realized

Gains (Losses)

      Type  

Mid Cap Equity Fund

    $ 1,200,715 *    $ 234,072        Redemption in-kind  

 

*

This amount includes cash of approximately $42,541,000 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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.

As of December 31, 2019, the Funds had individual shareholder and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

      Number of
individual shareholder
and/or Affiliated
Omnibus Accounts		     

% of

the Fund

     Number of
individual shareholder
and/or Non-Affiliated
Omnibus Accounts		      % of
the Fund		  

Growth Advantage Fund

      1        12.8 %      1        19.0 % 

Mid Cap Equity Fund

      1        10.2       1        50.2  

Mid Cap Growth Fund

      —        —       1        17.1  

Mid Cap Value Fund

      —        —       2        33.5  

Value Advantage Fund

      —        —       3        32.8  

As of December 31, 2019, 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

      19.9 % 

Value Advantage Fund

      23.6  

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

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         63  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

 

 
64       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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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, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.

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 titled “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

July 1, 2019

        Ending
Account Value
December 31, 2019		       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Growth Advantage Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,103.10        $ 6.03          1.14 % 

Hypothetical

        1,000.00          1,019.41          5.79          1.14  

Class C

                    

Actual

        1,000.00          1,100.40          8.66          1.64  

Hypothetical

        1,000.00          1,016.89          8.31          1.64  

Class I

                    

Actual

        1,000.00          1,104.50          4.71          0.89  

Hypothetical

        1,000.00          1,020.66          4.52          0.89  

Class R2

                    

Actual

        1,000.00          1,101.30          7.34          1.39  

Hypothetical

        1,000.00          1,018.15          7.05          1.39  

Class R3

                    

Actual

        1,000.00          1,103.00          6.03          1.14  

Hypothetical

        1,000.00          1,019.41          5.79          1.14  

Class R4

                    

Actual

        1,000.00          1,104.60          4.71          0.89  

Hypothetical

        1,000.00          1,020.66          4.52          0.89  

Class R5

                    

Actual

        1,000.00          1,105.50          3.92          0.74  

Hypothetical

        1,000.00          1,021.42          3.76          0.74  

Class R6

                    

Actual

        1,000.00          1,106.10          3.39          0.64  

Hypothetical

        1,000.00          1,021.92          3.25          0.64  

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         65  

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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

       

Beginning
Account Value

July 1, 2019

        Ending
Account Value
December 31, 2019		       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Mid Cap Equity Fund

                    

Class A

                   

Actual

      $ 1,000.00        $ 1,073.10        $ 5.94          1.14 % 

Hypothetical

        1,000.00          1,019.41          5.79          1.14  

Class C

                    

Actual

        1,000.00          1,070.50          8.54          1.64  

Hypothetical

        1,000.00          1,016.89          8.31          1.64  

Class I

                    

Actual

        1,000.00          1,074.60          4.64          0.89  

Hypothetical

        1,000.00          1,020.66          4.52          0.89  

Class R2

                    

Actual

        1,000.00          1,071.80          7.24          1.39  

Hypothetical

        1,000.00          1,018.15          7.05          1.39  

Class R5

                    

Actual

        1,000.00          1,075.40          3.86          0.74  

Hypothetical

        1,000.00          1,021.42          3.76          0.74  

Class R6

                    

Actual

        1,000.00          1,075.80          3.34          0.64  

Hypothetical

        1,000.00          1,021.92          3.25          0.64  

JPMorgan Mid Cap Growth Fund

                    

Class A

                    

Actual

        1,000.00          1,077.80          6.48          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class C

                    

Actual

        1,000.00          1,075.50          9.08          1.74  

Hypothetical

        1,000.00          1,016.39          8.82          1.74  

Class I

                    

Actual

        1,000.00          1,079.60          4.86          0.93  

Hypothetical

        1,000.00          1,020.46          4.72          0.93  

Class R2

                    

Actual

        1,000.00          1,076.40          7.78          1.49  

Hypothetical

        1,000.00          1,017.65          7.56          1.49  

Class R3

                    

Actual

        1,000.00          1,078.00          6.48          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class R4

                    

Actual

        1,000.00          1,079.20          5.17          0.99  

Hypothetical

        1,000.00          1,020.16          5.03          0.99  

Class R5

                    

Actual

        1,000.00          1,080.60          4.13          0.79  

Hypothetical

        1,000.00          1,021.17          4.01          0.79  

Class R6

                    

Actual

        1,000.00          1,081.00          3.87          0.74  

Hypothetical

        1,000.00          1,021.42          3.76          0.74  

JPMorgan Mid Cap Value Fund

                    

Class A

                    

Actual

        1,000.00          1,068.40          6.45          1.24  

Hypothetical

        1,000.00          1,018.90          6.29          1.24  

Class C

                    

Actual

        1,000.00          1,065.70          9.03          1.74  

Hypothetical

        1,000.00          1,016.39          8.82          1.74  

Class I

                    

Actual

        1,000.00          1,070.00          5.10          0.98  

Hypothetical

        1,000.00          1,020.21          4.98          0.98  

 

 
66       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       

Beginning
Account Value

July 1, 2019

        Ending
Account Value
December 31, 2019		       

Expenses

Paid During
the Period*

       

Annualized

Expense

Ratio

  

JPMorgan Mid Cap Value Fund (continued)

                    

Class L

                    

Actual

      $ 1,000.00        $ 1,071.10        $ 3.90          0.75 % 

Hypothetical

        1,000.00          1,021.37          3.81          0.75  

Class R2

                    

Actual

        1,000.00          1,067.10          7.74          1.49  

Hypothetical

        1,000.00          1,017.65          7.56          1.49  

Class R3

                    

Actual

        1,000.00          1,068.50          6.40          1.23  

Hypothetical

        1,000.00          1,018.95          6.24          1.23  

Class R4

                    

Actual

        1,000.00          1,069.90          5.10          0.98  

Hypothetical

        1,000.00          1,020.21          4.98          0.98  

Class R5

                    

Actual

        1,000.00          1,070.70          4.32          0.83  

Hypothetical

        1,000.00          1,020.96          4.22          0.83  

Class R6

                    

Actual

        1,000.00          1,071.40          3.80          0.73  

Hypothetical

        1,000.00          1,021.47          3.71          0.73  

JPMorgan Value Advantage Fund

                    

Class A

                    

Actual

        1,000.00          1,086.70          5.98          1.14  

Hypothetical

        1,000.00          1,019.41          5.79          1.14  

Class C

                    

Actual

        1,000.00          1,084.00          8.59          1.64  

Hypothetical

        1,000.00          1,016.89          8.31          1.64  

Class I

                    

Actual

        1,000.00          1,088.00          4.67          0.89  

Hypothetical

        1,000.00          1,020.66          4.52          0.89  

Class L

                    

Actual

        1,000.00          1,088.80          3.89          0.74  

Hypothetical

        1,000.00          1,021.42          3.76          0.74  

Class R2

                    

Actual

        1,000.00          1,085.30          7.29          1.39  

Hypothetical

        1,000.00          1,018.15          7.05          1.39  

Class R3

                    

Actual

        1,000.00          1,086.50          5.98          1.14  

Hypothetical

        1,000.00          1,019.41          5.79          1.14  

Class R4

                    

Actual

        1,000.00          1,088.10          4.67          0.89  

Hypothetical

        1,000.00          1,020.66          4.52          0.89  

Class R5

                    

Actual

        1,000.00          1,089.10          3.89          0.74  

Hypothetical

        1,000.00          1,021.42          3.76          0.74  

Class R6

                    

Actual

        1,000.00          1,089.40          3.36          0.64  

Hypothetical

        1,000.00          1,021.92          3.25          0.64  

 

*

Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         67  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 14, 2019.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.

The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes

 

 

 
68       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

Table of Contents

designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of

products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer

The Trustees noted that, upon their direction, the Senior Officer for the Mid Cap Growth Fund and Mid Cap Value Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         69  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Growth Advantage Fund, Mid Cap Equity Fund, and Value Advantage Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to

consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Growth Advantage Fund’s performance for Class A and Class I shares was in the fourth, second and second quintiles based upon the Peer Group, and in the second, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, and in the second, first and first quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the Mid Cap Equity Fund’s performance for Class A shares was in the fourth, third and second quintiles based upon the Peer Group, and in the fourth, fourth and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the fourth, fourth and third quintiles based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth quintile based upon the Peer Group for both the one- and three-year periods ended December 31, 2018, and in the third and fourth quintiles based upon the Universe for the one- and three-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the Mid Cap Growth Fund’s performance for Class A shares was in the fifth quintile based upon the Peer Group, and in the fourth quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class I shares was in the fifth, fourth and fourth quintiles based upon the Peer Group, and in the fourth, fourth and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in

 

 

 
70       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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the fourth quintile based upon the Peer Group for each of one-, three- and five-year periods ended December 31, 2018, and in the fourth, fourth and third quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the Mid Cap Value Fund’s performance for Class A shares was in the second, second and first quintiles based upon the Peer Group, and in the fourth, fourth and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the third, second and first quintiles based upon the Peer Group, and in the third, fourth and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third quintile based upon both the Peer Group and Universe for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. The Trustees requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s equity committee at each of its regularly scheduled meetings over the course of the next year.

The Trustees noted that the Value Advantage Fund’s performance for Class A shares was in the third, second and second quintiles based upon the Peer Group, and in the second, third and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group, and in the second quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class R6 shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group ranking were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and where deemed appropriate by the Trustees, additional waivers and/or reimbursements. In addition, the Trustees noted the reduction to the Growth Advantage Fund’s and Value Advantage Fund’s contractual advisory fee effective August 1, 2019. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Growth Advantage Fund’s net advisory fee for Class A shares was in the fourth and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fifth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the third and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, including a reduction to the contractual advisory fee effective August 1, 2019, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Mid Cap Equity Fund’s net advisory fee for Class A shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that

 

 

 
DECEMBER 31, 2019   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         71  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

the actual total expenses for Class A shares were in the third quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the third quintile based upon both the Peer Group and Universe, and actual total expenses for Class I shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile based upon both the Peer Group and Universe, and actual total expenses for Class R6 shares were in the second quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Mid Cap Growth Fund’s net advisory fee for Class A shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fifth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the fifth and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the third quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the second quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Mid Cap Value Fund’s net advisory fee for Class A shares was in the second and third quintiles

based upon the Peer Group and Universe, respectively, and actual total expenses for Class A shares were in the fifth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Value Advantage Fund’s net advisory fee Class A shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the third and fourth quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the second and fourth quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second quintile based upon both the Peer Group and Universe. After considering the factors identified above, including a reduction to the contractual advisory fee effective August 1, 2019, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

 

 

 
72       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2019

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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-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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.

 

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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

 

  © JPMorgan Chase & Co., 2019. All rights reserved. December 2019.  

SAN-MC-1219

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Semi-Annual Report

J.P. Morgan Large Cap Funds

December 31, 2019 (Unaudited)

JPMorgan Equity Focus Fund

JPMorgan Equity Income Fund

JPMorgan Equity Premium 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. Large Cap Core Plus Fund

JPMorgan U.S. Research Enhanced Equity Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.

You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going to www.jpmorganfunds.com/edelivery.

You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us at funds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).

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CONTENTS

 

Letter to Shareholders        1  
Market Overview        2  

Fund Commentaries:

     

JPMorgan Equity Focus Fund

        3  

JPMorgan Equity Income Fund

        5  

JPMorgan Equity Premium Income Fund

        7  

JPMorgan Growth and Income Fund

        10  

JPMorgan Hedged Equity Fund

        12  

JPMorgan Large Cap Growth Fund

        14  

JPMorgan Large Cap Value Fund

        16  

JPMorgan U.S. Equity Fund.

        18  

JPMorgan U.S. Large Cap Core Plus Fund

        20  

JPMorgan U.S. Research Enhanced Equity Fund

        23  
Schedules of Portfolio Investments        25  
Financial Statements        58  
Financial Highlights        84  
Notes to Financial Statements        104  
Schedule of Shareholder Expenses        121  
Board Approval of Investment Advisory Agreements        126  

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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LETTER TO SHAREHOLDERS

February 10, 2020 (Unaudited)

 

Dear Shareholders,

We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.

 

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“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher

At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.

While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.

Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         1  

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J.P. Morgan Large Cap Funds

MARKET OVERVIEW

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.

In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.

Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period. For the six months ended December 31, 2019, the S&P 500 returned 10.9% and the Bloomberg Barclays U.S. Aggregate Index returned 2.5%.

 

 
2       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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JPMorgan Equity Focus Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      9.45%  
S&P 500 Index      10.92%  
Net Assets as of 12/31/2019 (In Thousands)    $ 103,232  

 

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 underperformed the S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the real estate and financials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the materials and health care sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Loews Corp., Public Storage and Pfizer Inc. Shares of Loews, a holding company operating in the energy, hotels and investment businesses, fell after the company reported a decline in third quarter 2019 earnings that was wider than expected. Shares of Public Storage, a real estate investment trust, fell after the company reported a decline in earnings for the second quarter of 2019 and lower-than-expected revenue for the third quarter of 2019. Shares of Pfizer, a pharmaceuticals and consumer health care products manufacturer, fell after the company announced an agreement to merge its Upjohn business with Mylan Inc. and reported lower-than-expected revenue for the second quarter of 2019.

Leading individual contributors to relative performance included the Fund’s out-of-Benchmark position in DexCom Inc. and its overweight positions in Martin Marietta Materials Inc. and UnitedHealth Group Inc. Shares of DexCom, a medical device manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019. Shares of Martin Marietta Materials, a provider of crushed stone, sand and gravel, rose after the company reported revenue growth for the second quarter of 2019 and raised its forecast for the full year 2019. Shares of UnitedHealth Group, a health insurance provider, rose on continued earnings growth and better-than-expected earnings for the third quarter of 2019.

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 positions were in the information technology and financials sectors and the Fund’s smallest positions were in the consumer staples and utilities sectors.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Microsoft Corp.      6.9 % 
  2.      Apple, Inc.      4.1  
  3.      Loews Corp.      4.1  
  4.      UnitedHealth Group, Inc.      4.0  
  5.      Alphabet, Inc., Class C      3.9  
  6.      Capital One Financial Corp.      3.9  
  7.      Bank of America Corp.      3.5  
  8.      Mastercard, Inc., Class A      3.4  
  9.      Delta Air Lines, Inc.      3.3  
  10.      Amazon.com, Inc.      3.2  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      20.7 % 
Financials      20.5  
Consumer Discretionary      11.2  
Health Care      10.9  
Communication Services      9.2  
Materials      6.4  
Industrials      5.7  
Energy      5.4  
Real Estate      5.3  
Utilities      2.7  
Consumer Staples      1.1  
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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         3  

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JPMorgan Equity Focus Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION		  

CLASS A SHARES

    July 29, 2011                    

With Sales Charge**

           3.56 %         22.50 %         10.18 %         12.53 % 

Without Sales Charge

           9.30          29.28          11.38          13.25  

CLASS C SHARES

    July 29, 2011                    

With CDSC***

           8.00          27.59          10.83          12.68  

Without CDSC

           9.00          28.59          10.83          12.68  

CLASS I SHARES

    July 29, 2011        9.45          29.61          11.67          13.54  

CLASS R6 SHARES

    October 1, 2018        9.55          29.93          11.73          13.58  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (7/29/11 TO 12/31/19)

 

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.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of 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 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 December 31, 2019. 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   DECEMBER 31, 2019

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JPMorgan Equity Income Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      9.29%  
Russell 1000 Value Index      8.86%  
Net Assets as of 12/31/2019 (In Thousands)    $ 31,512,722  

 

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 six months ended December 31, 2019. The Fund’s security selection in the health care sector and its overweight position in the information technology sector were leading contributors 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 Bristol-Myers Squibb Co., Apple Inc. and Microsoft Corp. Shares of Bristol-Myers Squibb, a drug manufacturer, rose following the company’s acquisition of Celgene Corp. and after the company raised its dividend in December 2019. Shares of Apple and Microsoft, both of which are information technology companies that were not held in the Benchmark, rose amid general investor demand for large cap technology stocks during the reporting period.

Leading individual detractors from relative performance included the Fund’s underweight positions in JPMorgan Chase & Co., Intel Corp. and AT&T Inc., none of which were held by the Fund. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in shares of other large banks. Shares of Intel, a semiconductor manufacturer, rose amid a rally in stocks of semiconductor manufacturers. Shares of AT&T, a telecommunications provider, rose after the company announced plans to cut $1.5 billion in costs and to repurchase 100 million of its shares.

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.      3.3 % 
  2.      Chevron Corp.      2.9  
  3.      PNC Financial Services Group, Inc. (The)      2.4  
  4.      Bristol-Myers Squibb Co.      2.3  
  5.      CME Group, Inc.      2.3  
  6.      ConocoPhillips      2.2  
  7.      BlackRock, Inc.      2.1  
  8.      Johnson & Johnson      2.1  
  9.      Comcast Corp., Class A      1.9  
  10.      Microsoft Corp.      1.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      25.3 % 
Health Care      13.4
Industrials      10.7
Information Technology      9.5
Consumer Staples      8.5
Energy      7.0  
Consumer Discretionary      6.9  
Utilities      5.3  
Materials      3.8  
Communication Services      3.6  
Real Estate      3.4  
Short-Term Investments      2.6  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         5  

Table of Contents

JPMorgan Equity Income Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992                    

With Sales Charge**

           3.41 %         19.46 %         8.30 %         12.30 % 

Without Sales Charge

           9.15          26.05          9.47          12.91  

CLASS C SHARES

    November 4, 1997                    

With CDSC***

           7.84          24.34          8.92          12.35  

Without CDSC

           8.84          25.34          8.92          12.35  

CLASS I SHARES

    July 2, 1987        9.29          26.29          9.73          13.21  

CLASS R2 SHARES

    February 28, 2011        9.00          25.67          9.18          12.65  

CLASS R3 SHARES

    September 9, 2016        9.17          26.02          9.47          12.91  

CLASS R4 SHARES

    September 9, 2016        9.30          26.31          9.73          13.21  

CLASS R5 SHARES

    February 28, 2011        9.36          26.52          9.94          13.40  

CLASS R6 SHARES

    January 31, 2012        9.43          26.60          10.04          13.45  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 Shares 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 Shares 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 December 31, 2009 to December 31, 2019.

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   DECEMBER 31, 2019

Table of Contents

JPMorgan Equity Premium Income Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      6.11%  
S&P 500 Index      10.92%  
ICE BofAML 3-Month U.S. Treasury Bill Index      1.03%  
Net Assets as of 12/31/2019 (In Thousands)    $ 114,917  

 

INVESTMENT OBJECTIVE**

The JPMorgan Equity Premium Income Fund (the “Fund”) seeks current income while maintaining prospects for 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”) and outperformed the ICE BofAML 3-Month U.S. Treasury Bill Index for the six months ended December 31, 2019. The Fund’s underweight position and security selection in the information technology sector and its security selection in the financials sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the energy and materials sectors was a leading contributor to relative performance.

Leading individual detractors from performance relative to the Benchmark included the Fund’s underweight positions in Apple Inc. and JPMorgan Chase & Co. and its overweight position in Yum Brands Inc. Shares of Apple, a maker of mobile and desktop devices and computers not held in the Fund, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid

broader gains in stocks of large banks during the reporting period. Shares of Yum Brands, an operator of fast food restaurant chains, fell after the company reported lower-than-expected earnings and sales growth for the third quarter of 2019.

Leading individual contributors to the Fund’s performance included its underweight positions in Cisco Systems Inc., Netflix Inc. and Amazon.com Inc. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth. Shares of Netflix, a subscription entertainment provider not held in the Fund, fell amid increased competition and weakening subscriber numbers. Shares of Amazon, an online shopping service, fell after the U.S. Department of Defense awarded a $10 billion contract for cloud computing services to Microsoft Corp.

HOW WAS THE FUND POSITIONED?

The Fund seeks to generate income through a combination of selling options and investing in large cap stocks and delivering monthly income from associated option premiums and stock dividends. The Fund’s portfolio managers employed a proprietary research process designed to identify what they believed were overvalued and undervalued stocks with attractive risk/return characteristics.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         7  

Table of Contents

JPMorgan Equity Premium Income Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Credit Suisse AG, ELN, 36.10%, 1/31/2020, (linked to S&P 500 Index)      3.4 % 
  2.      Wells Fargo Bank, ELN, 42.50%, 2/7/2020, (linked to S&P 500 Index)      3.1  
  3.      UBS AG, ELN, 32.60%, 1/24/2020, (linked to S&P 500 Index)      3.1  
  4.      HSBC Bank USA, NA, ELN, 38.99%, 1/17/2020, (linked to S&P 500 Index)      3.0  
  5.      GS Finance Corp., ELN, 45.79, 1/10/2020, (linked to S&P 500 Index)      2.8  
  6.      iShares Edge MSCI Min Vol USA ETF      1.5  
  7.      Microsoft Corp.      1.4  
  8.      UnitedHealth Group, Inc.      1.4  
  9.      Eli Lilly & Co.      1.4  
  10.      Accenture plc, Class A      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Industrials      12.9 % 
Convertible Bonds      12.7
Financials      11.7
Information Technology      9.7
Consumer Staples      9.6
Health Care      9.6
Utilities      9.6
Consumer Discretionary      7.3
Communication Services      4.4
Real Estate      3.9
Energy      2.3
Materials      2.2
Exchange-Traded Funds      1.5
Short-Term Investments      2.6  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
8       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        SINCE
INCEPTION		  

CLASS A SHARES

    August 31, 2018               

With Sales Charge**

           0.36 %         14.52 %         4.78 % 

Without Sales Charge

           5.94          20.84          9.09  

CLASS C SHARES

    August 31, 2018               

With CDSC***

           4.66        19.14        8.49

Without CDSC

           5.66          20.14          8.49  

CLASS I SHARES

    August 31, 2018        6.11        21.08        9.32

CLASS R5 SHARES

    August 31, 2018        6.12        21.18        9.43

CLASS R6 SHARES

    August 31, 2018        6.24        21.38        9.59

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (8/31/18 to 12/31/19)

 

 

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 August 31, 2018.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Premium Income Fund, the S&P 500 Index and the ICE BofAML 3-Month U.S. Treasury Bill Index from August 31, 2018 to December 31, 2019. 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 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. 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 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 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.

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

Subsequent to the inception date of the Fund and through April 7, 2019, 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.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         9  

Table of Contents

JPMorgan Growth and Income Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      11.02%  
Russell 1000 Value Index      8.86%  
Net Assets as of 12/31/2019 (In Thousands)    $ 776,413  

 

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 six months ended December 31, 2019. The Fund’s security selection in the health care sector and its security selection and overweight position in the information technology sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer staples and real estate sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions in Apple Inc. and Microsoft Corp. and its overweight position in Bristol-Myers Squibb Co. Shares of Apple and Microsoft, both of which are information technology companies that were not held in the Benchmark, rose amid broad investor demand for large cap technology stocks during the reporting period. Shares of Bristol-Myers Squibb, a drug manufacturer, rose following the company’s acquisition of Celgene Corp. and after the company raised its dividend in December 2019.

Leading individual detractors from relative performance included JPMorgan Chase & Co., Intel Corp. and AT&T Inc., none of which were held by the Fund. Shares of JPMorgan Chase, which the Fund may not hold, rose amid broader gains in shares of large banks. Shares of Intel, a semiconductor manufacturer, rose amid a rally in stocks of semiconductor manufacturers. Shares of AT&T, a telecommunications provider, rose after the company announced plans to cut $1.5 billion in costs and repurchase 100 million of its shares.

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.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Bank of America Corp.      3.5 % 
  2.      Microsoft Corp.      2.8  
  3.      Morgan Stanley      2.4  
  4.      Bristol-Myers Squibb Co.      2.3  
  5.      Berkshire Hathaway, Inc., Class B      2.3  
  6.      Truist Financial Corp.      2.3  
  7.      Chevron Corp.      2.2  
  8.      BlackRock, Inc.      2.0  
  9.      Apple, Inc.      2.0  
  10.      United Technologies Corp.      1.9  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      28.8 % 
Health Care      14.2  
Information Technology      10.2  
Industrials      10.1  
Energy      7.8  
Consumer Discretionary      7.1  
Consumer Staples      5.6  
Utilities      4.3  
Communication Services      3.9  
Real Estate      3.1  
Materials      3.0  
Short-Term Investments      1.9  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
10       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    September 23, 1987                    

With Sales Charge**

           5.19 %         21.09 %         7.93 %         11.93 % 

Without Sales Charge

           11.02          27.81          9.10          12.54  

CLASS C SHARES

    January 2, 1998                    

With CDSC***

           9.74        26.22        8.56        11.98

Without CDSC

           10.74          27.22          8.56          11.98  

CLASS I SHARES

    January 25, 1996        11.17        28.16        9.37        12.83

CLASS R2 SHARES

    November 2, 2015        10.89        27.51        8.88        12.42

CLASS R3 SHARES

    July 31, 2017        11.02        27.82        9.11        12.54

CLASS R4 SHARES

    July 31, 2017        11.15        28.15        9.37        12.83

CLASS R5 SHARES

    November 2, 2015        11.24        28.35        9.53        12.91

CLASS R6 SHARES

    November 2, 2015        11.31        28.48        9.60        12.95

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

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 December 31, 2009 to December 31, 2019. 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.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         11  

Table of Contents

JPMorgan Hedged Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      5.42%  
S&P 500 Index      10.92%  
Net Assets as of 12/31/2019 (In Thousands)    $ 6,707,148  

 

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 six months ended December 31, 2019. 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 50% of the Benchmark’s total return with about 60% of the Benchmark’s volatility during the six month reporting period.

The Fund’s security selection in the financials and consumer cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and pharmaceutical/medical technology sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included JPMorgan Chase & Co. and the Fund’s overweight positions in Automatic Data Processing Co. and Expedia Inc. Shares of JPMorgan Chase, which the Fund may not hold, rose amid broader gains in shares of large banks during the reporting period. Shares of Automatic Data Processing, a provider of payroll and other business services, fell after the company reporter lower-than-expected revenue for its fiscal first quarter. Shares of Expedia, a provider of online travel booking, fell amid increased competition and lower-than-expected earnings and revenue for the third quarter of 2019.

Leading individual contributors to relative performance included the Fund’s underweight positions in Cisco Systems Inc. and Oracle Corp. and its overweight position in Zimmer Biomet Holdings Inc. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth. Shares of Oracle, a software company, fell amid several consecutive quarters of weak revenue growth. Shares of Zimmer Biomet Holdings, a medical devices manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019.

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.      5.2 % 
  2.      Apple, Inc.      4.9  
  3.      Amazon.com, Inc.      3.2  
  4.      Mastercard, Inc., Class A      1.9  
  5.      Alphabet, Inc., Class A      1.8  
  6.      Alphabet, Inc., Class C      1.6  
  7.      Berkshire Hathaway, Inc., Class B      1.6  
  8.      Comcast Corp., Class A      1.5  
  9.      UnitedHealth Group, Inc.      1.4  
  10.      Citigroup, Inc.      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      22.7 % 
Health Care      13.7
Financials      12.2
Consumer Discretionary      10.8
Communication Services      10.2
Industrials      8.8
Consumer Staples      5.5
Energy      4.1
Utilities      3.2
Materials      2.5
Real Estate      2.1
Put Options Purchased      1.2
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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
12       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

 
    INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        SINCE
INCEPTION		  

CLASS A SHARES

   December 13, 2013                    

With Sales Charge**

          (0.20 )%         7.09 %         5.09 %         6.04 % 

Without Sales Charge

          5.32          13.02          6.23          6.99  

CLASS C SHARES

   December 13, 2013                    

With CDSC***

          3.99        11.47        5.69        6.45

Without CDSC

          4.99          12.47          5.69          6.45  

CLASS I SHARES

   December 13, 2013        5.42        13.31        6.49        7.25

CLASS R5 SHARES

   December 13, 2013        5.48        13.45        6.68        7.45

CLASS R6 SHARES

   December 13, 2013        5.58        13.60        6.75        7.51

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

LIFE OF FUND PERFORMANCE (12/13/13 TO 12/31/19)

 

 

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 and the Lipper Alternative Long/Short Equity Funds Average from December 13, 2013 to December 31, 2019. 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 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 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 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.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         13  

Table of Contents

JPMorgan Large Cap Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Reporting Period Return:  
Fund (Class I Shares)*      8.33%  
Russell 1000 Growth Index      12.27%  
Net Assets as of 12/31/2019 (In Thousands)    $ 17,625,014  

 

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 underperformed the Russell 1000 Growth Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the technology and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the financial services and consumer discretionary sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in MercadoLibre Inc. and Exact Sciences Corp. Shares of Apple, a maker of mobile and desk-top devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of MercadoLibre, an online commerce platform operator not held in the Benchmark, fell after the company reported a loss for the third quarter of 2019. Shares of Exact Sciences, a maker of cancer screening diagnostics, fell amid investor disappointment with its forecast for the third quarter of 2019.

Leading individual contributors to relative performance included the Fund’s overweight positions in Advanced Micro Devices Inc., Tesla Inc. and DexCom Inc. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of Telsa, a maker of electric cars and electricity storage technologies, rose amid increases in production and deliveries of automobiles. Shares of DexCom, a medical device manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019.

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.      Microsoft Corp.      6.4 % 
  2.      Alphabet, Inc., Class C      5.3  
  3.      Apple, Inc.      3.6  
  4.      Amazon.com, Inc.      3.5  
  5.      Mastercard, Inc., Class A      3.5  
  6.      Tesla, Inc.      2.6  
  7.      Texas Instruments, Inc.      2.2  
  8.      Advanced Micro Devices, Inc.      2.2  
  9.      MercadoLibre, Inc. (Argentina)      2.0  
  10.      PayPal Holdings, Inc.      2.0  

 

PORTFOLIO COMPOSITION BY SECTOR***

  

Information Technology

      30.6 % 

Consumer Discretionary

      19.1  

Health Care

      12.6  

Industrials

      9.8  

Communication Services

      9.8  

Financials

      6.3  

Consumer Staples

      2.9  

Materials

      2.6  

Real Estate

      0.8  

Short-Term Investments

      5.5  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
14       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
       INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      February 22, 1994                    

With Sales Charge**

             2.53 %         31.44 %         13.75 %         14.65 % 

Without Sales Charge

             8.21          38.73          14.98          15.27  

CLASS C SHARES

      November 4, 1997                    

With CDSC***

             6.90          36.99          14.40          14.69  

Without CDSC

             7.90          37.99          14.40          14.69  

CLASS I SHARES

      February 28, 1992        8.33          39.04          15.20          15.49  

CLASS R2 SHARES

      November 3, 2008        8.08          38.39          14.68          14.99  

CLASS R3 SHARES

      September 9, 2016        8.21          38.73          14.93          15.26  

CLASS R4 SHARES

      September 9, 2016        8.35          39.08          15.20          15.49  

CLASS R5 SHARES

      April 14, 2009        8.40          39.24          15.40          15.71  

CLASS R6 SHARES

      November 30, 2010        8.47          39.39          15.52          15.80  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 and Class R4 Shares prior to their inception dates are based on the performance of Class I Shares. With respect to Class R3 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares had similar expenses to Class I 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 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         15  

Table of Contents

JPMorgan Large Cap Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Reporting Period Return:  
Fund (Class I Shares)*      10.79%  
Russell 1000 Value Index      8.86%  
Net Assets as of 12/31/2019 (In Thousands)    $ 1,618,179  

 

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 six months ended December 31, 2019. The Fund’s security selection in the consumer stable and basic materials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the real estate investment trusts sector and its security selection and underweight position 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 FMC Corp., Marathon Petroleum Corp. and Lamb Weston Holdings Inc. Shares of FMC, a diversified chemicals manufacturer, rose after the company reported better-than-expected earnings for the third quarter of 2019 and raised its forecast for its fiscal year 2019. Shares of Marathon Petroleum, an oil refinery and transport company, rose after the company reported better-than-expected earnings for the third quarter of 2019 and unveiled plans to spin off its Speedway business. Shares of Lamb Weston Holdings, a producer of frozen potato products, rose after the company was added to the S&P 500 Index and amid investor expectations for revenue growth in 2020.

Leading individual detractors from relative performance included the Fund’s overweight positions in Ventas Inc. and Comcast Corp. and its underweight position in JPMorgan Chase & Co. Shares of Ventas, an owner/operator of senior housing and health care properties, fell after it agreed to buy a portfolio of Canadian seniors housing communities in partnership with Le Groupe Maurice in a deal valued at $1.8 billion. Shares of Comcast, a provider of video, Internet and telephone services, fell after the company reported lower-than-expected revenue for the second quarter of 2019. Shares of JPMorgan Chase, which the Fund may not hold, rose amid broad gains in shares of large banks during the reporting period.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio manager combined a bottom-up fundamental approach to security selection with a systematic valuation process. Overall, the Fund’s portfolio manager looked to take advantage of mispriced stocks that he believed appeared attractive relative to their fair value.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Comcast Corp., Class A      3.9 % 
  2.      FMC Corp.      3.8  
  3.      Charter Communications, Inc., Class A      3.1  
  4.      Bank of America Corp.      2.9  
  5.      Morgan Stanley      2.7  
  6.      Wells Fargo & Co.      2.5  
  7.      Chevron Corp.      2.5  
  8.      Cigna Corp.      2.4  
  9.      Philip Morris International, Inc.      2.4  
  10.      Citigroup, Inc.      2.3  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      19.2 % 
Health Care      13.6
Communication Services      9.4
Energy      9.3
Consumer Discretionary      9.3
Real Estate      8.2
Industrials      7.3
Materials      6.7
Consumer Staples      6.1
Information Technology      5.4
Utilities      2.5
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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
16       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992                    

With Sales Charge**

           4.80 %         20.48 %         7.39 %         10.63 % 

Without Sales Charge

           10.60          27.12          8.56          11.22  

CLASS C SHARES

    March 22, 1999                    

With CDSC***

           9.36        25.44        8.00        10.67

Without CDSC

           10.36          26.44          8.00          10.67  

CLASS I SHARES

    March 1, 1991        10.79        27.45        8.77        11.43

CLASS R2 SHARES

    November 3, 2008        10.49        26.82        8.26        10.94

CLASS R3 SHARES

    October 1, 2018        10.67        27.07        8.56        11.22

CLASS R4 SHARES

    October 1, 2018        10.80        27.42        8.77        11.43

CLASS R5 SHARES

    May 15, 2006        10.83        27.59        8.95        11.64

CLASS R6 SHARES

    November 30, 2010        10.96        27.74        9.05        11.71

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE 12/31/09 TO 12/31/19

 

LOGO

 

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

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

Returns for Class R6 Shares prior to their inception date are based on the per- formance 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         17  

Table of Contents

JPMorgan U.S. Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Reporting Period Return:        
Fund (Class L Shares)*      11.29%  
S&P 500 Index      10.92%  
Net Assets as of 12/31/2019 (In Thousands)    $ 15,673,237  

 

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 outperformed the S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the semiconductors & hardware sector and the health services sector was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the energy and pharmaceutical/medical technology sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s underweight position in Cisco Systems Inc. and its overweight positions in Taiwan Semiconductor Manufacturing Co. and Alphabet Inc. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth. Shares of Taiwan Semiconductor Manufacturing, a maker of semiconductor wafers and integrated circuits, rose amid investor expectation for increased demand for semiconductors in 2020. Shares of Alphabet, the parent company of Google Inc., rose amid broad investor demand for large cap technology stocks during the reporting period.

Leading individual detractors from relative performance included the Fund’s overweight positions in Analog Devices Inc. and Pfizer Inc. and its underweight position in Apple Inc. Shares of Analog Devices, a manufacturer of integrated circuits, fell after the company reported lower-than-expected earnings and revenue for its fiscal fourth quarter of 2019. Shares of Pfizer, a pharmaceuticals and consumer health care products manufacturer, fell after the company announced an agreement to merge its Upjohn business with Mylan Inc. and reported lower-than-expected revenue for the second quarter of 2019. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle.

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.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Microsoft Corp.      6.0 % 
  2.      Amazon.com, Inc.      4.5  
  3.      Alphabet, Inc., Class A      3.9  
  4.      Apple, Inc.      3.3  
  5.      Mastercard, Inc., Class A      3.1  
  6.      Coca-Cola Co. (The)      2.7  
  7.      UnitedHealth Group, Inc.      2.6  
  8.      Prologis, Inc.      2.2  
  9.      Verizon Communications, Inc.      2.2  
  10.      Norfolk Southern Corp.      2.1  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      25.5 % 
Health Care      15.7  
Communication Services      11.9  
Consumer Discretionary      10.5  
Financials      9.6  
Industrials      8.0  
Consumer Staples      5.0  
Utilities      4.3  
Energy      3.9  
Real Estate      2.5  
Materials      2.2  
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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
18       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
       INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      September 10, 2001                    

With Sales Charge**

             5.18 %         24.72 %         9.46 %         12.20 % 

Without Sales Charge

             11.02          31.60          10.64          12.81  

CLASS C SHARES

      September 10, 2001                    

With CDSC***

             9.75          29.90          10.08          12.24  

Without CDSC

             10.75          30.90          10.08          12.24  

CLASS I SHARES

      September 10, 2001        11.17          31.91          10.87          13.04  

CLASS L SHARES

      September 17, 1993        11.29          32.13          11.03          13.21  

CLASS R2 SHARES

      November 3, 2008        10.86          31.27          10.34          12.52  

CLASS R3 SHARES

      September 9, 2016        11.05          31.62          10.63          12.80  

CLASS R4 SHARES

      September 9, 2016        11.12          31.90          10.86          13.04  

CLASS R5 SHARES

      May 15, 2006        11.23          32.05          11.05          13.24  

CLASS R6 SHARES

      November 30, 2010        11.32          32.28          11.15          13.32  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 dates are based on the performance of 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 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.

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

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from December 31, 2009 to

December 31, 2019. 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.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         19  

Table of Contents

JPMorgan U.S. Large Cap Core Plus Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Reporting Period Return:        
Fund (Class I Shares)*      10.36%  
S&P 500 Index      10.92%  
Net Assets as of 12/31/2019 (In Thousands)    $ 4,434,386  

 

INVESTMENT OBJECTIVE**

The JPMorgan U.S. Large Cap Core Plus Fund (the “Fund”) seeks to provide a high total return from a portfolio of selected equity securities.

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 six months ended December 31, 2019. The Fund’s security selection in the industrials and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and information technology sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s underweight positions in Apple Inc. and JPMorgan Chase & Co. and its overweight position in DuPont Inc. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in stocks of large banks during the reporting period. Shares of DuPont, a chemicals and materials manufacturer, fell after the company reported a decline in profit and sales for the third quarter of 2019.

Leading individual contributors to relative performance included the Fund’s underweight positions in Cisco Systems Inc.

and its overweight positions in Advanced Micro Devices Inc. and Taiwan Semiconductor Manufacturing Inc. Shares of Cisco Systems, a network and information technology provider not held in the Fund, fell following two consecutive quarters of weak revenue growth. Shares of Advanced Micro Devices, a semiconductor maker, rose on growth in revenue and market share during the reporting period. Shares of Taiwan Semiconductor Manufacturing, a maker of semiconductor wafers and integrated circuits, rose amid investor expectation for increased demand for semiconductors in 2020.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection, researching companies to determine their underlying value and potential for future earnings growth. Overall, the Fund’s portfolio managers aimed to take advantage of mispriced stocks that appeared attractive relative to fair value for long positions, and looked for overvalued stocks in which to take short positions. The long-to-short exposure ratio at the end of the reporting period was 124% to 24%.

 

*   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.
 

 

 
20       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
TOP TEN LONG POSITIONS OF THE PORTFOLIO*  
  1.      Microsoft Corp.      4.8 % 
  2.      Amazon.com, Inc.      3.3  
  3.      Apple, Inc.      3.1  
  4.      Alphabet, Inc., Class A      2.0  
  5.      Linde plc (United Kingdom)      1.8  
  6.      Citigroup, Inc.      1.8  
  7.      Alphabet, Inc., Class C      1.7  
  8.      Fiserv, Inc.      1.7  
  9.      Norfolk Southern Corp.      1.7  
  10.      Mastercard, Inc., Class A      1.6  

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO**  
  1.      Simon Property Group, Inc.      2.2 % 
  2.      Exxon Mobil Corp.      2.1  
  3.      eBay, Inc.      2.1  
  4.      Dominion Energy, Inc.      2.0  
  5.      Halliburton Co.      1.8  
  6.      Enbridge, Inc. (Canada)      1.8  
  7.      Omnicom Group, Inc.      1.8  
  8.      Seagate Technology plc      1.8  
  9.      Huntington Ingalls Industries, Inc.      1.7  
  10.      Robert Half International, Inc.      1.6  

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*

  
Information Technology      24.3 % 
Health Care      13.9  
Consumer Discretionary      11.0  
Financials      10.4  
Communication Services      10.0  
Industrials      9.8  
Energy      5.6  
Materials      4.3  
Consumer Staples      3.9  
Utilities      3.4  
Real Estate      2.7  
Short-Term Investments      0.7  

 

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**

  
Information Technology      14.3 % 
Industrials      14.0  
Energy      11.6  
Financials      9.1  
Health Care      9.0  
Real Estate      8.7  
Consumer Discretionary      8.0  
Consumer Staples      6.4  
Utilities      6.4  
Materials      6.3  
Communication Services      6.2  

 

*   Percentages indicated are based on total long investments as of December 31, 2019. The Fund’s portfolio composition is subject to change.
**   Percentages indicated are based on total short investments as of December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         21  

Table of Contents

JPMorgan U.S. Large Cap Core Plus Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
       INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      November 1, 2005                    

With Sales Charge**

             4.48 %         22.70 %         8.42 %         11.63 % 

Without Sales Charge

             10.26          29.51          9.60          12.23  

CLASS C SHARES

      November 1, 2005                    

With CDSC***

             8.98          27.85          9.06          11.68  

Without CDSC

             9.98          28.85          9.06          11.68  

CLASS I SHARES

      November 1, 2005        10.36          29.78          9.88          12.51  

CLASS R2 SHARES

      November 3, 2008        10.09          29.05          9.28          11.93  

CLASS R5 SHARES

      May 15, 2006        10.44          29.86          10.02          12.70  

CLASS R6 SHARES

      November 1, 2017        10.45          30.00          10.07          12.72  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

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 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 $1,000,000 invested in Class I Shares of the JPMorgan U.S. Large Cap Core Plus Fund, the S&P 500 Index and the Lipper Alternative Active Extension Funds Average from December 31, 2009 to December 31, 2019. 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 Alternative Active Extension 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. Investors cannot directly invest in an index. The Lipper Alternative Active Extension Funds Average is an average based on 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.

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.

 

 

 
22       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Reporting Period Return:  
Fund (Class L Shares)*      11.25%  
S&P 500 Index      10.92%  
Net Assets as of 12/31/2019 (In Thousands)    $ 4,388,914  

 

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 S&P 500 Index (the “Benchmark”).

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

The Fund’s Class L Shares outperformed the Benchmark for the six months ended December 31, 2019. The Fund’s security selection in the technology and pharmaceutical/medical technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the financials and consumer cyclical sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s underweight positions in Cisco Systems Inc. and Oracle Inc. and its overweight position in Zimmer Biomet Holdings Inc. Shares of Cisco Systems, a network and information technology provider, fell following two consecutive quarters of weak revenue growth. Shares of Oracle, a software company, fell amid several consecutive quarters of weak revenue growth. Shares of Zimmer Biomet Holdings, a medical devices manufacturer, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019.

Leading individual detractors from relative performance included the Fund’s underweight position in JPMorgan Chase & Co. and its overweight positions in Automatic Data Processing Corp. and Expedia Inc. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in stocks of large banks during the reporting period. Shares of Automatic Data Processing, a provider of payroll and other business services, fell after the company reporter lower-than-expected revenue for its fiscal first quarter. Shares of Expedia, a provider of online travel booking, fell amid increased competition and lower-than-expected earnings and revenue for the third quarter of 2019.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the principal source of

potential excess return. The Fund’s portfolio managers sought investment opportunities in companies that they believed were attractive based on valuation and strong fundamentals.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Microsoft Corp.      5.4 % 
  2.      Apple, Inc.      5.1  
  3.      Amazon.com, Inc.      3.3  
  4.      Mastercard, Inc., Class A      1.9  
  5.      Alphabet, Inc., Class A      1.8  
  6.      Alphabet, Inc., Class C      1.7  
  7.      Berkshire Hathaway, Inc., Class B      1.7  
  8.      Comcast Corp., Class A      1.5  
  9.      UnitedHealth Group, Inc.      1.4  
  10.      Citigroup, Inc.      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      23.5 % 
Health Care      14.2  
Financials      12.7  
Consumer Discretionary      11.2  
Communication Services      10.6  
Industrials      9.1  
Consumer Staples      5.6  
Energy      4.3  
Utilities      3.3  
Materials      2.5  
Real Estate      2.2  
Short-Term Investments      0.8  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         23  

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    September 28, 2001                    

With Sales Charge**

           5.29 %         24.26 %         8.57 %         12.12 % 

Without Sales Charge

           11.14          31.13          9.75          12.72  

CLASS I SHARES

    September 10, 2001        11.27          31.39          10.02          13.01  

CLASS L SHARES

    January 3, 1997        11.25          31.40          10.07          13.12  

CLASS R6 SHARES

    March 24, 2003        11.34          31.56          10.20          13.24  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 December 31, 2009 to December 31, 2019. 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.

 

 

 
24       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Equity Focus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 99.2%

 

Airlines — 3.3%

 

Delta Air Lines, Inc.

     58        3,370  
    

 

 

  

Automobiles — 1.8%

 

   

Tesla, Inc. *

     4        1,877  
    

 

 

  

Banks — 3.5%

 

   

Bank of America Corp.

     101        3,563  
    

 

 

  

Biotechnology — 1.3%

 

   

Amgen, Inc.

     6        1,326  
    

 

 

  

Capital Markets — 6.5%

 

   

Charles Schwab Corp. (The)

     53        2,542  

S&P Global, Inc.

     8        2,182  

T. Rowe Price Group, Inc.

     17        2,016  
    

 

 

  
       6,740  
    

 

 

  

Construction Materials — 2.7%

 

   

Martin Marietta Materials, Inc.

     10        2,800  
    

 

 

  

Consumer Finance — 3.9%

 

   

Capital One Financial Corp.

     39        4,003  
    

 

 

  

Containers & Packaging — 3.7%

 

   

Ball Corp.

     24        1,574  

Packaging Corp. of America

     20        2,219  
    

 

 

  
       3,793  
    

 

 

  

Diversified Financial Services — 2.6%

 

   

Berkshire Hathaway, Inc., Class B *

     12        2,677  
    

 

 

  

Electric Utilities — 2.7%

 

   

Xcel Energy, Inc.

     44        2,824  
    

 

 

  

Entertainment — 3.3%

 

   

Spotify Technology SA *

     10        1,536  

Take-Two Interactive Software, Inc. *

     15        1,870  
    

 

 

  
       3,406  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 5.3%

 

   

Federal Realty Investment Trust

     21        2,730  

Public Storage

     13        2,724  
    

 

 

  
       5,454  
    

 

 

  

Food & Staples Retailing — 1.1%

 

   

Walgreens Boots Alliance, Inc.

     20        1,182  
    

 

 

  

Health Care Equipment & Supplies — 3.1%

 

   

DexCom, Inc. *

     6        1,297  

Intuitive Surgical, Inc. *

     3        1,888  
    

 

 

  
       3,185  
    

 

 

  

Health Care Providers & Services — 4.0%

 

   

UnitedHealth Group, Inc.

     14        4,132  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Insurance — 4.1%

 

   

Loews Corp.

     80        4,212  
    

 

 

  

Interactive Media & Services — 3.9%

 

   

Alphabet, Inc., Class C *

     3        4,008  
    

 

 

  

Internet & Direct Marketing Retail — 3.2%

 

   

Amazon.com, Inc. *

     2        3,326  
    

 

 

  

IT Services — 4.8%

 

   

Mastercard, Inc., Class A

     12        3,521  

PayPal Holdings, Inc. *

     13        1,410  
    

 

 

  
       4,931  
    

 

 

  

Machinery — 2.4%

 

   

Parker-Hannifin Corp.

     5        955  

Stanley Black & Decker, Inc.

     9        1,563  
    

 

 

  
       2,518  
    

 

 

  

Media — 2.0%

 

   

DISH Network Corp., Class A *

     60        2,116  
    

 

 

  

Multiline Retail — 1.7%

 

Kohl’s Corp.

     35        1,779  
    

 

 

  

Oil, Gas & Consumable Fuels — 5.4%

 

   

Kinder Morgan, Inc.

     129        2,734  

Marathon Petroleum Corp.

     47        2,803  
    

 

 

  
       5,537  
    

 

 

  

Pharmaceuticals — 2.6%

 

   

Pfizer, Inc.

     68        2,655  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.5%

 

   

Advanced Micro Devices, Inc. *

     46        2,100  

QUALCOMM, Inc.

     17        1,506  
    

 

 

  
       3,606  
    

 

 

  

Software — 8.3%

 

   

Microsoft Corp.

     45        7,089  

Synopsys, Inc. *

     10        1,461  
    

 

 

  
       8,550  
    

 

 

  

Specialty Retail — 4.4%

 

   

AutoZone, Inc. *

     2        2,399  

Home Depot, Inc. (The)

     10        2,179  
    

 

 

  
       4,578  
    

 

 

  

Technology Hardware, Storage & Peripherals — 4.1%

 

   

Apple, Inc.

     14        4,240  
    

 

 

  

Total Common Stocks
(Cost $69,121)

 

      102,388  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         25  

Table of Contents

JPMorgan Equity Focus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 0.8%

 

   

Investment Companies — 0.8%

 

   

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)
(Cost $890)

     890        890  
    

 

 

  

Total Investments — 100.0%
(Cost $70,011)

        103,278  

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

        (46 ) 
    

 

 

  

NET ASSETS — 100.0%

        103,232  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of December 31, 2019.
(c)   Amount rounds to less than 0.1% of net assets.
*   Non-income producing security.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.3%

 

Aerospace & Defense — 2.8%

 

General Dynamics Corp.

     2,571        453,421  

United Technologies Corp.

     2,914        436,464  
    

 

 

  
       889,885  
    

 

 

  

Banks — 10.4%

     

Bank of America Corp.

     29,477        1,038,187  

Cullen/Frost Bankers, Inc.

     1,109        108,407  

M&T Bank Corp.

     476        80,730  

PNC Financial Services Group, Inc. (The)

     4,654        742,975  

Truist Financial Corp.

     6,890        388,055  

US Bancorp

     6,005        356,066  

Wells Fargo & Co.

     10,554        567,778  
    

 

 

  
       3,282,198  
    

 

 

  

Beverages — 2.3%

     

Coca-Cola Co. (The)

     6,816        377,245  

PepsiCo, Inc.

     2,461        336,306  
    

 

 

  
       713,551  
    

 

 

  

Biotechnology — 0.5%

     

Gilead Sciences, Inc.

     2,297        149,228  
    

 

 

  

Capital Markets — 5.6%

     

BlackRock, Inc.

     1,311        659,050  

CME Group, Inc.

     3,592        720,961  

Northern Trust Corp.

     1,423        151,159  

T. Rowe Price Group, Inc.

     1,995        243,096  
    

 

 

  
       1,774,266  
    

 

 

  

Chemicals — 3.8%

     

Air Products & Chemicals, Inc.

     2,121        498,328  

Corteva, Inc.

     579        17,122  

DuPont de Nemours, Inc.

     2,361        151,597  

PPG Industries, Inc.

     2,870        383,101  

RPM International, Inc.

     1,900        145,863  
    

 

 

  
       1,196,011  
    

 

 

  

Commercial Services & Supplies — 0.7%

 

Republic Services, Inc.

     2,407        215,750  
    

 

 

  

Consumer Finance — 1.8%

     

Capital One Financial Corp.

     2,960        304,600  

Discover Financial Services

     3,042        257,981  
    

 

 

  
       562,581  
    

 

 

  

Diversified Telecommunication Services — 1.7%

 

   

Verizon Communications, Inc.

     8,458        519,295  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Electric Utilities — 3.3%

     

Edison International

     1,468        110,707  

Entergy Corp.

     786        94,184  

NextEra Energy, Inc.

     2,016        488,276  

Xcel Energy, Inc.

     5,650        358,744  
    

 

 

  
       1,051,911  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 3.4%

 

   

Alexandria Real Estate Equities, Inc.

     789        127,425  

AvalonBay Communities, Inc.

     1,440        301,927  

Boston Properties, Inc.

     1,098        151,382  

Simon Property Group, Inc.

     1,221        181,865  

Ventas, Inc.

     2,193        126,604  

Vornado Realty Trust

     2,865        190,494  
    

 

 

  
       1,079,697  
    

 

 

  

Food & Staples Retailing — 0.8%

     

Walmart, Inc.

     2,134        253,620  
    

 

 

  

Food Products — 1.4%

     

Mondelez International, Inc., Class A

     8,230        453,290  
    

 

 

  

Health Care Equipment & Supplies — 2.7%

     

Abbott Laboratories

     1,247        108,288  

Becton Dickinson and Co.

     1,124        305,820  

Medtronic plc

     3,957        448,952  
    

 

 

  
       863,060  
    

 

 

  

Health Care Providers & Services — 1.8%

     

CVS Health Corp.

     2,878        213,792  

UnitedHealth Group, Inc.

     1,213        356,611  
    

 

 

  
       570,403  
    

 

 

  

Hotels, Restaurants & Leisure — 3.2%

     

Las Vegas Sands Corp.

     3,942        272,151  

McDonald’s Corp.

     2,632        520,068  

Starbucks Corp.

     987        86,809  

Wyndham Hotels & Resorts, Inc.

     2,210        138,819  
    

 

 

  
       1,017,847  
    

 

 

  

Household Products — 1.5%

     

Procter & Gamble Co. (The)

     3,662        457,417  
    

 

 

  

Industrial Conglomerates — 0.7%

     

Honeywell International, Inc.

     1,248        220,825  
    

 

 

  

Insurance — 7.5%

     

Arthur J Gallagher & Co.

     2,766        263,444  

Chubb Ltd.

     1,560        242,767  

Cincinnati Financial Corp.

     689        72,443  

Hartford Financial Services Group, Inc. (The)

     6,007        365,051  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         27  

Table of Contents

JPMorgan Equity Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Insurance — continued

 

   

Marsh & McLennan Cos., Inc.

     1,151        128,210  

MetLife, Inc.

     6,411        326,772  

Progressive Corp. (The)

     3,083        223,149  

Prudential Financial, Inc.

     4,327        405,586  

Travelers Cos., Inc. (The)

     2,370        324,639  
    

 

 

  
       2,352,061  
    

 

 

  

IT Services — 2.8%

     

Accenture plc, Class A

     1,086        228,740  

Automatic Data Processing, Inc.

     1,759        299,842  

Fidelity National Information Services, Inc.

     2,613        363,463  
    

 

 

  
       892,045  
    

 

 

  

Leisure Products — 1.0%

     

Hasbro, Inc.

     2,848        300,789  
    

 

 

  

Machinery — 5.3%

     

Deere & Co.

     1,824        316,038  

Dover Corp.

     4,367        503,372  

Illinois Tool Works, Inc.

     1,166        209,453  

Parker-Hannifin Corp.

     2,095        431,266  

Stanley Black & Decker, Inc.

     1,256        208,142  
    

 

 

  
       1,668,271  
    

 

 

  

Media — 1.9%

     

Comcast Corp., Class A

     13,398        602,488  
    

 

 

  

Multi-Utilities — 2.0%

 

   

CMS Energy Corp.

     4,737        297,682  

DTE Energy Co.

     545        70,828  

NiSource, Inc.

     1,802        50,167  

Public Service Enterprise Group, Inc.

     3,493        206,255  
    

 

 

  
       624,932  
    

 

 

  

Oil, Gas & Consumable Fuels — 7.0%

 

   

Chevron Corp.

     7,454        898,299  

ConocoPhillips

     10,563        686,936  

Exxon Mobil Corp.

     5,440        379,620  

Valero Energy Corp.

     2,462        230,555  
    

 

 

  
       2,195,410  
    

 

 

  

Pharmaceuticals — 8.4%

 

   

Bristol-Myers Squibb Co.

     11,382        730,606  

Eli Lilly & Co.

     2,682        352,549  

Johnson & Johnson

     4,463        651,027  

Merck & Co., Inc.

     5,174        470,612  

Pfizer, Inc.

     10,987        430,460  
    

 

 

  
       2,635,254  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Road & Rail — 1.1%

 

   

Norfolk Southern Corp.

     1,840        357,130  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.3%

 

   

Analog Devices, Inc.

     4,288        509,537  

Texas Instruments, Inc.

     4,138        530,877  
    

 

 

  
       1,040,414  
    

 

 

  

Software — 1.9%

 

   

Microsoft Corp.

     3,784        596,674  
    

 

 

  

Specialty Retail — 1.7%

 

   

Home Depot, Inc. (The)

     2,218        484,356  

Tiffany & Co.

     492        65,786  
    

 

 

  
       550,142  
    

 

 

  

Technology Hardware, Storage & Peripherals — 1.5%

 

   

Apple, Inc.

     1,573        461,835  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.0%

 

   

VF Corp.

     3,086        307,580  
    

 

 

  

Tobacco — 2.5%

 

   

Altria Group, Inc.

     5,401        269,548  

Philip Morris International, Inc.

     6,151        523,387  
    

 

 

  
       792,935  
    

 

 

  

Total Common Stocks
(Cost $22,798,429)

 

      30,648,795  
  

 

 

  

Short-Term Investments — 2.6%

 

   

Investment Companies — 2.6%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)
(Cost $821,266)

     821,015        821,261  
    

 

 

  

Total Investments — 99.9%
(Cost $23,619,695)

 

      31,470,056  

Other Assets Less Liabilities — 0.1%

 

      42,666  
    

 

 

  

NET ASSETS — 100.0%

 

      31,512,722  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of December 31, 2019.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Equity Premium Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 81.0%

 

   

Aerospace & Defense — 3.0%

 

   

General Dynamics Corp.

     8        1,329  

Northrop Grumman Corp.

     2        771  

United Technologies Corp.

     9        1,384  
    

 

 

  
       3,484  
    

 

 

  

Banks — 0.3%

 

Truist Financial Corp.

     6        349  
    

 

 

  

Beverages — 3.2%

 

Coca-Cola Co. (The)

     27        1,483  

Constellation Brands, Inc., Class A

     4        716  

PepsiCo, Inc.

     11        1,533  
    

 

 

  
       3,732  
    

 

 

  

Building Products — 0.4%

 

Allegion plc

     4        470  
    

 

 

  

Capital Markets — 1.9%

 

CME Group, Inc.

     4        764  

Intercontinental Exchange, Inc.

     16        1,442  
    

 

 

  
       2,206  
    

 

 

  

Chemicals — 2.0%

 

Air Products & Chemicals, Inc.

     2        472  

Celanese Corp.

     7        861  

Linde plc (United Kingdom)

     5        993  
    

 

 

  
       2,326  
    

 

 

  

Commercial Services & Supplies — 1.2%

 

Waste Management, Inc.

     12        1,398  
    

 

 

  

Consumer Finance — 1.2%

 

American Express Co.

     11        1,380  
    

 

 

  

Containers & Packaging — 0.2%

 

Silgan Holdings, Inc.

     9        269  
    

 

 

  

Diversified Financial Services — 1.2%

 

Berkshire Hathaway, Inc., Class B*

     6        1,398  
    

 

 

  

Diversified Telecommunication Services — 1.2%

 

Verizon Communications, Inc.

     23        1,399  
    

 

 

  

Electric Utilities — 7.1%

 

American Electric Power Co., Inc.

     16        1,554  

Edison International

     6        472  

Entergy Corp.

     12        1,394  

Exelon Corp.

     5        241  

FirstEnergy Corp.

     21        1,044  

NextEra Energy, Inc.

     6        1,538  

Southern Co. (The)

     7        461  

Xcel Energy, Inc.

     24        1,511  
    

 

 

  
       8,215  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Electrical Equipment — 1.4%

 

Eaton Corp. plc

     16        1,562  
    

 

 

  

Entertainment — 0.7%

 

Walt Disney Co. (The)

     5        794  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 3.9%

 

Boston Properties, Inc.

     4        608  

Equity LifeStyle Properties, Inc.

     5        329  

Equity Residential

     5        434  

National Retail Properties, Inc.

     16        864  

Prologis, Inc.

     8        691  

Public Storage

     4        756  

VICI Properties, Inc.

     20        511  

WP Carey, Inc.

     4        297  
    

 

 

  
       4,490  
    

 

 

  

Food & Staples Retailing — 1.2%

 

Costco Wholesale Corp.

     2        723  

Walmart, Inc.

     5        633  
    

 

 

  
       1,356  
    

 

 

  

Food Products — 1.9%

 

General Mills, Inc.

     12        657  

Mondelez International, Inc., Class A

     27        1,503  
    

 

 

  
       2,160  
    

 

 

  

Health Care Equipment & Supplies — 1.6%

 

Becton Dickinson and Co.

     2        550  

Medtronic plc

     8        941  

Zimmer Biomet Holdings, Inc.

     2        331  
    

 

 

  
       1,822  
    

 

 

  

Health Care Providers & Services — 1.9%

 

Anthem, Inc.

     1        320  

Cigna Corp.

     1        248  

UnitedHealth Group, Inc.

     6        1,639  
    

 

 

  
       2,207  
    

 

 

  

Hotels, Restaurants & Leisure — 2.5%

 

Darden Restaurants, Inc.

     4        473  

McDonald’s Corp.

     6        1,251  

Yum! Brands, Inc.

     12        1,184  
    

 

 

  
       2,908  
    

 

 

  

Household Products — 1.8%

 

Kimberly-Clark Corp.

     3        462  

Procter & Gamble Co. (The)

     12        1,550  
    

 

 

  
       2,012  
    

 

 

  

Industrial Conglomerates — 1.2%

 

Honeywell International, Inc.

     7        1,322  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         29  

Table of Contents

JPMorgan Equity Premium Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		     VALUE
($000)		  

Common Stocks — continued

    

Insurance — 7.2%

 

Allstate Corp. (The)

     13       1,468  

Aon plc

     5       972  

Axis Capital Holdings Ltd.

     18       1,051  

Chubb Ltd.

     9       1,386  

Everest Re Group Ltd.

     4       1,068  

Hartford Financial Services Group, Inc. (The)

     23       1,409  

MetLife, Inc.

     17       865  
   

 

 

  
      8,219  
   

 

 

  

Interactive Media & Services — 1.4%

 

Alphabet, Inc., Class A*

     1       1,566  
   

 

 

  

Internet & Direct Marketing Retail — 0.4%

 

Amazon.com, Inc.*

     — (a)      477  
   

 

 

  

IT Services — 6.7%

 

Accenture plc, Class A

     8       1,597  

Automatic Data Processing, Inc.

     8       1,431  

Fiserv, Inc.*

     13       1,519  

International Business Machines Corp.

     6       848  

Leidos Holdings, Inc.

     8       783  

Mastercard, Inc., Class A

     2       621  

Visa, Inc., Class A

     5       886  
   

 

 

  
      7,685  
   

 

 

  

Life Sciences Tools & Services — 0.7%

 

Thermo Fisher Scientific, Inc.

     2       804  
   

 

 

  

Machinery — 1.6%

 

Cummins, Inc.

     3       555  

Ingersoll-Rand plc

     10       1,279  
   

 

 

  
      1,834  
   

 

 

  

Media — 1.2%

 

Comcast Corp., Class A

     29       1,326  
   

 

 

  

Multi-Utilities — 2.5%

 

CMS Energy Corp.

     23       1,419  

Sempra Energy

     10       1,443  
   

 

 

  
      2,862  
   

 

 

  

Oil, Gas & Consumable Fuels — 2.3%

 

Chevron Corp.

     11       1,343  

ONEOK, Inc.

     18       1,338  
   

 

 

  
      2,681  
   

 

 

  

Pharmaceuticals — 5.5%

 

Bristol-Myers Squibb Co.

     12       739  

Eli Lilly & Co.

     12       1,601  

Johnson & Johnson

     10       1,450  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Pharmaceuticals — continued

 

Merck & Co., Inc.

     16        1,444  

Pfizer, Inc.

     27        1,058  
    

 

 

  
       6,292  
    

 

 

  

Road & Rail — 1.4%

 

Kansas City Southern

     3        460  

Norfolk Southern Corp.

     5        949  

Union Pacific Corp.

     1        226  
    

 

 

  
       1,635  
    

 

 

  

Semiconductors & Semiconductor Equipment — 1.4%

 

Analog Devices, Inc.

     4        454  

Texas Instruments, Inc.

     9        1,169  
    

 

 

  
       1,623  
    

 

 

  

Software — 1.7%

 

Intuit, Inc.

     1        267  

Microsoft Corp.

     11        1,666  
    

 

 

  
       1,933  
    

 

 

  

Specialty Retail — 4.1%

 

AutoZone, Inc.*

     1        1,377  

Home Depot, Inc. (The)

     4        883  

Ross Stores, Inc.

     8        946  

TJX Cos., Inc. (The)

     25        1,521  
    

 

 

  
       4,727  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.3%

 

NIKE, Inc., Class B

     3        318  
    

 

 

  

Tobacco — 1.6%

 

Altria Group, Inc.

     17        840  

Philip Morris International, Inc.

     12        1,029  
    

 

 

  
       1,869  
    

 

 

  

Total Common Stocks
(Cost $84,746)

 

      93,110  
  

 

 

  
     PRINCIPAL
AMOUNT
($000)		          

Equity Linked Notes — 15.7%

 

Credit Suisse AG, ELN, 36.10%, 1/31/2020, (linked to S&P 500 Index) (b)

     1        3,980  

GS Finance Corp., ELN, 45.79, 1/10/2020, (linked to S&P 500 Index) (b)

     1        3,293  

HSBC Bank USA, NA, ELN, 38.99%, 1/17/2020, (linked to S&P 500 Index) (b)

     1        3,492  

UBS AG, ELN, 32.60%, 1/24/2020, (linked to S&P 500 Index) (b)

     1        3,608  

Wells Fargo Bank, ELN, 42.50%, 2/7/2020, (linked to S&P 500 Index) (b)

     1        3,648  
    

 

 

  

Total Equity Linked Notes
(Cost $18,638)

 

      18,021  
  

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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

Exchange-Traded Funds — 1.5%

 

International Equity — 1.5%

     

iShares Edge MSCI Min Vol USA ETF
(Cost $1,677)

     26        1,683  
    

 

 

  

Short-Term Investments — 2.6%

     

Investment Companies — 2.6%

     

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d)
(Cost $3,015)

     3,014        3,015  
    

 

 

  

Total Investments — 100.8%
(Cost $108,076)

 

      115,829  

Liabilities in Excess of
Other Assets — (0.8)%

 

      (912 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      114,917  
  

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations

ELN   Equity-Linked Note
ETF   Exchange-Traded Fund

 

(a)   Amount rounds to less than one thousand.
(b)   Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         31  

Table of Contents

JPMorgan Growth and Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — 98.0%

 

Aerospace & Defense — 2.9%

 

General Dynamics Corp.

     46        8,041  

United Technologies Corp.

     97        14,482  
    

 

 

  
       22,523  
    

 

 

  

Banks — 12.3%

     

Bank of America Corp.

     770        27,119  

Citigroup, Inc.

     103        8,233  

Citizens Financial Group, Inc.

     131        5,336  

Cullen/Frost Bankers, Inc.

     37        3,589  

M&T Bank Corp.

     38        6,366  

PNC Financial Services Group, Inc. (The)

     71        11,302  

Truist Financial Corp.

     310        17,469  

US Bancorp

     143        8,467  

Wells Fargo & Co.

     147        7,903  
    

 

 

  
       95,784  
    

 

 

  

Beverages — 0.5%

 

   

PepsiCo, Inc.

     30        4,114  
    

 

 

  

Biotechnology — 1.9%

     

AbbVie, Inc.

     108        9,554  

Gilead Sciences, Inc.

     81        5,263  
    

 

 

  
       14,817  
    

 

 

  

Capital Markets — 7.7%

 

BlackRock, Inc.

     32        15,835  

Charles Schwab Corp. (The)

     113        5,360  

Goldman Sachs Group, Inc. (The)

     36        8,209  

Morgan Stanley

     372        18,996  

T. Rowe Price Group, Inc.

     93        11,331  
    

 

 

  
       59,731  
    

 

 

  

Chemicals — 2.3%

     

Air Products & Chemicals, Inc.

     29        6,791  

Axalta Coating Systems Ltd. *

     150        4,557  

Corteva, Inc.

     25        737  

DuPont de Nemours, Inc.

     89        5,741  
    

 

 

  
       17,826  
    

 

 

  

Consumer Finance — 1.9%

 

   

Capital One Financial Corp.

     68        6,977  

Discover Financial Services

     89        7,541  
    

 

 

  
       14,518  
    

 

 

  

Containers & Packaging — 0.7%

 

   

Ball Corp.

     40        2,593  

Sealed Air Corp.

     67        2,653  
    

 

 

  
       5,246  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Diversified Financial Services — 2.3%

 

   

Berkshire Hathaway, Inc., Class B*

     78        17,667  
    

 

 

  

Diversified Telecommunication Services — 1.3%

 

   

Verizon Communications, Inc.

     169        10,353  
    

 

 

  

Electric Utilities — 2.1%

 

   

Edison International

     56        4,185  

NextEra Energy, Inc.

     27        6,538  

Xcel Energy, Inc.

     87        5,511  
    

 

 

  
       16,234  
    

 

 

  

Entertainment — 1.4%

 

   

Walt Disney Co. (The)

     75        10,789  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 3.1%

 

AvalonBay Communities, Inc.

     25        5,264  

Crown Castle International Corp.

     25        3,582  

Simon Property Group, Inc.

     27        3,947  

Ventas, Inc.

     101        5,814  

Vornado Realty Trust

     80        5,327  
    

 

 

  
       23,934  
    

 

 

  

Food & Staples Retailing — 0.9%

 

   

Walmart, Inc.

     60        7,166  
    

 

 

  

Food Products — 1.0%

 

   

Mondelez International, Inc., Class A

     144        7,948  
    

 

 

  

Health Care Equipment & Supplies — 2.3%

 

   

Becton Dickinson and Co.

     37        10,090  

Medtronic plc

     67        7,545  
    

 

 

  
       17,635  
    

 

 

  

Health Care Providers & Services — 3.1%

 

   

Cigna Corp.

     36        7,331  

Humana, Inc.

     14        5,241  

UnitedHealth Group, Inc.

     39        11,465  
    

 

 

  
       24,037  
    

 

 

  

Hotels, Restaurants & Leisure — 1.4%

 

   

McDonald’s Corp.

     30        5,849  

Royal Caribbean Cruises Ltd.

     37        4,967  
    

 

 

  
       10,816  
    

 

 

  

Household Products — 1.1%

 

   

Colgate-Palmolive Co.

     124        8,557  
    

 

 

  

Industrial Conglomerates — 1.1%

 

   

Honeywell International, Inc.

     47        8,337  
    

 

 

  

Insurance — 4.6%

 

   

Chubb Ltd.

     59        9,116  

Hartford Financial Services Group, Inc. (The)

     197        11,954  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  

Common Stocks — continued

 

Insurance — continued

     

Loews Corp.

     80        4,215  

MetLife, Inc.

     81        4,144  

Prudential Financial, Inc.

     68        6,402  
    

 

 

  
       35,831  
    

 

 

  

Interactive Media & Services — 0.7%

 

   

Alphabet, Inc., Class C *

     4        5,587  
    

 

 

  

Internet & Direct Marketing Retail — 0.5%

 

   

Expedia Group, Inc.

     35        3,785  
    

 

 

  

IT Services — 1.0%

 

   

Fidelity National Information Services, Inc.

     58        8,123  
    

 

 

  

Machinery — 4.2%

 

   

Dover Corp.

     87        9,991  

Ingersoll-Rand plc

     24        3,124  

Parker-Hannifin Corp.

     67        13,872  

Stanley Black & Decker, Inc.

     32        5,254  
    

 

 

  
       32,241  
    

 

 

  

Media — 0.5%

     

Comcast Corp., Class A

     85        3,836  
    

 

 

  

Multi-Utilities — 2.2%

     

CMS Energy Corp.

     193        12,122  

NiSource, Inc.

     48        1,325  

Public Service Enterprise Group, Inc.

     57        3,384  
    

 

 

  
       16,831  
    

 

 

  

Oil, Gas & Consumable Fuels — 7.8%

     

Chevron Corp.

     144        17,341  

ConocoPhillips

     193        12,575  

EOG Resources, Inc.

     91        7,584  

Exxon Mobil Corp.

     54        3,739  

Marathon Petroleum Corp.

     42        2,525  

Phillips 66

     40        4,401  

Pioneer Natural Resources Co.

     27        4,072  

Valero Energy Corp.

     73        6,865  

Williams Cos., Inc. (The)

     56        1,319  
    

 

 

  
       60,421  
    

 

 

  

Pharmaceuticals — 6.9%

     

Bristol-Myers Squibb Co.

     278        17,858  

Eli Lilly & Co.

     29        3,753  

Johnson & Johnson

     95        13,872  

Merck & Co., Inc.

     115        10,502  

Pfizer, Inc.

     202        7,930  
    

 

 

  
       53,915  
    

 

 

  
INVESTMENTS  

SHARES

(000)

     

VALUE

($000)

  
    

Road & Rail — 1.3%

     

CSX Corp.

     52        3,741  

Kansas City Southern

     41        6,234  
    

 

 

  
       9,975  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.3%

 

Analog Devices, Inc.

     103        12,205  

NXP Semiconductors NV (Netherlands)

     62        7,916  

Texas Instruments, Inc.

     105        13,406  
    

 

 

  
       33,527  
    

 

 

  

Software — 2.8%

     

Microsoft Corp.

     140        21,999  
    

 

 

  

Specialty Retail — 4.1%

     

AutoZone, Inc. *

     8        8,947  

Home Depot, Inc. (The)

     54        11,683  

Lowe’s Cos., Inc.

     50        5,940  

TJX Cos., Inc. (The)

     93        5,660  
    

 

 

  
       32,230  
    

 

 

  

Technology Hardware, Storage & Peripherals — 2.0%

 

Apple, Inc.

     53        15,563  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.1%

 

   

NIKE, Inc., Class B

     85        8,642  
    

 

 

  

Tobacco — 2.0%

     

Altria Group, Inc.

     98        4,866  

Philip Morris International, Inc.

     125        10,645  
    

 

 

  
       15,511  
    

 

 

  

Trading Companies & Distributors — 0.7%

 

   

Watsco, Inc.

     29        5,206  
    

 

 

  

Total Common Stocks
(Cost $483,946)

 

      761,255  
    

 

 

  

Short-Term Investments — 1.9%

 

Investment Companies — 1.9%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)
(Cost $14,492)

     14,488        14,492  
    

 

 

  

Total Investments — 99.9%
(Cost $498,438)

 

      775,747  

Other Assets Less Liabilities — 0.1%

 

      666  
    

 

 

  

NET ASSETS — 100.0%

 

      776,413  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         33  

Table of Contents

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 99.0%

 

Aerospace & Defense — 2.0%

 

Boeing Co. (The)

     40        12,965  

General Dynamics Corp. (a)

     269        47,486  

Northrop Grumman Corp.

     67        23,132  

United Technologies Corp.

     326        48,828  
    

 

 

  
       132,411  
    

 

 

  

Airlines — 0.4%

 

Delta Air Lines, Inc.

     240        14,059  

Southwest Airlines Co.

     175        9,422  

United Airlines Holdings, Inc. *

     59        5,224  
    

 

 

  
       28,705  
    

 

 

  

Auto Components — 0.2%

 

Magna International, Inc. (Canada)

     228        12,519  
    

 

 

  

Automobiles — 0.3%

 

General Motors Co.

     549        20,082  
    

 

 

  

Banks — 4.5%

 

Bank of America Corp. (a)

     2,165        76,268  

Citigroup, Inc.

     1,204        96,196  

Citizens Financial Group, Inc.

     198        8,039  

Fifth Third Bancorp

     268        8,249  

KeyCorp

     1,739        35,196  

Regions Financial Corp.

     576        9,882  

Truist Financial Corp.

     269        15,146  

Wells Fargo & Co.

     993        53,430  
    

 

 

  
       302,406  
    

 

 

  

Beverages — 1.9%

 

Coca-Cola Co. (The) (a)

     1,484        82,164  

Constellation Brands, Inc., Class A

     177        33,590  

PepsiCo, Inc. (a)

     56        7,600  
    

 

 

  
       123,354  
    

 

 

  

Biotechnology — 2.4%

 

AbbVie, Inc. (a)

     693        61,398  

Alexion Pharmaceuticals, Inc. * (a)

     179        19,366  

Amgen, Inc.

     27        6,413  

Biogen, Inc. *

     94        27,804  

Regeneron Pharmaceuticals, Inc. *

     48        18,109  

Vertex Pharmaceuticals, Inc. *

     130        28,461  
    

 

 

  
       161,551  
    

 

 

  

Building Products — 0.3%

 

Masco Corp.

     405        19,416  
    

 

 

  

Capital Markets — 2.9%

 

Ameriprise Financial, Inc.

     82        13,740  

BlackRock, Inc.

     28        14,242  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Capital Markets — continued

     

Charles Schwab Corp. (The)

     563        26,780  

Intercontinental Exchange, Inc.

     529        48,926  

MarketAxess Holdings, Inc.

     6        2,350  

Morgan Stanley

     1,110        56,719  

S&P Global, Inc.

     84        22,832  

State Street Corp.

     84        6,611  
    

 

 

  
       192,200  
    

 

 

  

Chemicals — 2.0%

 

Celanese Corp.

     174        21,364  

Corteva, Inc.

     528        15,600  

Dow, Inc.

     335        18,351  

DuPont de Nemours, Inc.

     266        17,075  

Eastman Chemical Co.

     360        28,524  

Linde plc (United Kingdom)

     96        20,343  

LyondellBasell Industries NV, Class A

     127        11,972  
    

 

 

  
       133,229  
    

 

 

  

Commercial Services & Supplies — 0.6%

 

Cintas Corp. (a)

     15        4,106  

Waste Management, Inc.

     305        34,729  
    

 

 

  
       38,835  
    

 

 

  

Communications Equipment — 0.3%

 

Cisco Systems, Inc.

     296        14,207  

Motorola Solutions, Inc.

     25        3,988  
    

 

 

  
       18,195  
    

 

 

  

Consumer Finance — 1.5%

 

American Express Co.

     355        44,253  

Capital One Financial Corp.

     427        43,959  

Synchrony Financial

     349        12,553  
    

 

 

  
       100,765  
    

 

 

  

Containers & Packaging — 0.4%

 

Crown Holdings, Inc. *

     226        16,358  

Packaging Corp. of America

     18        1,993  

Westrock Co.

     221        9,476  
    

 

 

  
       27,827  
    

 

 

  

Diversified Consumer Services — 0.0% (b)

 

H&R Block, Inc.

     99        2,333  
    

 

 

  

Diversified Financial Services — 1.7%

 

Berkshire Hathaway, Inc., Class B * (a)

     488        110,564  

Voya Financial, Inc.

     46        2,780  
    

 

 

  
       113,344  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Diversified Telecommunication Services — 1.1%

 

AT&T, Inc.

     94        3,689  

Verizon Communications, Inc. (a)

     1,180        72,421  
    

 

 

  
       76,110  
    

 

 

  

Electric Utilities — 2.6%

 

Edison International

     219        16,549  

Entergy Corp.

     378        45,224  

FirstEnergy Corp.

     113        5,492  

NextEra Energy, Inc. (a)

     275        66,485  

Southern Co. (The)

     455        29,010  

Xcel Energy, Inc. (a)

     186        11,819  
    

 

 

  
       174,579  
    

 

 

  

Electrical Equipment — 1.1%

 

Eaton Corp. plc

     712        67,462  

Emerson Electric Co.

     87        6,629  
    

 

 

  
       74,091  
    

 

 

  

Entertainment — 1.3%

 

Electronic Arts, Inc. *

     200        21,485  

Netflix, Inc. * (a)

     141        45,568  

Walt Disney Co. (The) (a)

     120        17,357  
    

 

 

  
       84,410  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.2%

 

AvalonBay Communities, Inc.

     100        20,964  

Equinix, Inc.

     42        24,603  

Equity Residential

     269        21,788  

Federal Realty Investment Trust

     92        11,873  

Mid-America Apartment Communities, Inc.

     76        10,028  

Prologis, Inc.

     351        31,294  

Public Storage

     27        5,675  

Ventas, Inc.

     221        12,739  

VICI Properties, Inc.

     223        5,704  
    

 

 

  
       144,668  
    

 

 

  

Food & Staples Retailing — 0.2%

 

Walmart, Inc.

     134        15,914  
    

 

 

  

Food Products — 1.1%

 

Conagra Brands, Inc.

     125        4,280  

General Mills, Inc.

     393        21,040  

Mondelez International, Inc., Class A (a)

     916        50,439  
    

 

 

  
       75,759  
    

 

 

  

Health Care Equipment & Supplies — 3.0%

 

Becton Dickinson and Co. (a)

     15        4,047  

Boston Scientific Corp. * (a)

     1,128        51,027  

Intuitive Surgical, Inc. * (a)

     20        11,829  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Health Care Equipment & Supplies — continued

 

Medtronic plc (a)

     710        80,599  

Zimmer Biomet Holdings, Inc. (a)

     341        51,108  
    

 

 

  
       198,610  
    

 

 

  

Health Care Providers & Services — 3.1%

 

Anthem, Inc.

     146        44,226  

Cigna Corp. (a)

     280        57,272  

McKesson Corp.

     68        9,407  

UnitedHealth Group, Inc. (a)

     328        96,452  
    

 

 

  
       207,357  
    

 

 

  

Hotels, Restaurants & Leisure — 1.3%

 

Hilton Worldwide Holdings, Inc.

     225        24,943  

McDonald’s Corp.

     76        15,004  

Royal Caribbean Cruises Ltd.

     52        6,975  

Yum! Brands, Inc.

     414        41,720  
    

 

 

  
       88,642  
    

 

 

  

Household Durables — 0.3%

 

Lennar Corp., Class A

     376        20,986  
    

 

 

  

Household Products — 1.1%

 

Kimberly-Clark Corp.

     23        3,205  

Procter & Gamble Co. (The) (a)

     562        70,138  
    

 

 

  
       73,343  
    

 

 

  

Industrial Conglomerates — 0.9%

 

Honeywell International, Inc. (a)

     347        61,462  
    

 

 

  

Insurance — 2.1%

 

Allstate Corp. (The) (a)

     157        17,662  

American International Group, Inc. (a)

     645        33,121  

Arthur J Gallagher & Co.

     70        6,698  

Hartford Financial Services Group, Inc. (The)

     591        35,894  

Lincoln National Corp.

     21        1,235  

MetLife, Inc.

     792        40,343  

Progressive Corp. (The)

     59        4,276  
    

 

 

  
       139,229  
    

 

 

  

Interactive Media & Services — 4.8%

 

Alphabet, Inc., Class A * (a)

     91        121,911  

Alphabet, Inc., Class C * (a)

     84        111,828  

Facebook, Inc., Class A * (a)

     433        88,777  
    

 

 

  
       322,516  
    

 

 

  

Internet & Direct Marketing Retail — 3.9%

 

Amazon.com, Inc. * (a)

     120        222,554  

Booking Holdings, Inc. * (a)

     4        8,236  

Expedia Group, Inc.

     255        27,557  
    

 

 

  
       258,347  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         35  

Table of Contents

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

IT Services — 6.2%

 

Accenture plc, Class A

     154        32,356  

Automatic Data Processing, Inc. (a)

     427        72,814  

Fiserv, Inc. *

     203        23,510  

International Business Machines Corp.

     83        11,191  

Leidos Holdings, Inc.

     212        20,737  

Mastercard, Inc., Class A (a)

     436        130,108  

PayPal Holdings, Inc. * (a)

     722        78,114  

Visa, Inc., Class A (a)

     252        47,313  
    

 

 

  
       416,143  
    

 

 

  

Leisure Products — 0.1%

 

Hasbro, Inc.

     77        8,124  
    

 

 

  

Life Sciences Tools & Services — 1.2%

 

Illumina, Inc. *

     37        12,251  

Thermo Fisher Scientific, Inc. (a)

     210        68,382  
    

 

 

  
       80,633  
    

 

 

  

Machinery — 2.2%

 

Caterpillar, Inc.

     66        9,673  

Cummins, Inc.

     179        31,970  

Deere & Co.

     74        12,814  

Ingersoll-Rand plc

     195        25,938  

Parker-Hannifin Corp.

     164        33,738  

Snap-on, Inc.

     59        9,937  

Stanley Black & Decker, Inc.

     146        24,254  
    

 

 

  
       148,324  
    

 

 

  

Media — 3.2%

 

Altice USA, Inc., Class A *

     389        10,643  

Charter Communications, Inc., Class A * (a)

     137        66,480  

Comcast Corp., Class A (a)

     2,244        100,917  

Discovery, Inc., Class A *

     528        17,299  

Discovery, Inc., Class C *

     577        17,600  

ViacomCBS, Inc.

     75        3,145  
    

 

 

  
       216,084  
    

 

 

  

Metals & Mining — 0.1%

 

Freeport-McMoRan, Inc.

     322        4,220  

Newmont Goldcorp Corp.

     117        5,067  
    

 

 

  
       9,287  
    

 

 

  

Multiline Retail — 0.2%

 

Target Corp.

     100        12,788  
    

 

 

  

Multi-Utilities — 0.7%

 

CMS Energy Corp.

     520        32,662  

Sempra Energy

     96        14,518  
    

 

 

  
       47,180  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Oil, Gas & Consumable Fuels — 4.3%

 

Chevron Corp. (a)

     779        93,848  

Diamondback Energy, Inc.

     248        23,031  

EOG Resources, Inc. (a)

     561        47,010  

Exxon Mobil Corp. (a)

     199        13,861  

Marathon Petroleum Corp. (a)

     624        37,578  

ONEOK, Inc.

     487        36,822  

Pioneer Natural Resources Co. (a)

     230        34,868  
    

 

 

  
       287,018  
    

 

 

  

Pharmaceuticals — 4.5%

 

Allergan plc

     73        13,883  

Bristol-Myers Squibb Co. (a)

     945        60,672  

Eli Lilly & Co.

     358        47,020  

Johnson & Johnson (a)

     475        69,318  

Merck & Co., Inc. (a)

     908        82,580  

Pfizer, Inc.

     722        28,305  
    

 

 

  
       301,778  
    

 

 

  

Road & Rail — 1.5%

 

Kansas City Southern

     50        7,620  

Lyft, Inc., Class A *

     90        3,858  

Norfolk Southern Corp. (a)

     303        58,817  

Union Pacific Corp. (a)

     180        32,495  
    

 

 

  
       102,790  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.6%

 

Advanced Micro Devices, Inc. * (a)

     922        42,281  

Analog Devices, Inc. (a)

     498        59,194  

Intel Corp.

     182        10,877  

NVIDIA Corp. (a)

     218        51,385  

NXP Semiconductors NV (Netherlands)

     330        41,964  

Teradyne, Inc.

     348        23,716  

Texas Instruments, Inc. (a)

     636        81,553  
    

 

 

  
       310,970  
    

 

 

  

Software — 7.1%

 

Intuit, Inc.

     186        48,777  

Microsoft Corp. (a)

     2,306        363,612  

salesforce.com, Inc. * (a)

     381        62,019  
    

 

 

  
       474,408  
    

 

 

  

Specialty Retail — 4.0%

 

AutoZone, Inc. * (a)

     37        44,102  

Best Buy Co., Inc.

     417        36,581  

Home Depot, Inc. (The) (a)

     306        66,835  

Lowe’s Cos., Inc.

     431        51,598  

O’Reilly Automotive, Inc. *

     34        15,050  

Ross Stores, Inc. (a)

     179        20,816  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Specialty Retail — continued

 

TJX Cos., Inc. (The)

     502        30,672  
    

 

 

  
       265,654  
    

 

 

  

Technology Hardware, Storage & Peripherals — 5.3%

 

Apple, Inc. (a)

     1,153        338,626  

HP, Inc.

     822        16,892  
    

 

 

  
       355,518  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.9%

 

NIKE, Inc., Class B

     513        51,996  

Ralph Lauren Corp.

     65        7,676  
    

 

 

  
       59,672  
    

 

 

  

Tobacco — 1.3%

 

Altria Group, Inc.

     477        23,817  

Philip Morris International, Inc. (a)

     770        65,484  
    

 

 

  
       89,301  
    

 

 

  

Wireless Telecommunication Services — 0.1%

 

T-Mobile US, Inc. *

     102        7,988  
    

 

 

  

Total Common Stocks
(Cost $5,437,210)

 

      6,636,855  
    

 

 

  
     NO. OF
CONTRACTS		          

Options Purchased — 1.2%

 

   

Put Options Purchased — 1.2%

 

Index Funds — 1.2%

 

S&P 500 Index
3/31/2020 at USD 3,055.00,
European Style Notional Amount:
USD 6,720,022 Exchange Traded *

     20,800        82,160  
    

 

 

  

Total Options Purchased
(Cost $82,285)

        82,160  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 3.1%

 

   

Investment Companies — 3.1%

 

   

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.47% (c) (d)
(Cost $209,467)

     209,467        209,467  
    

 

 

  

Total Investments — 103.3%
(Cost $5,728,962)

        6,928,482  

Liabilities in Excess of
Other Assets — (3.3)%

        (221,334 ) 
    

 

 

  

NET ASSETS — 100.0%

        6,707,148  
    

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations

USD   United States Dollar
(a)   All or a portion of the security is segregated for options written.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

Futures contracts outstanding as of December 31, 2019 (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        247          03/2020          USD          39,915          1,066  
                        

 

 

  

Abbreviations

USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         37  

Table of Contents

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Written Call Options Contracts as of December 31, 2019 (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        20,800          USD 6,720,022          USD 3,330.00          3/31/2020          (69,680 ) 
                   

 

 

  
Written Put Options Contracts as of December 31, 2019 (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        20,800          USD 6,720,022          USD 2,575.00          3/31/2020          (11,440 ) 
                             

 

 

  

Total Written Options Contracts (Premiums Received $80,766)

 

                       (81,120 ) 
                   

 

 

  

Abbreviations

USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Large Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.0%

 

Aerospace & Defense — 3.2%

 

Boeing Co. (The)

     1,089        354,688  

TransDigm Group, Inc. (a)

     365        204,288  
    

 

 

  
       558,976  
    

 

 

  

Automobiles — 2.6%

 

Tesla, Inc. * (a)

     1,106        462,673  
    

 

 

  

Beverages — 1.2%

 

Monster Beverage Corp. *

     3,216        204,348  
    

 

 

  

Biotechnology — 4.2%

 

Amgen, Inc. (a)

     1,010        243,577  

BioMarin Pharmaceutical, Inc. *

     1,074        90,815  

Exact Sciences Corp. * (a)

     2,157        199,498  

Moderna, Inc. * (a)

     1,745        34,132  

Regeneron Pharmaceuticals, Inc. * (a)

     259        97,287  

Sarepta Therapeutics, Inc. * (a)

     600        77,437  
    

 

 

  
       742,746  
    

 

 

  

Capital Markets — 6.5%

 

Charles Schwab Corp. (The)

     6,225        296,048  

MarketAxess Holdings, Inc.

     884        335,133  

Morgan Stanley

     2,181        111,498  

MSCI, Inc.

     429        110,837  

S&P Global, Inc.

     1,076        293,747  
    

 

 

  
       1,147,263  
    

 

 

  

Chemicals — 2.6%

 

Air Products & Chemicals, Inc.

     1,077        253,108  

Ecolab, Inc.

     260        50,089  

Sherwin-Williams Co. (The)

     271        158,314  
    

 

 

  
       461,511  
    

 

 

  

Electrical Equipment — 1.5%

 

Rockwell Automation, Inc.

     1,318        267,160  
    

 

 

  

Electronic Equipment, Instruments & Components — 1.1%

 

Amphenol Corp., Class A

     1,853        200,496  
    

 

 

  

Entertainment — 1.3%

 

Netflix, Inc. *

     705        228,052  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 0.8%

 

Equinix, Inc.

     232        135,623  
    

 

 

  

Food & Staples Retailing — 0.7%

 

Costco Wholesale Corp.

     443        130,265  
    

 

 

  

Health Care Equipment & Supplies — 5.7%

 

Abbott Laboratories

     1,487        129,152  

ABIOMED, Inc. * (a)

     183        31,252  

Boston Scientific Corp. * (a)

     5,987        270,710  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Health Care Equipment & Supplies — continued

 

DexCom, Inc. *

     1,428        312,339  

Intuitive Surgical, Inc. *

     455        268,899  
    

 

 

  
       1,012,352  
    

 

 

  

Health Care Technology — 0.9%

 

Veeva Systems, Inc., Class A *

     1,107        155,711  
    

 

 

  

Hotels, Restaurants & Leisure — 4.9%

 

Chipotle Mexican Grill, Inc. *

     404        338,276  

Las Vegas Sands Corp.

     2,898        200,071  

Starbucks Corp.

     3,669        322,605  
    

 

 

  
       860,952  
    

 

 

  

Industrial Conglomerates — 2.5%

 

Honeywell International, Inc.

     1,263        223,498  

Roper Technologies, Inc.

     607        215,053  
    

 

 

  
       438,551  
    

 

 

  

Interactive Media & Services — 8.8%

 

Alphabet, Inc., Class C *

     722        965,010  

Facebook, Inc., Class A *

     1,398        286,986  

Match Group, Inc. * (a)

     2,961        243,160  

Twitter, Inc. *

     1,577        50,556  
    

 

 

  
       1,545,712  
    

 

 

  

Internet & Direct Marketing Retail — 7.9%

 

Alibaba Group Holding Ltd., ADR (China) *

     624        132,308  

Amazon.com, Inc. *

     345        637,514  

Booking Holdings, Inc. *

     101        206,811  

MercadoLibre, Inc. (Argentina) *

     646        369,187  

Wayfair, Inc., Class A * (a)

     408        36,862  
    

 

 

  
       1,382,682  
    

 

 

  

IT Services — 7.3%

 

Fidelity National Information Services, Inc. (a)

     965        134,223  

Mastercard, Inc., Class A (a)

     2,105        628,562  

PayPal Holdings, Inc. *

     3,409        368,800  

Shopify, Inc., Class A (Canada) *

     382        151,677  
    

 

 

  
       1,283,262  
    

 

 

  

Life Sciences Tools & Services — 2.1%

 

Illumina, Inc. *

     317        105,220  

Thermo Fisher Scientific, Inc.

     833        270,636  
    

 

 

  
       375,856  
    

 

 

  

Personal Products — 1.1%

 

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

     910        187,848  
    

 

 

  

Professional Services — 1.1%

 

CoStar Group, Inc. *

     329        196,960  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         39  

Table of Contents

JPMorgan Large Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Road & Rail — 1.8%

 

Lyft, Inc., Class A *

     536        23,040  

Norfolk Southern Corp.

     1,501        291,311  
    

 

 

  
       314,351  
    

 

 

  

Semiconductors & Semiconductor Equipment — 7.5%

 

Advanced Micro Devices, Inc. *

     8,776        402,486  

ASML Holding NV (Registered), NYRS (Netherlands)

     583        172,414  

NVIDIA Corp.

     862        202,938  

QUALCOMM, Inc.

     1,404        123,875  

Texas Instruments, Inc.

     3,143        403,267  

Xilinx, Inc.

     249        24,335  
    

 

 

  
       1,329,315  
    

 

 

  

Software — 11.8%

 

Atlassian Corp. plc, Class A *

     1,374        165,347  

Microsoft Corp.

     7,392        1,165,703  

salesforce.com, Inc. *

     530        86,199  

ServiceNow, Inc. *

     669        188,914  

SS&C Technologies Holdings, Inc.

     1,166        71,580  

Synopsys, Inc. *

     1,849        257,423  

Trade Desk, Inc. (The), Class A * (a)

     556        144,516  
    

 

 

  
       2,079,682  
    

 

 

  

Specialty Retail — 2.5%

 

Home Depot, Inc. (The)

     1,446        315,699  

Ross Stores, Inc.

     1,108        129,037  
    

 

 

  
       444,736  
    

 

 

  

Technology Hardware, Storage & Peripherals — 3.7%

 

Apple, Inc.

     2,210        649,030  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.7%

 

Lululemon Athletica, Inc. *

     1,317        305,202  
    

 

 

  

Total Common Stocks
(Cost $10,169,143)

 

      17,101,315  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 5.6%

 

Investment Companies — 3.1%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)
(Cost $553,858)

     553,692        553,858  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 2.5%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c)

     390,024        390,062  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c)

     46,512        46,512  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $436,573)

        436,574  
  

 

 

  

Total Short-Term Investments
(Cost $990,431)

        990,432  
    

 

 

  

Total Investments — 102.6%
(Cost $11,159,574)

 

      18,091,747  

Liabilities in Excess of
Other Assets — (2.6)%

 

      (466,733 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      17,625,014  
    

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations

ADR   American Depositary Receipt
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $426,730,000.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Large Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.3%

 

Aerospace & Defense — 2.7%

 

Arconic, Inc.

     420        12,911  

General Dynamics Corp.

     178        31,320  
    

 

 

  
       44,231  
    

 

 

  

Airlines — 2.9%

 

Delta Air Lines, Inc.

     161        9,398  

JetBlue Airways Corp. *

     480        8,993  

Southwest Airlines Co.

     536        28,922  
    

 

 

  
       47,313  
    

 

 

  

Auto Components — 1.2%

 

Adient plc * (a)

     267        5,672  

Autoliv, Inc. (Sweden) (a)

     93        7,867  

Delphi Technologies plc *

     473        6,063  
    

 

 

  
       19,602  
    

 

 

  

Automobiles — 1.0%

 

General Motors Co.

     461        16,862  
    

 

 

  

Banks — 8.3%

 

Bank of America Corp.

     1,370        48,237  

Citigroup, Inc.

     477        38,094  

East West Bancorp, Inc.

     160        7,777  

Wells Fargo & Co.

     751        40,415  
    

 

 

  
       134,523  
    

 

 

  

Biotechnology — 1.8%

 

AbbVie, Inc.

     118        10,430  

Alexion Pharmaceuticals, Inc. *

     77        8,285  

Regeneron Pharmaceuticals, Inc. *

     29        10,701  
    

 

 

  
       29,416  
    

 

 

  

Building Products — 0.4%

 

Owens Corning

     104        6,799  
    

 

 

  

Capital Markets — 3.3%

 

Intercontinental Exchange, Inc.

     94        8,700  

Morgan Stanley

     861        44,029  
    

 

 

  
       52,729  
    

 

 

  

Chemicals — 5.7%

 

Celanese Corp.

     38        4,629  

Eastman Chemical Co.

     138        10,962  

FMC Corp. (a)

     627        62,567  

Linde plc (United Kingdom)

     69        14,775  
    

 

 

  
       92,933  
    

 

 

  

Consumer Finance — 1.2%

 

Capital One Financial Corp.

     188        19,316  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Containers & Packaging — 0.2%

 

Westrock Co.

     82        3,536  
    

 

 

  

Diversified Financial Services — 2.3%

 

Berkshire Hathaway, Inc., Class B *

     167        37,735  
    

 

 

  

Electric Utilities — 2.5%

 

Edison International

     311        23,415  

Entergy Corp.

     69        8,218  

Xcel Energy, Inc.

     135        8,590  
    

 

 

  
       40,223  
    

 

 

  

Electrical Equipment — 0.5%

 

Eaton Corp. plc

     91        8,572  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 6.9%

 

Empire State Realty Trust, Inc., Class A

     457        6,378  

JBG SMITH Properties (a)

     209        8,341  

SBA Communications Corp.

     59        14,291  

Ventas, Inc. (a)

     613        35,400  

VEREIT, Inc.

     873        8,069  

VICI Properties, Inc.

     658        16,807  

Weingarten Realty Investors

     380        11,865  

WP Carey, Inc.

     120        9,629  
    

 

 

  
       110,780  
    

 

 

  

Food & Staples Retailing — 1.1%

 

Sprouts Farmers Market, Inc. * (a)

     166        3,212  

Walmart, Inc.

     117        13,916  
    

 

 

  
       17,128  
    

 

 

  

Food Products — 1.5%

 

Lamb Weston Holdings, Inc.

     289        24,880  
    

 

 

  

Health Care Equipment & Supplies — 2.9%

 

Becton Dickinson and Co.

     57        15,475  

Zimmer Biomet Holdings, Inc. (a)

     208        31,178  
    

 

 

  
       46,653  
    

 

 

  

Health Care Providers & Services — 3.7%

 

Centene Corp. *

     166        10,455  

Cigna Corp.

     195        39,957  

McKesson Corp.

     72        10,001  
    

 

 

  
       60,413  
    

 

 

  

Hotels, Restaurants & Leisure — 2.7%

 

Carnival Corp.

     171        8,707  

Norwegian Cruise Line Holdings Ltd. *

     278        16,221  

Wynn Resorts Ltd.

     130        18,067  
    

 

 

  
       42,995  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         41  

Table of Contents

JPMorgan Large Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Household Durables — 1.4%

 

Lennar Corp., Class A

     291        16,258  

Whirlpool Corp.

     44        6,432  
    

 

 

  
       22,690  
    

 

 

  

Household Products — 0.5%

     

Energizer Holdings, Inc. (a)

     152        7,623  
    

 

 

  

Insurance — 4.4%

     

Axis Capital Holdings Ltd.

     144        8,583  

Lincoln National Corp.

     278        16,411  

MetLife, Inc.

     402        20,505  

Prudential Financial, Inc.

     269        25,207  
    

 

 

  
       70,706  
    

 

 

  

IT Services — 0.9%

     

DXC Technology Co.

     139        5,233  

Fidelity National Information Services, Inc.

     65        9,013  
    

 

 

  
       14,246  
    

 

 

  

Leisure Products — 0.5%

     

Brunswick Corp.

     142        8,535  
    

 

 

  

Machinery — 0.6%

     

Parker-Hannifin Corp.

     46        9,488  
    

 

 

  

Media — 9.6%

     

Altice USA, Inc., Class A *

     646        17,673  

Charter Communications, Inc., Class A *

     104        50,545  

Comcast Corp., Class A

     1,406        63,237  

Discovery, Inc., Class A * (a)

     159        5,219  

DISH Network Corp., Class A *

     182        6,441  

ViacomCBS, Inc.

     274        11,491  
    

 

 

  
       154,606  
    

 

 

  

Metals & Mining — 0.8%

 

Alcoa Corp. *

     375        8,073  

Nucor Corp.

     89        5,026  
    

 

 

  
       13,099  
    

 

 

  

Multiline Retail — 0.5%

 

Dollar Tree, Inc. *

     82        7,693  
    

 

 

  

Oil, Gas & Consumable Fuels — 9.5%

 

Chevron Corp.

     334        40,287  

Concho Resources, Inc.

     239        20,903  

Diamondback Energy, Inc.

     294        27,292  

Marathon Petroleum Corp.

     477        28,739  

Pioneer Natural Resources Co.

     237        35,844  
    

 

 

  
       153,065  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Pharmaceuticals — 5.3%

 

Bristol-Myers Squibb Co.

     483        30,972  

Eli Lilly & Co.

     228        29,908  

Merck & Co., Inc.

     282        25,621  
    

 

 

  
       86,501  
    

 

 

  

Real Estate Management & Development — 1.4%

 

CBRE Group, Inc., Class A *

     90        5,497  

Cushman & Wakefield plc * (a)

     854        17,454  
    

 

 

  
       22,951  
    

 

 

  

Road & Rail — 0.2%

 

Lyft, Inc., Class A * (a)

     88        3,803  
    

 

 

  
    

Semiconductors & Semiconductor Equipment — 3.3%

 

Analog Devices, Inc.

     89        10,553  

Broadcom, Inc.

     21        6,668  

First Solar, Inc. * (a)

     132        7,398  

ON Semiconductor Corp. * (a)

     1,185        28,898  
    

 

 

  
       53,517  
    

 

 

  

Software — 0.9%

 

LogMeIn, Inc.

     109        9,320  

salesforce.com, Inc. *

     30        4,798  
    

 

 

  
       14,118  
    

 

 

  

Specialty Retail — 1.3%

 

Best Buy Co., Inc.

     236        20,756  
    

 

 

  

Technology Hardware, Storage & Peripherals — 0.4%

 

Dell Technologies, Inc., Class C *

     116        5,977  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.9%

 

Kontoor Brands, Inc.

     88        3,679  

Levi Strauss & Co., Class A (a)

     139        2,681  

Ralph Lauren Corp.

     63        7,338  
    

 

 

  
       13,698  
    

 

 

  

Tobacco — 3.1%

 

Altria Group, Inc.

     228        11,354  

Philip Morris International, Inc.

     456        38,793  
    

 

 

  
       50,147  
    

 

 

  

Total Common Stocks
(Cost $1,369,007)

 

      1,589,858  
  

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
INVESTMENTS   NO. OF
RIGHTS
(000)		      VALUE
($000)		  

Rights — 0.0% (b)

 

Pharmaceuticals — 0.0% (b)

 

Bristol-Myers Squibb Co., CVR, expiring 12/31/2020 *
(Cost $456)

     214        645  
    

 

 

  
     SHARES
(000)		          

Short-Term Investments — 3.0%

 

Investment Companies — 1.8%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d)
(Cost $28,867)

     28,859        28,867  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 1.2%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d)

     13,200        13,201  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d)

     6,743        6,743  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $19,944)

        19,944  
  

 

 

  

Total Short-Term Investments
(Cost $48,811)

        48,811  
    

 

 

  

Total Investments — 101.3%
(Cost $1,418,274)

 

      1,639,314  

Liabilities in Excess of
Other Assets — (1.3)%

 

      (21,135 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      1,618,179  
    

 

 

  

 

Percentages indicated are based on net assets.

 

Abbreviations

CVR   Contingent Value
USD   United States Dollar
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $19,448,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         43  

Table of Contents

JPMorgan U.S. Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 99.6%

 

Aerospace & Defense — 3.2%

 

General Dynamics Corp.

     752        132,546  

Northrop Grumman Corp.

     972        334,323  

United Technologies Corp.

     255        38,207  
    

 

 

  
       505,076  
    

 

 

  

Banks — 5.1%

 

Bank of America Corp.

     1,912        67,357  

Citigroup, Inc.

     1,029        82,243  

First Republic Bank

     39        4,616  

Huntington Bancshares, Inc.

     10,825        163,243  

KeyCorp (a)

     8,390        169,805  

SVB Financial Group * (a)

     676        169,663  

Truist Financial Corp.

     2,028        114,227  

Wells Fargo & Co.

     665        35,773  
    

 

 

  
       806,927  
    

 

 

  

Beverages — 4.5%

 

Coca-Cola Co. (The)

     7,772        430,190  

Constellation Brands, Inc., Class A

     1,390        263,805  

PepsiCo, Inc.

     30        4,127  
    

 

 

  
       698,122  
    

 

 

  

Biotechnology — 2.4%

 

AbbVie, Inc.

     2,250        199,238  

Alexion Pharmaceuticals, Inc. *

     853        92,278  

Biogen, Inc. *

     229        67,880  

Regeneron Pharmaceuticals, Inc. *

     12        4,445  

Vertex Pharmaceuticals, Inc. *

     93        20,263  
    

 

 

  
       384,104  
    

 

 

  

Capital Markets — 2.6%

 

Ameriprise Financial, Inc.

     759        126,475  

BlackRock, Inc.

     5        2,354  

Charles Schwab Corp. (The)

     578        27,506  

Morgan Stanley

     4,982        254,678  

State Street Corp.

     32        2,548  
    

 

 

  
       413,561  
    

 

 

  

Chemicals — 1.5%

 

Air Products & Chemicals, Inc.

     21        4,990  

Celanese Corp.

     33        4,029  

DuPont de Nemours, Inc.

     408        26,203  

Eastman Chemical Co.

     1,801        142,779  

FMC Corp.

     40        3,952  

Linde plc (United Kingdom)

     222        47,244  
    

 

 

  
       229,197  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Commercial Services & Supplies — 0.0% (b)

 

Waste Management, Inc.

     50        5,684  
    

 

 

  

Consumer Finance — 0.1%

 

American Express Co.

     122        15,134  
    

 

 

  

Containers & Packaging — 0.7%

 

Crown Holdings, Inc. *

     1,575        114,280  
    

 

 

  

Diversified Telecommunication Services — 2.2%

 

Verizon Communications, Inc.

     5,651        346,966  
    

 

 

  

Electric Utilities — 4.3%

 

American Electric Power Co., Inc.

     1,438        135,932  

Edison International

     255        19,232  

Entergy Corp.

     42        5,019  

NextEra Energy, Inc.

     1,174        284,273  

Xcel Energy, Inc.

     3,551        225,484  
    

 

 

  
       669,940  
    

 

 

  

Electrical Equipment — 1.6%

 

Eaton Corp. plc

     2,635        249,587  
    

 

 

  

Entertainment — 1.4%

 

Netflix, Inc. *

     667        215,878  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.5%

 

Equinix, Inc.

     4        2,276  

Prologis, Inc.

     3,913        348,818  

Ventas, Inc. (a)

     412        23,803  

VICI Properties, Inc.

     741        18,933  
    

 

 

  
       393,830  
    

 

 

  

Food Products — 0.0% (b)

 

Mondelez International, Inc., Class A

     113        6,243  
    

 

 

  

Health Care Equipment & Supplies — 3.3%

 

Becton Dickinson and Co.

     115        31,313  

Boston Scientific Corp. *

     6,134        277,392  

Intuitive Surgical, Inc. * (a)

     265        156,421  

Medtronic plc

     29        3,317  

Zimmer Biomet Holdings, Inc.

     293        43,881  
    

 

 

  
       512,324  
    

 

 

  

Health Care Providers & Services — 4.6%

 

Anthem, Inc.

     8        2,431  

Cigna Corp.

     1,041        212,945  

HCA Healthcare, Inc.

     17        2,522  

Quest Diagnostics, Inc.

     1,004        107,246  

UnitedHealth Group, Inc.

     1,361        400,052  
    

 

 

  
       725,196  
    

 

 

  
 

 

 
44       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

Hotels, Restaurants & Leisure — 2.8%

 

Hilton Worldwide Holdings, Inc.

     33        3,672  

Las Vegas Sands Corp.

     72        4,988  

McDonald’s Corp.

     1,067        210,842  

Royal Caribbean Cruises Ltd. (a)

     1,418        189,336  

Yum! Brands, Inc.

     251        25,266  
    

 

 

  
       434,104  
    

 

 

  

Household Products — 0.3%

 

Procter & Gamble Co. (The)

     426        53,235  
    

 

 

  

Industrial Conglomerates — 0.4%

 

Honeywell International, Inc.

     340        60,182  
    

 

 

  

Insurance — 1.8%

 

Arthur J Gallagher & Co.

     765        72,889  

Hartford Financial Services Group, Inc. (The)

     321        19,523  

MetLife, Inc.

     110        5,591  

Progressive Corp. (The)

     2,284        165,307  

Prudential Financial, Inc. (a)

     158        14,803  
    

 

 

  
       278,113  
    

 

 

  

Interactive Media & Services — 5.8%

 

Alphabet, Inc., Class A *

     452        605,545  

Alphabet, Inc., Class C *

     116        154,510  

Facebook, Inc., Class A *

     751        154,197  
    

 

 

  
       914,252  
    

 

 

  

Internet & Direct Marketing Retail — 4.6%

 

Amazon.com, Inc. *

     383        707,359  

Expedia Group, Inc.

     103        11,184  
    

 

 

  
       718,543  
    

 

 

  

IT Services — 6.5%

 

Automatic Data Processing, Inc.

     242        41,281  

Fidelity National Information Services, Inc.

     125        17,423  

Fiserv, Inc. *

     290        33,481  

Leidos Holdings, Inc.

     2,054        201,114  

Mastercard, Inc., Class A (a)

     1,638        489,044  

PayPal Holdings, Inc. *

     1,979        214,052  

WEX, Inc. * (a)

     72        15,065  
    

 

 

  
       1,011,460  
    

 

 

  

Life Sciences Tools & Services — 1.1%

 

Thermo Fisher Scientific, Inc.

     555        180,178  
    

 

 

  

Machinery — 0.5%

 

Deere & Co.

     109        18,928  

Ingersoll-Rand plc

     263        34,896  

Stanley Black & Decker, Inc.

     171        28,288  
    

 

 

  
       82,112  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Media — 2.5%

 

Altice USA, Inc., Class A *

     414        11,316  

Charter Communications, Inc., Class A *

     505        244,820  

Comcast Corp., Class A

     1,312        59,014  

Discovery, Inc., Class A * (a)

     122        3,990  

Discovery, Inc., Class C * (a)

     2,265        69,052  
    

 

 

  
       388,192  
    

 

 

  

Oil, Gas & Consumable Fuels — 4.0%

 

Chevron Corp.

     2,272        273,816  

Concho Resources, Inc.

     162        14,145  

Diamondback Energy, Inc.

     1,844        171,198  

EOG Resources, Inc.

     55        4,599  

Marathon Petroleum Corp.

     432        26,033  

Parsley Energy, Inc., Class A

     592        11,196  

Pioneer Natural Resources Co. (a)

     763        115,551  

TC Energy Corp. (Canada) (a)

     83        4,424  
    

 

 

  
       620,962  
    

 

 

  

Pharmaceuticals — 4.3%

 

Allergan plc

     13        2,513  

Bristol-Myers Squibb Co.

     2,713        174,131  

Eli Lilly & Co.

     1,356        178,196  

Johnson & Johnson

     762        111,115  

Merck & Co., Inc.

     2,054        186,775  

Nektar Therapeutics * (a)

     800        17,277  
    

 

 

  
       670,007  
    

 

 

  

Road & Rail — 2.3%

 

Kansas City Southern

     22        3,397  

Lyft, Inc., Class A * (a)

     192        8,258  

Norfolk Southern Corp.

     1,735        336,900  

Union Pacific Corp.

     60        10,834  
    

 

 

  
       359,389  
    

 

 

  

Semiconductors & Semiconductor Equipment — 7.1%

 

Advanced Micro Devices, Inc. * (a)

     3,686        169,021  

Analog Devices, Inc.

     2,142        254,577  

ASML Holding NV (Registered), NYRS (Netherlands) (a)

     72        21,255  

Broadcom, Inc.

     18        5,716  

NVIDIA Corp.

     138        32,400  

NXP Semiconductors NV (Netherlands)

     280        35,643  

Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)

     4,971        288,803  

Texas Instruments, Inc.

     2,340        300,227  
    

 

 

  
       1,107,642  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         45  

Table of Contents

JPMorgan U.S. Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Software — 8.7%

 

Coupa Software, Inc. *

     332        48,605  

Intuit, Inc.

     24        6,356  

Microsoft Corp.

     5,969        941,367  

salesforce.com, Inc. *

     2,045        332,664  

ServiceNow, Inc. *

     9        2,426  

Slack Technologies, Inc., Class A * (a)

     423        9,517  

Workday, Inc., Class A *

     163        26,787  
    

 

 

  
       1,367,722  
    

 

 

  

Specialty Retail — 3.2%

 

AutoZone, Inc. *

     5        5,604  

Best Buy Co., Inc.

     154        13,548  

Home Depot, Inc. (The)

     236        51,521  

Lowe’s Cos., Inc.

     268        32,143  

O’Reilly Automotive, Inc. *

     616        269,801  

Ross Stores, Inc.

     730        84,950  

TJX Cos., Inc. (The)

     611        37,328  
    

 

 

  
       494,895  
    

 

 

  

Technology Hardware, Storage & Peripherals — 3.3%

 

Apple, Inc.

     1,782        523,170  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.1%

 

NIKE, Inc., Class B

     95        9,663  
    

 

 

  

Tobacco — 0.2%

 

Philip Morris International, Inc.

     403        34,328  
    

 

 

  

Wireless Telecommunication Services — 0.1%

 

T-Mobile US, Inc. * (a)

     159        12,494  
    

 

 

  

Total Common Stocks
(Cost $10,858,741)

 

      15,612,692  
  

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Short-Term Investments — 0.9%

 

Investment Companies — 0.6%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d)
(Cost $99,206)

     99,177        99,207  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 0.3%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d)

     30,009        30,012  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d)

     12,154        12,154  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $42,165)

        42,166  
  

 

 

  

Total Short-Term Investments
(Cost $141,371)

        141,373  
    

 

 

  

Total Investments — 100.5%
(Cost $11,000,112)

 

      15,754,065  

Liabilities in Excess of
Other Assets — (0.5)%

 

      (80,828 ) 
    

 

 

  

NET ASSETS — 100.0%

 

      15,673,237  
  

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

ADR   American Depositary Receipt
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $41,689,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

Futures contracts outstanding as of December 31, 2019 (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        80          03/2020          USD          12,928          238  
                        

 

 

  

 

Abbreviations
USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan U.S. Large Cap Core Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Long Positions — 125.4%

 

   

Common Stocks — 124.6%

 

   

Aerospace & Defense — 3.1%

 

General Dynamics Corp. (a)

     229        40,385  

Northrop Grumman Corp. (a)

     114        39,206  

United Technologies Corp.

     374        56,050  
    

 

 

  
       135,641  
    

 

 

  

Auto Components — 0.2%

 

BorgWarner, Inc.

     26        1,141  

Magna International, Inc. (Canada)

     120        6,606  
    

 

 

  
       7,747  
    

 

 

  

Banks — 6.1%

 

Bank of America Corp. (a)

     1,952        68,738  

Citigroup, Inc.

     1,255        100,251  

Citizens Financial Group, Inc.

     169        6,851  

First Horizon National Corp.

     255        4,221  

First Republic Bank

     146        17,157  

KeyCorp

     1,969        39,846  

Regions Financial Corp.

     392        6,728  

Wells Fargo & Co.

     538        28,926  
    

 

 

  
       272,718  
    

 

 

  

Beverages — 2.4%

 

Coca-Cola Co. (The) (a)

     1,055        58,396  

Constellation Brands, Inc., Class A

     117        22,272  

PepsiCo, Inc. (a)

     190        25,977  
    

 

 

  
       106,645  
    

 

 

  

Biotechnology — 3.3%

 

AbbVie, Inc.

     896        79,348  

Alexion Pharmaceuticals, Inc. *

     151        16,315  

Biogen, Inc. *

     44        13,123  

Regeneron Pharmaceuticals, Inc. *

     44        16,521  

Vertex Pharmaceuticals, Inc. *

     89        19,587  
    

 

 

  
       144,894  
    

 

 

  

Building Products — 0.1%

 

Masco Corp.

     111        5,312  
    

 

 

  

Capital Markets — 2.8%

 

Ameriprise Financial, Inc.

     122        20,292  

BlackRock, Inc.

     26        13,183  

Charles Schwab Corp. (The)

     491        23,362  

Morgan Stanley (a)

     975        49,844  

State Street Corp.

     231        18,261  
    

 

 

  
       124,942  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Chemicals — 5.4%

 

Air Products & Chemicals, Inc.

     154        36,122  

Celanese Corp.

     122        14,975  

DuPont de Nemours, Inc.

     807        51,808  

FMC Corp.

     319        31,809  

Linde plc (United Kingdom)

     481        102,357  
    

 

 

  
       237,071  
    

 

 

  

Commercial Services & Supplies — 1.0%

 

Waste Management, Inc.

     368        41,931  
    

 

 

  

Consumer Finance — 1.3%

 

American Express Co. (a)

     452        56,247  
    

 

 

  

Diversified Telecommunication Services — 0.7%

 

Verizon Communications, Inc.

     489        30,027  
    

 

 

  

Electric Utilities — 4.1%

 

American Electric Power Co., Inc.

     62        5,905  

Edison International

     254        19,131  

Entergy Corp.

     346        41,419  

NextEra Energy, Inc. (a)

     330        79,878  

Xcel Energy, Inc.

     578        36,711  
    

 

 

  
       183,044  
    

 

 

  

Electrical Equipment — 0.7%

 

AMETEK, Inc.

     90        8,954  

Eaton Corp. plc

     189        17,892  

Emerson Electric Co.

     58        4,440  
    

 

 

  
       31,286  
    

 

 

  

Entertainment — 0.9%

 

Electronic Arts, Inc. *

     66        7,088  

Netflix, Inc. * (a)

     104        33,730  
    

 

 

  
       40,818  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 3.4%

 

Equinix, Inc.

     54        31,478  

Invitation Homes, Inc.

     147        4,395  

JBG SMITH Properties

     264        10,534  

Prologis, Inc.

     697        62,173  

Ventas, Inc.

     593        34,246  

VICI Properties, Inc.

     269        6,876  
    

 

 

  
       149,702  
    

 

 

  

Food Products — 0.8%

 

Conagra Brands, Inc.

     151        5,163  

General Mills, Inc. (a)

     68        3,651  

Mondelez International, Inc., Class A (a)

     496        27,346  
    

 

 

  
       36,160  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         47  

Table of Contents

JPMorgan U.S. Large Cap Core Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Long Positions — continued

 

   

Common Stocks — continued

 

   

Health Care Equipment & Supplies — 3.8%

 

Boston Scientific Corp. * (a)

     1,420        64,227  

Intuitive Surgical, Inc. *

     23        13,646  

Medtronic plc

     147        16,646  

Zimmer Biomet Holdings, Inc. (a)

     506        75,801  
    

 

 

  
       170,320  
    

 

 

  

Health Care Providers & Services — 4.1%

 

Anthem, Inc.

     67        20,293  

Cigna Corp. (a)

     321        65,578  

HCA Healthcare, Inc.

     177        26,226  

McKesson Corp.

     27        3,756  

UnitedHealth Group, Inc. (a)

     224        65,810  
    

 

 

  
       181,663  
    

 

 

  

Hotels, Restaurants & Leisure — 2.7%

 

Hilton Worldwide Holdings, Inc.

     123        13,646  

Las Vegas Sands Corp.

     336        23,182  

McDonald’s Corp.

     117        23,214  

MGM Resorts International

     139        4,629  

Royal Caribbean Cruises Ltd.

     70        9,376  

Yum! Brands, Inc.

     447        45,033  
    

 

 

  
       119,080  
    

 

 

  

Household Durables — 0.5%

 

DR Horton, Inc.

     159        8,367  

Lennar Corp., Class A

     148        8,254  

Mohawk Industries, Inc. *

     30        4,028  
    

 

 

  
       20,649  
    

 

 

  

Household Products — 1.4%

 

Procter & Gamble Co. (The) (a)

     493        61,553  
    

 

 

  

Industrial Conglomerates — 1.6%

 

Honeywell International, Inc.

     391        69,155  
    

 

 

  

Insurance — 2.8%

 

Arthur J Gallagher & Co.

     362        34,507  

Hartford Financial Services Group, Inc. (The)

     232        14,087  

Lincoln National Corp.

     37        2,162  

MetLife, Inc.

     495        25,238  

Progressive Corp. (The)

     438        31,696  

Reinsurance Group of America, Inc.

     28        4,519  

RenaissanceRe Holdings Ltd. (Bermuda)

     12        2,254  

Willis Towers Watson plc

     42        8,394  
    

 

 

  
       122,857  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Interactive Media & Services — 6.8%

 

Alphabet, Inc., Class A * (a)

     85        113,947  

Alphabet, Inc., Class C * (a)

     70        94,168  

Facebook, Inc., Class A * (a)

     387        79,330  

Snap, Inc., Class A *

     911        14,875  
    

 

 

  
       302,320  
    

 

 

  

Internet & Direct Marketing Retail — 4.5%

 

Amazon.com, Inc. * (a)

     100        185,523  

Expedia Group, Inc.

     110        11,893  
    

 

 

  
       197,416  
    

 

 

  

IT Services — 9.3%

 

Automatic Data Processing, Inc. (a)

     290        49,465  

Fidelity National Information Services, Inc. (a)

     544        75,681  

Fiserv, Inc. * (a)

     808        93,403  

Leidos Holdings, Inc.

     415        40,599  

Mastercard, Inc., Class A (a)

     293        87,450  

PayPal Holdings, Inc. *

     343        37,140  

WEX, Inc. *

     142        29,793  
    

 

 

  
       413,531  
    

 

 

  

Life Sciences Tools & Services — 0.9%

 

Thermo Fisher Scientific, Inc.

     126        40,813  
    

 

 

  

Machinery — 2.0%

 

Gardner Denver Holdings, Inc. *

     132        4,830  

Ingersoll-Rand plc

     389        51,678  

Parker-Hannifin Corp.

     55        11,248  

Stanley Black & Decker, Inc.

     138        22,937  
    

 

 

  
       90,693  
    

 

 

  

Media — 4.1%

 

Altice USA, Inc., Class A *

     588        16,085  

Charter Communications, Inc., Class A *

     123        59,516  

Comcast Corp., Class A (a)

     1,800        80,964  

Discovery, Inc., Class A *

     576        18,867  

ViacomCBS, Inc.

     166        6,975  
    

 

 

  
       182,407  
    

 

 

  

Multiline Retail — 0.1%

 

Dollar General Corp.

     38        5,965  
    

 

 

  

Multi-Utilities — 0.2%

 

CMS Energy Corp.

     67        4,195  

Sempra Energy

     30        4,488  
    

 

 

  
       8,683  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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

Long Positions — continued

 

   

Common Stocks — continued

 

   

Oil, Gas & Consumable Fuels — 7.0%

 

Chevron Corp.

     529        63,702  

ConocoPhillips

     212        13,763  

Diamondback Energy, Inc.

     541        50,267  

EOG Resources, Inc. (a)

     204        17,092  

Marathon Petroleum Corp. (a)

     1,106        66,638  

ONEOK, Inc. (a)

     242        18,278  

Parsley Energy, Inc., Class A

     874        16,525  

Pioneer Natural Resources Co. (a)

     254        38,498  

TC Energy Corp. (Canada)

     515        27,455  
    

 

 

  
       312,218  
    

 

 

  

Pharmaceuticals — 5.3%

 

Allergan plc

     61        11,735  

Bristol-Myers Squibb Co.

     1,351        86,719  

Eli Lilly & Co.

     371        48,709  

Johnson & Johnson

     256        37,384  

Merck & Co., Inc. (a)

     560        50,937  
    

 

 

  
       235,484  
    

 

 

  

Road & Rail — 3.8%

 

Kansas City Southern

     161        24,631  

Lyft, Inc., Class A *

     266        11,423  

Norfolk Southern Corp. (a)

     476        92,496  

Union Pacific Corp. (a)

     223        40,265  
    

 

 

  
       168,815  
    

 

 

  

Semiconductors & Semiconductor Equipment — 8.0%

 

Advanced Micro Devices, Inc.*

     1,367        62,690  

Analog Devices, Inc.

     281        33,388  

ASML Holding NV (Registered), NYRS (Netherlands)

     130        38,338  

Broadcom, Inc. (a)

     67        21,246  

NVIDIA Corp. (a)

     129        30,462  

NXP Semiconductors NV (Netherlands)

     351        44,620  

ON Semiconductor Corp. *

     201        4,912  

Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)

     677        39,312  

Teradyne, Inc.

     74        5,047  

Texas Instruments, Inc. (a)

     575        73,824  
    

 

 

  
       353,839  
    

 

 

  

Software — 9.3%

 

Intuit, Inc.

     132        34,552  

Microsoft Corp. (a)

     1,692        266,790  

salesforce.com, Inc. *(a)

     468        76,106  

ServiceNow, Inc. *

     40        11,327  
INVESTMENTS   SHARES
(000)		     VALUE
($000)		  
   

Software — continued

 

Slack Technologies, Inc., Class A *

     300       6,737  

Workday, Inc., Class A *

     99       16,241  
   

 

 

  
      411,753  
   

 

 

  

Specialty Retail — 4.8%

 

AutoZone, Inc. * (a)

     17       20,828  

Best Buy Co., Inc.

     142       12,497  

Home Depot, Inc. (The) (a)

     302       65,969  

Lowe’s Cos., Inc.

     287       34,344  

O’Reilly Automotive, Inc. *

     85       37,311  

Ross Stores, Inc.

     129       14,964  

TJX Cos., Inc. (The)

     448       27,384  
   

 

 

  
      213,297  
   

 

 

  

Technology Hardware, Storage & Peripherals — 3.9%

 

Apple, Inc. (a)

     593       174,215  
   

 

 

  

Textiles, Apparel & Luxury Goods — 1.1%

 

NIKE, Inc., Class B

     497       50,345  
   

 

 

  

Tobacco — 0.3%

 

Philip Morris International, Inc.

     167       14,249  
   

 

 

  

Total Common Stocks
(Cost $3,451,051)

       5,525,505  
 

 

 

  

Short-Term Investments — 0.8%

 

  

Investment Companies — 0.8%

 

  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)
(Cost $36,495)

     36,484       36,495  
   

 

 

  

Total Long Positions
(Cost $3,487,546)

       5,562,000  
 

 

 

  

Short Positions — (25.0)%

 

  

Common Stocks — (25.0)%

 

  

Aerospace & Defense — (0.5)%

 

Boeing Co. (The)

     (10 )      (3,287 ) 

Huntington Ingalls Industries, Inc.

     (77 )      (19,299 ) 
   

 

 

  
      (22,586 ) 
   

 

 

  

Air Freight & Logistics — (0.4)%

 

CH Robinson Worldwide, Inc.

     (142 )      (11,110 ) 

Expeditors International of Washington, Inc.

     (111 )      (8,698 ) 
   

 

 

  
      (19,808 ) 
   

 

 

  

Auto Components — (0.2)%

 

Autoliv, Inc. (Sweden)

     (130 )      (10,993 ) 
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         49  

Table of Contents

JPMorgan U.S. Large Cap Core Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		     VALUE
($000)		  

Short Positions — continued

 

  

Common Stocks — continued

 

  

Banks — (1.1)%

 

BancorpSouth Bank

     (217 )      (6,802 ) 

Bank of Hawaii Corp.

     (94 )      (8,969 ) 

Commerce Bancshares, Inc.

     (127 )      (8,643 ) 

Fulton Financial Corp.

     (185 )      (3,217 ) 

Old National Bancorp

     (123 )      (2,252 ) 

People’s United Financial, Inc.

     (419 )      (7,077 ) 

US Bancorp

     (222 )      (13,133 ) 
   

 

 

  
      (50,093 ) 
   

 

 

  

Biotechnology — (0.2)%

 

Amgen, Inc.

     (34 )      (8,097 ) 
   

 

 

  

Building Products — (0.2)%

 

Johnson Controls International plc

     (77 )      (3,135 ) 

Lennox International, Inc.

     (21 )      (5,019 ) 
   

 

 

  
      (8,154 ) 
   

 

 

  

Capital Markets — (0.1)%

 

CME Group, Inc.

     (21 )      (4,311 ) 

Nasdaq, Inc.

     (21 )      (2,253 ) 
   

 

 

  
      (6,564 ) 
   

 

 

  

Chemicals — (0.8)%

 

Albemarle Corp.

     (199 )      (14,510 ) 

Ecolab, Inc.

     (89 )      (17,083 ) 

LyondellBasell Industries NV, Class A

     (62 )      (5,816 ) 
   

 

 

  
      (37,409 ) 
   

 

 

  

Communications Equipment — (0.6)%

 

Cisco Systems, Inc.

     (290 )      (13,901 ) 

Juniper Networks, Inc.

     (452 )      (11,122 ) 
   

 

 

  
      (25,023 ) 
   

 

 

  

Containers & Packaging — (0.6)%

 

Avery Dennison Corp.

     (18 )      (2,315 ) 

Ball Corp.

     (110 )      (7,131 ) 

International Paper Co.

     (240 )      (11,047 ) 

Sonoco Products Co.

     (118 )      (7,260 ) 
   

 

 

  
      (27,753 ) 
   

 

 

  

Electric Utilities — (0.7)%

 

Duke Energy Corp.

     (174 )      (15,897 ) 

Eversource Energy

     (53 )      (4,517 ) 

Exelon Corp.

     (48 )      (2,200 ) 

Pinnacle West Capital Corp.

     (114 )      (10,262 ) 
   

 

 

  
      (32,876 ) 
   

 

 

  
INVESTMENTS   SHARES
(000)		     VALUE
($000)		  
   

Electrical Equipment — (0.7)%

 

Acuity Brands, Inc.

     (96 )      (13,299 ) 

Hubbell, Inc.

     (63 )      (9,285 ) 

Rockwell Automation, Inc.

     (41 )      (8,406 ) 
   

 

 

  
      (30,990 ) 
   

 

 

  

Energy Equipment & Services — (0.9)%

 

Baker Hughes Co.

     (316 )      (8,100 ) 

Halliburton Co.

     (833 )      (20,384 ) 

National Oilwell Varco, Inc.

     (187 )      (4,696 ) 

Schlumberger Ltd.

     (213 )      (8,559 ) 
   

 

 

  
      (41,739 ) 
   

 

 

  

Entertainment — (0.4)%

 

Activision Blizzard, Inc.

     (74 )      (4,412 ) 

Spotify Technology SA *

     (44 )      (6,536 ) 

Take-Two Interactive Software, Inc. *

     (66 )      (8,081 ) 
   

 

 

  
      (19,029 ) 
   

 

 

  

Equity Real Estate Investment Trusts (REITs) — (2.2)%

 

Apartment Investment & Management Co., Class A

     (129 )      (6,658 ) 

Digital Realty Trust, Inc.

     (47 )      (5,682 ) 

Duke Realty Corp.

     (129 )      (4,474 ) 

Extra Space Storage, Inc.

     (99 )      (10,428 ) 

Iron Mountain, Inc.

     (384 )      (12,247 ) 

Kimco Realty Corp.

     (539 )      (11,168 ) 

Public Storage

     (20 )      (4,259 ) 

Realty Income Corp.

     (192 )      (14,160 ) 

Simon Property Group, Inc.

     (161 )      (23,989 ) 

Welltower, Inc.

     (49 )      (4,041 ) 
   

 

 

  
      (97,106 ) 
   

 

 

  

Food & Staples Retailing — (0.9)%

 

Kroger Co. (The)

     (601 )      (17,415 ) 

Sysco Corp.

     (55 )      (4,668 ) 

Walgreens Boots Alliance, Inc.

     (299 )      (17,634 ) 
   

 

 

  
      (39,717 ) 
   

 

 

  

Food Products — (0.2)%

 

Campbell Soup Co.

     (139 )      (6,866 ) 

Hershey Co. (The)

     (15 )      (2,240 ) 
   

 

 

  
      (9,106 ) 
   

 

 

  

Health Care Equipment & Supplies — (0.3)%

 

Abbott Laboratories

     (51 )      (4,473 ) 

Stryker Corp.

     (47 )      (9,927 ) 
   

 

 

  
      (14,400 ) 
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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

Short Positions — continued

 

  

Common Stocks — continued

 

  

Health Care Providers & Services — (1.1)%

 

AmerisourceBergen Corp.

     (210 )      (17,874 ) 

Cardinal Health, Inc.

     (265 )      (13,398 ) 

Henry Schein, Inc. *

     (262 )      (17,450 ) 
   

 

 

  
      (48,722 ) 
   

 

 

  

Hotels, Restaurants & Leisure — (0.6)%

 

Chipotle Mexican Grill, Inc. *

     (14 )      (11,957 ) 

Choice Hotels International, Inc.

     (45 )      (4,627 ) 

Marriott International, Inc., Class A

     (16 )      (2,472 ) 

Starbucks Corp.

     (73 )      (6,418 ) 
   

 

 

  
      (25,474 ) 
   

 

 

  

Household Durables — (0.2)%

 

PulteGroup, Inc.

     (112 )      (4,337 ) 

Toll Brothers, Inc.

     (104 )      (4,127 ) 
   

 

 

  
      (8,464 ) 
   

 

 

  

Household Products — (0.5)%

 

Clorox Co. (The)

     (76 )      (11,728 ) 

Colgate-Palmolive Co.

     (128 )      (8,817 ) 
   

 

 

  
      (20,545 ) 
   

 

 

  

Industrial Conglomerates — (0.4)%

 

3M Co.

     (94 )      (16,536 ) 
   

 

 

  

Insurance — (1.0)%

 

Aflac, Inc.

     (125 )      (6,620 ) 

Everest Re Group Ltd.

     (26 )      (7,081 ) 

Globe Life, Inc.

     (70 )      (7,414 ) 

Marsh & McLennan Cos., Inc.

     (82 )      (9,124 ) 

Travelers Cos., Inc. (The)

     (81 )      (11,100 ) 

WR Berkley Corp.

     (44 )      (3,064 ) 
   

 

 

  
      (44,403 ) 
   

 

 

  

Internet & Direct Marketing Retail — (0.5)%

 

eBay, Inc.

     (638 )      (23,021 ) 
   

 

 

  

IT Services — (1.0)%

 

Infosys Ltd., ADR (India)

     (768 )      (7,929 ) 

Jack Henry & Associates, Inc.

     (75 )      (10,935 ) 

Paychex, Inc.

     (101 )      (8,565 ) 

Western Union Co. (The)

     (651 )      (17,422 ) 
   

 

 

  
      (44,851 ) 
   

 

 

  

Leisure Products — (0.1)%

 

Mattel, Inc. *

     (377 )      (5,112 ) 
   

 

 

  

Life Sciences Tools & Services — (0.7)%

 

Agilent Technologies, Inc.

     (102 )      (8,718 ) 
INVESTMENTS   SHARES
(000)		     VALUE
($000)		  
   

Life Sciences Tools & Services — continued

 

Mettler-Toledo International, Inc. *

     (9 )      (7,153 ) 

Waters Corp. *

     (58 )      (13,491 ) 
   

 

 

  
      (29,362 ) 
   

 

 

  

Machinery — (0.5)%

 

Donaldson Co., Inc.

     (165 )      (9,523 ) 

Illinois Tool Works, Inc.

     (67 )      (12,055 ) 
   

 

 

  
      (21,578 ) 
   

 

 

  

Media — (1.1)%

 

AMC Networks, Inc., Class A *

     (60 )      (2,362 ) 

Fox Corp., Class A

     (443 )      (16,412 ) 

Interpublic Group of Cos., Inc. (The)

     (513 )      (11,854 ) 

Omnicom Group, Inc.

     (244 )      (19,769 ) 
   

 

 

  
      (50,397 ) 
   

 

 

  

Multiline Retail — (0.2)%

 

Kohl’s Corp.

     (79 )      (4,019 ) 

Macy’s, Inc.

     (271 )      (4,600 ) 
   

 

 

  
      (8,619 ) 
   

 

 

  

Multi-Utilities — (0.9)%

 

Dominion Energy, Inc.

     (274 )      (22,724 ) 

DTE Energy Co.

     (72 )      (9,357 ) 

Public Service Enterprise Group, Inc.

     (104 )      (6,127 ) 
   

 

 

  
      (38,208 ) 
   

 

 

  

Oil, Gas & Consumable Fuels — (2.0)%

 

Apache Corp.

     (78 )      (1,992 ) 

Devon Energy Corp.

     (418 )      (10,848 ) 

Enbridge, Inc. (Canada)

     (498 )      (19,823 ) 

Exxon Mobil Corp.

     (335 )      (23,362 ) 

Hess Corp.

     (117 )      (7,848 ) 

HollyFrontier Corp.

     (79 )      (4,026 ) 

Kinder Morgan, Inc.

     (122 )      (2,573 ) 

Marathon Oil Corp.

     (556 )      (7,549 ) 

Occidental Petroleum Corp.

     (99 )      (4,059 ) 

Valero Energy Corp.

     (48 )      (4,494 ) 
   

 

 

  
      (86,574 ) 
   

 

 

  

Paper & Forest Products — (0.1)%

 

Domtar Corp.

     (113 )      (4,336 ) 
   

 

 

  

Personal Products — 0.0% (d)

 

Coty, Inc., Class A

     (165 )      (1,856 ) 
   

 

 

  

Professional Services — (0.4)%

 

Robert Half International, Inc.

     (284 )      (17,912 ) 
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         51  

Table of Contents

JPMorgan U.S. Large Cap Core Plus Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		     VALUE
($000)		  

Short Positions — continued

    

Common Stocks — continued

    

Road & Rail — (0.2)%

 

JB Hunt Transport Services, Inc.

     (36 )      (4,229 ) 

Werner Enterprises, Inc.

     (125 )      (4,548 ) 
   

 

 

  
      (8,777 ) 
   

 

 

  

Semiconductors & Semiconductor Equipment — (0.5)%

 

Intel Corp.

     (272 )      (16,267 ) 

Qorvo, Inc. *

     (21 )      (2,455 ) 

Universal Display Corp.

     (11 )      (2,280 ) 
   

 

 

  
      (21,002 ) 
   

 

 

  

Software — (0.7)%

 

Adobe, Inc. *

     (22 )      (7,107 ) 

Citrix Systems, Inc.

     (102 )      (11,342 ) 

Oracle Corp.

     (115 )      (6,104 ) 

Splunk, Inc. *

     (31 )      (4,600 ) 
   

 

 

  
      (29,153 ) 
   

 

 

  

Specialty Retail — (0.2)%

 

Bed Bath & Beyond, Inc.

     (281 )      (4,856 ) 

CarMax, Inc. *

     (23 )      (1,991 ) 
   

 

 

  
      (6,847 ) 
   

 

 

  

Technology Hardware, Storage & Peripherals — (0.9)%

 

Hewlett Packard Enterprise Co.

     (252 )      (4,004 ) 

NetApp, Inc.

     (69 )      (4,276 ) 

Seagate Technology plc

     (330 )      (19,612 ) 

Western Digital Corp.

     (164 )      (10,432 ) 
   

 

 

  
      (38,324 ) 
   

 

 

  
INVESTMENTS   SHARES
(000)		     VALUE
($000)		  
   

Trading Companies & Distributors — (0.2)%

 

Fastenal Co.

     (244 )      (9,006 ) 
   

 

 

  

Total Common Stocks
(Proceeds $(1,127,282))

 

     (1,110,522 ) 
 

 

 

  

Total Short Positions
(Proceeds $(1,127,282))

 

     (1,110,522 ) 
 

 

 

  

Total Investments — 100.4%
(Cost $2,360,264)

 

     4,451,478  

Liabilities in Excess of
Other Assets — (0.4)%

 

     (17,092 ) 
 

 

 

  

NET ASSETS — 100.0%

       4,434,386  
   

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

ADR   American Depositary Receipt
(a)   All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is approximately $1,505,380,000.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
(d)   Amount rounds to less than 0.1% of net assets.
*   Non-income producing security.
 

 

Futures contracts outstanding as of December 31, 2019 (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        120          03/2020          USD          19,392          51  
                        

 

 

  

Abbreviations

USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 99.2%

 

Aerospace & Defense — 2.0%

 

Boeing Co. (The)

     26        8,502  

General Dynamics Corp.

     177        31,135  

Northrop Grumman Corp.

     44        15,168  

United Technologies Corp.

     214        32,015  
    

 

 

  
       86,820  
    

 

 

  

Airlines — 0.4%

 

Delta Air Lines, Inc.

     158        9,218  

Southwest Airlines Co.

     114        6,178  

United Airlines Holdings, Inc. *

     39        3,425  
    

 

 

  
       18,821  
    

 

 

  

Auto Components — 0.2%

 

Magna International, Inc. (Canada)

     150        8,209  
    

 

 

  

Automobiles — 0.3%

 

General Motors Co.

     360        13,168  
    

 

 

  

Banks — 4.5%

 

Bank of America Corp.

     1,420        50,007  

Citigroup, Inc.

     790        63,074  

Citizens Financial Group, Inc.

     130        5,271  

Fifth Third Bancorp

     176        5,409  

KeyCorp

     1,140        23,077  

Regions Financial Corp.

     378        6,479  

Truist Financial Corp.

     176        9,931  

Wells Fargo & Co.

     651        35,033  
    

 

 

  
       198,281  
    

 

 

  

Beverages — 1.9%

 

Coca-Cola Co. (The)

     973        53,873  

Constellation Brands, Inc., Class A

     116        22,025  

PepsiCo, Inc.

     36        4,984  
    

 

 

  
       80,882  
    

 

 

  

Biotechnology — 2.4%

 

AbbVie, Inc.

     455        40,257  

Alexion Pharmaceuticals, Inc. *

     117        12,698  

Amgen, Inc.

     17        4,205  

Biogen, Inc. *

     61        18,230  

Regeneron Pharmaceuticals, Inc. *

     32        11,874  

Vertex Pharmaceuticals, Inc.*

     85        18,661  
    

 

 

  
       105,925  
    

 

 

  

Building Products — 0.3%

 

Masco Corp.

     265        12,731  
    

 

 

  

Capital Markets — 2.9%

 

Ameriprise Financial, Inc.

     54        9,008  

BlackRock, Inc.

     19        9,338  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Capital Markets — continued

 

Charles Schwab Corp. (The)

     369        17,559  

Intercontinental Exchange, Inc.

     347        32,079  

MarketAxess Holdings, Inc.

     4        1,565  

Morgan Stanley

     727        37,190  

S&P Global, Inc.

     55        14,971  

State Street Corp.

     55        4,335  
    

 

 

  
       126,045  
    

 

 

  

Chemicals — 2.0%

 

Celanese Corp.

     114        14,008  

Corteva, Inc.

     346        10,229  

Dow, Inc.

     220        12,033  

DuPont de Nemours, Inc.

     174        11,195  

Eastman Chemical Co.

     236        18,702  

Linde plc (United Kingdom)

     63        13,339  

LyondellBasell Industries NV, Class A

     83        7,850  
    

 

 

  
       87,356  
    

 

 

  

Commercial Services & Supplies — 0.6%

 

Cintas Corp.

     10        2,692  

Waste Management, Inc.

     200        22,771  
    

 

 

  
       25,463  
    

 

 

  

Communications Equipment — 0.3%

 

Cisco Systems, Inc.

     194        9,315  

Motorola Solutions, Inc.

     16        2,615  
    

 

 

  
       11,930  
    

 

 

  

Consumer Finance — 1.5%

 

American Express Co.

     233        29,016  

Capital One Financial Corp.

     280        28,823  

Synchrony Financial

     229        8,231  
    

 

 

  
       66,070  
    

 

 

  

Containers & Packaging — 0.4%

 

Crown Holdings, Inc. *

     148        10,726  

Packaging Corp. of America

     12        1,307  

Westrock Co.

     145        6,213  
    

 

 

  
       18,246  
    

 

 

  

Diversified Consumer Services — 0.0% (a)

 

H&R Block, Inc.

     65        1,529  
    

 

 

  

Diversified Financial Services — 1.7%

 

Berkshire Hathaway, Inc., Class B *

     320        72,494  

Voya Financial, Inc.

     30        1,854  
    

 

 

  
       74,348  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         53  

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Diversified Telecommunication Services — 1.1%

 

AT&T, Inc.

     62        2,419  

Verizon Communications, Inc.

     773        47,485  
    

 

 

  
       49,904  
    

 

 

  

Electric Utilities — 2.6%

 

Edison International

     144        10,851  

Entergy Corp.

     248        29,652  

FirstEnergy Corp.

     74        3,601  

NextEra Energy, Inc.

     180        43,593  

Southern Co. (The)

     299        19,021  

Xcel Energy, Inc.

     122        7,750  
    

 

 

  
       114,468  
    

 

 

  

Electrical Equipment — 1.1%

 

Eaton Corp. plc

     467        44,233  

Emerson Electric Co.

     57        4,347  
    

 

 

  
       48,580  
    

 

 

  

Entertainment — 1.3%

 

Electronic Arts, Inc. *

     131        14,087  

Netflix, Inc. *

     92        29,879  

Walt Disney Co. (The)

     79        11,380  
    

 

 

  
       55,346  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.2%

 

AvalonBay Communities, Inc.

     66        13,746  

Equinix, Inc.

     28        16,133  

Equity Residential

     177        14,286  

Federal Realty Investment Trust

     60        7,785  

Mid-America Apartment Communities, Inc.

     50        6,575  

Prologis, Inc.

     230        20,519  

Public Storage

     17        3,721  

Ventas, Inc.

     145        8,352  

VICI Properties, Inc.

     146        3,740  
    

 

 

  
       94,857  
    

 

 

  

Food & Staples Retailing — 0.2%

 

Walmart, Inc.

     88        10,434  
    

 

 

  

Food Products — 1.1%

 

Conagra Brands, Inc.

     82        2,806  

General Mills, Inc.

     258        13,795  

Mondelez International, Inc., Class A

     600        33,072  
    

 

 

  
       49,673  
    

 

 

  

Health Care Equipment & Supplies — 3.0%

 

Becton Dickinson and Co.

     10        2,654  

Boston Scientific Corp. *

     740        33,457  

Intuitive Surgical, Inc. *

     13        7,755  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Health Care Equipment & Supplies — continued

 

Medtronic plc

     466        52,847  

Zimmer Biomet Holdings, Inc.

     224        33,511  
    

 

 

  
       130,224  
    

 

 

  

Health Care Providers & Services — 3.1%

 

Anthem, Inc.

     96        28,998  

Cigna Corp.

     184        37,552  

McKesson Corp.

     45        6,168  

UnitedHealth Group, Inc.

     215        63,241  
    

 

 

  
       135,959  
    

 

 

  

Hotels, Restaurants & Leisure — 1.3%

 

Hilton Worldwide Holdings, Inc.

     147        16,355  

McDonald’s Corp.

     50        9,838  

Royal Caribbean Cruises Ltd.

     34        4,573  

Yum! Brands, Inc.

     272        27,355  
    

 

 

  
       58,121  
    

 

 

  

Household Durables — 0.3%

 

Lennar Corp., Class A

     247        13,760  
    

 

 

  

Household Products — 1.1%

 

Kimberly-Clark Corp.

     15        2,102  

Procter & Gamble Co. (The)

     368        45,988  
    

 

 

  
       48,090  
    

 

 

  

Industrial Conglomerates — 0.9%

 

Honeywell International, Inc.

     228        40,299  
    

 

 

  

Insurance — 2.1%

 

Allstate Corp. (The)

     103        11,581  

American International Group, Inc.

     423        21,716  

Arthur J Gallagher & Co.

     46        4,391  

Hartford Financial Services Group, Inc. (The)

     387        23,535  

Lincoln National Corp.

     13        772  

MetLife, Inc.

     519        26,452  

Progressive Corp. (The)

     39        2,804  
    

 

 

  
       91,251  
    

 

 

  

Interactive Media & Services — 4.8%

 

Alphabet, Inc., Class A *

     60        79,939  

Alphabet, Inc., Class C *

     55        73,322  

Facebook, Inc., Class A *

     284        58,209  
    

 

 

  
       211,470  
    

 

 

  

Internet & Direct Marketing Retail — 3.9%

 

Amazon.com, Inc. *

     79        145,926  

Booking Holdings, Inc. *

     3        5,428  

Expedia Group, Inc.

     167        18,069  
    

 

 

  
       169,423  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

IT Services — 6.2%

 

Accenture plc, Class A

     101        21,216  

Automatic Data Processing, Inc.

     280        47,742  

Fiserv, Inc. *

     133        15,415  

International Business Machines Corp.

     55        7,338  

Leidos Holdings, Inc.

     139        13,597  

Mastercard, Inc., Class A

     286        85,309  

PayPal Holdings, Inc. *

     473        51,218  

Visa, Inc., Class A

     165        31,022  
    

 

 

  
       272,857  
    

 

 

  

Leisure Products — 0.1%

 

Hasbro, Inc.

     50        5,327  
    

 

 

  

Life Sciences Tools & Services — 1.2%

 

Illumina, Inc. *

     24        8,033  

Thermo Fisher Scientific, Inc.

     138        44,836  
    

 

 

  
       52,869  
    

 

 

  

Machinery — 2.2%

 

Caterpillar, Inc.

     43        6,342  

Cummins, Inc.

     117        20,962  

Deere & Co.

     48        8,403  

Ingersoll-Rand plc

     128        17,007  

Parker-Hannifin Corp.

     107        22,121  

Snap-on, Inc.

     38        6,515  

Stanley Black & Decker, Inc.

     96        15,904  
    

 

 

  
       97,254  
    

 

 

  

Media — 3.3%

 

Altice USA, Inc., Class A *

     255        6,979  

Charter Communications, Inc., Class A *

     90        43,591  

Comcast Corp., Class A

     1,471        66,169  

Discovery, Inc., Class A *

     357        11,702  

Discovery, Inc., Class C *

     390        11,899  

ViacomCBS, Inc.

     49        2,062  
    

 

 

  
       142,402  
    

 

 

  

Metals & Mining — 0.1%

 

Freeport-McMoRan, Inc.

     211        2,767  

Newmont Goldcorp Corp.

     76        3,322  
    

 

 

  
       6,089  
    

 

 

  

Multiline Retail — 0.2%

 

Target Corp.

     65        8,385  
    

 

 

  

Multi-Utilities — 0.7%

 

CMS Energy Corp.

     341        21,416  

Sempra Energy

     63        9,519  
    

 

 

  
       30,935  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Oil, Gas & Consumable Fuels — 4.3%

 

Chevron Corp.

     511        61,534  

Diamondback Energy, Inc.

     163        15,101  

EOG Resources, Inc.

     368        30,824  

Exxon Mobil Corp.

     130        9,088  

Marathon Petroleum Corp.

     409        24,639  

ONEOK, Inc.

     319        24,143  

Pioneer Natural Resources Co.

     151        22,862  
    

 

 

  
       188,191  
    

 

 

  

Pharmaceuticals — 4.5%

 

Allergan plc

     48        9,103  

Bristol-Myers Squibb Co.

     620        39,782  

Eli Lilly & Co.

     235        30,830  

Johnson & Johnson

     312        45,449  

Merck & Co., Inc.

     595        54,146  

Pfizer, Inc.

     474        18,559  
    

 

 

  
       197,869  
    

 

 

  

Road & Rail — 1.5%

 

Kansas City Southern

     33        4,997  

Lyft, Inc., Class A *

     59        2,530  

Norfolk Southern Corp.

     199        38,565  

Union Pacific Corp.

     118        21,307  
    

 

 

  
       67,399  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.7%

 

Advanced Micro Devices, Inc. *

     605        27,723  

Analog Devices, Inc.

     327        38,812  

Intel Corp.

     119        7,132  

NVIDIA Corp.

     143        33,692  

NXP Semiconductors NV (Netherlands)

     216        27,514  

Teradyne, Inc.

     228        15,550  

Texas Instruments, Inc.

     417        53,472  
    

 

 

  
       203,895  
    

 

 

  

Software — 7.1%

 

Intuit, Inc.

     122        31,981  

Microsoft Corp.

     1,512        238,412  

salesforce.com, Inc. *

     250        40,665  
    

 

 

  
       311,058  
    

 

 

  

Specialty Retail — 4.0%

 

AutoZone, Inc. *

     24        28,920  

Best Buy Co., Inc.

     273        23,986  

Home Depot, Inc. (The)

     201        43,822  

Lowe’s Cos., Inc.

     282        33,831  

O’Reilly Automotive, Inc. *

     23        9,868  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         55  

Table of Contents

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Specialty Retail — continued

 

Ross Stores, Inc.

     117        13,648  

TJX Cos., Inc. (The)

     329        20,111  
    

 

 

  
       174,186  
    

 

 

  

Technology Hardware, Storage & Peripherals — 5.3%

 

Apple, Inc.

     756        222,029  

HP, Inc.

     539        11,076  
    

 

 

  
       233,105  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.9%

 

NIKE, Inc., Class B

     337        34,093  

Ralph Lauren Corp.

     43        5,033  
    

 

 

  
       39,126  
    

 

 

  

Tobacco — 1.3%

 

Altria Group, Inc.

     313        15,617  

Philip Morris International, Inc.

     505        42,936  
    

 

 

  
       58,553  
    

 

 

  

Wireless Telecommunication Services — 0.1%

 

T-Mobile US, Inc. *

     67        5,237  
    

 

 

  

Total Common Stocks
(Cost $2,883,052)

 

      4,352,420  
  

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 0.8%

 

Investment Companies — 0.8%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)
(Cost $35,070)

     35,059        35,070  
    

 

 

  

Total Investments — 100.0%
(Cost $2,918,122)

 

      4,387,490  

Other Assets Less Liabilities — 0.0% (a)

 

      1,424  
  

 

 

  

NET ASSETS — 100.0%

 

      4,388,914  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Amount rounds to less than 0.1% of net assets.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

Futures contracts outstanding as of December 31, 2019 (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

        198          03/2020          USD          31,997          786  
                        

 

 

  

 

Abbreviations
USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         57  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands, except per share amounts)

 

       

JPMorgan
Equity
Focus Fund

     

JPMorgan
Equity

Income Fund

        JPMorgan
Equity Premium
Income Fund		  

ASSETS:

 

Investments in non-affiliates, at value

      $ 102,388      $ 30,648,795        $ 112,814  

Investments in affiliates, at value

        890        821,261          3,015  

Cash

        3        1,264          — (a) 

Receivables:

             

Investment securities sold

        —        —          3,535  

Fund shares sold

        11        51,246          330  

Dividends from non-affiliates

        56        61,610          475  

Dividends from affiliates

        — (a)       40          — (a) 

Securities lending income (See Note 2.E.)

        — (a)       —          —  

Due from adviser

        —        —          11  

Other assets

        —        311          20  
    

 

 

     

 

 

       

 

 

  

Total Assets

        103,348        31,584,527          120,200  
    

 

 

     

 

 

       

 

 

  

LIABILITIES:

             

Payables:

             

Distributions

        —        —          — (a) 

Investment securities purchased

        —        —          5,038  

Fund shares redeemed

        — (a)       53,996          192  

Accrued liabilities:

             

Investment advisory fees

        34        10,372          —  

Administration fees

        —        1,264          —  

Distribution fees

        3        1,869          2  

Service fees

        16        3,675          23  

Custodian and accounting fees

        6        66          6  

Trustees’ and Chief Compliance Officer’s fees

        —        5          —  

Audit fees

        11        14          17  

Printing and mailing costs

        43        421          2  

Other

        3        123          3  
    

 

 

     

 

 

       

 

 

  

Total Liabilities

        116        71,805          5,283  
    

 

 

     

 

 

       

 

 

  

Net Assets

      $ 103,232      $ 31,512,722        $ 114,917  
    

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       

JPMorgan
Equity
Focus Fund

       

JPMorgan
Equity

Income Fund

        JPMorgan
Equity Premium
Income Fund		  

NET ASSETS:

 

Paid-in-Capital

      $ 66,689        $ 23,670,124        $ 113,257  

Total distributable earnings (loss)

        36,543          7,842,598          1,660  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 103,232        $ 31,512,722        $ 114,917  
    

 

 

       

 

 

       

 

 

  

Net Assets:

               

Class A

      $ 6,054        $ 3,757,325        $ 3,079  

Class C

        3,437          1,612,057          2,257  

Class I

        65,026          11,313,846          109,511  

Class R2

        —          96,140          —  

Class R3

        —          185,019          —  

Class R4

        —          91,668          —  

Class R5

        —          1,582,869          22  

Class R6

        28,715          12,873,798          48  
    

 

 

       

 

 

       

 

 

  

Total

      $ 103,232        $ 31,512,722        $ 114,917  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

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

               

Class A

        218          196,738          202  

Class C

        130          86,194          148  

Class I

        2,303          581,838          7,199  

Class R2

        —          5,059          —  

Class R3

        —          9,696          —  

Class R4

        —          4,717          —  

Class R5

        —          81,341          2  

Class R6

        1,023          662,062          3  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 27.75        $ 19.10        $ 15.21  

Class C — Offering price per share (b)

        26.53          18.70          15.21  

Class I — Offering and redemption price per share

        28.24          19.45          15.21  

Class R2 — Offering and redemption price per share

        —          19.00          —  

Class R3 — Offering and redemption price per share

        —          19.08          —  

Class R4 — Offering and redemption price per share

        —          19.43          —  

Class R5 — Offering and redemption price per share

        —          19.46          15.21  

Class R6 — Offering and redemption price per share

        28.06          19.45          15.21  

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)]

      $ 29.29        $ 20.16        $ 16.05  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 69,121        $ 22,798,429        $ 105,061  

Cost of investments in affiliates

        890          821,266          3,015  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         59  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

(Amounts in thousands, except per share amounts)

 

       

JPMorgan
Growth and
Income Fund

     

JPMorgan
Hedged

Equity Fund

     

JPMorgan

Large Cap
Growth Fund

  

ASSETS:

 

Investments in non-affiliates, at value

      $ 761,255      $ 6,636,855      $ 17,101,315  

Investments in affiliates, at value

        14,492        209,467        553,858  

Investment of cash collateral received from securities loaned, at value (See Note 2.E.)

        —        —        436,574  

Options purchased, at value

        —        82,160        —  

Cash

        35        — (a)       909  

Deposits at broker for futures contracts

        —        7,198        —  

Receivables:

           

Investment securities sold

        —        432,154        6,332  

Fund shares sold

        476        31,874        33,688  

Dividends from non-affiliates

        1,143        6,150        13,849  

Dividends from affiliates

        1        181        27  

Tax reclaims

        —        8        —  

Securities lending income (See Note 2.E.)

        —        —        440  

Variation margin on futures contracts

        —        1,204        —  

Other assets

        —        —        151  
    

 

 

     

 

 

     

 

 

  

Total Assets

        777,402        7,407,251        18,147,143  
    

 

 

     

 

 

     

 

 

  

LIABILITIES:

 

Payables:

           

Investment securities purchased

        —        608,899        5,207  

Collateral received on securities loaned (See Note 2.E.)

        —        —        436,574  

Fund shares redeemed

        355        6,644        70,858  

Outstanding options written, at fair value

        —        81,120        —  

Accrued liabilities:

           

Investment advisory fees

        226        1,373        5,798  

Administration fees

        28        418        446  

Distribution fees

        141        219        968  

Service fees

        132        1,270        1,769  

Custodian and accounting fees

        7        21        52  

Trustees’ and Chief Compliance Officer’s fees

        — (a)       1        1  

Audit fees

        13        23        11  

Printing and mailing costs

        15        14        326  

Other

        72        101        119  
    

 

 

     

 

 

     

 

 

  

Total Liabilities

        989        700,103        522,129  
    

 

 

     

 

 

     

 

 

  

Net Assets

      $ 776,413      $ 6,707,148      $ 17,625,014  
    

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       

JPMorgan
Growth and
Income Fund

       

JPMorgan
Hedged

Equity Fund

       

JPMorgan

Large Cap
Growth Fund

  

NET ASSETS:

 

Paid-in-Capital

      $ 497,737        $ 6,117,269        $ 10,235,996  

Total distributable earnings (loss)

        278,676          589,879          7,389,018  
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 776,413        $ 6,707,148        $ 17,625,014  
    

 

 

       

 

 

       

 

 

  

Net Assets:

 

Class A

      $ 581,403        $ 447,853        $ 2,628,093  

Class C

        30,821          202,505          545,054  

Class I

        101,118          5,471,480          4,902,532  

Class R2

        784          —          127,068  

Class R3

        26          —          69,905  

Class R4

        87          —          23,714  

Class R5

        69          2,437          735,659  

Class R6

        62,105          582,873          8,592,989  
    

 

 

       

 

 

       

 

 

  

Total

      $ 776,413        $ 6,707,148        $ 17,625,014  
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

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

               

Class A

        10,806          21,132          65,775  

Class C

        643          9,616          18,448  

Class I

        1,774          257,499          120,654  

Class R2

        15          —          3,324  

Class R3

        1          —          1,739  

Class R4

        1          —          584  

Class R5

        1          115          17,653  

Class R6

        1,082          27,374          204,452  

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 53.81        $ 21.19        $ 39.96  

Class C — Offering price per share (b)

        47.96          21.06          29.55  

Class I — Offering and redemption price per share

        56.99          21.25          40.63  

Class R2 — Offering and redemption price per share

        53.90          —          38.23  

Class R3 — Offering and redemption price per share

        56.95          —          40.21  

Class R4 — Offering and redemption price per share

        56.97          —          40.58  

Class R5 — Offering and redemption price per share

        57.40          21.29          41.67  

Class R6 — Offering and redemption price per share

        57.42          21.29          42.03  

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)]

      $ 56.79        $ 22.36        $ 42.17  
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 483,946        $ 5,437,210        $ 10,169,143  

Cost of investments in affiliates

        14,492          209,467          553,858  

Cost of options purchased

        —          82,285          —  

Investment securities on loan, at value (See Note 2.E.)

        —          —          426,730  

Cost of investment of cash collateral (See Note 2.E.)

        —          —          436,573  

Premiums received from options written

        —          80,766          —  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         61  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Large Cap
Value Fund		       

JPMorgan

U.S. Equity

Fund

       

JPMorgan

U.S. Large

Cap Core

Plus Fund

       

JPMorgan

U.S. Research
Enhanced
Equity Fund

  

ASSETS:

 

Investments in non-affiliates, at value

      $ 1,590,503        $ 15,612,692        $ 5,525,505        $ 4,352,420  

Investments in affiliates, at value

        28,867          99,207          36,495          35,070  

Investment of cash collateral received from securities loaned, at value (See Note 2.E.)

        19,944          42,166          —          —  

Cash

        35          252          128          53  

Deposits at broker for futures contracts

        —          48          956          2,413  

Deposits at broker for securities sold short

        —          —          100          —  

Receivables:

                    

Investment securities sold

        —          36,538          —          16,909  

Fund shares sold

        556          12,116          1,711          2,267  

Dividends from non-affiliates

        3,192          11,022          4,137          3,938  

Dividends from affiliates

        1          5          2          2  

Tax reclaims

        —          —          —          5  

Securities lending income (See Note 2.E.)

        4          8          —          —  

Variation margin on futures contracts

        —          500          52          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Assets

        1,643,102          15,814,554          5,569,086          4,413,077  
    

 

 

       

 

 

       

 

 

       

 

 

  

LIABILITIES:

 

Payables:

                    

Due to broker for securities sold short

        —          —          100          —  

Securities sold short, at value

        —          —          1,110,522          —  

Dividend expense to non-affiliates on securities sold short

        —          —          1,922          —  

Investment securities purchased

        1,612          53,957          —          16,424  

Interest expense to non-affiliates on securities sold short

        —          —          529          —  

Collateral received on securities loaned (See Note 2.E.)

        19,944          42,166          —          —  

Fund shares redeemed

        2,417          37,042          17,946          5,509  

Variation margin on futures contracts

        —          —          —          926  

Accrued liabilities:

                    

Investment advisory fees

        485          4,950          2,390          718  

Administration fees

        66          686          221          147  

Distribution fees

        93          686          157          43  

Service fees

        127          921          470          68  

Custodian and accounting fees

        13          70          71          30  

Trustees’ and Chief Compliance Officer’s fees

        1          2          —          — (a) 

Audit fees

        12          11          11          11  

Printing and mailing costs

        111          616          242          207  

Other

        42          210          119          80  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Liabilities

        24,923          141,317          1,134,700          24,163  
    

 

 

       

 

 

       

 

 

       

 

 

  

Net Assets

      $ 1,618,179        $ 15,673,237        $ 4,434,386        $ 4,388,914  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
        JPMorgan
Large Cap
Value Fund		       

JPMorgan

U.S. Equity

Fund

        JPMorgan
U.S. Large
Cap Core Plus
Fund		        JPMorgan
U.S. Research
Enhanced
Equity Fund		  

NET ASSETS:

 

Paid-in-Capital

      $ 1,413,811        $ 10,946,602        $ 2,221,567        $ 2,399,908  

Total distributable earnings (loss)

        204,368          4,726,635          2,212,819          1,989,006  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 1,618,179        $ 15,673,237        $ 4,434,386        $ 4,388,914  
    

 

 

       

 

 

       

 

 

       

 

 

  

Net Assets:

 

Class A

      $ 242,687        $ 1,786,452        $ 455,766        $ 202,118  

Class C

        51,413          292,353          87,987          —  

Class I

        291,699          1,042,532          3,093,045          228,045  

Class L

        —          1,497,427          —          413,326  

Class R2

        22,357          231,835          5,524          —  

Class R3

        21          118,363          —          —  

Class R4

        14,393          23,449          —          —  

Class R5

        28,996          857,446          85,829          —  

Class R6

        966,613          9,823,380          706,235          3,545,425  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total

      $ 1,618,179        $ 15,673,237        $ 4,434,386        $ 4,388,914  
    

 

 

       

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

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

                    

Class A

        15,654          111,327          18,779          7,434  

Class C

        3,468          18,937          3,921          —  

Class I

        19,164          64,725          125,249          8,295  

Class L

        —          92,800          —          15,062  

Class R2

        1,456          14,605          238          —  

Class R3

        1          7,404          —          —  

Class R4

        928          1,458          —          —  

Class R5

        1,885          53,120          3,454          —  

Class R6

        63,265          607,251          28,465          129,123  

Net Asset Value (a):

                    

Class A — Redemption price per share

      $ 15.50        $ 16.05        $ 24.27        $ 27.19  

Class C — Offering price per share (b)

        14.82          15.44          22.44          —  

Class I — Offering and redemption price per share

        15.22          16.11          24.70          27.49  

Class L — Offering and redemption price per share

        —          16.14          —          27.44  

Class R2 — Offering and redemption price per share

        15.36          15.87          23.28          —  

Class R3 — Offering and redemption price per share

        15.21          15.99          —          —  

Class R4 — Offering and redemption price per share

        15.51          16.08          —          —  

Class R5 — Offering and redemption price per share

        15.38          16.14          24.85          —  

Class R6 — Offering and redemption price per share

        15.28          16.18          24.81          27.46  

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)]

      $ 16.36        $ 16.94        $ 25.61        $ 28.70  
    

 

 

       

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 1,369,463        $ 10,858,741        $ 3,451,051        $ 2,883,052  

Cost of investments in affiliates

        28,867          99,206          36,495          35,070  

Investment securities on loan, at value (See Note 2.E.)

        19,448          41,689          —          —  

Cost of investment of cash collateral (See Note 2.E.)

        19,944          42,165          —          —  

Proceeds from securities sold short

        —          —          1,127,282          —  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         63  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands)

 

        JPMorgan
Equity Focus
Fund		     

JPMorgan
Equity

Income Fund

      JPMorgan
Equity
Premium
Income Fund		  

INVESTMENT INCOME:

           

Interest income from non-affiliates

      $ —      $ — (a)     $ 2,434  

Interest income from affiliates

        — (a)       —        4  

Dividend income from non-affiliates

        833        357,429        742  

Dividend income from affiliates

        27        9,387        6  

Income from securities lending (net) (See Note 2.E.)

        — (a)       —        —  
    

 

 

     

 

 

     

 

 

  

Total investment income

        860        366,816        3,186  
    

 

 

     

 

 

     

 

 

  

EXPENSES:

           

Investment advisory fees

        274        54,457        95  

Administration fees

        40        7,339        29  

Distribution fees:

           

Class A

        7        4,380        2  

Class C

        12        5,628        3  

Class R2

        —        238        —  

Class R3

        —        197        —  

Service fees:

           

Class A

        7        4,380        2  

Class C

        4        1,876        1  

Class I

        88        12,573        92  

Class R2

        —        119        —  

Class R3

        —        197        —  

Class R4

        —        105        —  

Class R5

        —        747        — (a) 

Custodian and accounting fees

        12        324        23  

Interest expense to affiliates

        —        —        — (a) 

Professional fees

        27        151        49  

Trustees’ and Chief Compliance Officer’s fees

        13        64        13  

Printing and mailing costs

        25        636        13  

Registration and filing fees

        35        298        76  

Transfer agency fees (See Note 2.J.)

        3        436        — (a) 

Offering costs (See Note 2.H.)

        —        —        5  

Other

        3        150        6  
    

 

 

     

 

 

     

 

 

  

Total expenses

        550        94,295        409  
    

 

 

     

 

 

     

 

 

  

Less fees waived

        (116 )       (642 )       (120 ) 

Less expense reimbursements

        —        —        (58 ) 
    

 

 

     

 

 

     

 

 

  

Net expenses

        434        93,653        231  
    

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        426        273,163        2,955  
    

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

           

Net realized gain (loss) on transactions from:

           

Investments in non-affiliates

        7,456        370,332        (2,649 ) 

Investments in affiliates

        — (a)       (25 )       — (a) 
    

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

        7,456        370,307        (2,649 ) 
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

           

Investments in non-affiliates

        1,499        1,913,828        4,470  

Investments in affiliates

        — (a)       (86 )       — (a) 
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        1,499        1,913,742        4,470  
    

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        8,955        2,284,049        1,821  
    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 9,381      $ 2,557,212      $ 4,776  
    

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       

JPMorgan
Growth and
Income Fund

      JPMorgan
Hedged
Equity Fund		        JPMorgan
Large Cap
Growth Fund		  

INVESTMENT INCOME:

             

Interest income from non-affiliates

      $ — (a)     $ —        $ —  

Interest income from affiliates

        — (a)       —          — (a) 

Dividend income from non-affiliates

        8,406        52,431          77,969  

Dividend income from affiliates

        177        1,121          4,453  

Income from securities lending (net) (See Note 2.E.)

        — (a)       —          2,190  
    

 

 

     

 

 

       

 

 

  

Total investment income

        8,583        53,552          84,612  
    

 

 

     

 

 

       

 

 

  

EXPENSES:

             

Investment advisory fees

        1,386        7,378          38,032  

Administration fees

        260        2,213          5,441  

Distribution fees:

             

Class A

        653        450          3,210  

Class C

        104        676          1,978  

Class R2

        — (a)       —          337  

Class R3

        — (a)       —          69  

Service fees:

             

Class A

        653        450          3,210  

Class C

        35        226          659  

Class I

        120        6,069          5,928  

Class R2

        — (a)       —          169  

Class R3

        — (a)       —          69  

Class R4

        — (a)       —          18  

Class R5

        — (a)       1          355  

Custodian and accounting fees

        19        147          212  

Interest expense to affiliates

        —        1          4  

Professional fees

        31        73          107  

Trustees’ and Chief Compliance Officer’s fees

        14        24          44  

Printing and mailing costs

        23        102          357  

Registration and filing fees

        74        247          169  

Transfer agency fees (See Note 2.J.)

        109        42          288  

Other

        8        39          94  
    

 

 

     

 

 

       

 

 

  

Total expenses

        3,489        18,138          60,750  
    

 

 

     

 

 

       

 

 

  

Less fees waived

        (411 )       (133 )         (8,486 ) 

Less expense reimbursements

        (1 )       —          —  
    

 

 

     

 

 

       

 

 

  

Net expenses

        3,077        18,005          52,264  
    

 

 

     

 

 

       

 

 

  

Net investment income (loss)

        5,506        35,547          32,348  
    

 

 

     

 

 

       

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

             

Net realized gain (loss) on transactions from:

             

Investments in non-affiliates

        5,253        12,770          1,359,618  

Investments in affiliates

        (1 )       —          (62 ) 

Options purchased

        —        (180,143 )         —  

Futures contracts

        —        7,538          —  

Options written

        —        (170,079 )         —  
    

 

 

     

 

 

       

 

 

  

Net realized gain (loss)

        5,252        (329,914 )         1,359,556  
    

 

 

     

 

 

       

 

 

  

Change in net unrealized appreciation/depreciation on:

             

Investments in non-affiliates

        64,293        614,057          (27,840 ) 

Options purchased

        (1 )       1,486          (43 ) 

Futures contracts

        —        (173 )         —  

Options written

        —        993          —  
    

 

 

     

 

 

       

 

 

  

Change in net unrealized appreciation/depreciation

        64,292        616,363          (27,883 ) 
    

 

 

     

 

 

       

 

 

  

Net realized/unrealized gains (losses)

        69,544        286,449          1,331,673  
    

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

      $ 75,050      $ 321,996        $ 1,364,021  
    

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         65  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

(Amounts in thousands)

 

        JPMorgan
Large Cap
Value Fund		     

JPMorgan

U.S. Equity
Fund

      JPMorgan
U.S. Large
Cap Core
Plus Fund		        JPMorgan
U.S. Research
Enhanced
Equity Fund		  

INVESTMENT INCOME:

                

Interest income from non-affiliates

      $ — (a)     $ 33      $ 29        $ 22  

Interest income from affiliates

        —        — (a)       2          — (a) 

Dividend income from non-affiliates

        16,168        115,050        47,666          43,489  

Dividend income from affiliates

        336        1,432        830          498  

Income from securities lending (net) (See Note 2.E.)

        16        64        —          —  
    

 

 

     

 

 

     

 

 

       

 

 

  

Total investment income

        16,520        116,579        48,527          44,009  
    

 

 

     

 

 

     

 

 

       

 

 

  

EXPENSES:

                

Investment advisory fees

        3,123        29,687        16,666          6,168  

Administration fees

        586        5,001        1,892          1,850  

Distribution fees:

                

Class A

        304        2,045        657          254  

Class C

        194        1,072        369          —  

Class R2

        54        601        13          —  

Class R3

        — (a)       145        —          —  

Service fees:

                

Class A

        304        2,045        657          254  

Class C

        65        357        123          —  

Class I

        384        1,314        4,485          279  

Class L

        —        745        —          208  

Class R2

        27        301        6          —  

Class R3

        — (a)       145        —          —  

Class R4

        17        28        —          —  

Class R5

        15        418        49          —  

Custodian and accounting fees

        30        214        164          86  

Interest expense to affiliates

        —        1        4          — (a) 

Professional fees

        36        106        65          62  

Trustees’ and Chief Compliance Officer’s fees

        16        41        23          23  

Printing and mailing costs

        82        366        112          52  

Registration and filing fees

        88        163        101          56  

Transfer agency fees (See Note 2.J.)

        62        226        64          47  

Dividend expense to non-affiliates on securities sold short

        —        —        16,341          —  

Interest expense to non-affiliates on securities sold short

        —        —        3,400          —  

Other

        16        118        41          45  
    

 

 

     

 

 

     

 

 

       

 

 

  

Total expenses

        5,403        45,139        45,232          9,384  
    

 

 

     

 

 

     

 

 

       

 

 

  

Less fees waived

        (628 )       (3,241 )       (3,629 )         (2,544 ) 

Less expense reimbursements

        (11 )       (45 )       (2 )         (23 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Net expenses

        4,764        41,853        41,601          6,817  
    

 

 

     

 

 

     

 

 

       

 

 

  

Net investment income (loss)

        11,756        74,726        6,926          37,192  
    

 

 

     

 

 

     

 

 

       

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

                

Net realized gain (loss) on transactions from:

                

Investments in non-affiliates

        39,996        568,241        957,562          781,055  

Investments in affiliates

        2        (45 )       (1 )         (3 ) 

Futures contracts

        —        5,807        (10,319 )         5,028  

Securities sold short

        —        —        (18,749 )         —  
    

 

 

     

 

 

     

 

 

       

 

 

  

Net realized gain (loss)

        39,998        574,003        928,493          786,080  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in net unrealized appreciation/depreciation on:

                

Investments in non-affiliates

        111,975        951,469        (424,821 )         (362,657 ) 

Investments in affiliates

        (1 )       (8 )       (2 )         (4 ) 

Futures contracts

        —        96        207          150  

Securities sold short

        —        —        (61,025 )         —  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in net unrealized appreciation/depreciation

        111,974        951,557        (485,641 )         (362,511 ) 
    

 

 

     

 

 

     

 

 

       

 

 

  

Net realized/unrealized gains (losses)

        151,972        1,525,560        442,852          423,569  
    

 

 

     

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

      $ 163,728      $ 1,600,286      $ 449,778        $ 460,761  
    

 

 

     

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

           
JPMorgan Equity Focus Fund		      JPMorgan Equity Income Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

              

Net investment income (loss)

      $ 426      $ 1,021      $ 273,163      $ 417,629  

Net realized gain (loss)

        7,456        25,683        370,307        261,966  

Change in net unrealized appreciation/depreciation

        1,499        (16,976 )       1,913,742        1,549,963  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        9,381        9,728        2,557,212        2,229,558  
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

        (962 )       (681 )       (67,596 )       (140,305 ) 

Class C

        (540 )       (399 )       (25,948 )       (57,794 ) 

Class I

        (10,258 )       (14,230 )       (208,819 )       (356,669 ) 

Class R2

        —        —        (1,670 )       (3,859 ) 

Class R3

        —        —        (3,163 )       (5,148 ) 

Class R4

        —        —        (1,746 )       (1,500 ) 

Class R5

        —        —        (31,075 )       (59,529 ) 

Class R6 (a)

        (4,735 )       (2 )       (243,011 )       (310,524 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (16,495 )       (15,312 )       (583,028 )       (935,328 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        3,518        (140,958 )       5,876,091        5,113,722  
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        (3,596 )       (146,542 )       7,850,275        6,407,952  

Beginning of period

        106,828        253,370        23,662,447        17,254,495  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 103,232      $ 106,828      $ 31,512,722      $ 23,662,447  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Equity Focus Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         67  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

           
JPMorgan Equity Premium Income Fund		      JPMorgan Growth and Income Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Period Ended
June 30, 2019 (a)		      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

             

Net investment income (loss)

      $ 2,955      $ 3,239      $ 5,506     $ 11,130  

Net realized gain (loss)

        (2,649 )       (3,432 )       5,252       16,767  

Change in net unrealized appreciation/depreciation

        4,470        3,283        64,292       12,931  
    

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from operations

        4,776        3,090        75,050       40,828  
    

 

 

     

 

 

     

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

             

Class A

        (48 )       (2 )       (15,684 )      (28,923 ) 

Class C

        (26 )       (1 )       (858 )      (1,489 ) 

Class I

        (2,891 )       (3,249 )       (2,700 )      (5,085 ) 

Class R2

        —        —        (10 )      (6 ) 

Class R3

        —        —        — (b)      (1 ) 

Class R4

        —        —        (3 )      (1 ) 

Class R5

        (1 )       (1 )       (2 )      (3 ) 

Class R6

        (1 )       (1 )       (1,633 )      (2,303 ) 
    

 

 

     

 

 

     

 

 

    

 

 

  

Total distributions to shareholders

        (2,967 )       (3,254 )       (20,890 )      (37,811 ) 
    

 

 

     

 

 

     

 

 

    

 

 

  

CAPITAL TRANSACTIONS:

             

Change in net assets resulting from capital transactions

        58,875        54,397        69,750       38,723  
    

 

 

     

 

 

     

 

 

    

 

 

  

NET ASSETS:

             

Change in net assets

        60,684        54,233        123,910       41,740  

Beginning of period

        54,233        —        652,503       610,763  
    

 

 

     

 

 

     

 

 

    

 

 

  

End of period

      $ 114,917      $ 54,233      $ 776,413     $ 652,503  
    

 

 

     

 

 

     

 

 

    

 

 

  

 

(a)

Commencement of operations was August 31, 2018.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Hedged Equity Fund      JPMorgan Large Cap Growth Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

              

Net investment income (loss)

      $ 35,547      $ 44,889      $ 32,348      $ 9,977  

Net realized gain (loss)

        (329,914 )       (199,259 )       1,359,556        2,059,616  

Change in net unrealized appreciation/depreciation

        616,363        377,249        (27,883 )       (142,274 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        321,996        222,879        1,364,021        1,927,319  
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

        (2,000 )       (2,575 )       (307,305 )       (290,662 ) 

Class C

        (488 )       (707 )       (82,111 )       (80,926 ) 

Class I

        (30,992 )       (36,679 )       (568,389 )       (537,464 ) 

Class R2

        —        —        (16,104 )       (19,576 ) 

Class R3

        —        —        (7,619 )       (2,356 ) 

Class R4

        —        —        (2,550 )       (823 ) 

Class R5

        (16 )       (7 )       (83,447 )       (94,352 ) 

Class R6

        (3,997 )       (3,472 )       (964,234 )       (744,597 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (37,493 )       (43,440 )       (2,031,759 )       (1,770,756 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        1,366,839        2,447,975        2,380,142        1,405,460  
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        1,651,342        2,627,414        1,712,404        1,562,023  

Beginning of period

        5,055,806        2,428,392        15,912,610        14,350,587  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 6,707,148      $ 5,055,806      $ 17,625,014      $ 15,912,610  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         69  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

           
JPMorgan Large Cap Value Fund		      JPMorgan U.S. Equity Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

             

Net investment income (loss)

      $ 11,756     $ 24,256      $ 74,726      $ 163,804  

Net realized gain (loss)

        39,998       (38,069 )       574,003        1,320,157  

Change in net unrealized appreciation/depreciation

        111,974       29,360        951,557        (180,336 ) 
    

 

 

    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        163,728       15,547        1,600,286        1,303,625  
    

 

 

    

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

             

Class A

        (1,635 )      (14,350 )       (155,782 )       (145,610 ) 

Class C

        (235 )      (4,699 )       (25,985 )       (34,523 ) 

Class I

        (2,440 )      (26,304 )       (93,295 )       (176,401 ) 

Class L

        —       —        (135,175 )       (197,302 ) 

Class R2

        (122 )      (1,479 )       (21,355 )       (28,317 ) 

Class R3 (a)

        — (b)      (1 )       (10,771 )       (10,133 ) 

Class R4 (a)

        (109 )      (93 )       (2,054 )       (1,931 ) 

Class R5

        (265 )      (2,258 )       (76,605 )       (104,750 ) 

Class R6

        (8,653 )      (70,128 )       (873,258 )       (936,749 ) 
    

 

 

    

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (13,459 )      (119,312 )       (1,394,280 )       (1,635,716 ) 
    

 

 

    

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

             

Change in net assets resulting from capital transactions

        56,782       (137,459 )       1,165,734        (424,509 ) 
    

 

 

    

 

 

     

 

 

     

 

 

  

NET ASSETS:

             

Change in net assets

        207,051       (241,224 )       1,371,740        (756,600 ) 

Beginning of period

        1,411,128       1,652,352        14,301,497        15,058,097  
    

 

 

    

 

 

     

 

 

     

 

 

  

End of period

      $ 1,618,179     $ 1,411,128      $ 15,673,237      $ 14,301,497  
    

 

 

    

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Large Cap Value Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
70       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan U.S. Large Cap Core Plus Fund      JPMorgan U.S. Research Enhanced Equity Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

         

Net investment income (loss)

      $ 6,926      $ 33,620      $ 37,192      $ 100,475  

Net realized gain (loss)

        928,493        962,925        786,080        517,266  

Change in net unrealized appreciation/depreciation

        (485,641 )       (561,494 )       (362,511 )       (24,892 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

        449,778        435,051        460,761        592,849  
    

 

 

     

 

 

     

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Class A

        (110,686 )       (96,383 )       (21,006 )       (27,920 ) 

Class C

        (22,436 )       (20,837 )       —        —  

Class I

        (858,499 )       (784,212 )       (22,697 )       (27,285 ) 

Class L

        —        —        (42,811 )       (51,150 ) 

Class R2

        (1,126 )       (839 )       —        —  

Class R5

        (20,316 )       (16,031 )       —        —  

Class R6

        (161,893 )       (193,852 )       (441,704 )       (633,551 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Total distributions to shareholders

        (1,174,956 )       (1,112,154 )       (528,218 )       (739,906 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

              

Change in net assets resulting from capital transactions

        (1,259,444 )       (1,932,512 )       (1,358,975 )       (774,687 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

NET ASSETS:

              

Change in net assets

        (1,984,622 )       (2,609,615 )       (1,426,432 )       (921,744 ) 

Beginning of period

        6,419,008        9,028,623        5,815,346        6,737,090  
    

 

 

     

 

 

     

 

 

     

 

 

  

End of period

      $ 4,434,386      $ 6,419,008      $ 4,388,914      $ 5,815,346  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         71  

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  
      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		     Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

    $ 1,030     $ 2,435     $ 566,709     $ 755,202  

Distributions reinvested

      962       681       64,152       133,800  

Cost of shares redeemed

      (1,002 )      (1,458 )      (396,842 )      (824,132 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class A capital transactions

    $ 990     $ 1,658     $ 234,019     $ 64,870  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C

         

Proceeds from shares issued

    $ 200     $ 529     $ 181,600     $ 284,340  

Distributions reinvested

      540       399       22,635       51,095  

Cost of shares redeemed

      (133 )      (688 )      (130,776 )      (286,413 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class C capital transactions

    $ 607     $ 240     $ 73,459     $ 49,022  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class I

         

Proceeds from shares issued

    $ 2,613     $ 23,367     $ 2,232,308     $ 3,482,287  

Distributions reinvested

      10,183       14,130       187,365       318,091  

Cost of shares redeemed

      (19,252 )      (198,184 )      (836,297 )      (1,602,290 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class I capital transactions

    $ (6,456 )    $ (160,687 )    $ 1,583,376     $ 2,198,088  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

         

Proceeds from shares issued

    $ —     $ —     $ 11,265     $ 30,350  

Distributions reinvested

      —       —       1,594       3,484  

Cost of shares redeemed

      —       —       (16,651 )      (25,985 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ —     $ —     $ (3,792 )    $ 7,849  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R3

         

Proceeds from shares issued

    $ —     $ —     $ 53,820     $ 64,756  

Distributions reinvested

      —       —       2,730       4,644  

Cost of shares redeemed

      —       —       (20,123 )      (30,072 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ —     $ —     $ 36,427     $ 39,328  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R4

         

Proceeds from shares issued

    $ —     $ —     $ 30,272     $ 57,970  

Distributions reinvested

      —       —       1,746       1,500  

Cost of shares redeemed

      —       —       (13,104 )      (20,302 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ —     $ —     $ 18,914     $ 39,168  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R5

         

Proceeds from shares issued

    $ —     $ —     $ 222,723     $ 460,008  

Distributions reinvested

      —       —       29,711       55,745  

Cost of shares redeemed

      —       —       (196,028 )      (273,526 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ —     $ —     $ 56,406     $ 242,227  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R6 (a)

         

Proceeds from shares issued

    $ 5,917     $ 40,177     $ 4,470,610     $ 3,362,596  

Distributions reinvested

      4,735       2       232,737       292,441  

Cost of shares redeemed

      (2,275 )      (22,348 )      (826,065 )      (1,127,173 ) 

Redemptions in-kind (See Note 8)

      —       —       —       (54,694 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ 8,377     $ 17,831     $ 3,877,282     $ 2,473,170  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total change in net assets resulting from capital transactions

    $ 3,518     $ (140,958 )    $ 5,876,091     $ 5,113,722  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Equity Focus Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
72       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
     JPMorgan Equity Focus Fund     JPMorgan Equity Income Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		     Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

      34       81       31,219       44,333  

Reinvested

      35       25       3,437       8,045  

Redeemed

      (34 )      (51 )      (21,757 )      (48,297 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class A Shares

      35       55       12,899       4,081  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C

 

Issued

      8       18       10,144       17,076  

Reinvested

      21       15       1,235       3,143  

Redeemed

      (5 )      (25 )      (7,333 )      (17,081 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class C Shares

      24       8       4,046       3,138  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class I

 

Issued

      83       726       120,287       201,387  

Reinvested

      366       511       9,862       18,776  

Redeemed

      (626 )      (6,421 )      (45,088 )      (93,029 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class I Shares

      (177 )      (5,184 )      85,061       127,134  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

 

Issued

      —       —       622       1,779  

Reinvested

      —       —       86       211  

Redeemed

      —       —       (917 )      (1,521 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R2 Shares

      —       —       (209 )      469  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R3

 

Issued

      —       —       2,950       3,784  

Reinvested

      —       —       146       280  

Redeemed

      —       —       (1,099 )      (1,796 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R3 Shares

      —       —       1,997       2,268  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R4

 

Issued

      —       —       1,655       3,364  

Reinvested

      —       —       92       88  

Redeemed

      —       —       (703 )      (1,151 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R4 Shares

      —       —       1,044       2,301  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R5

 

Issued

      —       —       11,953       26,643  

Reinvested

      —       —       1,565       3,283  

Redeemed

      —       —       (10,525 )      (15,716 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R5 Shares

      —       —       2,993       14,210  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R6 (a)

 

Issued

      197       1,490       241,104       192,820  

Reinvested

      171       — (b)      12,240       17,229  

Redeemed

      (78 )      (757 )      (44,207 )      (64,768 ) 

Redemptions in-kind (See Note 8)

      —       —       —       (3,151 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R6 Shares

      290       733       209,137       142,130  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Equity Focus Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         73  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

     JPMorgan Equity Premium Income Fund     JPMorgan Growth and Income Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		     Period Ended
June 30, 2019 (a)		     Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

    $ 3,045     $ 123     $ 65,475     $ 48,540  

Distributions reinvested

      47       2       15,273       28,106  

Cost of shares redeemed

      (174 )      — (b)      (30,916 )      (63,999 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class A capital transactions

    $ 2,918     $ 125     $ 49,832     $ 12,647  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C

         

Proceeds from shares issued

    $ 2,201     $ 20     $ 4,470     $ 8,554  

Distributions reinvested

      26       1       713       1,282  

Cost of shares redeemed

      (16 )      —       (2,434 )      (6,924 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class C capital transactions

    $ 2,211     $ 21     $ 2,749     $ 2,912  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class I

         

Proceeds from shares issued

    $ 51,725     $ 51,120     $ 12,261     $ 37,640  

Distributions reinvested

      2,888       3,248       2,446       4,589  

Cost of shares redeemed

      (894 )      (159 )      (15,591 )      (26,157 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class I capital transactions

    $ 53,719     $ 54,209     $ (884 )    $ 16,072  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

         

Proceeds from shares issued

    $ —     $ —     $ 681     $ 66  

Distributions reinvested

      —       —       10       6  

Cost of shares redeemed

      —       —       (33 )      (3 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ —     $ —     $ 658     $ 69  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R3

         

Distributions reinvested

    $ —     $ —     $ —     $ 1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ —     $ —     $ —     $ 1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R4

         

Proceeds from shares issued

    $ —     $ —     $ 58     $ —  

Distributions reinvested

      —       —       3       1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ —     $ —     $ 61     $ 1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R5

         

Proceeds from shares issued

    $ —     $ 20     $ 24     $ 30  

Distributions reinvested

      1       1       2       3  

Cost of shares redeemed

      —       —       (35 )      (3 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ 1     $ 21     $ (9 )    $ 30  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R6

         

Proceeds from shares issued

    $ 25     $ 20     $ 20,493     $ 12,212  

Distributions reinvested

      1       1       1,571       2,197  

Cost of shares redeemed

      —       —       (4,721 )      (7,418 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ 26     $ 21     $ 17,343     $ 6,991  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total change in net assets resulting from capital transactions

    $ 58,875     $ 54,397     $ 69,750     $ 38,723  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Commencement of operations was August 31, 2018.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
74       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Equity Premium Income Fund      JPMorgan Growth and Income Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		      Period Ended
June 30, 2019 (a)		      Six Months Ended
December 31, 2019
(Unaudited)		      Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        203        8        1,275        987  

Reinvested

        3        — (b)       288        606  

Redeemed

        (12 )       — (b)       (601 )       (1,316 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class A Shares

        194        8        962        277  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class C

 

Issued

        146        1        98        198  

Reinvested

        2        — (b)       15        31  

Redeemed

        (1 )       —        (54 )       (158 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class C Shares

        147        1        59        71  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class I

 

Issued

        3,443        3,410        226        736  

Reinvested

        191        225        44        93  

Redeemed

        (59 )       (11 )       (289 )       (519 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class I Shares

        3,575        3,624        (19 )       310  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R2

 

Issued

        —        —        14        1  

Reinvested

        —        —        — (b)       — (b) 

Redeemed

        —        —        (1 )       — (b) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R2 Shares

        —        —        13        1  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R3

 

Reinvested

        —        —        — (b)       1  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R3 Shares

        —        —        — (b)       1  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R4

 

Issued

        —        —        — (b)       —  

Reinvested

        —        —        — (b)       1  
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R4 Shares

        —        —        — (b)       1  
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R5

 

Issued

        —        1        — (b)       — (b) 

Reinvested

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

Redeemed

        —        —        — (b)       — (b) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R5 Shares

        1        1        — (b)       — (b) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Class R6

 

Issued

        2        1        364        235  

Reinvested

        — (b)       — (b)       28        44  

Redeemed

        —        —        (85 )       (144 ) 
    

 

 

     

 

 

     

 

 

     

 

 

  

Change in Class R6 Shares

        2        1        307        135  
    

 

 

     

 

 

     

 

 

     

 

 

  

 

(a)

Commencement of operations was August 31, 2018.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         75  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

     JPMorgan Hedged Equity Fund     JPMorgan Large Cap Growth Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		     Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

    $ 192,642     $ 200,515     $ 440,559     $ 565,602  

Distributions reinvested

      1,995       2,559       290,772       268,247  

Cost of shares redeemed

      (60,130 )      (196,149 )      (463,479 )      (848,901 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class A capital transactions

    $ 134,507     $ 6,925     $ 267,852     $ (15,052 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C

         

Proceeds from shares issued

    $ 50,992     $ 98,773     $ 64,791     $ 101,496  

Distributions reinvested

      487       705       64,738       64,190  

Cost of shares redeemed

      (16,221 )      (27,734 )      (60,807 )      (162,510 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class C capital transactions

    $ 35,258     $ 71,744     $ 68,722     $ 3,176  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class I

         

Proceeds from shares issued

    $ 1,617,324     $ 3,264,704     $ 731,060     $ 1,278,824  

Distributions reinvested

      29,691       34,623       522,530       499,924  

Cost of shares redeemed

      (623,876 )      (1,180,493 )      (857,965 )      (1,526,803 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class I capital transactions

    $ 1,023,139     $ 2,118,834     $ 395,625     $ 251,945  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

         

Proceeds from shares issued

    $ —     $ —     $ 19,335     $ 52,974  

Distributions reinvested

      —       —       13,984       15,016  

Cost of shares redeemed

      —       —       (38,376 )      (85,360 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ —     $ —     $ (5,057 )    $ (17,370 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R3

         

Proceeds from shares issued

    $ —     $ —     $ 30,182     $ 41,442  

Distributions reinvested

      —       —       4,020       1,370  

Cost of shares redeemed

      —       —       (6,729 )      (5,767 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ —     $ —     $ 27,473     $ 37,045  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R4

         

Proceeds from shares issued

    $ —     $ —     $ 12,450     $ 5,495  

Distributions reinvested

      —       —       2,550       823  

Cost of shares redeemed

      —       —       (837 )      (1,898 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ —     $ —     $ 14,163     $ 4,420  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R5

         

Proceeds from shares issued

    $ 526     $ 1,826     $ 85,094     $ 171,763  

Distributions reinvested

      16       7       78,312       89,822  

Cost of shares redeemed

      (102 )      (105 )      (103,810 )      (351,362 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ 440     $ 1,728     $ 59,596     $ (89,777 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R6

         

Proceeds from shares issued

    $ 252,106     $ 295,474     $ 1,390,862     $ 1,840,965  

Distributions reinvested

      1,415       978       931,375       723,675  

Cost of shares redeemed

      (80,026 )      (47,708 )      (770,469 )      (1,333,567 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ 173,495     $ 248,744     $ 1,551,768     $ 1,231,073  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total change in net assets resulting from capital transactions

    $ 1,366,839     $ 2,447,975     $ 2,380,142     $ 1,405,460  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
76       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Hedged Equity Fund      JPMorgan Large Cap Growth Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        9,311          10,234        10,459          14,213  

Reinvested

        96          131        7,477          7,726  

Redeemed

        (2,918 )         (10,028 )       (11,077 )         (21,501 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class A Shares

        6,489          337        6,859          438  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class C

 

Issued

        2,499          5,092        2,069          3,322  

Reinvested

        23          37        2,250          2,388  

Redeemed

        (795 )         (1,432 )       (1,898 )         (5,303 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class C Shares

        1,727          3,697        2,421          407  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class I

 

Issued

        78,497          166,589        17,171          31,957  

Reinvested

        1,422          1,758        13,208          14,219  

Redeemed

        (30,241 )         (60,565 )       (20,218 )         (38,672 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class I Shares

        49,678          107,782        10,161          7,504  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R2

 

Issued

        —          —        481          1,393  

Reinvested

        —          —        376          449  

Redeemed

        —          —        (956 )         (2,227 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R2 Shares

        —          —        (99 )         (385 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R3

 

Issued

        —          —        717          1,026  

Reinvested

        —          —        103          39  

Redeemed

        —          —        (159 )         (148 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R3 Shares

        —          —        661          917  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R4

 

Issued

        —          —        287          139  

Reinvested

        —          —        64          23  

Redeemed

        —          —        (20 )         (47 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R4 Shares

        —          —        331          115  
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R5

 

Issued

        26          92        1,949          4,109  

Reinvested

        1          — (a)       1,927          2,499  

Redeemed

        (5 )         (5 )       (2,396 )         (8,504 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R5 Shares

        22          87        1,480          (1,896 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Class R6

 

Issued

        12,258          15,045        31,705          44,475  

Reinvested

        68          49        22,702          19,983  

Redeemed

        (3,880 )         (2,420 )       (17,595 )         (32,490 ) 
    

 

 

       

 

 

     

 

 

       

 

 

  

Change in Class R6 Shares

        8,446          12,674        36,812          31,968  
    

 

 

       

 

 

     

 

 

       

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         77  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

     JPMorgan Large Cap Value Fund     JPMorgan U.S. Equity Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		     Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

    $ 111,854     $ 38,199     $ 262,797     $ 668,701  

Distributions reinvested

      1,609       13,929       148,528       132,720  

Cost of shares redeemed

      (47,390 )      (120,946 )      (202,139 )      (561,909 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class A capital transactions

    $ 66,073     $ (68,818 )    $ 209,186     $ 239,512  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C

         

Proceeds from shares issued

    $ 1,942     $ 12,245     $ 13,885     $ 47,501  

Distributions reinvested

      228       4,589       24,646       32,837  

Cost of shares redeemed

      (10,521 )      (26,332 )      (38,858 )      (81,416 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class C capital transactions

    $ (8,351 )    $ (9,498 )    $ (327 )    $ (1,078 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class I

         

Proceeds from shares issued

    $ 72,322     $ 180,351     $ 71,297     $ 408,617  

Distributions reinvested

      2,429       26,175       90,021       171,208  

Cost of shares redeemed

      (112,847 )      (258,184 )      (253,903 )      (922,817 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class I capital transactions

    $ (38,096 )    $ (51,658 )    $ (92,585 )    $ (342,992 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class L

         

Proceeds from shares issued

    $ —     $ —     $ 98,934     $ 340,083  

Distributions reinvested

      —       —       119,013       166,869  

Cost of shares redeemed

      —       —       (295,323 )      (575,141 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class L capital transactions

    $ —     $ —     $ (77,376 )    $ (68,189 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

         

Proceeds from shares issued

    $ 1,314     $ 9,456     $ 13,067     $ 31,183  

Distributions reinvested

      114       1,316       20,726       26,663  

Cost of shares redeemed

      (2,615 )      (4,971 )      (49,430 )      (72,348 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ (1,187 )    $ 5,801     $ (15,637 )    $ (14,502 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R3 (a)

        

Proceeds from shares issued

    $ — (b)    $ 20     $ 14,561     $ 53,558  

Distributions reinvested

      — (b)      1       9,724       9,047  

Cost of shares redeemed

      —       —       (19,357 )      (9,993 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ — (b)    $ 21     $ 4,928     $ 52,612  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R4 (a)

        

Proceeds from shares issued

    $ 749     $ 13,825     $ 2,065     $ 17,146  

Distributions reinvested

      109       93       2,054       1,931  

Cost of shares redeemed

      (2,312 )      (1,201 )      (3,778 )      (6,325 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ (1,454 )    $ 12,717     $ 341     $ 12,752  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R5

         

Proceeds from shares issued

    $ 3,450     $ 20,278     $ 30,064     $ 73,209  

Distributions reinvested

      263       2,241       69,831       94,444  

Cost of shares redeemed

      (7,985 )      (13,694 )      (97,837 )      (236,756 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ (4,272 )    $ 8,825     $ 2,058     $ (69,103 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R6

         

Proceeds from shares issued

    $ 103,940     $ 325,810     $ 1,122,894     $ 1,335,233  

Subscriptions in-kind (See Note 9)

      —       —       45,414       —  

Distributions reinvested

      8,611       69,882       867,740       934,866  

Cost of shares redeemed

      (68,482 )      (430,541 )      (900,902 )      (2,503,620 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ 44,069     $ (34,849 )    $ 1,135,146     $ (233,521 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total change in net assets resulting from capital transactions

    $ 56,782     $ (137,459 )    $ 1,165,734     $ (424,509 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Large Cap Value Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
78       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
     JPMorgan Large Cap Value Fund     JPMorgan U.S. Equity Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		     Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

         

Class A

 

Issued

      7,883       2,636       16,314       43,450  

Reinvested

      108       1,057       9,438       9,250  

Redeemed

      (3,240 )      (8,443 )      (12,578 )      (35,922 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class A Shares

      4,751       (4,750 )      13,174       16,778  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C

 

Issued

      140       893       894       3,118  

Reinvested

      16       365       1,630       2,381  

Redeemed

      (765 )      (1,966 )      (2,508 )      (5,483 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class C Shares

      (609 )      (708 )      16       16  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class I

 

Issued

      5,113       12,677       4,417       26,279  

Reinvested

      167       2,016       5,698       11,895  

Redeemed

      (7,895 )      (18,372 )      (15,890 )      (59,810 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class I Shares

      (2,615 )      (3,679 )      (5,775 )      (21,636 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class L

 

Issued

      —       —       6,160       21,487  

Reinvested

      —       —       7,513       11,566  

Redeemed

      —       —       (18,306 )      (37,224 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class L Shares

      —       —       (4,633 )      (4,171 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

 

Issued

      93       652       825       2,018  

Reinvested

      8       101       1,332       1,883  

Redeemed

      (182 )      (353 )      (3,115 )      (4,597 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R2 Shares

      (81 )      400       (958 )      (696 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R3 (a)

 

Issued

      —       1       900       3,354  

Reinvested

      — (b)      — (b)      620       633  

Redeemed

      —       —       (1,198 )      (643 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R3 Shares

      — (b)      1       322       3,344  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R4 (a)

 

Issued

      53       1,113       127       1,067  

Reinvested

      7       7       130       134  

Redeemed

      (163 )      (89 )      (238 )      (400 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R4 Shares

      (103 )      1,031       19       801  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R5

 

Issued

      243       1,415       1,872       4,699  

Reinvested

      18       170       4,408       6,538  

Redeemed

      (557 )      (950 )      (6,039 )      (15,115 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R5 Shares

      (296 )      635       241       (3,878 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R6

 

Issued

      7,455       22,094       69,117       85,926  

Subscriptions in-kind (See Note 9)

      —       —       2,771       —  

Reinvested

      588       5,350       54,639       64,491  

Redeemed

      (4,770 )      (29,764 )      (55,214 )      (154,015 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R6 Shares

      3,273       (2,320 )      71,313       (3,598 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Large Cap Value Fund.

(b)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         79  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

     JPMorgan U.S. Large Cap Core Plus Fund      JPMorgan U.S. Research Enhanced Equity Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

          

Class A

          

Proceeds from shares issued

    $ 39,681     $ 135,379      $ 24,016     $ 34,397  

Distributions reinvested

      107,818       94,468        20,900       27,797  

Cost of shares redeemed

      (305,423 )      (275,160 )       (50,650 )      (123,985 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class A capital transactions

    $ (157,924 )    $ (45,313 )     $ (5,734 )    $ (61,791 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  

Class C

          

Proceeds from shares issued

    $ 4,605     $ 12,993      $ —     $ —  

Distributions reinvested

      19,111       17,995        —       —  

Cost of shares redeemed

      (30,345 )      (67,277 )       —       —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class C capital transactions

    $ (6,629 )    $ (36,289 )     $ —     $ —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Class I

          

Proceeds from shares issued

    $ 223,482     $ 888,442      $ 13,504     $ 56,824  

Distributions reinvested

      811,087       739,627        22,217       26,614  

Cost of shares redeemed

      (2,137,528 )      (2,590,860 )       (40,807 )      (115,409 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class I capital transactions

    $ (1,102,959 )    $ (962,791 )     $ (5,086 )    $ (31,971 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  

Class L

          

Proceeds from shares issued

    $ —     $ —      $ 27,553     $ 60,334  

Distributions reinvested

      —       —        25,240       32,173  

Cost of shares redeemed

      —       —        (62,435 )      (138,095 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class L capital transactions

    $ —     $ —      $ (9,642 )    $ (45,588 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  

Class R2

          

Proceeds from shares issued

    $ 537     $ 946      $ —     $ —  

Distributions reinvested

      808       532        —       —  

Cost of shares redeemed

      (512 )      (2,235 )       —       —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ 833     $ (757 )     $ —     $ —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Class R5

          

Proceeds from shares issued

    $ 5,384     $ 22,201      $ —     $ —  

Distributions reinvested

      20,259       15,977        —       —  

Cost of shares redeemed

      (28,257 )      (57,731 )       —       —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ (2,614 )    $ (19,553 )     $ —     $ —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Class R6

          

Proceeds from shares issued

    $ 65,939     $ 38,738      $ 485,142     $ 253,929  

Distributions reinvested

      113,531       166,828        440,937       633,410  

Cost of shares redeemed

      (169,621 )      (1,073,375 )       (927,883 )      (1,522,676 ) 

Redemptions in-kind (See Note 8)

      —       —        (1,336,709 )      —  
  

 

 

    

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ 9,849     $ (867,809 )     $ (1,338,513 )    $ (635,337 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  

Total change in net assets resulting from capital transactions

    $ (1,259,444 )    $ (1,932,512 )     $ (1,358,975 )    $ (774,687 ) 
  

 

 

    

 

 

     

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
80       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
     JPMorgan U.S. Large Cap Core Plus Fund     JPMorgan U.S. Research Enhanced Equity Fund  
      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		     Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

 

Class A

 

Issued

      1,613       4,895       892       1,253  

Reinvested

      4,576       3,825       855       1,116  

Redeemed

      (12,058 )      (9,740 )      (1,903 )      (4,605 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class A Shares

      (5,869 )      (1,020 )      (156 )      (2,236 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C

 

Issued

      206       506       —       —  

Reinvested

      873       773       —       —  

Redeemed

      (1,344 )      (2,631 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class C Shares

      (265 )      (1,352 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class I

 

Issued

      8,956       31,989       500       2,021  

Reinvested

      33,851       29,468       898       1,056  

Redeemed

      (87,242 )      (93,992 )      (1,495 )      (4,084 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class I Shares

      (44,435 )      (32,535 )      (97 )      (1,007 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class L

 

Issued

      —       —       1,071       2,291  

Reinvested

      —       —       1,023       1,280  

Redeemed

      —       —       (2,330 )      (4,963 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class L Shares

      —       —       (236 )      (1,392 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

 

Issued

      24       36       —       —  

Reinvested

      36       22       —       —  

Redeemed

      (21 )      (82 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R2 Shares

      39       (24 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R5

 

Issued

      210       840       —       —  

Reinvested

      840       633       —       —  

Redeemed

      (1,125 )      (2,058 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R5 Shares

      (75 )      (585 )      —       —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R6

 

Issued

      2,620       1,425       18,557       9,239  

Reinvested

      4,714       6,614       17,857       25,157  

Redeemed

      (6,928 )      (38,577 )      (33,782 )      (54,997 ) 

Redemptions in-kind (See Note 8)

      —       —       (52,834 )      —  
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in Class R6 Shares

      406       (30,538 )      (50,202 )      (20,601 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         81  

Table of Contents

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands)

 

     

JPMorgan U.S.
Large Cap
Core Plus Fund

  

INCREASE (DECREASE) IN CASH

   

Cash flows provided (used) by operating activities:

   

Net increase in net assets resulting from operations

    $ 449,778  

Adjustments to reconcile net increase/decrease in net assets resulting from

   

operations to net cash provided (used) by operating activities:

   

Purchase of investment securities

      (2,345,025 ) 

Proceeds from disposition of investment securities

      5,162,203  

Covers of investment securities sold short

      (1,354,457 ) 

Proceeds from investment securities sold short

      918,373  

Purchases of short-term investments — affiliates, net

      41,588  

Change in unrealized (appreciation)/depreciation on investments in non-affiliates

      424,821  

Change in unrealized (appreciation)/depreciation on investments in affiliates

      2  

Change in unrealized (appreciation)/depreciation on investment securities sold short

      61,025  

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

      (957,562 ) 

Net realized (gain)/loss on investments in affiliates

      1  

Net realized (gain)/loss on securities sold short

      18,749  

Decrease in dividends receivable from affiliates

      3  

Decrease in dividends receivable from non-affiliates

      4,844  

Decrease in variation margin receivable

      117  

Increase in due to broker for securities sold short

      100  

Decrease in dividend expense to non-affiliates on securities sold short

      (931 ) 

Decrease in interest expense to non-affiliates on securities sold short

      (145 ) 

Decrease in investment advisory fees payable

      (1,084 ) 

Decrease in administration fees payable

      (4 ) 

Decrease in distribution fees payable

      (52 ) 

Decrease in service fees payable

      (223 ) 

Decrease in custodian and accounting fees payable

      (64 ) 

Decrease in audit fees payable

      (22 ) 

Increase in printing and mailing cost payable

      9  

Increase in other accrued expenses payable

      12  
  

 

 

  

Net cash provided (used) by operating activities

      2,422,056  
  

 

 

  

Cash flows provided (used) by financing activities:

   

Proceeds from shares issued

      340,725  

Payment for shares redeemed

      (2,661,495 ) 

Cash distributions paid to shareholders (net of reinvestments of approximately $1,072,614,000)

      (102,342 ) 
  

 

 

  

Net cash provided (used) by financing activities

      (2,423,112 ) 
  

 

 

  

Cash:

   

Net increase (decrease) in unrestricted and restricted cash, foreign currency and deposits at broker

      (1,056 ) 

Restricted and unrestricted cash and deposits at broker at beginning of period

      2,240  
  

 

 

  

Restricted and unrestricted cash and deposits at broker at end of period

    $ 1,184  
  

 

 

  

 

Supplemental disclosure of cash flow information:

For the six months ended December 31, 2019 the Fund paid approximately $3,549,000 in interest expense for securities sold short.

For purposes of reporting the Statement of Cash Flows, the Fund considers all cash accounts that are not subject to withdrawal restrictions or penalties to be cash equivalents.

Reconciliation of restricted and unrestricted cash and foreign currency at the end of period to the Statement of Assets and Liabilities:

 

        June 30, 2019        December 31, 2019  

Cash

      $ 408        $ 128  

Deposits at broker:

          

Futures contracts

        1,832          956  

Securities sold short

        —          100  
    

 

 

       

 

 

  
     $ 2,240        $ 1,184  
    

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
82       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         83  

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 Focus Fund

                

Class A

                

Six Months Ended December 31, 2019 (Unaudited)

    $ 30.15      $ 0.08     $ 2.62     $ 2.70     $ (0.12 )    $ (4.98 )    $ (5.10 ) 

Year Ended June 30, 2019

      31.83        0.13       2.32       2.45       (0.41 )      (3.72 )      (4.13 ) 

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 )      — (f)      (0.66 )      (0.66 ) 

Year Ended June 30, 2015

      23.56        (0.02 )      1.42       1.40       (0.02 )      (0.16 )      (0.18 ) 

Class C

                

Six Months Ended December 31, 2019 (Unaudited)

      29.01        0.01       2.50       2.51       (0.01 )      (4.98 )      (4.99 ) 

Year Ended June 30, 2019

      30.75        (0.03 )      2.25       2.22       (0.24 )      (3.72 )      (3.96 ) 

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 ) 

Class I

                

Six Months Ended December 31, 2019 (Unaudited)

      30.60        0.12       2.67       2.79       (0.17 )      (4.98 )      (5.15 ) 

Year Ended June 30, 2019

      32.13        0.18       2.38       2.56       (0.37 )      (3.72 )      (4.09 ) 

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 ) 

Class R6

                

Six Months Ended December 31, 2019 (Unaudited)

      30.48        0.16       2.64       2.80       (0.24 )      (4.98 )      (5.22 ) 

October 1, 2018 (g) through June 30, 2019

      34.55        0.23       (0.05 )      0.18       (0.53 )      (3.72 )      (4.25 ) 

 

(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.

 

 
84       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

 

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

Net
investment

income
(loss)

    

Expenses
without waivers,
reimbursements and
earnings credits

     Portfolio
turnover
rate (c)		  
           
           
$ 27.75       9.30 %    $ 6,054       1.10 %      0.54 %      1.34 %      18 % 
  30.15       9.22       5,511       1.09       0.42       1.41       45  
  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  
           
  26.53       9.00       3,437       1.60       0.03       1.83       18  
  29.01       8.67       3,084       1.59       (0.09 )      1.89       45  
  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  
           
  28.24       9.45       65,026       0.85       0.77       1.07       18  
  30.60       9.50       75,887       0.84       0.57       1.08       45  
  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  
           
  28.06       9.55       28,715       0.60       1.06       0.81       18  
  30.48       2.03       22,346       0.59       1.08       0.95       45  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         85  

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

                  

Six Months Ended December 31, 2019 (Unaudited)

    $ 17.83      $ 0.16 (e)    $ 1.46      $ 1.62      $ (0.16 )    $ (0.19 )    $ (0.35 ) 

Year Ended June 30, 2019

      16.82        0.32 (e)      1.48        1.80        (0.33 )      (0.46 )      (0.79 ) 

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 ) 

Class C

                  

Six Months Ended December 31, 2019 (Unaudited)

      17.47        0.11 (e)      1.42        1.53        (0.11 )      (0.19 )      (0.30 ) 

Year Ended June 30, 2019

      16.50        0.23 (e)      1.46        1.69        (0.26 )      (0.46 )      (0.72 ) 

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 ) 

Class I

                  

Six Months Ended December 31, 2019 (Unaudited)

      18.14        0.18 (e)      1.50        1.68        (0.18 )      (0.19 )      (0.37 ) 

Year Ended June 30, 2019

      17.10        0.37 (e)      1.51        1.88        (0.38 )      (0.46 )      (0.84 ) 

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 ) 

Class R2

                  

Six Months Ended December 31, 2019 (Unaudited)

      17.74        0.13 (e)      1.45        1.58        (0.13 )      (0.19 )      (0.32 ) 

Year Ended June 30, 2019

      16.74        0.28 (e)      1.47        1.75        (0.29 )      (0.46 )      (0.75 ) 

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 ) 

Class R3

                  

Six Months Ended December 31, 2019 (Unaudited)

      17.81        0.16 (e)      1.46        1.62        (0.16 )      (0.19 )      (0.35 ) 

Year Ended June 30, 2019

      16.80        0.32 (e)      1.49        1.81        (0.34 )      (0.46 )      (0.80 ) 

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

                  

Six Months Ended December 31, 2019 (Unaudited)

      18.13        0.18 (e)      1.49        1.67        (0.18 )      (0.19 )      (0.37 ) 

Year Ended June 30, 2019

      17.09        0.36 (e)      1.52        1.88        (0.38 )      (0.46 )      (0.84 ) 

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

                  

Six Months Ended December 31, 2019 (Unaudited)

      18.16        0.20 (e)      1.48        1.68        (0.19 )      (0.19 )      (0.38 ) 

Year Ended June 30, 2019

      17.11        0.40 (e)      1.51        1.91        (0.40 )      (0.46 )      (0.86 ) 

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 ) 

Class R6

                  

Six Months Ended December 31, 2019 (Unaudited)

      18.14        0.21 (e)      1.49        1.70        (0.20 )      (0.19 )      (0.39 ) 

Year Ended June 30, 2019

      17.10        0.42 (e)      1.50        1.92        (0.42 )      (0.46 )      (0.88 ) 

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 ) 

 

(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.

 

 
86       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 19.10       9.15 %    $ 3,757,325       0.98 %      1.70 %      0.98 %      9 % 
  17.83       11.17       3,277,249       0.99       1.90       1.00       23  
  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  
           
  18.70       8.84       1,612,057       1.47       1.21       1.48       9  
  17.47       10.66       1,434,793       1.48       1.39       1.49       23  
  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  
           
  19.45       9.35       11,313,846       0.71       1.98       0.72       9  
  18.14       11.45       9,013,293       0.73       2.12       0.74       23  
  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  
           
  19.00       9.00       96,140       1.23       1.44       1.23       9  
  17.74       10.90       93,453       1.24       1.64       1.25       23  
  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  
           
  19.08       9.17       185,019       0.97       1.73       0.97       9  
  17.81       11.20       137,142       0.98       1.87       0.99       23  
  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  
           
  19.43       9.30       91,668       0.72       1.98       0.72       9  
  18.13       11.46       66,602       0.73       2.08       0.74       23  
  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  
           
  19.46       9.36       1,582,869       0.56       2.11       0.57       9  
  18.16       11.67       1,422,483       0.58       2.29       0.59       23  
  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  
           
  19.45       9.48       12,873,798       0.46       2.26       0.47       9  
  18.14       11.72       8,217,432       0.48       2.38       0.49       23  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         87  

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 Equity Premium Income Fund

                         

Class A

                         

Six Months Ended December 31, 2019 (Unaudited)

      $ 14.92        $ 0.56        $ 0.31        $ 0.87        $ (0.58 ) 

August 31, 2018 (g) through June 30, 2019

        15.00          0.95          (0.11 )         0.84          (0.92 ) 

Class C

                         

Six Months Ended December 31, 2019 (Unaudited)

        14.92          0.52          0.31          0.83          (0.54 ) 

August 31, 2018 (g) through June 30, 2019

        15.00          0.85          (0.07 )         0.78          (0.86 ) 

Class I

                         

Six Months Ended December 31, 2019 (Unaudited)

        14.92          0.59          0.30          0.89          (0.60 ) 

August 31, 2018 (g) through June 30, 2019

        15.00          0.94          (0.07 )         0.87          (0.95 ) 

Class R5

                         

Six Months Ended December 31, 2019 (Unaudited)

        14.92          0.60          0.30          0.90          (0.61 ) 

August 31, 2018 (g) through June 30, 2019

        15.00          0.96          (0.08 )         0.88          (0.96 ) 

Class R6

                         

Six Months Ended December 31, 2019 (Unaudited)

        14.92          0.62          0.28          0.90          (0.61 ) 

August 31, 2018 (g) through June 30, 2019

        15.00          0.97          (0.07 )         0.90          (0.98 ) 

 

(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)

Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated.

(g)

Commencement of operations.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
88       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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) (f)

    

Expenses

without waivers,
reimbursements and
earnings credits (f)

     Portfolio
turnover
rate (c)		  
           
           
$ 15.21       5.94 %    $ 3,079       0.85 %      7.44 %      1.32 %      61 % 
  14.92       5.95       125       0.85       7.90       1.80       43  
           
  15.21       5.66       2,257       1.35       6.84       1.79       61  
  14.92       5.50       21       1.35       7.14       2.26       43  
           
  15.21       6.04       109,511       0.60       7.79       1.06       61  
  14.92       6.15       54,045       0.60       7.89       1.13       43  
           
  15.21       6.12       22       0.45       8.00       0.97       61  
  14.92       6.28       21       0.45       8.04       1.36       43  
           
  15.21       6.17       48       0.35       8.14       0.84       61  
  14.92       6.37       21       0.35       8.14       1.26       43  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         89  

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

                 

Six Months Ended December 31, 2019 (Unaudited)

    $ 49.84      $ 0.40      $ 5.06     $ 5.46     $ (0.42 )    $ (1.07 )    $ (1.49 ) 

Year Ended June 30, 2019

      49.77        0.85        2.21       3.06       (0.85 )      (2.14 )      (2.99 ) 

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 ) 

Class C

                 

Six Months Ended December 31, 2019 (Unaudited)

      44.59        0.24        4.52       4.76       (0.32 )      (1.07 )      (1.39 ) 

Year Ended June 30, 2019

      44.91        0.53        1.98       2.51       (0.69 )      (2.14 )      (2.83 ) 

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 ) 

Class I

                 

Six Months Ended December 31, 2019 (Unaudited)

      52.69        0.49        5.36       5.85       (0.48 )      (1.07 )      (1.55 ) 

Year Ended June 30, 2019

      52.41        1.00        2.36       3.36       (0.94 )      (2.14 )      (3.08 ) 

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 ) 

Class R2

                 

Six Months Ended December 31, 2019 (Unaudited)

      50.01        0.35        5.05       5.40       (0.44 )      (1.07 )      (1.51 ) 

Year Ended June 30, 2019

      49.98        0.63        2.31       2.94       (0.77 )      (2.14 )      (2.91 ) 

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

                 

Six Months Ended December 31, 2019 (Unaudited)

      52.66        0.42        5.35       5.77       (0.41 )      (1.07 )      (1.48 ) 

Year Ended June 30, 2019

      52.41        0.89        2.33       3.22       (0.83 )      (2.14 )      (2.97 ) 

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

      49.99        0.68        4.46       5.14       (0.64 )      (2.08 )      (2.72 ) 

Class R4

                 

Six Months Ended December 31, 2019 (Unaudited)

      52.69        0.53        5.31       5.84       (0.49 )      (1.07 )      (1.56 ) 

Year Ended June 30, 2019

      52.41        1.02        2.34       3.36       (0.94 )      (2.14 )      (3.08 ) 

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

      49.99        0.79        4.46       5.25       (0.75 )      (2.08 )      (2.83 ) 

Class R5

                 

Six Months Ended December 31, 2019 (Unaudited)

      53.06        0.53        5.40       5.93       (0.52 )      (1.07 )      (1.59 ) 

Year Ended June 30, 2019

      52.74        1.09        2.38       3.47       (1.01 )      (2.14 )      (3.15 ) 

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

                 

Six Months Ended December 31, 2019 (Unaudited)

      53.08        0.57        5.38       5.95       (0.54 )      (1.07 )      (1.61 ) 

Year Ended June 30, 2019

      52.75        1.16        2.36       3.52       (1.05 )      (2.14 )      (3.19 ) 

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.

 

 
90       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 53.81       11.02 %    $ 581,403       0.94 %      1.54 %      1.07 %      7 % 
  49.84       6.68       490,597       0.93       1.73       1.06       26  
  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  
           
  47.96       10.74       30,821       1.44       1.04       1.54       7  
  44.59       6.15       26,032       1.43       1.21       1.54       26  
  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  
           
  56.99       11.17       101,118       0.69       1.79       0.78       7  
  52.69       6.94       94,500       0.68       1.93       0.79       26  
  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  
           
  53.90       10.87       784       1.19       1.35       1.72       7  
  50.01       6.41       108       1.18       1.30       2.77       26  
  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  
           
  56.95       11.02       26       0.94       1.54       1.05       7  
  52.66       6.66       24       0.93       1.73       1.84       26  
  52.41       10.33       22       0.94       1.42       1.12       32  
           
  56.97       11.15       87       0.69       1.93       0.79       7  
  52.69       6.94       24       0.68       1.98       1.60       26  
  52.41       10.56       22       0.71       1.64       0.87       32  
           
  57.40       11.24       69       0.54       1.93       0.67       7  
  53.06       7.10       74       0.53       2.10       1.01       26  
  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  
           
  57.42       11.29       62,105       0.44       2.06       0.53       7  
  53.08       7.21       41,144       0.43       2.22       0.53       26  
  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.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         91  

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 asset
value,
end of
period		            Total return
(excludes
sales charge) (c)(d)		  

JPMorgan Hedged Equity Fund

                   

Class A

                   

Six Months Ended December 31, 2019 (Unaudited)

    $ 20.23      $ 0.10      $ 0.96     $ 1.06     $ (0.10 )    $ 21.19         5.27 % 

Year Ended June 30, 2019

      19.43        0.20        0.79       0.99       (0.19 )      20.23         5.12  

Year Ended June 30, 2018

      18.24        0.18        1.15       1.33       (0.14 )      19.43         7.33  

Year Ended June 30, 2017

      16.23        0.19        2.01       2.20       (0.19 )      18.24         13.60  

Year Ended June 30, 2016

      16.47        0.20        (0.28 )      (0.08 )      (0.16 )      16.23         (0.43 ) 

Year Ended June 30, 2015

      15.74        0.19        0.67       0.86       (0.13 )      16.47         5.45  

Class C

                   

Six Months Ended December 31, 2019 (Unaudited)

      20.10        0.05        0.96       1.01       (0.05 )      21.06         5.04  

Year Ended June 30, 2019

      19.33        0.11        0.77       0.88       (0.11 )      20.10         4.60  

Year Ended June 30, 2018

      18.16        0.08        1.15       1.23       (0.06 )      19.33         6.79  

Year Ended June 30, 2017

      16.17        0.10        2.01       2.11       (0.12 )      18.16         13.07  

Year Ended June 30, 2016

      16.43        0.13        (0.29 )      (0.16 )      (0.10 )      16.17         (0.95 ) 

Year Ended June 30, 2015

      15.76        0.10        0.67       0.77       (0.10 )      16.43         4.85  

Class I

                   

Six Months Ended December 31, 2019 (Unaudited)

      20.28        0.13        0.97       1.10       (0.13 )      21.25         5.42  

Year Ended June 30, 2019

      19.47        0.26        0.78       1.04       (0.23 )      20.28         5.39  

Year Ended June 30, 2018

      18.27        0.23        1.16       1.39       (0.19 )      19.47         7.63  

Year Ended June 30, 2017

      16.26        0.23        2.01       2.24       (0.23 )      18.27         13.86  

Year Ended June 30, 2016

      16.50        0.25        (0.28 )      (0.03 )      (0.21 )      16.26         (0.17 ) 

Year Ended June 30, 2015

      15.76        0.23        0.66       0.89       (0.15 )      16.50         5.66  

Class R5

                   

Six Months Ended December 31, 2019 (Unaudited)

      20.32        0.14        0.97       1.11       (0.14 )      21.29         5.48  

Year Ended June 30, 2019

      19.50        0.29        0.79       1.08       (0.26 )      20.32         5.57  

Year Ended June 30, 2018

      18.30        0.26        1.16       1.42       (0.22 )      19.50         7.81  

Year Ended June 30, 2017

      16.28        0.26        2.02       2.28       (0.26 )      18.30         14.10  

Year Ended June 30, 2016

      16.51        0.24        (0.24 )      — (g)      (0.23 )      16.28         0.07  

Year Ended June 30, 2015

      15.76        0.26        0.66       0.92       (0.17 )      16.51         5.86  

Class R6

                   

Six Months Ended December 31, 2019 (Unaudited)

      20.32        0.15        0.97       1.12       (0.15 )      21.29         5.54  

Year Ended June 30, 2019

      19.49        0.31        0.79       1.10       (0.27 )      20.32         5.69  

Year Ended June 30, 2018

      18.29        0.27        1.16       1.43       (0.23 )      19.49         7.87  

Year Ended June 30, 2017

      16.28        0.25        2.03       2.28       (0.27 )      18.29         14.09  

Year Ended June 30, 2016

      16.52        0.27        (0.27 )      — (g)      (0.24 )      16.28         0.07  

Year Ended June 30, 2015

      15.76        0.27        0.67       0.94       (0.18 )      16.52         5.96  

 

(a)

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

(b)

Calculated based upon average shares outstanding.

(c)

Not annualized for periods less than one year.

(d)

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

(e)

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

(f)

Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated.

(g)

Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
92       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

Ratios/Supplemental data  
      Ratios to average net assets (a)        
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)		  
       
       
$ 447,853       0.85 %      0.98 %      0.85 %      22 % 
  296,242       0.85       1.02       0.87       48  
  277,898       0.84       0.92       0.87       44  
  133,789       0.84       1.06       1.05       31  
  71,417       0.85       1.27       1.11       57  
  93,007       0.85 (f)      1.14 (f)      1.21 (f)      42  
       
  202,505       1.35       0.47       1.36       22  
  158,602       1.35       0.55       1.37       48  
  81,030       1.34       0.42       1.38       44  
  29,168       1.34       0.55       1.45       31  
  9,867       1.35       0.80       1.52       57  
  3,405       1.35 (f)      0.59 (f)      1.65 (f)      42  
       
  5,471,480       0.59       1.22       0.60       22  
  4,214,453       0.60       1.30       0.61       48  
  1,947,444       0.59       1.17       0.62       44  
  597,013       0.59       1.30       0.69       31  
  158,820       0.60       1.54       0.74       57  
  105,397       0.60 (f)      1.39 (f)      0.91 (f)      42  
       
  2,437       0.45       1.38       0.47       22  
  1,893       0.45       1.46       0.95       48  
  123       0.39       1.37       0.67       44  
  37       0.40       1.51       1.08       31  
  25       0.40       1.49       2.16       57  
  442       0.40 (f)      1.58 (f)      0.82 (f)      42  
       
  582,873       0.34       1.48       0.35       22  
  384,616       0.35       1.56       0.37       48  
  121,897       0.34       1.42       0.42       44  
  3,289       0.34       1.41       0.42       31  
  74       0.35       1.66       1.40       57  
  443       0.35 (f)      1.63 (f)      0.77 (f)      42  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         93  

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 Large Cap Growth Fund

 

          

Class A

                

Six Months Ended December 31, 2019 (Unaudited)

    $ 41.87      $ 0.02     $ 3.28     $ 3.30     $ —     $ (5.21 )    $ (5.21 ) 

Year Ended June 30, 2019

      42.44        (0.09 )      4.80       4.71       —       (5.28 )      (5.28 ) 

Year Ended June 30, 2018

      38.23        (0.10 )      9.92       9.82       —       (5.61 )      (5.61 ) 

Year Ended June 30, 2017

      32.93        (0.07 )      8.51       8.44       —       (3.14 )      (3.14 ) 

Year Ended June 30, 2016

      36.82        (0.06 )      (2.23 )      (2.29 )      —       (1.60 )      (1.60 ) 

Year Ended June 30, 2015

      32.49        (0.10 )      5.05       4.95       —       (0.62 )      (0.62 ) 

Class C

                

Six Months Ended December 31, 2019 (Unaudited)

      32.33        (0.07 )      2.50       2.43       —       (5.21 )      (5.21 ) 

Year Ended June 30, 2019

      34.20        (0.23 )      3.64       3.41       —       (5.28 )      (5.28 ) 

Year Ended June 30, 2018

      31.95        (0.25 )      8.11       7.86       —       (5.61 )      (5.61 ) 

Year Ended June 30, 2017

      28.15        (0.20 )      7.14       6.94       —       (3.14 )      (3.14 ) 

Year Ended June 30, 2016

      31.86        (0.20 )      (1.91 )      (2.11 )      —       (1.60 )      (1.60 ) 

Year Ended June 30, 2015

      28.33        (0.24 )      4.39       4.15       —       (0.62 )      (0.62 ) 

Class I

                

Six Months Ended December 31, 2019 (Unaudited)

      42.46        0.07       3.33       3.40       (0.02 )      (5.21 )      (5.23 ) 

Year Ended June 30, 2019

      42.86        0.01       4.87       4.88       —       (5.28 )      (5.28 ) 

Year Ended June 30, 2018

      38.47        (0.01 )      10.01       10.00       —       (5.61 )      (5.61 ) 

Year Ended June 30, 2017

      33.08        (0.02 )      8.55       8.53       —       (3.14 )      (3.14 ) 

Year Ended June 30, 2016

      36.92        (0.01 )      (2.23 )      (2.24 )      —       (1.60 )      (1.60 ) 

Year Ended June 30, 2015

      32.52        (0.04 )      5.06       5.02       —       (0.62 )      (0.62 ) 

Class R2

                

Six Months Ended December 31, 2019 (Unaudited)

      40.32        (0.04 )      3.16       3.12       —       (5.21 )      (5.21 ) 

Year Ended June 30, 2019

      41.17        (0.18 )      4.61       4.43       —       (5.28 )      (5.28 ) 

Year Ended June 30, 2018

      37.33        (0.20 )      9.65       9.45       —       (5.61 )      (5.61 ) 

Year Ended June 30, 2017

      32.31        (0.16 )      8.32       8.16       —       (3.14 )      (3.14 ) 

Year Ended June 30, 2016

      36.24        (0.15 )      (2.18 )      (2.33 )      —       (1.60 )      (1.60 ) 

Year Ended June 30, 2015

      32.07        (0.18 )      4.97       4.79       —       (0.62 )      (0.62 ) 

Class R3

                

Six Months Ended December 31, 2019 (Unaudited)

      42.10        0.02       3.30       3.32       —       (5.21 )      (5.21 ) 

Year Ended June 30, 2019

      42.64        (0.08 )      4.82       4.74       —       (5.28 )      (5.28 ) 

Year Ended June 30, 2018

      38.39        (0.08 )      9.94       9.86       —       (5.61 )      (5.61 ) 

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

      33.97        (0.06 )      7.62       7.56       —       (3.14 )      (3.14 ) 

Class R4

                

Six Months Ended December 31, 2019 (Unaudited)

      42.45        0.08       3.32       3.40       (0.06 )      (5.21 )      (5.27 ) 

Year Ended June 30, 2019

      42.85        0.01       4.87       4.88       —       (5.28 )      (5.28 ) 

Year Ended June 30, 2018

      38.47        0.01       9.98       9.99       —       (5.61 )      (5.61 ) 

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

      33.97        0.04       7.60       7.64       —       (3.14 )      (3.14 ) 

Class R5

                

Six Months Ended December 31, 2019 (Unaudited)

      43.44        0.10       3.41       3.51       (0.07 )      (5.21 )      (5.28 ) 

Year Ended June 30, 2019

      43.65        0.07       5.00       5.07       —       (5.28 )      (5.28 ) 

Year Ended June 30, 2018

      39.04        0.06       10.16       10.22       —       (5.61 )      (5.61 ) 

Year Ended June 30, 2017

      33.46        0.05       8.67       8.72       —       (3.14 )      (3.14 ) 

Year Ended June 30, 2016

      37.25        0.06       (2.25 )      (2.19 )      —       (1.60 )      (1.60 ) 

Year Ended June 30, 2015

      32.75        0.03       5.09       5.12       —       (0.62 )      (0.62 ) 

Class R6

                

Six Months Ended December 31, 2019 (Unaudited)

      43.78        0.13       3.44       3.57       (0.11 )      (5.21 )      (5.32 ) 

Year Ended June 30, 2019

      43.95        0.11       5.03       5.14       (0.03 )      (5.28 )      (5.31 ) 

Year Ended June 30, 2018

      39.23        0.10       10.23       10.33       —       (5.61 )      (5.61 ) 

Year Ended June 30, 2017

      33.58        0.09       8.70       8.79       —       (3.14 )      (3.14 ) 

Year Ended June 30, 2016

      37.34        0.10       (2.26 )      (2.16 )      —       (1.60 )      (1.60 ) 

Year Ended June 30, 2015

      32.80        0.06       5.10       5.16       —       (0.62 )      (0.62 ) 

 

(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.

 

 
94       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 39.96       8.21 %    $ 2,628,093       0.94 %      0.08 %      1.05 %      27 % 
  41.87       13.67       2,466,910       0.93       (0.23 )      1.10       50  
  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  
           
  29.55       7.94       545,054       1.44       (0.42 )      1.55       27  
  32.33       13.11       518,116       1.43       (0.73 )      1.59       50  
  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  
           
  40.63       8.33       4,902,532       0.69       0.33       0.79       27  
  42.46       13.95       4,691,515       0.68       0.02       0.84       50  
  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  
           
  38.23       8.08       127,068       1.19       (0.18 )      1.30       27  
  40.32       13.39       138,030       1.18       (0.47 )      1.34       50  
  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  
           
  40.21       8.21       69,905       0.94       0.11       1.04       27  
  42.10       13.68       45,376       0.93       (0.21 )      1.08       50  
  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  
           
  40.58       8.35       23,714       0.69       0.39       0.79       27  
  42.45       13.96       10,740       0.68       0.02       0.83       50  
  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  
           
  41.67       8.40       735,659       0.54       0.48       0.64       27  
  43.44       14.15       702,536       0.53       0.17       0.69       50  
  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  
           
  42.03       8.47       8,592,989       0.44       0.59       0.54       27  
  43.78       14.23       7,339,387       0.43       0.27       0.58       50  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         95  

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 Large Cap Value Fund

 

           

Class A

                 

Six Months Ended December 31, 2019 (Unaudited)

    $ 14.11      $ 0.09      $ 1.40     $ 1.49     $  (0.10 )    $ —     $  (0.10 ) 

Year Ended June 30, 2019

      15.11        0.17        (0.09 )      0.08       (0.17 )      (0.91 )      (1.08 ) 

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 ) 

Class C

                 

Six Months Ended December 31, 2019 (Unaudited)

      13.49        0.05        1.35       1.40       (0.07 )      —       (0.07 ) 

Year Ended June 30, 2019

      14.51        0.10        (0.10 )      — (f)      (0.11 )      (0.91 )      (1.02 ) 

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 ) 

Class I

                 

Six Months Ended December 31, 2019 (Unaudited)

      13.85        0.10        1.39       1.49       (0.12 )      —       (0.12 ) 

Year Ended June 30, 2019

      14.85        0.20        (0.09 )      0.11       (0.20 )      (0.91 )      (1.11 ) 

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 ) 

Class R2

                 

Six Months Ended December 31, 2019 (Unaudited)

      13.98        0.07        1.39       1.46       (0.08 )      —       (0.08 ) 

Year Ended June 30, 2019

      14.99        0.14        (0.10 )      0.04       (0.14 )      (0.91 )      (1.05 ) 

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 ) 

Class R3

                 

Six Months Ended December 31, 2019 (Unaudited)

      13.84        0.08        1.39       1.47       (0.10 )      —       (0.10 ) 

October 1, 2018 (g) through June 30, 2019

      15.63        0.13        (0.88 )      (0.75 )      (0.13 )      (0.91 )      (1.04 ) 

Class R4

                 

Six Months Ended December 31, 2019 (Unaudited)

      14.11        0.10        1.42       1.52       (0.12 )      —       (0.12 ) 

October 1, 2018 (g) through June 30, 2019

      15.90        0.16        (0.89 )      (0.73 )      (0.15 )      (0.91 )      (1.06 ) 

Class R5

                 

Six Months Ended December 31, 2019 (Unaudited)

      14.00        0.11        1.40       1.51       (0.13 )      —       (0.13 ) 

Year Ended June 30, 2019

      14.99        0.23        (0.09 )      0.14       (0.22 )      (0.91 )      (1.13 ) 

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 ) 

Class R6

                 

Six Months Ended December 31, 2019 (Unaudited)

      13.90        0.12        1.40       1.52       (0.14 )      —       (0.14 ) 

Year Ended June 30, 2019

      14.90        0.24        (0.10 )      0.14       (0.23 )      (0.91 )      (1.14 ) 

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 ) 

 

(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.

 

 
96       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 15.50       10.60 %    $ 242,687       0.93 %      1.18 %      1.04 %      71 % 
  14.11       1.07       153,809       0.93       1.19       1.04       162  
  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  
           
  14.82       10.36       51,413       1.44       0.68       1.52       71  
  13.49       0.57       55,009       1.44       0.70       1.52       162  
  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  
           
  15.22       10.79       291,699       0.69       1.42       0.76       71  
  13.85       1.31       301,663       0.69       1.44       0.77       162  
  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  
           
  15.36       10.49       22,357       1.19       0.93       1.29       71  
  13.98       0.83       21,489       1.19       0.97       1.29       162  
  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  
           
  15.21       10.67       21       0.94       1.19       1.10       71  
  13.84       (4.25 )      19       0.94       1.28       1.17       162  
           
  15.51       10.80       14,393       0.69       1.44       0.76       71  
  14.11       (4.05 )      14,545       0.68       1.51       0.77       162  
           
  15.38       10.83       28,996       0.54       1.59       0.62       71  
  14.00       1.50       30,522       0.54       1.61       0.63       162  
  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  
           
  15.28       10.96       966,613       0.44       1.69       0.51       71  
  13.90       1.52       834,072       0.44       1.70       0.52       162  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         97  

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 U.S. Equity Fund

 

    

Class A

                

Six Months Ended December 31, 2019 (Unaudited)

    $ 15.86      $ 0.05 (e)    $ 1.66     $ 1.71     $ (0.06 )    $ (1.46 )    $ (1.52 ) 

Year Ended June 30, 2019

      16.48        0.12 (e)      1.17       1.29       (0.12 )      (1.79 )      (1.91 ) 

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 ) 

Class C

                

Six Months Ended December 31, 2019 (Unaudited)

      15.31        0.01 (e)      1.60       1.61       (0.02 )      (1.46 )      (1.48 ) 

Year Ended June 30, 2019

      15.99        0.04 (e)      1.13       1.17       (0.06 )      (1.79 )      (1.85 ) 

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 ) 

Class I

                

Six Months Ended December 31, 2019 (Unaudited)

      15.91        0.07 (e)      1.67       1.74       (0.08 )      (1.46 )      (1.54 ) 

Year Ended June 30, 2019

      16.51        0.16 (e)      1.18       1.34       (0.15 )      (1.79 )      (1.94 ) 

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 ) 

Class L

                

Six Months Ended December 31, 2019 (Unaudited)

      15.93        0.08 (e)      1.68       1.76       (0.09 )      (1.46 )      (1.55 ) 

Year Ended June 30, 2019

      16.53        0.18 (e)      1.18       1.36       (0.17 )      (1.79 )      (1.96 ) 

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 ) 

Class R2

                

Six Months Ended December 31, 2019 (Unaudited)

      15.70        0.03 (e)      1.64       1.67       (0.04 )      (1.46 )      (1.50 ) 

Year Ended June 30, 2019

      16.34        0.08 (e)      1.16       1.24       (0.09 )      (1.79 )      (1.88 ) 

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 ) 

Class R3

                

Six Months Ended December 31, 2019 (Unaudited)

      15.80        0.05 (e)      1.66       1.71       (0.06 )      (1.46 )      (1.52 ) 

Year Ended June 30, 2019

      16.43        0.12 (e)      1.16       1.28       (0.12 )      (1.79 )      (1.91 ) 

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

                

Six Months Ended December 31, 2019 (Unaudited)

      15.89        0.07 (e)      1.66       1.73       (0.08 )      (1.46 )      (1.54 ) 

Year Ended June 30, 2019

      16.50        0.17 (e)      1.16       1.33       (0.15 )      (1.79 )      (1.94 ) 

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

                

Six Months Ended December 31, 2019 (Unaudited)

      15.94        0.08 (e)      1.67       1.75       (0.09 )      (1.46 )      (1.55 ) 

Year Ended June 30, 2019

      16.54        0.19 (e)      1.17       1.36       (0.17 )      (1.79 )      (1.96 ) 

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 ) 

Class R6

                

Six Months Ended December 31, 2019 (Unaudited)

      15.97        0.09 (e)      1.68       1.77       (0.10 )      (1.46 )      (1.56 ) 

Year Ended June 30, 2019

      16.56        0.20 (e)      1.19       1.39       (0.19 )      (1.79 )      (1.98 ) 

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 ) 

 

(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.

 

 
98       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 16.05       11.02 %    $ 1,786,452       0.94 %      0.63 %      0.99 %      37 % 
  15.86       9.18       1,556,392       0.94       0.76       0.99       91  
  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  
           
  15.44       10.75       292,353       1.44       0.13       1.49       37  
  15.31       8.63       289,675       1.44       0.27       1.49       91  
  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  
           
  16.11       11.17       1,042,532       0.69       0.88       0.74       37  
  15.91       9.47       1,121,609       0.69       1.03       0.74       91  
  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  
           
  16.14       11.29       1,497,427       0.55       1.01       0.59       37  
  15.93       9.60       1,552,520       0.55       1.16       0.60       91  
  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  
           
  15.87       10.86       231,835       1.19       0.38       1.24       37  
  15.70       8.89       244,356       1.19       0.52       1.24       91  
  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  
           
  15.99       11.05       118,363       0.94       0.64       0.99       37  
  15.80       9.14       111,902       0.94       0.79       0.99       91  
  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  
           
  16.08       11.12       23,449       0.69       0.88       0.74       37  
  15.89       9.44       22,870       0.69       1.08       0.75       91  
  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  
           
  16.14       11.23       857,446       0.54       1.03       0.58       37  
  15.94       9.60       842,888       0.54       1.17       0.59       91  
  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  
           
  16.18       11.32       9,823,380       0.44       1.14       0.48       37  
  15.97       9.74       8,559,285       0.44       1.27       0.49       91  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         99  

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 U.S. Large Cap Core Plus Fund

                   

Class A

                   

Six Months Ended December 31, 2019 (Unaudited)

    $ 27.51      $ 0.01 (f)    $ 2.37      $ 2.38      $ (0.03 )    $ (5.59 )     $ (5.62 ) 

Year Ended June 30, 2019

      30.10        0.05 (f)      1.53        1.58        (0.05 )      (4.12 )       (4.17 ) 

Year Ended June 30, 2018

      30.35        — (f)(g)      3.87        3.87        —       (4.12 )       (4.12 ) 

Year Ended June 30, 2017

      26.06        — (f)(g)      5.54        5.54        (0.01 )      (1.24 )       (1.25 ) 

Year Ended June 30, 2016

      29.81        0.04 (f)      (1.37 )       (1.33 )       — (g)      (2.42 )       (2.42 ) 

Year Ended June 30, 2015

      29.50        0.06       2.49        2.55        (0.11 )      (2.13 )       (2.24 ) 

Class C

                   

Six Months Ended December 31, 2019 (Unaudited)

      25.88        (0.05 )(f)      2.20        2.15        —       (5.59 )       (5.59 ) 

Year Ended June 30, 2019

      28.65        (0.08 )(f)      1.43        1.35        —       (4.12 )       (4.12 ) 

Year Ended June 30, 2018

      29.21        (0.15 )(f)      3.71        3.56        —       (4.12 )       (4.12 ) 

Year Ended June 30, 2017

      25.23        (0.14 )(f)      5.36        5.22        —       (1.24 )       (1.24 ) 

Year Ended June 30, 2016

      29.07        (0.10 )(f)      (1.32 )       (1.42 )       —       (2.42 )       (2.42 ) 

Year Ended June 30, 2015

      28.85        (0.09 )      2.44        2.35        —       (2.13 )       (2.13 ) 

Class I

                   

Six Months Ended December 31, 2019 (Unaudited)

      27.94        0.04 (f)      2.41        2.45        (0.10 )      (5.59 )       (5.69 ) 

Year Ended June 30, 2019

      30.51        0.13 (f)      1.54        1.67        (0.12 )      (4.12 )       (4.24 ) 

Year Ended June 30, 2018

      30.66        0.08 (f)      3.92        4.00        (0.03 )      (4.12 )       (4.15 ) 

Year Ended June 30, 2017

      26.32        0.08 (f)      5.59        5.67        (0.09 )      (1.24 )       (1.33 ) 

Year Ended June 30, 2016

      30.07        0.10 (f)      (1.37 )       (1.27 )       (0.06 )      (2.42 )       (2.48 ) 

Year Ended June 30, 2015

      29.74        0.13       2.52        2.65        (0.19 )      (2.13 )       (2.32 ) 

Class R2

                   

Six Months Ended December 31, 2019 (Unaudited)

      26.62        (0.03 )(f)      2.28        2.25        —       (5.59 )       (5.59 ) 

Year Ended June 30, 2019

      29.31        (0.04 )(f)      1.47        1.43        —       (4.12 )       (4.12 ) 

Year Ended June 30, 2018

      29.74        (0.09 )(f)      3.78        3.69        —       (4.12 )       (4.12 ) 

Year Ended June 30, 2017

      25.61        (0.07 )(f)      5.44        5.37        —       (1.24 )       (1.24 ) 

Year Ended June 30, 2016

      29.40        (0.03 )(f)      (1.34 )       (1.37 )       —       (2.42 )       (2.42 ) 

Year Ended June 30, 2015

      29.14        (0.01 )      2.46        2.45        (0.06 )      (2.13 )       (2.19 ) 

Class R5

                   

Six Months Ended December 31, 2019 (Unaudited)

      28.08        0.05 (f)      2.42        2.47        (0.11 )      (5.59 )       (5.70 ) 

Year Ended June 30, 2019

      30.65        0.14 (f)      1.55        1.69        (0.14 )      (4.12 )       (4.26 ) 

Year Ended June 30, 2018

      30.81        0.11 (f)      3.93        4.04        (0.08 )      (4.12 )       (4.20 ) 

Year Ended June 30, 2017

      26.44        0.13 (f)      5.62        5.75        (0.14 )      (1.24 )       (1.38 ) 

Year Ended June 30, 2016

      30.21        0.18 (f)      (1.40 )       (1.22 )       (0.13 )      (2.42 )       (2.55 ) 

Year Ended June 30, 2015

      29.86        0.18       2.55        2.73        (0.25 )      (2.13 )       (2.38 ) 

Class R6

                   

Six Months Ended December 31, 2019 (Unaudited)

      28.07        0.06 (f)      2.41        2.47        (0.14 )      (5.59 )       (5.73 ) 

Year Ended June 30, 2019

      30.63        0.17 (f)      1.56        1.73        (0.17 )      (4.12 )       (4.29 ) 

November 1, 2017 (i) through June 30, 2018

      32.99        0.09 (f)      1.79        1.88        (0.12 )      (4.12 )       (4.24 ) 

 

(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% or unless otherwise noted.

(e)

The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class A are 1.10% and 1.27% for the six months ended December 31, 2019, 1.09% and 1.34% for the year ended June 30, 2019, 1.15% and 1.40% for the year ended June 30, 2018, 1.25% and 1.43% for the year ended June 30, 2017, 1.26% and 1.49% for the year ended June 30, 2016 and 1.30% and 1.66% for the year ended June 30, 2015; for Class C are 1.60% and 1.77% for the six months ended December 31, 2019, 1.60% and 1.85% for the year ended June 30, 2019, 1.65% and 1.90% for the year ended June 30, 2018, 1.75% and 1.94% for the year ended June 30, 2017, 1.76% and 2.00% for the year ended June 30, 2016 and 1.80% and 2.15% for the year ended June 30, 2015; for Class I are 0.85% and 1.01% for the six months ended December 31, 2019, 0.85% and 1.09% for the year ended June 30, 2019, 0.90% and 1.15% for the year ended June 30, 2018, 0.98% and 1.16% for the year ended June 30, 2017, 1.00% and 1.21% for the year ended June 30, 2016 and 1.05% and 1.38% for the year ended June 30, 2015; for Class R2 are 1.45% and 1.54% for the six months ended December 31, 2019, 1.45% and 1.63% for the year ended June 30, 2019, 1.47% and 1.67% for the year ended June 30, 2018, 1.50% and 1.76% for the year ended June 30, 2017, 1.51% and 1.84% for the year ended June 30, 2016 and 1.55% and 1.97% for the year ended June 30, 2015; for Class R5 are 0.80% and 0.86% for the six months ended December 31, 2019, 0.80% and 0.94% for the year ended June 30, 2019, 0.79% and 1.00% for the year ended June 30, 2018, 0.80% and 0.96% for the year ended June 30, 2017, 0.80% and 0.97% for the year ended June 30, 2016 and 0.85% and 1.17% for the year ended June 30, 2015; for Class R6 are 0.70% and 0.76% for the six months ended December 31, 2019, 0.70% and 0.85% for the year ended June 30, 2019 and 0.70% and 0.90% for the period ended June 30, 2018, respectively.

(f)

Calculated based upon average shares outstanding.

(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.

 

 
100       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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
(including dividend
and interest
expense for
securities sold
short) (d)(e)		     Net
investment
income
(loss)		     Expenses without waivers,
reimbursements and earnings
credits (including  dividend and
interest expense for securities
sold short) (e)		     Portfolio
turnover rate
(excluding securities
sold short) (b)		     Portfolio turnover
rate (including
securities sold
short) (b)		  
             
             
$ 24.27       10.26 %    $ 455,766       1.89 %      0.08 %      2.06 %      37 %      58 % 
  27.51       6.84       678,071       1.91       0.22       2.16       98       148  
  30.10       13.16       772,656       2.01       0.01       2.26       110       161  
  30.35       21.64       791,067       2.20       0.00 (h)      2.39       94       131  
  26.06       (4.52 )      890,217       2.21       0.14       2.44       88       127  
  29.81       9.05       943,586       2.33       0.18       2.69       94       127  
             
  22.44       9.98       87,987       2.39       (0.43 )      2.56       37       58  
  25.88       6.31       108,332       2.42       (0.29 )      2.67       98       148  
  28.65       12.58       158,677       2.50       (0.50 )      2.75       110       161  
  29.21       21.05       201,031       2.70       (0.50 )      2.89       94       131  
  25.23       (4.98 )      212,879       2.71       (0.37 )      2.95       88       127  
  29.07       8.51       263,257       2.83       (0.31 )      3.18       94       127  
             
  24.70       10.41       3,093,045       1.64       0.28       1.80       37       58  
  27.94       7.11       4,740,691       1.67       0.46       1.91       98       148  
  30.51       13.46       6,169,553       1.75       0.27       2.00       110       161  
  30.66       21.95       8,075,047       1.94       0.27       2.12       94       131  
  26.32       (4.28 )      8,175,603       1.95       0.38       2.16       88       127  
  30.07       9.32       10,354,676       2.08       0.45       2.41       94       127  
             
  23.28       10.09       5,524       2.24       (0.26 )      2.33       37       58  
  26.62       6.45       5,304       2.27       (0.14 )      2.45       98       148  
  29.31       12.81       6,528       2.31       (0.30 )      2.52       110       161  
  29.74       21.33       6,207       2.45       (0.24 )      2.71       94       131  
  25.61       (4.74 )      5,987       2.46       (0.11 )      2.79       88       127  
  29.40       8.79       5,821       2.58       (0.05 )      3.00       94       127  
             
  24.85       10.44       85,829       1.59       0.38       1.65       37       58  
  28.08       7.14       99,113       1.62       0.51       1.76       98       148  
  30.65       13.57       126,084       1.65       0.37       1.85       110       161  
  30.81       22.18       168,526       1.76       0.47       1.92       94       131  
  26.44       (4.07 )      591,379       1.75       0.73       1.92       88       127  
  30.21       9.54       301,894       1.88       0.65       2.20       94       127  
             
  24.81       10.45       706,235       1.49       0.47       1.55       37       58  
  28.07       7.30       787,497       1.52       0.59       1.67       98       148  
  30.63       6.10       1,795,125       1.54       0.44       1.74       110       161  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         101  

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		     Return
of
capital		      Total
distributions		  

JPMorgan U.S. Research Enhanced Equity Fund

                    

Class A

                    

Six Months Ended December 31, 2019 (Unaudited)

    $ 27.38      $ 0.16      $ 2.54     $ 2.70     $ (0.19 )    $ (2.70 )    $ —      $ (2.89 ) 

Year Ended June 30, 2019

      28.37        0.34        1.96       2.30       (0.36 )      (2.93 )      —        (3.29 ) 

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 ) 

Class I

                    

Six Months Ended December 31, 2019 (Unaudited)

      27.65        0.20        2.56       2.76       (0.22 )      (2.70 )      —        (2.92 ) 

Year Ended June 30, 2019

      28.61        0.41        1.98       2.39       (0.42 )      (2.93 )      —        (3.35 ) 

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 ) 

Class L

                    

Six Months Ended December 31, 2019 (Unaudited)

      27.61        0.20        2.55       2.75       (0.22 )      (2.70 )      —        (2.92 ) 

Year Ended June 30, 2019

      28.57        0.41        1.97       2.38       (0.41 )      (2.93 )      —        (3.34 ) 

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 ) 

Class R6

                    

Six Months Ended December 31, 2019 (Unaudited)

      27.62        0.21        2.57       2.78       (0.24 )      (2.70 )      —        (2.94 ) 

Year Ended June 30, 2019

      28.57        0.44        1.98       2.42       (0.44 )      (2.93 )      —        (3.37 ) 

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 ) 

 

(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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
102       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		    

Portfolio

turnover

rate (c)

  
           
           
$ 27.19       11.14 %    $ 202,118       0.60 %      1.20 %      0.86 %      26 % 
  27.38       9.39       207,809       0.60       1.24       0.85       42  
  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  
           
  27.49       11.27       228,045       0.35       1.45       0.59       26  
  27.65       9.65       232,077       0.35       1.50       0.59       42  
  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  
           
  27.44       11.25       413,326       0.35       1.44       0.44       26  
  27.61       9.66       422,351       0.35       1.50       0.44       42  
  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  
           
  27.46       11.34       3,545,425       0.25       1.54       0.34       26  
  27.62       9.78       4,953,109       0.25       1.60       0.34       42  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         103  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

1. Organization

JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004 for JPM I and JPM II and November 11, 2015 for JPM IV, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

The following are 10 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

 

      Classes Offered    Trust    Diversification Classification
JPMorgan Equity Focus Fund    Class A, Class C, Class I and Class R6(1)    JPM I    Non-Diversified(5)
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 Equity Premium Income Fund(2)    Class A, Class C, Class I, Class R5 and Class R6    JPM IV    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 R3(3), Class R4(3), 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. Large Cap Core Plus Fund    Class A, Class C, Class I, Class R2, Class R5 and Class R6    JPM I    Diversified
JPMorgan U.S. Research Enhanced Equity Fund    Class A(4), Class I, Class L and Class R6    JPM I    Diversified

 

(1) 

Class R6 commenced operations on October 1, 2018 for JPMorgan Equity Focus Fund.

(2) 

Equity Premium Income Fund commenced operations on August 31, 2018.

(3) 

Class R3 and Class R4 commenced operations on October 1, 2018 for JPMorgan Large Cap Value Fund.

(4) 

Class A Shares are publicly offered on a limited basis for JPMorgan U.S. Research Enhanced Equity Fund.

(5) 

Effective February 12, 2020, JPMorgan Equity Focus Fund is classified as a diversified 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 Equity Premium Income Fund (“Equity Premium Income Fund”) is to seek current income while maintaining prospects for capital appreciation.

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. Large Cap Core Plus Fund (“U.S. Large Cap Core Plus Fund”) is to seek to provide a 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.

Class L Shares for U.S. Equity Fund and Class A and Class L Shares for U.S. Research Enhanced Equity Fund are publicly offered on a limited basis. Investors are not eligible to purchase Class L Shares of the Funds unless they meet certain requirements as described in 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’ prospectuses. Class C Shares automatically convert

 

 
104       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

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.

Class A Shares for the U.S. Research Enhanced Equity Fund are publicly offered 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 prospectus.

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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (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 their market value 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.

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 (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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)

      $ 103,278        $ —        $ —        $ 103,278  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         105  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (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)

      $ 31,470,056        $ —        $ —        $ 31,470,056  
    

 

 

       

 

 

       

 

 

       

 

 

  
Equity Premium Income Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (b)

      $ 97,808        $ 18,021        $ —        $ 115,829  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 775,747        $ —        $ —        $ 775,747  
    

 

 

       

 

 

       

 

 

       

 

 

  
Hedged Equity Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 6,928,482        $ —        $ —        $ 6,928,482  
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

                    

Futures Contracts (a)

      $ 1,066        $ —        $ —        $ 1,066  
    

 

 

       

 

 

       

 

 

       

 

 

  

Depreciation in Other Financial Instruments

                    

Options Written (a)

                    

Call Options Written

      $ (69,680 )       $ —        $ —        $ (69,680 ) 

Put Options Written

        (11,440 )         —          —          (11,440 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Depreciation in Other Financial Instruments

      $ (81,120 )       $ —        $ —        $ (81,120 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 18,091,747        $ —        $ —        $ 18,091,747  
    

 

 

       

 

 

       

 

 

       

 

 

  
Large Cap Value Fund

 

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

Total Investments in Securities (a)

      $ 1,639,314        $ —        $ —        $ 1,639,314  
    

 

 

       

 

 

       

 

 

       

 

 

  
U.S. Equity Fund

 

        Level 1
Quoted prices		       

Level 2
Other significant

observable inputs

       

Level 3
Significant

unobservable inputs

        Total  

Total Investments in Securities (a)

      $ 15,754,065        $ —        $ —        $ 15,754,065  
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts (a)

      $ 238        $ —        $ —        $ 238  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 
106       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents
U.S. Large Cap Core Plus Fund

 

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

Total Investments in Securities (a)

      $ 5,562,000        $ —        $ —        $ 5,562,000  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Liabilities for Securities Sold Short (a)

      $ (1,110,522 )       $ —        $ —        $ (1,110,522 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts (a)

      $ 51        $ —        $ —        $ 51  
    

 

 

       

 

 

       

 

 

       

 

 

  
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 (a)

      $ 4,387,490        $ —        $ —        $ 4,387,490  
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts (a)

      $ 786        $ —        $ —        $ 786  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

All portfolio holdings designated as level 1 are disclosed individually on the SOIs.

(b)

All portfolio holdings designated in Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of Equity-Linked Notes, Please refer to the SOI for industry specifics of the portfolio holdings.

There were no transfers into or out of level 3 for the six months ended December 31, 2019.

B. Futures Contracts — Hedged Equity Fund, U.S. Equity Fund, U.S. Large Cap Core Plus 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, while cash deposited, which is considered restricted, 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 six months ended December 31, 2019 (amounts in thousands):

 

        Hedged
Equity Fund		        U.S.
Equity Fund		        U.S. Large
Cap Core
Plus Fund		        U.S.
Research
Enhanced
Equity Fund		  

Futures Contracts — Equity:

                    

Average Notional Balance Long

      $ 99,610        $ 49,705        $ 25,619        $ 43,694  

Ending Notional Balance Long

        39,915          12,928          19,392          31,997  

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         107  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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 record 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 of 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.

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. Cash collateral posted by the Fund is considered restricted.

The table below discloses the volume of the Fund’s options contracts activity during the six months ended December 31, 2019:

 

            

Exchange-Traded Options:

     

Average Number of Contracts Purchased

        19,362  

Average Number of Contracts Written

        38,723  

Ending Number of Contracts Purchased

        20,800  

Ending Number of Contracts Written

        41,600  

D. Short Sales — The U.S. Large Cap Core Plus Fund engages in short sales as part of its normal investment activities. In a short sale, the Fund sells securities it does not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund delivers the same securities to the broker.

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

The Fund is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net

 

 
108       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

Table of Contents

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

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

As of December 31, 2019, the Fund had outstanding short sales as listed on the SOI.

E. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.

The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).

 

        Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities		        Cash
Collateral
Posted by
Borrower*		        Net Amount Due
to Counterparty
(not less than zero)		  

Large Cap Growth Fund

      $ 426,730        $ (426,730 )       $ —  

Large Cap Value Fund

        19,448          (19,448 )         —  

U.S. Equity Fund

        41,689          (41,689 )         —  

 

*

Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):

 

Equity Focus Fund

    $ — (a) 

Growth and Income Fund

      — (a) 

Large Cap Growth Fund

      37  

Large Cap Value Fund

      2  

U.S. Equity Fund

      5  

 

(a)

Amount rounds to less than one thousand.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         109  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included in the Statements of Operations as Income from securities lending (net).

Equity Focus Fund and Growth and Income Fund did not have any securities out on loan at December 31, 2019. Equity Income Fund, Equity Premium Income Fund, Hedged Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Research Enhanced Equity Fund did not lend out any securities during the six months ended December 31, 2019.

F. 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. Amounts in the tables below are in thousands.

Equity Focus Fund

 

For the six months ended December 31, 2019  
Security Description   

Value at
June 30,

2019

     

Purchases

at Cost

     

Proceeds

from Sales

     

Net

Realized

Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		      Shares at
December 31,
2019		      Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

    $ 2,779      $ 12,758      $ 14,647      $ — (c)    $ — (c)    $ 890        890      $ 27     $ —  

JPMorgan U.S. Government Money Market Fund Class IM Shares (a)

      —        2,024        2,024        —       —       —        —        — (c)      —  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

    

 

 

  

Total

    $ 2,779      $ 14,782      $ 16,671      $ — (c)    $ — (c)    $ 890         $ 27     $ —  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

    

 

 

  

Equity Income Fund

 

For the six months ended December 31, 2019  
Security Description    Value at
June 30,
2019		      Purchases
at Cost		      Proceeds
from Sales		     

Net

Realized

Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		      Shares at
December 31,
2019		      Dividend
Income		      Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

    $ 1,052,315      $ 6,559,879      $ 6,790,822      $ (25 )    $ (86 )    $ 821,261        821,015      $ 9,387      $ —  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

Equity Premium Income Fund

 

For the six months ended December 31, 2019  
Security Description    Value at
June 30,
2019		      Purchases
at Cost		      Proceeds
from Sales		     

Net

Realized

Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		      Shares at
December 31,
2019		      Dividend
Income		      Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

    $ —      $ 68,510      $ 65,495      $ — (c)    $ — (c)    $ 3,015        3,014      $ 6      $ —  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

Growth and Income Fund

 

For the six months ended December 31, 2019  
Security Description    Value at
June 30,
2019		      Purchases
at Cost		      Proceeds
from Sales		     

Net

Realized

Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		      Shares at
December 31,
2019		      Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

    $ 20,398      $ 79,059      $ 84,963      $ (1 )    $ (1 )    $ 14,492        14,488      $ 177     $ —  

JPMorgan U.S. Government Money Market Fund Class IM Shares (a)

      —        5,048        5,048        —       —       —        —        — (c)*      —  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

    

 

 

  

Total

    $ 20,398      $ 84,107      $ 90,011      $ (1 )    $ (1 )    $ 14,492         $ 177     $ —  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

    

 

 

  

 

 
110       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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Hedged Equity Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		    

Net

Realized
Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.47% (a)(b)

   $ 232,451     $ 1,291,723     $ 1,314,707     $ —     $ —     $ 209,467       209,467     $ 1,121     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Large Cap Growth Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		    

Net

Realized
Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

   $ 177,684     $ 3,039,635     $ 2,663,392     $ (62 )    $ (7 )    $ 553,858       553,692     $ 4,453     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a)(b)

     406,108       1,323,000       1,339,000       (10 )*      (36 )      390,062       390,024       4,914 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a)(b)

     96,965       948,685       999,138       —       —       46,512       46,512       782 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 680,757     $ 5,311,320     $ 5,001,530     $ (72 )    $ (43 )    $ 990,432       $ 10,149     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Large Cap Value Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		    

Net

Realized
Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

   $ 11,520     $ 496,544     $ 479,198     $ 2     $ (1 )    $ 28,867       28,859     $ 336     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a)(b)

     —       57,200       44,000       1 *      —       13,201       13,200       67 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a)(b)

     —       103,250       96,507       —       —       6,743       6,743       56 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 11,520     $ 656,994     $ 619,705     $ 3     $ (1 )    $ 48,811       $ 459     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         111  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

U.S. Equity Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		    

Net

Realized
Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

   $ 88,792     $ 2,651,830     $ 2,641,362     $ (45 )    $ (8 )    $ 99,207       99,177     $ 1,432     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a)(b)

     13,017       460,301       443,300       (6 )*      — (c)      30,012       30,009       470 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a)(b)

     3,902       268,461       260,209       —       —       12,154       12,154       118 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 105,711     $ 3,380,592     $ 3,344,871     $ (51 )    $ (8 )    $ 141,373       $ 2,020     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

U.S. Large Cap Core Plus Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		    

Net

Realized
Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

   $ 78,086     $ 2,211,175     $ 2,252,763     $ (1 )    $ (2 )    $ 36,495       36,484     $ 830     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

U.S. Research Enhanced Equity Fund

 

For the six months ended December 31, 2019  
Security Description    Value at
June 30,
2019		      Purchases
at Cost		      Proceeds
from Sales		     

Net

Realized
Gain
(Loss)

    

Change

in Unrealized
Appreciation/
(Depreciation)

     Value at
December 31,
2019		      Shares at
December 31,
2019		      Dividend
Income		      Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a)(b)

    $ 39,677      $ 727,293      $ 731,893      $ (3 )    $ (4 )    $ 35,070        35,059      $ 498      $ —  
  

 

 

     

 

 

     

 

 

     

 

 

    

 

 

    

 

 

        

 

 

     

 

 

  

 

(a)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b)

The rate shown is the current yield as of December 31, 2019.

(c)

Amount rounds to less than one thousand.

  *

Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).

G. Equity-Linked Notes — The Equity Premium Income Fund invested in Equity-Linked Notes (“ELNs”). These are hybrid instruments which combine both debt and equity characteristics into a single note form. ELNs values are linked to the performance of an underlying index. ELNs are unsecured debt obligations of an issuer and may not be publically listed or traded on an exchanged. ELNS are valued daily, under procedures adopted by the Board of JPM IV, based upon values provided by an approved pricing source. These notes have a coupon which is accrued and recorded as interest income on the Statements of Operations. Changes in the market value of ELNs are recorded as Change in net unrealized appreciation or depreciation on the Statements of Operations. The Fund records a realized gain or loss when ELN is sold or matures.

As of December 31, 2019, the Fund had outstanding ELNs as listed on the SOI.

H. Offering and Organizational Costs — Total offering costs of approximately $27,000 incurred in connection with the offering of shares of the Equity Premium Income Fund are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Fund, if any, are recorded as an expense at the time the Fund commenced operations. For the six months ended December 31, 2019, total offering costs amortized were approximately $5,000.

 

 
112       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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I. 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.

J. 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 applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 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     $ — (a)    $ 2       n/a        n/a        n/a       n/a       n/a     $ — (a)    $ 3  

Equity Income Fund

                      

Transfer agency fees

      234       48       57       n/a      $ 7      $ 2     $ 1     $ 15       72       436  

Equity Premium Income Fund

                       

Transfer agency fees

      — (a)      — (a)      — (a)      n/a        n/a        n/a       n/a       — (a)      — (a)      — (a) 

Growth and Income Fund

                       

Transfer agency fees

      104       1       3       n/a        1        — (a)      — (a)      — (a)      — (a)      109  

Hedged Equity Fund

                      

Transfer agency fees

      8       7       22       n/a        n/a        n/a       n/a       — (a)      5       42  

Large Cap Growth Fund

                      

Transfer agency fees

      183       12       37       n/a        5        1       — (a)      9       41       288  

Large Cap Value Fund

                      

Transfer agency fees

      35       2       4       n/a        3        — (a)      — (a)      1       17       62  

U.S. Equity Fund

                      

Transfer agency fees

      59       9       18     $ 84        4        2       — (a)      5       45       226  

U.S. Large Cap Core Plus Fund

                       

Transfer agency fees

      19       4       36       n/a        1        n/a       n/a       — (a)      4       64  

U.S. Research Enhanced Equity Fund

                       

Transfer agency fees

      15       n/a       4       5        n/a        n/a       n/a       n/a       23       47  

 

(a)

Amount rounds to less than one thousand.

K. 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 December 31, 2019, no liability for Federal 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.

L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly, except for Equity Focus Fund, Large Cap Growth Fund and U.S. Large Cap Core Plus Fund, for which distributions are generally declared and paid annually, and Equity Income Fund and Equity Premium 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.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         113  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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

      0.50 %(1)  

Equity Income Fund

      0.40  

Equity Premium Income Fund

      0.25  

Growth and Income Fund

      0.40  

Hedged Equity Fund

      0.25  

Large Cap Growth Fund

      0.45 (1)  

Large Cap Value Fund

      0.40  

U.S. Equity Fund

      0.40  

U.S. Large Cap Core Plus Fund

      0.65 (1)  

U.S. Research Enhanced Equity Fund

      0.25  

 

(1) 

Prior to August 1, 2019, the investment advisory fee for Equity Focus Fund, Large Cap Growth Fund and U.S. Large Cap Core Plus Fund was accrued daily and paid monthly at an annual rate of 0.60%, 0.50% and 0.70%, respectively, of each Fund’s daily net assets.

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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, the effective annualized rate for Equity Focus Fund, Equity Income Fund, Equity Premium Income Fund, Growth and Income Fund, Hedged Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, U.S. Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Research Enhanced Equity Fund was 0.08%, 0.05%, 0.08%, 0.08%, 0.08%, 0.07%, 0.08%, 0.07%, 0.08% and 0.08%, respectively, 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 Funds’ 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, pursuant to Rule 12b-1 under the 1940 Act. The Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 % 

Equity Premium Income Fund

      0.25          0.75          n/a          n/a  

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          0.25  

U.S. Equity Fund

      0.25          0.75          0.50          0.25  

U.S. Large Cap Core Plus Fund

      0.25          0.75          0.50          n/a  

U.S. Research Enhanced Equity Fund

      0.25          n/a          n/a          n/a  

 

 
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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 six months ended December 31, 2019, JPMDS retained the following (amounts in thousands):

 

      Front-End Sales Charge        CDSC  

Equity Focus Fund

    $ 2        $ —  

Equity Income Fund

      428          1  

Equity Premium Income Fund

      1          —  

Growth and Income Fund

      9          — (a) 

Hedged Equity Fund

      109          1  

Large Cap Growth Fund

      226          — (a) 

Large Cap Value Fund

      3          —  

U.S. Equity Fund

      32          —  

U.S. Large Cap Core Plus Fund

      5          —  

U.S. Research Enhanced Equity Fund

      — (a)         — (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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, 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 % 

Equity Premium Income Fund

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

U.S. Equity Fund

      0.25        0.25        0.25        0.10 %       0.25        0.25        0.25        0.10  

U.S. Large Cap Core Plus Fund

      0.25        0.25        0.25        n/a        0.25        n/a        n/a        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. Pursuant to such contracts, 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.

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

 

 
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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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, expenses related to trustee elections 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       0.60 % 

Equity Income Fund

      n/a (1)       n/a (1)       n/a (1)       n/a       n/a (1)       n/a (1)       n/a (1)       n/a (1)       n/a (1)  

Equity Premium Income Fund

      0.85       1.35       0.60       n/a       n/a       n/a       n/a       0.45 %      0.35  

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       0.45       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       0.94       0.69       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. Large Cap Core Plus Fund

      1.10       1.60       0.85       n/a       1.45       n/a       n/a       0.80       0.70  

U.S. Research Enhanced Equity Fund

      0.60       n/a       0.35       n/a (2)       n/a       n/a       n/a       n/a       0.25  

 

 

(1)  

Effective November 1, 2019, the contractual expense limitation for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares expired. Prior to November 1, 2019, the contractual expense limitation 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.

(2)

Effective November 1, 2019, the contractual expense limitation for Class L Shares expired. Prior to November 1, 2019, the contractual expense limitation was 0.45% for Class L Shares.

Except as noted above, the expense limitation agreements were in effect for the six months ended December 31, 2019 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2020.

For the six months ended December 31, 2019, 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

      $ 72        $ 40        $ 2     $ 114        $ —  

Equity Income Fund

        12          —          —       12          —  

Equity Premium Income Fund

        90          29          — (a)      119          58  

Growth and Income Fund

        176          117          107       400          1  

Hedged Equity Fund

        —          —          5       5          —  

Large Cap Growth Fund

        4,826          3,214          201       8,241          —  

Large Cap Value Fund

        332          221          53       606          11  

U.S. Equity Fund

        1,823          1,213          97       3,133          45  

U.S. Large Cap Core Plus Fund

        853          567          2,156       3,576          2  

U.S. Research Enhanced Equity Fund

        1,302          869          339       2,510          23  

 

(a)

Amount rounds to less than one thousand.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral.

 

 
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The amounts of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 were as follows (amounts in thousands):

 

Equity Focus Fund

    $ 2  

Equity Income Fund

      630  

Equity Premium Income Fund

      1  

Growth and Income Fund

      11  

Hedged Equity Fund

      128  

Large Cap Growth Fund

      245  

Large Cap Value Fund

      22  

U.S. Equity Fund

      108  

U.S. Large Cap Core Plus Fund

      53  

U.S. Research Enhanced Equity Fund

      34  

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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with 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 six months ended December 31, 2019, the Hedged Equity Fund, Large Cap Growth Fund, Large Cap Value Fund, U.S. Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Research Enhanced Equity Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

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 six months ended December 31, 2019, purchases and sales of investments (excluding short-term investments and transfers in-kind) were as follows (amounts in thousands):

 

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

Equity Focus Fund

      $ 18,562        $ 29,096        $ —        $ —  

Equity Income Fund

        8,076,326          2,312,815          —          —  

Equity Premium Income Fund

        84,383          39,534          —          —  

Growth and Income Fund

        101,871          47,838          —          —  

Hedged Equity Fund

        2,307,939          1,272,696          —          —  

Large Cap Growth Fund

        4,313,732          4,397,132          —          —  

Large Cap Value Fund

        1,119,026          1,071,151          —          —  

U.S. Equity Fund

        5,410,320          5,599,929          —          —  

U.S. Large Cap Core Plus Fund

        2,312,610          5,114,301          893,450          1,310,316  

U.S. Research Enhanced Equity Fund

        1,255,607          1,776,134          —          —  

During the six months ended December 31, 2019, there were no purchases or sales of U.S. Government securities.

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         117  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at December 31, 2019 were as follows (amounts in thousands):

 

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

Equity Focus Fund

      $ 70,011        $ 33,442        $ 175        $ 33,267  

Equity Income Fund

        23,619,695          7,970,279          119,918          7,850,361  

Equity Premium Income Fund

        108,076          8,698          945          7,753  

Growth and Income Fund

        498,438          280,810          3,501          277,309  

Hedged Equity Fund

        5,648,196          1,227,229          26,997          1,200,232  

Large Cap Growth Fund

        11,159,574          6,970,602          38,429          6,932,173  

Large Cap Value Fund

        1,418,274          234,533          13,493          221,040  

U.S. Equity Fund

        11,000,112          4,800,706          46,515          4,754,191  

U.S. Large Cap Core Plus Fund*

        2,360,264          2,154,952          63,687          2,091,265  

U.S. Research Enhanced Equity Fund

        2,918,122          1,492,112          21,958          1,470,154  

 

*

The tax cost includes the proceeds from short sales which may result in a net negative cost.

As of June 30, 2019, the following Funds had the following post-enactment net capital loss carryforwards (amounts in thousands):

 

       Capital Loss Carryforward Character  
        Short-Term        Long-Term  

Equity Premium Income Fund

      $ 274        $ —  

Hedged Equity Fund

        30,463          39,552  

Large Cap Value Fund

        20,829          —  

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, 2019, the Funds deferred to July 1, 2019 the following net capital losses of (amounts in thousands):

 

       Net Capital Losses (Gains)  
        Short-Term        Long-Term  

Equity Income Fund

      $ 71,623        $ (42,715 ) 

Equity Premium Income Fund

        3,158          (7 ) 

Growth and Income Fund

        498          —  

Hedged Equity Fund

        64,453          80,038  

Large Cap Growth Fund

        123,326          —  

Large Cap Value Fund

        32,251          (19,678 ) 

U.S. Equity Fund

        30,565          —  

U.S. Large Cap Core Plus Fund

        84,150          —  

U.S. Research Enhanced Equity Fund

        17,394          —  

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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.

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 2, 2020.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.

 

 
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The Trusts, along with certain other trusts for J.P. Morgan Funds (“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 London InterBank Offered Rate (“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 13, 2019, 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 six months ended December 31, 2019.

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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.

As of December 31, 2019, the Funds had individual shareholder and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

     

Number of
individual shareholder
and/or

Affiliated

Omnibus

Accounts

       

% of

the Fund

        Number of
individual
shareholder  and/or
Non-Affiliated
Omnibus
Accounts		       

% of

the Fund

  

Equity Focus Fund

      1          69.6 %         1          17.9 % 

Equity Income Fund

      1          11.0          2          24.7  

Equity Premium Income Fund

      1          48.9          1          27.9  

Growth and Income Fund

      1          18.1          1          17.2  

Hedged Equity Fund

      —          —          3          40.2  

Large Cap Growth Fund

      —          —          1          20.3  

Large Cap Value Fund

      2          27.8          1          10.6  

U.S. Equity Fund

      —          —          1          11.7  

U.S. Large Cap Core Plus Fund

      1          16.9          1          40.8  

U.S. Research Enhanced Equity Fund

      1          11.4          1          15.7  

As of December 31, 2019, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the following Funds:

 

      J.P. Morgan
Investor Funds		        JPMorgan
SmartRetirement
Funds		  

Large Cap Value Fund

      37.9 %         n/a  

U.S. Equity Fund

      n/a          29.8 % 

U.S. Research Enhanced Equity Fund

      n/a          41.6  

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

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         119  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

8. Redemptions in-kind

On February 28, 2019, certain shareholders sold Class R6 Shares of Equity Income 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 detailed below (amounts in thousands):

 

        Value        Realized Gains
(Losses)		        Type  

Equity Income Fund

      $ 54,694 *       $ 27,965          Redemption in-kind  

 

*

This amount includes cash of approximately $2,919,000 associated with the redemption in-kind.

On October 21, 2019, certain shareholders sold Class R6 Shares of U.S. Research Enhanced Equity Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below (amounts in thousands):

 

        Value        Realized Gains
(Losses)		        Type  

U.S. Research Enhanced Equity Fund

      $ 1,336,709 *       $ 545,813          Redemption in-kind  

 

*

This amount includes cash of approximately $17,300,000 associated with the redemption in-kind.

9. Subscription in-kind

On July 29, 2019, certain shareholders purchased Class R6 Shares of U.S. Equity 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  

U.S. Equity Fund

      $ 45,414          Subscription in-kind  

10. Subsequent Event

At a meeting held on February 11, 2020, the Board of JPM I approved the conversion of the U.S. Research Enhanced Equity Fund’s Class L Shares into the U.S. Research Enhanced Equity Fund’s Class I Shares. Beginning July 3, 2020, Class L Shares of U.S. Research Enhanced Equity Fund will no longer be available for purchase. In connection with this share class conversion, effective July 3, 2020, the contractual expense waivers in effect for Class I Shares of the U.S. Research Enhanced Equity Fund will be extended such that they will remain in effect through July 2, 2022, at which time it will be determined whether such waivers will be renewed or revised.

 

 
120       J.P. MORGAN LARGE CAP FUNDS   DECEMBER 31, 2019

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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, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.

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 titled “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
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Equity Focus Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,093.00        $ 5.79          1.10 % 

Hypothetical

        1,000.00          1,019.61          5.58          1.10  

Class C

                    

Actual

        1,000.00          1,090.00          8.41          1.60  

Hypothetical

        1,000.00          1,017.09          8.11          1.60  

Class I

                    

Actual

        1,000.00          1,094.50          4.48          0.85  

Hypothetical

        1,000.00          1,020.86          4.32          0.85  

Class R6

                    

Actual

        1,000.00          1,095.50          3.16          0.60  

Hypothetical

        1,000.00          1,022.12          3.05          0.60  

JPMorgan Equity Income Fund

                    

Class A

                    

Actual

        1,000.00          1,091.50          5.15          0.98  

Hypothetical

        1,000.00          1,020.21          4.98          0.98  

Class C

                    

Actual

        1,000.00          1,088.40          7.72          1.47  

Hypothetical

        1,000.00          1,017.75          7.46          1.47  

Class I

                    

Actual

        1,000.00          1,093.50          3.74          0.71  

Hypothetical

        1,000.00          1,021.57          3.61          0.71  

Class R2

                    

Actual

        1,000.00          1,090.00          6.46          1.23  

Hypothetical

        1,000.00          1,018.95          6.24          1.23  

 

 
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SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Equity Income Fund (continued)

                    

Class R3

                    

Actual

      $ 1,000.00        $ 1,091.70        $ 5.10          0.97 %  

Hypothetical

        1,000.00          1,020.26          4.93          0.97  

Class R4

                    

Actual

        1,000.00          1,093.00          3.79          0.72  

Hypothetical

        1,000.00          1,021.52          3.66          0.72  

Class R5

                    

Actual

        1,000.00          1,093.60          2.95          0.56  

Hypothetical

        1,000.00          1,022.32          2.85          0.56  

Class R6

                    

Actual

        1,000.00          1,094.80          2.42          0.46  

Hypothetical

        1,000.00          1,022.82          2.34          0.46  

JPMorgan Equity Premium Income Fund

                    

Class A

                    

Actual

        1,000.00          1,059.40          4.40          0.85  

Hypothetical

        1,000.00          1,020.86          4.32          0.85  

Class C

                    

Actual

        1,000.00          1,056.60          6.98          1.35  

Hypothetical

        1,000.00          1,018.35          6.85          1.35  

Class I

                    

Actual

        1,000.00          1,060.40          3.11          0.60  

Hypothetical

        1,000.00          1,022.12          3.05          0.60  

Class R5

                    

Actual

        1,000.00          1,061.20          2.33          0.45  

Hypothetical

        1,000.00          1,022.87          2.29          0.45  

Class R6

                    

Actual

        1,000.00          1,061.70          1.81          0.35  

Hypothetical

        1,000.00          1,023.38          1.78          0.35  

JPMorgan Growth and Income Fund

                    

Class A

                    

Actual

        1,000.00          1,110.20          4.99          0.94  

Hypothetical

        1,000.00          1,020.41          4.77          0.94  

Class C

                    

Actual

        1,000.00          1,107.40          7.63          1.44  

Hypothetical

        1,000.00          1,017.90          7.30          1.44  

Class I

                    

Actual

        1,000.00          1,111.70          3.66          0.69  

Hypothetical

        1,000.00          1,021.67          3.51          0.69  

Class R2

                    

Actual

        1,000.00          1,108.70          6.31          1.19  

Hypothetical

        1,000.00          1,019.15          6.04          1.19  

Class R3

                    

Actual

        1,000.00          1,110.20          4.99          0.94  

Hypothetical

        1,000.00          1,020.41          4.77          0.94  

Class R4

                    

Actual

        1,000.00          1,111.50          3.66          0.69  

Hypothetical

        1,000.00          1,021.67          3.51          0.69  

Class R5

                    

Actual

        1,000.00          1,112.40          2.87          0.54  

Hypothetical

        1,000.00          1,022.42          2.75          0.54  

Class R6

                    

Actual

        1,000.00          1,112.90          2.34          0.44  

Hypothetical

        1,000.00          1,022.92          2.24          0.44  

 

 
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        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Hedged Equity Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,052.70        $ 4.39          0.85 %  

Hypothetical

        1,000.00          1,020.86          4.32          0.85  

Class C

                    

Actual

        1,000.00          1,050.40          6.96          1.35  

Hypothetical

        1,000.00          1,018.35          6.85          1.35  

Class I

                    

Actual

        1,000.00          1,054.20          3.05          0.59  

Hypothetical

        1,000.00          1,022.17          3.00          0.59  

Class R5

                    

Actual

        1,000.00          1,054.80          2.32          0.45  

Hypothetical

        1,000.00          1,022.87          2.29          0.45  

Class R6

                    

Actual

        1,000.00          1,055.40          1.76          0.34  

Hypothetical

        1,000.00          1,023.43          1.73          0.34  

JPMorgan Large Cap Growth Fund

                    

Class A

                    

Actual

        1,000.00          1,082.10          4.92          0.94  

Hypothetical

        1,000.00          1,020.41          4.77          0.94  

Class C

                    

Actual

        1,000.00          1,079.40          7.53          1.44  

Hypothetical

        1,000.00          1,017.90          7.30          1.44  

Class I

                    

Actual

        1,000.00          1,083.30          3.61          0.69  

Hypothetical

        1,000.00          1,021.67          3.51          0.69  

Class R2

                    

Actual

        1,000.00          1,080.80          6.22          1.19  

Hypothetical

        1,000.00          1,019.15          6.04          1.19  

Class R3

                    

Actual

        1,000.00          1,082.10          4.92          0.94  

Hypothetical

        1,000.00          1,020.41          4.77          0.94  

Class R4

                    

Actual

        1,000.00          1,083.50          3.61          0.69  

Hypothetical

        1,000.00          1,021.67          3.51          0.69  

Class R5

                    

Actual

        1,000.00          1,084.00          2.83          0.54  

Hypothetical

        1,000.00          1,022.42          2.75          0.54  

Class R6

                    

Actual

        1,000.00          1,084.70          2.31          0.44  

Hypothetical

        1,000.00          1,022.92          2.24          0.44  

JPMorgan Large Cap Value Fund

                    

Class A

                    

Actual

        1,000.00          1,106.00          4.92          0.93  

Hypothetical

        1,000.00          1,020.46          4.72          0.93  

Class C

                    

Actual

        1,000.00          1,103.60          7.61          1.44  

Hypothetical

        1,000.00          1,017.90          7.30          1.44  

Class I

                    

Actual

        1,000.00          1,107.90          3.66          0.69  

Hypothetical

        1,000.00          1,021.67          3.51          0.69  

Class R2

                    

Actual

        1,000.00          1,104.90          6.30          1.19  

Hypothetical

        1,000.00          1,019.15          6.04          1.19  

 

 
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Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Large Cap Value Fund (continued)

                    

Class R3

                    

Actual

      $ 1,000.00        $ 1,106.70        $ 4.98          0.94 %  

Hypothetical

        1,000.00          1,020.41          4.77          0.94  

Class R4

                    

Actual

        1,000.00          1,108.00          3.66          0.69  

Hypothetical

        1,000.00          1,021.67          3.51          0.69  

Class R5

                    

Actual

        1,000.00          1,108.30          2.86          0.54  

Hypothetical

        1,000.00          1,022.42          2.75          0.54  

Class R6

                    

Actual

        1,000.00          1,109.60          2.33          0.44  

Hypothetical

        1,000.00          1,022.92          2.24          0.44  

JPMorgan U.S. Equity Fund

                    

Class A

                    

Actual

        1,000.00          1,110.20          4.99          0.94  

Hypothetical

        1,000.00          1,020.41          4.77          0.94  

Class C

                    

Actual

        1,000.00          1,107.50          7.63          1.44  

Hypothetical

        1,000.00          1,017.90          7.30          1.44  

Class I

                    

Actual

        1,000.00          1,111.70          3.66          0.69  

Hypothetical

        1,000.00          1,021.67          3.51          0.69  

Class L

                    

Actual

        1,000.00          1,112.90          2.92          0.55  

Hypothetical

        1,000.00          1,022.37          2.80          0.55  

Class R2

                    

Actual

        1,000.00          1,108.60          6.31          1.19  

Hypothetical

        1,000.00          1,019.15          6.04          1.19  

Class R3

                    

Actual

        1,000.00          1,110.50          4.99          0.94  

Hypothetical

        1,000.00          1,020.41          4.77          0.94  

Class R4

                    

Actual

        1,000.00          1,111.20          3.66          0.69  

Hypothetical

        1,000.00          1,021.67          3.51          0.69  

Class R5

                    

Actual

        1,000.00          1,112.30          2.87          0.54  

Hypothetical

        1,000.00          1,022.42          2.75          0.54  

Class R6

                    

Actual

        1,000.00          1,113.20          2.34          0.44  

Hypothetical

        1,000.00          1,022.92          2.24          0.44  

JPMorgan U.S. Large Cap Core Plus Fund

                    

Class A

                    

Actual

        1,000.00          1,102.60          9.99          1.89  

Hypothetical

        1,000.00          1,015.63          9.58          1.89  

Class C

                    

Actual

        1,000.00          1,099.80          12.61          2.39  

Hypothetical

        1,000.00          1,013.12          12.09          2.39  

Class I

                    

Actual

        1,000.00          1,104.10          8.67          1.64  

Hypothetical

        1,000.00          1,016.89          8.31          1.64  

Class R2

                    

Actual

        1,000.00          1,100.90          11.83          2.24  

Hypothetical

        1,000.00          1,013.88          11.34          2.24  

 

 
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        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan U.S. Large Cap Core Plus Fund (continued)

                    

Class R5

                    

Actual

      $ 1,000.00        $ 1,104.40        $ 8.41          1.59 %  

Hypothetical

        1,000.00          1,017.14          8.06          1.59  

Class R6

                    

Actual

        1,000.00          1,104.50          7.88          1.49  

Hypothetical

        1,000.00          1,017.65          7.56          1.49  

JPMorgan U.S. Research Enhanced Equity Fund

                    

Class A

                    

Actual

        1,000.00          1,111.40          3.18          0.60  

Hypothetical

        1,000.00          1,022.12          3.05          0.60  

Class I

                    

Actual

        1,000.00          1,112.70          1.86          0.35  

Hypothetical

        1,000.00          1,023.38          1.78          0.35  

Class L

                    

Actual

        1,000.00          1,112.50          1.86          0.35  

Hypothetical

        1,000.00          1,023.38          1.78          0.35  

Class R6

                    

Actual

        1,000.00          1,113.40          1.33          0.25  

Hypothetical

        1,000.00          1,023.88          1.27          0.25  

 

*

Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 14, 2019.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of Funds with at least two years of performance history as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered quality of the administrative services provided by the Adviser in its role as administrator.

The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes

 

 

 
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designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of

products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer

The Trustees noted that, upon their direction, the Senior Officer for the Equity Income Fund, Large Cap Growth Fund, Large Cap Value Fund and U.S. Equity Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Equity Focus Fund, Equity Premium Income Fund, Growth and Income Fund, Hedged Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Research Enhanced Equity Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered

the special analysis prepared by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Equity Focus Fund’s performance for Class A shares was in the third, second and first quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first, second and third quintiles based upon the Peer Group, and in the second, first and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Equity Income Fund’s performance for Class A shares was in the first, second and first quintiles based upon the Peer Group, and in the second, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first, second and first quintiles based upon the Peer Group, and in the first quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon the Peer Group for the one-year period ended December 31, 2018, and in the first quintile based upon the Universe, for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted the performance of the Equity Premium Income Fund since its inception on August 31, 2018 as compared with that of its benchmark index. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and various other factors, concluded that the performance was reasonable.

The Trustees noted that the Growth and Income Fund’s performance for Class A shares was in the first quintile based upon the Peer Group, and in the second, second and first

 

 

 
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quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group, and in the second, first and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Peer Group, and in the second and first quintiles based upon the Universe, for the one- and three-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the Hedged Equity Fund’s performance for Class A shares was in the second, first and first quintiles based upon the Peer Group, and in the first quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, first and second quintiles based upon the Peer Group, and in the first quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Peer Group for the one- and three-year periods ended December 31, 2018, and in the first quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Large Cap Growth Fund’s performance for Class A shares was in the third, third and second quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the third, second and second quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third and first quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, respectively, and in the second, first and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance

analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Large Cap Value Fund’s performance for Class A shares was in the fourth, second and first quintiles based upon the Peer Group, and in the fifth, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the fifth, first and first quintiles based upon the Peer Group, and in the fifth, second and first quintiles based upon the Universe, for the one, three, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, respectively, and in the fifth, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the U.S. Equity Fund’s performance for Class A shares was in the third, third and second quintiles based upon both the Peer Group, and in the fourth, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the third, third and second quintiles based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third and second quintiles based upon the Peer Group for the one- and three-year periods ended December 31, 2018, respectively, and in the third, third and second quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the U.S. Large Cap Core Plus Fund’s performance for Class A shares was in the second, second and third quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second quintile based upon the Universe for each of the

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Universe for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. The Trustees requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s equity committee at each of its regularly scheduled meetings over the course of the next year.

The Trustees noted that the U.S. Research Enhanced Equity Fund’s performance for Class A and Class I shares was in the third quintile based upon both the Peer Group and Universe, for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon the Peer Group for the one-year period ended December 31, 2018, and in the third quintile based upon the Universe for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. In addition, for the Equity Focus Fund, Large Cap Growth Fund and U.S. Large Cap Core Plus Fund, the Trustees noted the reduction to the Funds’ contractual advisory fees effective August 1, 2019. The Trustees recognized that it is

difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Equity Focus Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, including a reduction to the Fund’s contractual advisory fee effective August 1, 2019, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Equity Income Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the third and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Equity Premium Income Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Growth and Income Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for

 

 

 
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Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Hedged Equity Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile based upon both the Peer Groups and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Large Cap Growth Fund’s net advisory fee for Class A shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, including a reduction to the Fund’s contractual advisory fee effective August 1, 2019, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Large Cap Value Fund’s net advisory fee and actual total expenses for both Class A and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer

Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the U.S. Equity Fund’s net advisory fee and actual total expenses for Class A shares were in the first and second quintiles, respectively, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the U.S. Large Cap Core Plus Fund’s net advisory fee for Class A shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for both Class I and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering all of the factors identified above, including a reduction to the Fund’s contractual advisory fee effective August 1, 2019, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the U.S. Research Enhanced Equity Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN LARGE CAP FUNDS         131  

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-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

 

  © JPMorgan Chase & Co., 2019. All rights reserved. December 2019.   SAN-LCE-1219

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Semi-Annual Report

J.P. Morgan Equity Funds

December 31, 2019 (Unaudited)

JPMorgan Equity Index Fund

JPMorgan Market Expansion Enhanced Index Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.

You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going to www.jpmorganfunds.com/edelivery.

You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us at funds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).

LOGO

Table of Contents

CONTENTS

 

Letter to Shareholders

        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        26  
Financial Highlights        32  
Notes to Financial Statements        36  
Schedule of Shareholder Expenses        44  
Board Approval of Investment Advisory Agreements        45  

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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LETTER TO SHAREHOLDERS

February 10, 2020 (Unaudited)

 

Dear Shareholders,

We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.

 

LOGO   

 

“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher

At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.

While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.

Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

 

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         1  

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J.P. Morgan Index Funds

MARKET OVERVIEW

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.

In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.

Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period. For the six months ended December 31, 2019, the S&P 500 returned 10.9% and the Bloomberg Barclays U.S. Aggregate Index returned 2.5%.

Global equity prices rebounded from two sharp sell-offs and U.S. equity largely outperformed both developed and emerging markets equity during the reporting period.

Growth in corporate profits, low interest rates and the continued growth in the global economy bolstered financial markets throughout the reporting period. However, investor concerns about the direction of U.S. interest rates, rising trade tensions and signs of slowing economic activity in China and Europe helped fuel significant market downturns in late 2018 and again in May 2019.

Leading equity indexes plummeted in the second half of December 2018 amid slowing global economic growth, unresolved U.S.-China trade tensions and investor concerns over rising interest rates.

However, financial market volatility stabilized in January and U.S. equity prices rebounded over the next few months and returned to record high levels by April 2019. Global equity markets slumped in May 2019 and leading indexes in the U.S. and Asian developed markets, as well as emerging markets, dropped by more than 6%. However, global equity prices rebounded again in June.

Within U.S. equity, large cap and mid cap stocks generally outperformed small cap stocks and growth stocks continued to outperform value stocks. For the twelve month reporting period, the S&P 500 returned 10.41%.

 

 
2       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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JPMorgan Equity Index Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      10.82%  
S&P 500 Index**      10.92%  
Net Assets as of 12/31/2019 (In Thousands)    $ 5,278,882  

 

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?

For the six months ended December 31, 2019, the Fund’s Class I Shares largely performed in line with the Benchmark, 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.

U.S. equity markets provided positive returns for the reporting period amid lower interest rates, continued growth in corporate earnings and an easing of global trade tensions. During the reporting period, the energy sector was the sole sector detractor from performance for the Fund and the Benchmark, while the information technology and financials sectors were leading contributors to performance.

HOW WAS THE FUND POSITIONED?

Regardless of the market outlook, the Fund was managed in strict conformity with a full replication index 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.      4.5 % 
  2.      Microsoft Corp.      4.4  
  3.      Amazon.com, Inc.      2.8  
  4.      Facebook, Inc., Class A      1.8  
  5.      Berkshire Hathaway, Inc., Class B      1.6  
  6.      JPMorgan Chase & Co.      1.6  
  7.      Alphabet, Inc., Class A      1.5  
  8.      Alphabet, Inc., Class C      1.5  
  9.      Johnson & Johnson      1.4  
  10.      Visa, Inc., Class A      1.2  

 

PORTFOLIO COMPOSITION BY SECTOR****

  
Information Technology      22.9 % 
Health Care      14.0  
Financials      12.8  
Communication Services      10.3  
Consumer Discretionary      9.6  
Industrials      9.0  
Consumer Staples      7.1  
Energy      4.3  
Utilities      3.3  
Real Estate      2.9  
Materials      2.6  
Short-Term Investments      1.2  

 

*   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.
**   “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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         3  

Table of Contents

JPMorgan Equity Index Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992                    

With Sales Charge**

           4.86 %         24.03 %         10.00 %         12.44 % 

Without Sales Charge

           10.67          30.90          11.19          13.04  

CLASS C SHARES

    November 4, 1997                    

With CDSC***

           9.33        29.11        10.46        12.25

Without CDSC

           10.33          30.11          10.46          12.25  

CLASS I SHARES

    July 2, 1991        10.82        31.23        11.47        13.33

CLASS R6 SHARES

    September 1, 2016        10.90        31.42        11.59        13.39

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 December 31, 2009 to December 31, 2019. 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   DECEMBER 31, 2019

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JPMorgan Market Expansion Enhanced Index Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      7.85%  
S&P 1000 Index**      7.28%  
Net Assets as of 12/31/2019 (In Thousands)    $ 949,054  

 

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 outperformed the S&P 1000 Index (the “Benchmark”) for the six months ended December31, 2019. The Fund’s security selection in the pharmaceutical and systems hardware sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the telecommunications and utilities sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Medicines Co. and Momenta Pharmaceuticals Inc. and its underweight position in GrubHub Inc. Shares of Medicines, a German pharmaceutical company, rose ahead of its acquisition by Novartis AG. Shares of Momenta Pharmaceuticals, a drug development company, rose after the company reported better-than-expected revenue for the third quarter of 2019. Shares of GrubHub, an online food-ordering business, fell after the company unveiled measures to bolster its business amid increased competition.

Leading individual detractors from relative performance included the Fund’s overweight positions in Akorn Inc., Meredith Corp. and CoreCivic Inc. Shares of Akorn, a maker of generic drugs and other health care products, fell after the company warned it may file for Chapter 11 bankruptcy. Shares of Meredith, a media company, fell after the company reported a lower revenue and an earnings loss for its fiscal fourth quarter. Shares of CoreCivic, an operator of prisons, fell amid U.S. Congressional scrutiny of private prison operators.

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.      Molina Healthcare, Inc.      0.6 % 
  2.      UGI Corp.      0.6  
  3.      Arrow Electronics, Inc.      0.6  
  4.      Reliance Steel & Aluminum Co.      0.6  
  5.      Perspecta, Inc.      0.5  
  6.      American Financial Group, Inc.      0.5  
  7.      Tyler Technologies, Inc.      0.5  
  8.      ITT, Inc.      0.5  
  9.      Alleghany Corp.      0.5  
  10.      Camden Property Trust      0.5  

 

PORTFOLIO COMPOSITION BY SECTOR****

  
Information Technology      15.7 % 
Industrials      15.4
Financials      14.8
Health Care      11.4
Consumer Discretionary      10.7
Real Estate      9.5
Materials      5.6
Utilities      3.5
Energy      2.7
Consumer Staples      2.6  
Communication Services      1.9
Short-Term Investments      6.2  

 

*   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.
**   “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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         5  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*      1 YEAR        5 YEAR        10 YEAR  

Class A SHARES

    July 31, 1998                    

With Sales Charge**

         1.97%        17.78 %        6.92 %        11.47 % 

Without Sales Charge

         7.65        24.25        8.07        12.07  

Class C SHARES

    March 22, 1999                    

With CDSC**

         6.48        22.67          7.45          11.37  

Without CDSC

         7.48        23.67        7.45        11.37  

CLASS I SHARES

    July 31, 1998      7.85        24.57        8.34        12.35  

CLASS R2 SHARES

    November 3, 2008      7.49        23.70        7.78        11.75  

CLASS R6 SHARES

    October 1, 2018      7.91        24.61        8.36        12.36  

 

*   Not annualized
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 of 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 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 December 31, 2009 to December 31, 2019. 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 99.6%

 

   

Aerospace & Defense — 2.4%

 

   

Arconic, Inc.

     76        2,342  

Boeing Co. (The)

     105        34,220  

General Dynamics Corp.

     46        8,120  

Huntington Ingalls Industries, Inc.

     8        2,016  

L3Harris Technologies, Inc.

     43        8,594  

Lockheed Martin Corp.

     49        18,990  

Northrop Grumman Corp.

     31        10,593  

Raytheon Co.

     55        12,023  

Textron, Inc.

     45        2,000  

TransDigm Group, Inc.

     10        5,480  

United Technologies Corp.

     159        23,873  
    

 

 

  
       128,251  
    

 

 

  

Air Freight & Logistics — 0.5%

 

   

CH Robinson Worldwide, Inc.

     27        2,078  

Expeditors International of Washington, Inc.

     33        2,611  

FedEx Corp.

     47        7,131  

United Parcel Service, Inc., Class B

     138        16,117  
    

 

 

  
       27,937  
    

 

 

  

Airlines — 0.4%

 

   

Alaska Air Group, Inc.

     24        1,640  

American Airlines Group, Inc. (a)

     77        2,197  

Delta Air Lines, Inc.

     113        6,614  

Southwest Airlines Co.

     93        5,023  

United Airlines Holdings, Inc. *

     43        3,766  
    

 

 

  
       19,240  
    

 

 

  

Auto Components — 0.1%

 

   

Aptiv plc

     50        4,764  

BorgWarner, Inc.

     41        1,760  
    

 

 

  
       6,524  
    

 

 

  

Automobiles — 0.3%

 

   

Ford Motor Co.

     765        7,115  

General Motors Co.

     247        9,042  

Harley-Davidson, Inc.

     30        1,127  
    

 

 

  
       17,284  
    

 

 

  

Banks — 5.6%

 

   

Bank of America Corp.

     1,591        56,021  

Citigroup, Inc.

     429        34,269  

Citizens Financial Group, Inc.

     85        3,469  

Comerica, Inc.

     28        2,032  

Fifth Third Bancorp

     139        4,286  

First Republic Bank

     33        3,889  

Huntington Bancshares, Inc.

     203        3,060  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Banks — continued

     

JPMorgan Chase & Co. (b)

     616        85,906  

KeyCorp

     194        3,917  

M&T Bank Corp.

     26        4,390  

People’s United Financial, Inc.

     87        1,475  

PNC Financial Services Group, Inc. (The)

     86        13,743  

Regions Financial Corp.

     190        3,252  

SVB Financial Group *

     10        2,543  

Truist Financial Corp.

     263        14,840  

US Bancorp

     279        16,557  

Wells Fargo & Co.

     756        40,683  

Zions Bancorp NA

     33        1,739  
    

 

 

  
       296,071  
    

 

 

  

Beverages — 1.8%

 

   

Brown-Forman Corp., Class B

     36        2,420  

Coca-Cola Co. (The)

     758        41,935  

Constellation Brands, Inc., Class A

     33        6,245  

Molson Coors Brewing Co., Class B

     37        1,989  

Monster Beverage Corp. *

     75        4,767  

PepsiCo, Inc.

     274        37,444  
    

 

 

  
       94,800  
    

 

 

  

Biotechnology — 2.0%

 

   

AbbVie, Inc.

     291        25,726  

Alexion Pharmaceuticals, Inc. *

     43        4,702  

Amgen, Inc.

     117        28,144  

Biogen, Inc. *

     35        10,520  

Gilead Sciences, Inc.

     249        16,152  

Incyte Corp. *

     35        3,067  

Regeneron Pharmaceuticals, Inc. *

     16        5,893  

Vertex Pharmaceuticals, Inc. *

     51        11,063  
    

 

 

  
       105,267  
    

 

 

  

Building Products — 0.3%

 

   

Allegion plc

     18        2,274  

AO Smith Corp.

     27        1,283  

Fortune Brands Home & Security, Inc.

     27        1,786  

Johnson Controls International plc

     152        6,170  

Masco Corp.

     56        2,679  
    

 

 

  
       14,192  
    

 

 

  

Capital Markets — 2.7%

 

   

Ameriprise Financial, Inc.

     25        4,147  

Bank of New York Mellon Corp. (The)

     165        8,299  

BlackRock, Inc.

     23        11,648  

Cboe Global Markets, Inc.

     22        2,614  

Charles Schwab Corp. (The)

     225        10,683  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         7  

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Capital Markets — continued

 

CME Group, Inc.

     70        14,133  

E*TRADE Financial Corp.

     44        2,014  

Franklin Resources, Inc.

     55        1,424  

Goldman Sachs Group, Inc. (The)

     63        14,397  

Intercontinental Exchange, Inc.

     109        10,126  

Invesco Ltd.

     73        1,315  

MarketAxess Holdings, Inc.

     7        2,825  

Moody’s Corp.

     32        7,574  

Morgan Stanley

     242        12,355  

MSCI, Inc.

     17        4,297  

Nasdaq, Inc.

     23        2,414  

Northern Trust Corp.

     42        4,423  

Raymond James Financial, Inc.

     24        2,170  

S&P Global, Inc.

     48        13,111  

State Street Corp.

     71        5,651  

T. Rowe Price Group, Inc.

     46        5,594  
    

 

 

  
       141,214  
    

 

 

  

Chemicals — 1.9%

 

   

Air Products & Chemicals, Inc.

     43        10,178  

Albemarle Corp. (a)

     21        1,522  

Celanese Corp.

     24        2,924  

CF Industries Holdings, Inc.

     43        2,039  

Corteva, Inc.

     147        4,347  

Dow, Inc. (a)

     146        7,973  

DuPont de Nemours, Inc.

     146        9,344  

Eastman Chemical Co.

     27        2,118  

Ecolab, Inc.

     49        9,509  

FMC Corp.

     25        2,542  

International Flavors & Fragrances, Inc. (a)

     21        2,707  

Linde plc (United Kingdom)

     106        22,470  

LyondellBasell Industries NV, Class A

     50        4,766  

Mosaic Co. (The)

     69        1,487  

PPG Industries, Inc.

     46        6,202  

Sherwin-Williams Co. (The)

     16        9,419  
    

 

 

  
       99,547  
    

 

 

  

Commercial Services & Supplies — 0.4%

 

   

Cintas Corp.

     16        4,432  

Copart, Inc. *

     40        3,655  

Republic Services, Inc.

     41        3,709  

Rollins, Inc.

     28        918  

Waste Management, Inc.

     77        8,739  
    

 

 

  
       21,453  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Communications Equipment — 1.0%

 

   

Arista Networks, Inc. * (a)

     11        2,168  

Cisco Systems, Inc.

     834        39,975  

F5 Networks, Inc. *

     12        1,668  

Juniper Networks, Inc.

     66        1,620  

Motorola Solutions, Inc.

     34        5,425  
    

 

 

  
       50,856  
    

 

 

  

Construction & Engineering — 0.1%

 

   

Jacobs Engineering Group, Inc.

     27        2,392  

Quanta Services, Inc.

     28        1,138  
    

 

 

  
       3,530  
    

 

 

  

Construction Materials — 0.1%

 

   

Martin Marietta Materials, Inc.

     12        3,434  

Vulcan Materials Co.

     26        3,744  
    

 

 

  
       7,178  
    

 

 

  

Consumer Finance — 0.7%

 

   

American Express Co.

     132        16,412  

Capital One Financial Corp. (a)

     92        9,417  

Discover Financial Services

     62        5,224  

Synchrony Financial

     117        4,206  
    

 

 

  
       35,259  
    

 

 

  

Containers & Packaging — 0.4%

 

   

Amcor plc (a)

     318        3,451  

Avery Dennison Corp.

     16        2,146  

Ball Corp.

     64        4,157  

International Paper Co.

     77        3,548  

Packaging Corp. of America

     19        2,083  

Sealed Air Corp.

     30        1,209  

Westrock Co.

     51        2,174  
    

 

 

  
       18,768  
    

 

 

  

Distributors — 0.1%

 

   

Genuine Parts Co.

     29        3,032  

LKQ Corp. *

     60        2,150  
    

 

 

  
       5,182  
    

 

 

  

Diversified Consumer Services — 0.0% (c)

 

   

H&R Block, Inc.

     38        901  
    

 

 

  

Diversified Financial Services — 1.6%

 

   

Berkshire Hathaway, Inc., Class B *

     384        87,048  
    

 

 

  

Diversified Telecommunication Services — 2.1%

 

   

AT&T, Inc.

     1,435        56,091  

CenturyLink, Inc.

     193        2,547  

Verizon Communications, Inc.

     813        49,893  
    

 

 

  
       108,531  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
8       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Electric Utilities — 2.0%

 

   

Alliant Energy Corp.

     47        2,584  

American Electric Power Co., Inc.

     97        9,172  

Duke Energy Corp.

     143        13,065  

Edison International

     70        5,313  

Entergy Corp.

     39        4,686  

Evergy, Inc.

     45        2,915  

Eversource Energy

     64        5,412  

Exelon Corp.

     191        8,708  

FirstEnergy Corp. (a)

     106        5,159  

NextEra Energy, Inc.

     96        23,256  

Pinnacle West Capital Corp.

     22        1,986  

PPL Corp.

     142        5,097  

Southern Co. (The)

     206        13,126  

Xcel Energy, Inc.

     103        6,541  
    

 

 

  
       107,020  
    

 

 

  

Electrical Equipment — 0.5%

 

   

AMETEK, Inc.

     45        4,480  

Eaton Corp. plc

     81        7,694  

Emerson Electric Co.

     120        9,127  

Rockwell Automation, Inc.

     23        4,601  
    

 

 

  
       25,902  
    

 

 

  

Electronic Equipment, Instruments & Components — 0.6%

 

   

Amphenol Corp., Class A

     58        6,305  

CDW Corp.

     28        4,032  

Corning, Inc. (a)

     151        4,399  

FLIR Systems, Inc.

     26        1,373  

IPG Photonics Corp. *

     7        1,012  

Keysight Technologies, Inc. *

     37        3,783  

TE Connectivity Ltd.

     66        6,298  

Zebra Technologies Corp., Class A *

     11        2,706  
    

 

 

  
       29,908  
    

 

 

  

Energy Equipment & Services — 0.4%

 

   

Baker Hughes Co.

     128        3,273  

Halliburton Co. (a)

     172        4,220  

Helmerich & Payne, Inc.

     21        968  

National Oilwell Varco, Inc.

     76        1,899  

Schlumberger Ltd.

     272        10,935  

TechnipFMC plc (United Kingdom)

     83        1,770  
    

 

 

  
       23,065  
    

 

 

  

Entertainment — 1.9%

 

   

Activision Blizzard, Inc.

     151        8,969  

Electronic Arts, Inc. *

     57        6,168  

Live Nation Entertainment, Inc. *

     28        1,979  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Entertainment — continued

 

   

Netflix, Inc. *

     86        27,862  

Take-Two Interactive Software, Inc. *

     22        2,722  

Walt Disney Co. (The)

     354        51,218  
    

 

 

  
       98,918  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.8%

 

   

Alexandria Real Estate Equities, Inc.

     23        3,656  

American Tower Corp.

     87        20,001  

Apartment Investment & Management Co., Class A

     29        1,511  

AvalonBay Communities, Inc.

     27        5,754  

Boston Properties, Inc.

     28        3,895  

Crown Castle International Corp.

     82        11,612  

Digital Realty Trust, Inc. (a)

     41        4,910  

Duke Realty Corp.

     72        2,504  

Equinix, Inc.

     17        9,780  

Equity Residential

     69        5,550  

Essex Property Trust, Inc.

     13        3,906  

Extra Space Storage, Inc.

     25        2,688  

Federal Realty Investment Trust

     14        1,776  

Healthpeak Properties, Inc.

     97        3,352  

Host Hotels & Resorts, Inc. (a)

     141        2,614  

Iron Mountain, Inc.

     56        1,798  

Kimco Realty Corp.

     83        1,718  

Mid-America Apartment Communities, Inc.

     22        2,955  

Prologis, Inc.

     124        11,064  

Public Storage

     30        6,286  

Realty Income Corp.

     64        4,715  

Regency Centers Corp.

     33        2,077  

SBA Communications Corp.

     22        5,332  

Simon Property Group, Inc.

     60        8,981  

SL Green Realty Corp.

     16        1,472  

UDR, Inc.

     58        2,689  

Ventas, Inc.

     73        4,229  

Vornado Realty Trust

     31        2,070  

Welltower, Inc.

     80        6,520  

Weyerhaeuser Co.

     146        4,421  
    

 

 

  
       149,836  
    

 

 

  

Food & Staples Retailing — 1.5%

 

   

Costco Wholesale Corp.

     87        25,513  

Kroger Co. (The)

     158        4,568  

Sysco Corp.

     100        8,575  

Walgreens Boots Alliance, Inc.

     147        8,685  

Walmart, Inc.

     279        33,123  
    

 

 

  
       80,464  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         9  

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Food Products — 1.1%

 

   

Archer-Daniels-Midland Co.

     109        5,070  

Campbell Soup Co. (a)

     33        1,640  

Conagra Brands, Inc.

     96        3,274  

General Mills, Inc.

     119        6,360  

Hershey Co. (The)

     29        4,283  

Hormel Foods Corp. (a)

     55        2,464  

JM Smucker Co. (The)

     22        2,334  

Kellogg Co.

     49        3,383  

Kraft Heinz Co. (The)

     122        3,932  

Lamb Weston Holdings, Inc.

     29        2,469  

McCormick & Co., Inc. (Non-Voting) (a)

     24        4,121  

Mondelez International, Inc., Class A

     283        15,582  

Tyson Foods, Inc., Class A

     58        5,280  
    

 

 

  
       60,192  
    

 

 

  

Gas Utilities — 0.0% (c)

 

   

Atmos Energy Corp.

     23        2,623  
    

 

 

  

Health Care Equipment & Supplies — 3.6%

 

   

Abbott Laboratories

     347        30,163  

ABIOMED, Inc. *

     9        1,513  

Align Technology, Inc. *

     14        3,932  

Baxter International, Inc.

     100        8,388  

Becton Dickinson and Co.

     53        14,453  

Boston Scientific Corp. *

     274        12,384  

Cooper Cos., Inc. (The)

     10        3,129  

Danaher Corp.

     126        19,278  

Dentsply Sirona, Inc.

     44        2,473  

Edwards Lifesciences Corp. *

     41        9,560  

Hologic, Inc. *

     53        2,751  

IDEXX Laboratories, Inc. *

     17        4,401  

Intuitive Surgical, Inc. *

     23        13,424  

Medtronic plc

     263        29,878  

ResMed, Inc.

     28        4,378  

STERIS plc

     17        2,539  

Stryker Corp.

     63        13,281  

Teleflex, Inc.

     9        3,424  

Varian Medical Systems, Inc. *

     18        2,536  

Zimmer Biomet Holdings, Inc.

     40        6,049  
    

 

 

  
       187,934  
    

 

 

  

Health Care Providers & Services — 2.9%

 

   

AmerisourceBergen Corp.

     30        2,511  

Anthem, Inc.

     50        15,047  

Cardinal Health, Inc. (a)

     57        2,907  

Centene Corp. *

     81        5,111  

Cigna Corp.

     73        15,003  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Health Care Providers & Services — continued

 

   

CVS Health Corp.

     256        18,989  

DaVita, Inc. *

     18        1,322  

HCA Healthcare, Inc.

     52        7,683  

Henry Schein, Inc. *

     29        1,924  

Humana, Inc.

     26        9,537  

Laboratory Corp. of America Holdings *

     19        3,227  

McKesson Corp.

     35        4,897  

Quest Diagnostics, Inc.

     26        2,826  

UnitedHealth Group, Inc.

     186        54,724  

Universal Health Services, Inc., Class B

     16        2,264  

WellCare Health Plans, Inc. *

     10        3,264  
    

 

 

  
       151,236  
    

 

 

  

Health Care Technology — 0.1%

 

   

Cerner Corp.

     62        4,529  
    

 

 

  

Hotels, Restaurants & Leisure — 1.9%

 

   

Carnival Corp.

     79        4,000  

Chipotle Mexican Grill, Inc. *

     5        4,206  

Darden Restaurants, Inc.

     24        2,626  

Hilton Worldwide Holdings, Inc.

     55        6,149  

Las Vegas Sands Corp.

     66        4,584  

Marriott International, Inc., Class A (a)

     53        8,074  

McDonald’s Corp.

     148        29,240  

MGM Resorts International

     101        3,366  

Norwegian Cruise Line Holdings Ltd. *

     42        2,442  

Royal Caribbean Cruises Ltd.

     34        4,509  

Starbucks Corp.

     232        20,401  

Wynn Resorts Ltd.

     19        2,636  

Yum! Brands, Inc.

     59        5,986  
    

 

 

  
       98,219  
    

 

 

  

Household Durables — 0.4%

 

   

DR Horton, Inc.

     66        3,475  

Garmin Ltd.

     28        2,770  

Leggett & Platt, Inc.

     26        1,314  

Lennar Corp., Class A

     55        3,068  

Mohawk Industries, Inc. *

     12        1,593  

Newell Brands, Inc.

     75        1,439  

NVR, Inc. *

     1        2,597  

PulteGroup, Inc.

     50        1,942  

Whirlpool Corp.

     12        1,832  
    

 

 

  
       20,030  
    

 

 

  

Household Products — 1.7%

 

   

Church & Dwight Co., Inc.

     48        3,391  

Clorox Co. (The)

     25        3,786  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
10       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Household Products — continued

 

   

Colgate-Palmolive Co.

     168        11,592  

Kimberly-Clark Corp.

     67        9,265  

Procter & Gamble Co. (The)

     490        61,199  
    

 

 

  
       89,233  
    

 

 

  

Independent Power and Renewable Electricity Producers — 0.1%

 

AES Corp.

     130        2,596  

NRG Energy, Inc.

     49        1,965  
    

 

 

  
       4,561  
    

 

 

  

Industrial Conglomerates — 1.3%

 

   

3M Co. (a)

     113        19,933  

General Electric Co.

     1,716        19,150  

Honeywell International, Inc.

     140        24,849  

Roper Technologies, Inc.

     20        7,242  
    

 

 

  
       71,174  
    

 

 

  

Insurance — 2.3%

 

   

Aflac, Inc. (a)

     144        7,629  

Allstate Corp. (The)

     64        7,158  

American International Group, Inc.

     171        8,774  

Aon plc

     46        9,582  

Arthur J Gallagher & Co.

     37        3,490  

Assurant, Inc.

     12        1,562  

Chubb Ltd.

     89        13,861  

Cincinnati Financial Corp.

     30        3,139  

Everest Re Group Ltd.

     8        2,218  

Globe Life, Inc.

     20        2,060  

Hartford Financial Services Group, Inc. (The)

     71        4,303  

Lincoln National Corp.

     39        2,300  

Loews Corp.

     50        2,638  

Marsh & McLennan Cos., Inc.

     99        11,047  

MetLife, Inc.

     154        7,828  

Principal Financial Group, Inc.

     51        2,791  

Progressive Corp. (The)

     115        8,315  

Prudential Financial, Inc.

     79        7,404  

Travelers Cos., Inc. (The)

     51        6,945  

Unum Group

     41        1,182  

Willis Towers Watson plc

     25        5,101  

WR Berkley Corp.

     29        1,970  
    

 

 

  
       121,297  
    

 

 

  

Interactive Media & Services — 4.9%

 

   

Alphabet, Inc., Class A *

     59        78,851  

Alphabet, Inc., Class C *

     59        78,517  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Interactive Media & Services — continued

 

   

Facebook, Inc., Class A *

     473        97,046  

Twitter, Inc. *

     153        4,889  
    

 

 

  
       259,303  
    

 

 

  

Internet & Direct Marketing Retail — 3.3%

 

   

Amazon.com, Inc. *

     82        151,203  

Booking Holdings, Inc. *

     8        16,890  

eBay, Inc.

     150        5,426  

Expedia Group, Inc.

     27        2,969  
    

 

 

  
       176,488  
    

 

 

  

IT Services — 5.4%

 

   

Accenture plc, Class A

     125        26,274  

Akamai Technologies, Inc. *

     32        2,743  

Alliance Data Systems Corp.

     8        904  

Automatic Data Processing, Inc.

     85        14,495  

Broadridge Financial Solutions, Inc.

     23        2,783  

Cognizant Technology Solutions Corp., Class A

     108        6,673  

DXC Technology Co.

     50        1,891  

Fidelity National Information Services, Inc.

     121        16,796  

Fiserv, Inc. *

     112        12,975  

FleetCor Technologies, Inc. *

     17        4,906  

Gartner, Inc. * (a)

     18        2,709  

Global Payments, Inc.

     59        10,780  

International Business Machines Corp.

     174        23,324  

Jack Henry & Associates, Inc.

     15        2,202  

Leidos Holdings, Inc.

     26        2,559  

Mastercard, Inc., Class A

     174        52,080  

Paychex, Inc.

     63        5,324  

PayPal Holdings, Inc. *

     231        24,955  

VeriSign, Inc. *

     20        3,911  

Visa, Inc., Class A

     336        63,198  

Western Union Co. (The) (a)

     82        2,206  
    

 

 

  
       283,688  
    

 

 

  

Leisure Products — 0.1%

 

   

Hasbro, Inc.

     25        2,641  
    

 

 

  

Life Sciences Tools & Services — 1.0%

 

   

Agilent Technologies, Inc.

     61        5,187  

Illumina, Inc. *

     29        9,581  

IQVIA Holdings, Inc. *

     35        5,478  

Mettler-Toledo International, Inc. * (a)

     5        3,796  

PerkinElmer, Inc.

     22        2,120  

Thermo Fisher Scientific, Inc.

     79        25,595  

Waters Corp. *

     13        2,958  
    

 

 

  
       54,715  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         11  

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Machinery — 1.6%

 

   

Caterpillar, Inc.

     109        16,036  

Cummins, Inc.

     30        5,387  

Deere & Co.

     62        10,719  

Dover Corp.

     29        3,290  

Flowserve Corp. (a)

     26        1,280  

Fortive Corp.

     58        4,435  

IDEX Corp.

     15        2,570  

Illinois Tool Works, Inc.

     57        10,323  

Ingersoll-Rand plc

     47        6,257  

PACCAR, Inc.

     68        5,375  

Parker-Hannifin Corp.

     25        5,195  

Pentair plc

     33        1,515  

Snap-on, Inc.

     11        1,825  

Stanley Black & Decker, Inc.

     30        4,950  

Westinghouse Air Brake Technologies Corp. (a)

     36        2,784  

Xylem, Inc. (a)

     35        2,788  
    

 

 

  
       84,729  
    

 

 

  

Media — 1.4%

 

   

Charter Communications, Inc., Class A *

     31        14,944  

Comcast Corp., Class A

     892        40,112  

Discovery, Inc., Class A * (a)

     31        1,017  

Discovery, Inc., Class C *

     66        2,009  

DISH Network Corp., Class A *

     50        1,784  

Fox Corp., Class A

     70        2,582  

Fox Corp., Class B

     32        1,161  

Interpublic Group of Cos., Inc. (The) (a)

     76        1,760  

News Corp., Class A

     76        1,080  

News Corp., Class B

     24        347  

Omnicom Group, Inc.

     43        3,466  

ViacomCBS, Inc.

     106        4,456  
    

 

 

  
       74,718  
    

 

 

  

Metals & Mining — 0.3%

 

   

Freeport-McMoRan, Inc.

     285        3,740  

Newmont Goldcorp Corp.

     161        6,999  

Nucor Corp.

     60        3,353  
    

 

 

  
       14,092  
    

 

 

  

Multiline Retail — 0.5%

 

   

Dollar General Corp.

     50        7,803  

Dollar Tree, Inc. *

     46        4,373  

Kohl’s Corp. (a)

     31        1,567  

Macy’s, Inc. (a)

     61        1,032  

Nordstrom, Inc.

     21        862  

Target Corp.

     100        12,765  
    

 

 

  
       28,402  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Multi-Utilities — 1.1%

 

   

Ameren Corp.

     48        3,712  

CenterPoint Energy, Inc.

     99        2,691  

CMS Energy Corp.

     56        3,505  

Consolidated Edison, Inc.

     65        5,909  

Dominion Energy, Inc.

     162        13,394  

DTE Energy Co.

     38        4,902  

NiSource, Inc.

     73        2,043  

Public Service Enterprise Group, Inc.

     99        5,867  

Sempra Energy

     55        8,390  

WEC Energy Group, Inc.

     62        5,716  
    

 

 

  
       56,129  
    

 

 

  

Oil, Gas & Consumable Fuels — 3.9%

 

   

Apache Corp.

     74        1,891  

Cabot Oil & Gas Corp.

     80        1,395  

Chevron Corp.

     372        44,771  

Cimarex Energy Co.

     20        1,050  

Concho Resources, Inc.

     39        3,459  

ConocoPhillips

     216        14,020  

Devon Energy Corp.

     76        1,975  

Diamondback Energy, Inc.

     32        2,940  

EOG Resources, Inc.

     114        9,574  

Exxon Mobil Corp.

     831        58,010  

Hess Corp.

     51        3,400  

HollyFrontier Corp.

     29        1,479  

Kinder Morgan, Inc.

     383        8,102  

Marathon Oil Corp.

     157        2,134  

Marathon Petroleum Corp.

     128        7,687  

Noble Energy, Inc.

     94        2,334  

Occidental Petroleum Corp.

     176        7,233  

ONEOK, Inc.

     81        6,142  

Phillips 66

     87        9,727  

Pioneer Natural Resources Co.

     33        4,926  

Valero Energy Corp.

     81        7,556  

Williams Cos., Inc. (The)

     238        5,649  
    

 

 

  
       205,454  
    

 

 

  

Personal Products — 0.2%

 

   

Coty, Inc., Class A (a)

     58        653  

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

     44        9,032  
    

 

 

  
       9,685  
    

 

 

  

Pharmaceuticals — 4.6%

 

   

Allergan plc

     64        12,330  

Bristol-Myers Squibb Co.

     461        29,565  

Eli Lilly & Co.

     166        21,818  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Pharmaceuticals — continued

 

   

Johnson & Johnson

     517        75,430  

Merck & Co., Inc.

     500        45,496  

Mylan NV * (a)

     101        2,038  

Perrigo Co. plc

     27        1,382  

Pfizer, Inc.

     1,087        42,602  

Zoetis, Inc.

     94        12,386  
    

 

 

  
       243,047  
    

 

 

  

Professional Services — 0.3%

     

Equifax, Inc.

     24        3,333  

IHS Markit Ltd. *

     79        5,937  

Nielsen Holdings plc

     70        1,419  

Robert Half International, Inc.

     23        1,459  

Verisk Analytics, Inc.

     32        4,808  
    

 

 

  
       16,956  
    

 

 

  

Real Estate Management & Development — 0.1%

     

CBRE Group, Inc., Class A *

     66        4,031  
    

 

 

  

Road & Rail — 1.0%

     

CSX Corp.

     153        11,056  

JB Hunt Transport Services, Inc.

     17        1,956  

Kansas City Southern

     19        2,983  

Norfolk Southern Corp.

     51        9,946  

Old Dominion Freight Line, Inc.

     13        2,381  

Union Pacific Corp.

     136        24,659  
    

 

 

  
       52,981  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.2%

 

   

Advanced Micro Devices, Inc. *

     219        10,034  

Analog Devices, Inc.

     72        8,600  

Applied Materials, Inc.

     181        11,079  

Broadcom, Inc.

     78        24,630  

Intel Corp.

     855        51,153  

KLA Corp.

     31        5,524  

Lam Research Corp.

     29        8,335  

Maxim Integrated Products, Inc.

     53        3,270  

Microchip Technology, Inc. (a)

     47        4,917  

Micron Technology, Inc. *

     218        11,698  

NVIDIA Corp.

     120        28,294  

Qorvo, Inc. *

     23        2,653  

QUALCOMM, Inc.

     224        19,794  

Skyworks Solutions, Inc.

     33        4,046  

Texas Instruments, Inc.

     184        23,562  

Xilinx, Inc.

     49        4,830  
    

 

 

  
       222,419  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Software — 7.0%

     

Adobe, Inc. *

     95        31,369  

ANSYS, Inc. *

     17        4,328  

Autodesk, Inc. *

     43        7,931  

Cadence Design Systems, Inc. *

     55        3,824  

Citrix Systems, Inc. (a)

     24        2,667  

Fortinet, Inc. *

     28        2,978  

Intuit, Inc.

     51        13,396  

Microsoft Corp.

     1,499        236,376  

NortonLifeLock, Inc.

     113        2,875  

Oracle Corp.

     426        22,552  

salesforce.com, Inc. *

     174        28,344  

ServiceNow, Inc. *

     37        10,462  

Synopsys, Inc. *

     30        4,112  
    

 

 

  
       371,214  
    

 

 

  

Specialty Retail — 2.2%

 

   

Advance Auto Parts, Inc.

     14        2,180  

AutoZone, Inc. *

     5        5,578  

Best Buy Co., Inc.

     45        3,929  

CarMax, Inc. * (a)

     32        2,832  

Gap, Inc. (The)

     42        739  

Home Depot, Inc. (The)

     214        46,804  

L Brands, Inc. (a)

     46        827  

Lowe’s Cos., Inc.

     151        18,035  

O’Reilly Automotive, Inc. *

     15        6,515  

Ross Stores, Inc.

     71        8,274  

Tiffany & Co.

     21        2,835  

TJX Cos., Inc. (The)

     238        14,548  

Tractor Supply Co.

     23        2,173  

Ulta Beauty, Inc. *

     11        2,843  
    

 

 

  
       118,112  
    

 

 

  

Technology Hardware, Storage & Peripherals — 5.0%

 

   

Apple, Inc.

     821        240,977  

Hewlett Packard Enterprise Co.

     254        4,032  

HP, Inc.

     291        5,984  

NetApp, Inc.

     45        2,791  

Seagate Technology plc (a)

     45        2,703  

Western Digital Corp. (a)

     58        3,709  

Xerox Holdings Corp.

     37        1,347  
    

 

 

  
       261,543  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.7%

 

   

Capri Holdings Ltd. *

     30        1,137  

Hanesbrands, Inc.

     71        1,055  

NIKE, Inc., Class B

     245        24,802  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         13  

Table of Contents

JPMorgan Equity Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Textiles, Apparel & Luxury Goods — continued

 

   

PVH Corp.

     15        1,532  

Ralph Lauren Corp.

     10        1,145  

Tapestry, Inc.

     54        1,462  

Under Armour, Inc., Class A * (a)

     37        799  

Under Armour, Inc., Class C *

     38        733  

VF Corp.

     64        6,413  
    

 

 

  
       39,078  
    

 

 

  

Tobacco — 0.8%

     

Altria Group, Inc.

     367        18,319  

Philip Morris International, Inc.

     306        26,012  
    

 

 

  
       44,331  
    

 

 

  

Trading Companies & Distributors — 0.2%

 

   

Fastenal Co. (a)

     113        4,164  

United Rentals, Inc. *

     15        2,463  

WW Grainger, Inc.

     9        2,902  
    

 

 

  
       9,529  
    

 

 

  

Water Utilities — 0.1%

 

   

American Water Works Co., Inc. (a)

     36        4,363  
    

 

 

  

Wireless Telecommunication Services — 0.1%

     

T-Mobile US, Inc. *

     62        4,878  
    

 

 

  

Total Common Stocks
(Cost $3,070,841)

 

      5,257,700  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 1.2%

 

   

Investment Companies — 0.5%

 

   

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.47% (d) (e)
(Cost $27,955)

     27,955        27,955  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 0.7%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e)

     26,011        26,014  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e)

     11,360        11,360  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $37,374)

        37,374  
  

 

 

  

Total Short-Term Investments
(Cost $65,329)

        65,329  
    

 

 

  

Total Investments — 100.8%
(Cost $3,136,170)

 

      5,323,029  

Liabilities in Excess of
Other Assets — (0.8)%

 

      (44,147 ) 
  

 

 

  

NET ASSETS — 100.0%

 

      5,278,882  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $36,535,000.
(b)   Investment in affiliate. This security is included in an index in which the Fund, as an index fund, tracks.
(c)   Amount rounds to less than 0.1% of net assets.
(d)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(e)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.

 

 

 

Futures contracts outstanding as of December 31, 2019 (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

      184        03/2020          USD          29,734          736  
                        

 

 

  

Abbreviations

 

USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 97.6%

 

   

Aerospace & Defense — 1.4%

 

   

Aerojet Rocketdyne Holdings, Inc. *

     25        1,141  

Axon Enterprise, Inc. *

     20        1,429  

Curtiss-Wright Corp.

     32        4,480  

Moog, Inc., Class A (a)

     19        1,586  

Teledyne Technologies, Inc. *

     12        4,124  

Triumph Group, Inc.

     15        379  
    

 

 

  
       13,139  
    

 

 

  

Air Freight & Logistics — 0.7%

 

   

Echo Global Logistics, Inc. *

     9        193  

Forward Air Corp.

     10        720  

Hub Group, Inc., Class A *

     58        2,957  

XPO Logistics, Inc. * (a)

     33        2,662  
    

 

 

  
       6,532  
    

 

 

  

Airlines — 0.7%

 

   

Allegiant Travel Co.

     4        714  

Hawaiian Holdings, Inc.

     18        521  

JetBlue Airways Corp. *

     170        3,188  

SkyWest, Inc.

     28        1,797  
    

 

 

  
       6,220  
    

 

 

  

Auto Components — 0.9%

 

   

Adient plc * (a)

     32        672  

American Axle & Manufacturing Holdings, Inc. *

     46        495  

Cooper Tire & Rubber Co. (a)

     17        494  

Dana, Inc.

     134        2,446  

Delphi Technologies plc *

     33        427  

Garrett Motion, Inc. (Switzerland) *

     28        280  

Gentex Corp.

     89        2,568  

Goodyear Tire & Rubber Co. (The)

     85        1,322  
    

 

 

  
       8,704  
    

 

 

  

Automobiles — 0.3%

 

   

Thor Industries, Inc. (a)

     30        2,232  

Winnebago Industries, Inc. (a)

     10        519  
    

 

 

  
       2,751  
    

 

 

  

Banks — 7.8%

 

   

Ameris Bancorp

     11        447  

Associated Banc-Corp.

     118        2,596  

BancorpSouth Bank

     35        1,088  

Bank OZK (a)

     41        1,242  

Banner Corp.

     47        2,661  

Berkshire Hills Bancorp, Inc.

     48        1,591  

Boston Private Financial Holdings, Inc.

     25        297  

Brookline Bancorp, Inc.

     23        384  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Banks — continued

 

   

Cathay General Bancorp

     25        968  

Columbia Banking System, Inc. (a)

     20        820  

Commerce Bancshares, Inc. (a)

     37        2,481  

Cullen/Frost Bankers, Inc. (a)

     20        1,995  

Customers Bancorp, Inc. *

     102        2,424  

Dime Community Bancshares, Inc.

     24        499  

East West Bancorp, Inc.

     96        4,673  

First BanCorp (Puerto Rico)

     242        2,560  

First Commonwealth Financial Corp.

     35        511  

First Financial Bancorp (a)

     16        395  

First Horizon National Corp. (a)

     248        4,114  

First Midwest Bancorp, Inc.

     119        2,740  

FNB Corp.

     106        1,347  

Fulton Financial Corp. (a)

     66        1,155  

Hancock Whitney Corp.

     69        3,045  

Hanmi Financial Corp.

     45        897  

International Bancshares Corp.

     18        754  

NBT Bancorp, Inc. (a)

     11        447  

OFG Bancorp (Puerto Rico)

     17        401  

Opus Bank

     6        166  

Pacific Premier Bancorp, Inc. (a)

     74        2,400  

PacWest Bancorp

     40        1,527  

Pinnacle Financial Partners, Inc.

     24        1,539  

Prosperity Bancshares, Inc.

     6        452  

Signature Bank

     34        4,576  

Sterling Bancorp

     72        1,507  

Synovus Financial Corp.

     54        2,129  

TCF Financial Corp.

     95        4,434  

Texas Capital Bancshares, Inc. *

     17        948  

Trustmark Corp. (a)

     21        715  

UMB Financial Corp. (a)

     12        803  

Umpqua Holdings Corp.

     75        1,324  

United Community Banks, Inc.

     89        2,763  

Valley National Bancorp (a)

     108        1,235  

Veritex Holdings, Inc.

     6        181  

Webster Financial Corp.

     31        1,633  

Wintrust Financial Corp.

     44        3,121  
    

 

 

  
       73,985  
    

 

 

  

Beverages — 0.3%

 

   

Boston Beer Co., Inc. (The), Class A * (a)

     3        1,209  

Coca-Cola Consolidated, Inc.(a)

     7        1,988  
    

 

 

  
       3,197  
    

 

 

  

Biotechnology — 1.9%

 

   

Acorda Therapeutics, Inc. *

     45        91  

Arrowhead Pharmaceuticals, Inc. * (a)

     62        3,926  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         15  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Biotechnology — continued

 

   

Eagle Pharmaceuticals, Inc. *

     43        2,589  

Emergent BioSolutions, Inc. *

     6        308  

Medicines Co. (The) *

     11        917  

Momenta Pharmaceuticals, Inc. *

     153        3,027  

Myriad Genetics, Inc. *

     22        594  

REGENXBIO, Inc. *

     64        2,638  

Spectrum Pharmaceuticals, Inc. *

     123        449  

United Therapeutics Corp. *

     39        3,450  
    

 

 

  
       17,989  
    

 

 

  

Building Products — 1.0%

 

   

American Woodmark Corp. *

     5        544  

Apogee Enterprises, Inc.

     9        299  

Gibraltar Industries, Inc. *

     21        1,039  

Insteel Industries, Inc.

     7        144  

Lennox International, Inc.

     8        1,966  

Owens Corning

     37        2,383  

Patrick Industries, Inc.

     9        461  

PGT Innovations, Inc. *

     15        216  

Quanex Building Products Corp.

     33        562  

Universal Forest Products, Inc.

     49        2,316  
    

 

 

  
       9,930  
    

 

 

  

Capital Markets — 2.1%

 

   

Blucora, Inc. *

     40        1,053  

Donnelley Financial Solutions, Inc. *

     8        88  

Eaton Vance Corp.

     40        1,849  

Evercore, Inc., Class A

     14        1,017  

FactSet Research Systems, Inc.

     13        3,461  

Federated Investors, Inc., Class B

     33        1,072  

INTL. FCStone, Inc. *

     5        259  

Janus Henderson Group plc (United Kingdom)

     53        1,295  

Legg Mason, Inc.

     89        3,182  

Piper Jaffray Cos.

     5        408  

SEI Investments Co.

     44        2,904  

Stifel Financial Corp.

     49        2,998  
    

 

 

  
       19,586  
    

 

 

  

Chemicals — 2.4%

 

   

AdvanSix, Inc. *

     8        160  

Ashland Global Holdings, Inc.

     21        1,621  

Cabot Corp.

     29        1,385  

FutureFuel Corp.

     109        1,352  

Hawkins, Inc.

     3        147  

HB Fuller Co. (a)

     17        897  

Ingevity Corp. *

     14        1,197  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Chemicals — continued

 

   

Innophos Holdings, Inc.

     7        217  

Innospec, Inc.

     14        1,396  

Koppers Holdings, Inc. *

     40        1,510  

Kraton Corp. *

     20        514  

Minerals Technologies, Inc.

     12        700  

NewMarket Corp.

     2        1,070  

PolyOne Corp.

     27        1,001  

RPM International, Inc.

     52        4,006  

Scotts Miracle-Gro Co. (The)

     14        1,455  

Stepan Co.

     22        2,261  

Trinseo SA

     14        506  

Valvoline, Inc.

     65        1,396  
    

 

 

  
       22,791  
    

 

 

  

Commercial Services & Supplies — 1.3%

 

   

ABM Industries, Inc.

     23        852  

Brady Corp., Class A

     18        1,013  

Brink’s Co. (The)

     16        1,487  

Clean Harbors, Inc. *

     18        1,509  

Herman Miller, Inc.

     33        1,356  

HNI Corp.

     18        673  

Interface, Inc.

     21        347  

MSA Safety, Inc.

     10        1,251  

Pitney Bowes, Inc.

     58        234  

RR Donnelley & Sons Co.

     62        244  

Tetra Tech, Inc.

     19        1,635  

UniFirst Corp.

     6        1,111  

Viad Corp.

     17        1,124  
    

 

 

  
       12,836  
    

 

 

  

Communications Equipment — 0.9%

 

   

ADTRAN, Inc.

     75        743  

Ciena Corp. *

     33        1,404  

Digi International, Inc. *

     44        785  

Extreme Networks, Inc. *

     152        1,123  

InterDigital, Inc. (a)

     11        578  

Lumentum Holdings, Inc. *

     40        3,140  

Viavi Solutions, Inc. *

     73        1,089  
    

 

 

  
       8,862  
    

 

 

  

Construction & Engineering — 1.6%

 

   

AECOM *

     97        4,199  

Aegion Corp. *

     9        193  

Arcosa, Inc.

     17        771  

Comfort Systems USA, Inc.

     32        1,607  

EMCOR Group, Inc.

     48        4,105  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

   

Construction & Engineering — continued

 

   

MasTec, Inc. *

     57        3,683  

Valmont Industries, Inc.

     7        1,048  
    

 

 

  
       15,606  
    

 

 

  

Construction Materials — 0.2%

 

   

Eagle Materials, Inc.

     15        1,314  

US Concrete, Inc. *

     15        621  
    

 

 

  
       1,935  
    

 

 

  

Consumer Finance — 0.4%

 

   

Enova International, Inc. *

     11        275  

FirstCash, Inc.

     15        1,218  

Navient Corp.

     79        1,086  

SLM Corp.

     142        1,265  
    

 

 

  
       3,844  
    

 

 

  

Containers & Packaging — 0.5%

 

   

AptarGroup, Inc.

     6        670  

Greif, Inc., Class A

     17        765  

Silgan Holdings, Inc.

     72        2,238  

Sonoco Products Co. (a)

     20        1,209  
    

 

 

  
       4,882  
    

 

 

  

Distributors — 0.2%

 

   

Core-Mark Holding Co., Inc.

     14        380  

Pool Corp.

     8        1,678  
    

 

 

  
       2,058  
    

 

 

  

Diversified Consumer Services — 0.5%

 

   

American Public Education, Inc. *

     27        728  

Career Education Corp. *

     27        495  

Graham Holdings Co., Class B

     2        1,086  

Service Corp. International

     8        382  

Strategic Education, Inc.

     7        1,160  

WW International, Inc. *

     18        669  
    

 

 

  
       4,520  
    

 

 

  

Diversified Financial Services — 0.2%

 

   

Jefferies Financial Group, Inc.

     88        1,872  
    

 

 

  

Diversified Telecommunication Services — 0.2%

 

   

ATN International, Inc.

     3        189  

Vonage Holdings Corp. *

     208        1,544  
    

 

 

  
       1,733  
    

 

 

  

Electric Utilities — 1.6%

 

   

ALLETE, Inc.

     38        3,101  

Hawaiian Electric Industries, Inc.

     62        2,901  

IDACORP, Inc.

     40        4,279  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Electric Utilities — continued

 

   

OGE Energy Corp.

     80        3,550  

PNM Resources, Inc.

     27        1,384  
    

 

 

  
       15,215  
    

 

 

  

Electrical Equipment — 1.4%

 

   

Acuity Brands, Inc.

     13        1,780  

Encore Wire Corp. (a)

     43        2,491  

EnerSys

     15        1,125  

Hubbell, Inc.

     18        2,688  

nVent Electric plc

     55        1,412  

Regal Beloit Corp.

     43        3,702  
    

 

 

  
       13,198  
    

 

 

  

Electronic Equipment, Instruments & Components — 5.2%

 

   

Anixter International, Inc. *

     10        893  

Arrow Electronics, Inc. *

     67        5,648  

Avnet, Inc.

     65        2,752  

Bel Fuse, Inc., Class B

     24        490  

Belden, Inc.

     13        694  

Benchmark Electronics, Inc.

     12        423  

Cognex Corp. (a)

     33        1,821  

Coherent, Inc. *

     7        1,230  

ePlus, Inc. *

     14        1,172  

Fabrinet (Thailand) *

     41        2,678  

Insight Enterprises, Inc. *

     23        1,582  

Itron, Inc. *

     22        1,864  

Jabil, Inc.

     87        3,608  

KEMET Corp.

     24        636  

Littelfuse, Inc. (a)

     7        1,321  

Methode Electronics, Inc.

     54        2,107  

National Instruments Corp.

     39        1,651  

OSI Systems, Inc. *

     6        574  

Sanmina Corp. * (a)

     56        1,914  

ScanSource, Inc. *

     30        1,097  

SYNNEX Corp.

     29        3,774  

Tech Data Corp. *

     13        1,838  

Trimble, Inc. *

     66        2,733  

TTM Technologies, Inc. *

     28        424  

Vishay Intertechnology, Inc. (a)

     88        1,873  

Zebra Technologies Corp., Class A *

     18        4,700  
    

 

 

  
       49,497  
    

 

 

  

Energy Equipment & Services — 0.7%

 

   

Apergy Corp. *

     27        899  

Archrock, Inc.

     45        448  

Era Group, Inc. *

     29        290  

Exterran Corp. *

     10        75  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         17  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Energy Equipment & Services — continued

 

   

Helix Energy Solutions Group, Inc. *

     28        270  

Matrix Service Co. *

     20        462  

Newpark Resources, Inc. * (a)

     30        186  

Oceaneering International, Inc. *

     35        523  

Oil States International, Inc. *

     21        342  

Patterson-UTI Energy, Inc.

     73        763  

ProPetro Holding Corp. *

     86        969  

SEACOR Holdings, Inc. *

     5        233  

TETRA Technologies, Inc. *

     44        85  

Transocean Ltd. * (a)

     169        1,161  
    

 

 

  
       6,706  
    

 

 

  

Entertainment — 0.7%

 

   

Cinemark Holdings, Inc. (a)

     36        1,205  

Live Nation Entertainment, Inc. *

     58        4,179  

World Wrestling Entertainment, Inc., Class A (a)

     13        869  
    

 

 

  
       6,253  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 9.5%

 

   

Agree Realty Corp.

     18        1,235  

Alexander & Baldwin, Inc.

     25        516  

American Assets Trust, Inc.

     49        2,258  

American Campus Communities, Inc.

     68        3,177  

Armada Hoffler Properties, Inc.

     165        3,028  

Brixmor Property Group, Inc.

     128        2,775  

Camden Property Trust

     45        4,802  

CareTrust REIT, Inc.

     49        1,019  

Chatham Lodging Trust (a)

     14        249  

CoreCivic, Inc.

     39        683  

CoreSite Realty Corp.

     13        1,402  

Corporate Office Properties Trust

     88        2,575  

Cousins Properties, Inc.

     94        3,867  

CyrusOne, Inc. (a)

     47        3,042  

DiamondRock Hospitality Co.

     192        2,123  

Douglas Emmett, Inc.

     106        4,645  

Easterly Government Properties, Inc.

     23        551  

EastGroup Properties, Inc.

     17        2,216  

EPR Properties

     26        1,824  

First Industrial Realty Trust, Inc.

     42        1,743  

Four Corners Property Trust, Inc.

     58        1,629  

GEO Group, Inc. (The)

     42        700  

Getty Realty Corp.

     84        2,750  

Healthcare Realty Trust, Inc. (a)

     60        2,006  

Highwoods Properties, Inc.

     62        3,018  

Independence Realty Trust, Inc.

     31        438  

Innovative Industrial Properties, Inc. (a)

     4        288  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Equity Real Estate Investment Trusts (REITs) — continued

 

   

JBG SMITH Properties

     18        730  

Kilroy Realty Corp.

     30        2,488  

Kite Realty Group Trust

     30        582  

Liberty Property Trust

     70        4,209  

Life Storage, Inc.

     17        1,787  

Medical Properties Trust, Inc.

     124        2,622  

National Retail Properties, Inc.

     36        1,909  

National Storage Affiliates Trust

     35        1,173  

Omega Healthcare Investors, Inc.

     69        2,901  

Park Hotels & Resorts, Inc.

     84        2,184  

Pebblebrook Hotel Trust (a)

     18        487  

PotlatchDeltic Corp.

     21        911  

PS Business Parks, Inc.

     7        1,138  

Rayonier, Inc.

     29        950  

Sabra Health Care REIT, Inc.

     68        1,442  

Saul Centers, Inc.

     4        200  

Senior Housing Properties Trust

     35        295  

Service Properties Trust

     57        1,383  

Spirit Realty Capital, Inc. (a)

     70        3,452  

Summit Hotel Properties, Inc.

     35        429  

Uniti Group, Inc. (a)

     17        143  

Urban Edge Properties

     56        1,072  

Urstadt Biddle Properties, Inc., Class A

     11        261  

Weingarten Realty Investors

     59        1,855  

Xenia Hotels & Resorts, Inc. (a)

     38        823  
    

 

 

  
       89,985  
    

 

 

  

Food & Staples Retailing — 0.5%

 

   

BJ’s Wholesale Club Holdings, Inc. * (a)

     44        1,010  

Casey’s General Stores, Inc.

     12        1,885  

SpartanNash Co.

     54        768  

Sprouts Farmers Market, Inc. *

     43        840  

United Natural Foods, Inc. *

     17        149  
    

 

 

  
       4,652  
    

 

 

  

Food Products — 1.5%

 

   

Darling Ingredients, Inc. *

     51        1,443  

Flowers Foods, Inc.

     83        1,802  

Fresh Del Monte Produce, Inc.

     12        402  

Ingredion, Inc.

     24        2,200  

John B Sanfilippo & Son, Inc.

     4        320  

Pilgrim’s Pride Corp. *

     20        645  

Post Holdings, Inc. *

     37        4,004  

Sanderson Farms, Inc.

     11        1,889  

Seneca Foods Corp., Class A *

     10        398  

TreeHouse Foods, Inc. *

     19        931  
    

 

 

  
       14,034  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

   

Gas Utilities — 1.1%

 

   

National Fuel Gas Co. (a)

     34        1,593  

New Jersey Resources Corp.

     30        1,338  

Southwest Gas Holdings, Inc.

     27        2,056  

UGI Corp.

     127        5,720  
    

 

 

  
       10,707  
    

 

 

  

Health Care Equipment & Supplies — 3.3%

 

   

CONMED Corp.

     8        906  

Cutera, Inc. *

     28        1,010  

Globus Medical, Inc., Class A *

     25        1,478  

Haemonetics Corp. *

     20        2,252  

Hill-Rom Holdings, Inc.

     30        3,451  

ICU Medical, Inc. *

     5        973  

Integer Holdings Corp. *

     28        2,268  

Integra LifeSciences Holdings Corp. *

     23        1,340  

Lantheus Holdings, Inc. *

     51        1,040  

LivaNova plc * (a)

     14        1,086  

Masimo Corp. *

     25        3,999  

NuVasive, Inc. *

     16        1,222  

OraSure Technologies, Inc. * (a)

     18        144  

Orthofix Medical, Inc. *

     16        739  

STERIS plc

     28        4,329  

Varex Imaging Corp. *

     12        370  

West Pharmaceutical Services, Inc.

     30        4,570  
    

 

 

  
       31,177  
    

 

 

  

Health Care Providers & Services — 3.9%

 

   

Acadia Healthcare Co., Inc. * (a)

     15        502  

Amedisys, Inc. *

     10        1,636  

AMN Healthcare Services, Inc. *

     16        988  

BioTelemetry, Inc. * (a)

     23        1,083  

Chemed Corp.

     10        4,173  

Cross Country Healthcare, Inc. *

     83        962  

Diplomat Pharmacy, Inc. *

     162        648  

Encompass Health Corp.

     22        1,496  

Ensign Group, Inc. (The)

     54        2,427  

HealthEquity, Inc. *

     15        1,074  

LHC Group, Inc. *

     17        2,301  

Magellan Health, Inc. *

     49        3,847  

MEDNAX, Inc. *

     68        1,886  

Molina Healthcare, Inc. *

     42        5,766  

Owens & Minor, Inc.

     174        898  

Patterson Cos., Inc.

     66        1,360  

Pennant Group, Inc. (The) * (a)

     27        883  

Select Medical Holdings Corp. *

     67        1,559  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
  

Health Care Providers & Services — continued

 

   

Tenet Healthcare Corp. *

     43        1,620  

Tivity Health, Inc. *

     98        1,992  
    

 

 

  
       37,101  
    

 

 

  

Health Care Technology — 0.4%

 

   

Allscripts Healthcare Solutions, Inc.* (a)

     63        621  

HealthStream, Inc. *

     10        267  

HMS Holdings Corp. *

     53        1,581  

NextGen Healthcare, Inc. *

     17        265  

Omnicell, Inc. *

     14        1,111  
    

 

 

  
       3,845  
    

 

 

  

Hotels, Restaurants & Leisure — 2.3%

 

   

BJ’s Restaurants, Inc. (a)

     8        296  

Bloomin’ Brands, Inc.

     32        713  

Boyd Gaming Corp. (a)

     29        859  

Brinker International, Inc. (a)

     12        520  

Cheesecake Factory, Inc. (The) (a)

     16        622  

Cracker Barrel Old Country Store, Inc. (a)

     5        819  

Dine Brands Global, Inc. (a)

     6        484  

Domino’s Pizza, Inc. (a)

     14        4,172  

Dunkin’ Brands Group, Inc.

     27        2,062  

Marriott Vacations Worldwide Corp.

     18        2,369  

Penn National Gaming, Inc. *

     28        713  

Red Robin Gourmet Burgers, Inc. * (a)

     4        145  

Ruth’s Hospitality Group, Inc. (a)

     7        161  

Six Flags Entertainment Corp.

     27        1,209  

Texas Roadhouse, Inc.

     22        1,225  

Wendy’s Co. (The) (a)

     63        1,388  

Wyndham Destinations, Inc.

     81        4,208  
    

 

 

  
       21,965  
    

 

 

  

Household Durables — 2.0%

 

   

Helen of Troy Ltd. *

     12        2,083  

Installed Building Products, Inc. *

     7        496  

KB Home

     87        2,975  

La-Z-Boy, Inc. (a)

     15        472  

M/I Homes, Inc. *

     9        346  

MDC Holdings, Inc.

     17        645  

Meritage Homes Corp. *

     53        3,251  

Tempur Sealy International, Inc. *

     16        1,375  

Toll Brothers, Inc.

     101        4,006  

TopBuild Corp. *

     12        1,268  

TRI Pointe Group, Inc. *

     49        770  

Tupperware Brands Corp.

     50        426  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         19  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Household Durables — continued

 

   

Universal Electronics, Inc. *

     5        251  

William Lyon Homes, Class A *

     9        182  
    

 

 

  
       18,546  
    

 

 

  

Household Products — 0.1%

 

   

Central Garden & Pet Co. *

     3        90  

Central Garden & Pet Co., Class A *

     15        441  
    

 

 

  
       531  
    

 

 

  

Industrial Conglomerates — 0.3%

 

   

Carlisle Cos., Inc.

     20        3,177  
    

 

 

  

Insurance — 4.1%

 

   

Alleghany Corp. *

     6        4,848  

American Equity Investment Life Holding Co.

     29        868  

American Financial Group, Inc.

     45        4,975  

Brighthouse Financial, Inc. *

     19        726  

Brown & Brown, Inc.

     80        3,156  

CNO Financial Group, Inc.

     30        546  

First American Financial Corp.

     66        3,837  

Hanover Insurance Group, Inc. (The)

     30        4,159  

HCI Group, Inc. (a)

     2        100  

Kemper Corp.

     21        1,596  

Mercury General Corp.

     10        478  

Old Republic International Corp.

     181        4,044  

Primerica, Inc.

     14        1,867  

Reinsurance Group of America, Inc.

     21        3,457  

RenaissanceRe Holdings Ltd. (Bermuda)

     14        2,705  

Selective Insurance Group, Inc.

     17        1,127  

Stewart Information Services Corp.

     8        322  

Third Point Reinsurance Ltd. (Bermuda) *

     26        278  
    

 

 

  
       39,089  
    

 

 

  

Interactive Media & Services — 0.2%

 

   

QuinStreet, Inc. * (a)

     44        668  

Yelp, Inc. *

     25        874  
    

 

 

  
       1,542  
    

 

 

  

Internet & Direct Marketing Retail — 0.1%

 

   

Grubhub, Inc. * (a)

     7        336  

PetMed Express, Inc. (a)

     8        188  

Stamps.com, Inc. *

     5        401  
    

 

 

  
       925  
    

 

 

  

IT Services — 3.9%

 

   

CACI International, Inc., Class A *

     18        4,528  

Cardtronics plc, Class A *

     15        655  

CoreLogic, Inc. *

     28        1,206  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

IT Services — continued

 

   

EVERTEC, Inc. (Puerto Rico)

     73        2,475  

ExlService Holdings, Inc. *

     11        796  

KBR, Inc.

     151        4,603  

ManTech International Corp., Class A

     10        831  

MAXIMUS, Inc.

     21        1,577  

NIC, Inc.

     23        505  

Perficient, Inc. *

     51        2,368  

Perspecta, Inc.

     191        5,045  

Sabre Corp.

     170        3,819  

Science Applications International Corp.

     16        1,435  

Sykes Enterprises, Inc. *

     66        2,436  

Unisys Corp. *

     102        1,205  

Virtusa Corp. *

     9        399  

WEX, Inc. *

     14        2,870  
    

 

 

  
       36,753  
    

 

 

  

Leisure Products — 0.5%

 

   

Brunswick Corp.

     29        1,758  

Callaway Golf Co.

     29        611  

Mattel, Inc. * (a)

     8        104  

Polaris, Inc.

     21        2,123  
    

 

 

  
       4,596  
    

 

 

  

Life Sciences Tools & Services — 1.5%

 

   

Bio-Rad Laboratories, Inc., Class A *

     7        2,590  

Bio-Techne Corp.

     13        2,766  

Charles River Laboratories International, Inc. *

     18        2,704  

Medpace Holdings, Inc. *

     18        1,530  

PRA Health Sciences, Inc. *

     20        2,167  

Syneos Health, Inc. *

     37        2,195  
    

 

 

  
       13,952  
    

 

 

  

Machinery — 4.2%

 

   

AGCO Corp.

     23        1,771  

Albany International Corp., Class A

     9        706  

Barnes Group, Inc.

     16        998  

Chart Industries, Inc. *

     11        722  

Colfax Corp. * (a)

     30        1,073  

Crane Co.

     50        4,286  

Federal Signal Corp.

     19        613  

Greenbrier Cos., Inc. (The)

     46        1,498  

Harsco Corp. *

     28        635  

Hillenbrand, Inc.

     35        1,149  

ITT, Inc.

     66        4,857  

John Bean Technologies Corp.

     11        1,262  

Lydall, Inc. *

     7        146  

Mueller Industries, Inc.

     34        1,080  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

   

Machinery — continued

 

   

Oshkosh Corp.

     49        4,666  

SPX Corp. *

     16        829  

SPX FLOW, Inc. *

     14        694  

Standex International Corp.

     4        333  

Terex Corp.

     59        1,753  

Timken Co. (The)

     68        3,827  

Toro Co. (The)

     26        2,055  

Wabash National Corp. (a)

     126        1,857  

Watts Water Technologies, Inc., Class A

     9        898  

Woodward, Inc.

     19        2,274  
    

 

 

  
       39,982  
    

 

 

  

Marine — 0.1%

 

   

Matson, Inc.

     15        612  
    

 

 

  

Media — 0.7%

 

   

AMC Networks, Inc., Class A *

     27        1,067  

EW Scripps Co. (The), Class A (a)

     19        305  

Gannett Co., Inc. (a)

     85        545  

Meredith Corp. (a)

     50        1,625  

New York Times Co. (The), Class A (a)

     15        479  

TEGNA, Inc.

     186        3,101  
    

 

 

  
       7,122  
    

 

 

  

Metals & Mining — 1.9%

 

   

AK Steel Holding Corp. * (a)

     105        346  

Allegheny Technologies, Inc. * (a)

     42        874  

Carpenter Technology Corp.

     6        304  

Commercial Metals Co.

     61        1,351  

Kaiser Aluminum Corp.

     6        650  

Materion Corp.

     7        386  

Reliance Steel & Aluminum Co.

     46        5,519  

Royal Gold, Inc.

     12        1,406  

Steel Dynamics, Inc.

     104        3,552  

SunCoke Energy, Inc.

     22        135  

Warrior Met Coal, Inc.

     84        1,783  

Worthington Industries, Inc.

     38        1,600  
    

 

 

  
       17,906  
    

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.2%

 

   

ARMOUR Residential REIT, Inc.

     21        375  

Invesco Mortgage Capital, Inc.

     42        698  

PennyMac Mortgage Investment Trust (a)

     26        588  
    

 

 

  
       1,661  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Multiline Retail — 0.1%

 

   

Big Lots, Inc. (a)

     18        523  

Dillard’s, Inc., Class A (a)

     7        485  
    

 

 

  
       1,008  
    

 

 

  

Multi-Utilities — 0.8%

 

   

Avista Corp.

     7        337  

Black Hills Corp.

     21        1,634  

MDU Resources Group, Inc.

     144        4,275  

NorthWestern Corp.

     14        1,014  
    

 

 

  
       7,260  
    

 

 

  

Oil, Gas & Consumable Fuels — 2.1%

     

Callon Petroleum Co. *

     49        235  

CNX Resources Corp. * (a)

     67        591  

Denbury Resources, Inc. * (a)

     743        1,047  

EQT Corp.

     215        2,341  

Equitrans Midstream Corp. (a)

     69        923  

Gulfport Energy Corp. *

     49        148  

Matador Resources Co. *

     17        309  

Murphy Oil Corp.

     62        1,670  

Par Pacific Holdings, Inc. * (a)

     95        2,208  

PBF Energy, Inc., Class A

     87        2,726  

PDC Energy, Inc. * (a)

     21        539  

QEP Resources, Inc.

     74        332  

REX American Resources Corp. *

     2        180  

Southwestern Energy Co. * (a)

     164        396  

SRC Energy, Inc. *

     84        346  

World Fuel Services Corp.

     75        3,251  

WPX Energy, Inc. *

     170        2,339  
    

 

 

  
       19,581  
    

 

 

  

Paper & Forest Products — 0.8%

 

   

Boise Cascade Co.

     49        1,779  

Domtar Corp.

     56        2,129  

Louisiana-Pacific Corp.

     44        1,300  

Mercer International, Inc. (Germany)

     16        199  

PH Glatfelter Co.

     15        278  

Schweitzer-Mauduit International, Inc.

     57        2,386  
    

 

 

  
       8,071  
    

 

 

  

Personal Products — 0.2%

 

   

Edgewell Personal Care Co. *

     19        585  

Medifast, Inc.

     4        475  

Nu Skin Enterprises, Inc., Class A

     19        795  

USANA Health Sciences, Inc. *

     4        299  
    

 

 

  
       2,154  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         21  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Pharmaceuticals — 0.9%

 

   

Catalent, Inc. *

     70        3,924  

Endo International plc * (a)

     375        1,760  

Lannett Co., Inc. * (a)

     277        2,441  

Supernus Pharmaceuticals, Inc. *

     19        460  
    

 

 

  
       8,585  
    

 

 

  

Professional Services — 1.7%

 

   

ASGN, Inc. *

     16        1,143  

Forrester Research, Inc. *

     3        134  

FTI Consulting, Inc. *

     15        1,612  

Heidrick & Struggles International, Inc.

     41        1,336  

Insperity, Inc.

     13        1,144  

Kelly Services, Inc., Class A (a)

     83        1,874  

Korn Ferry

     48        2,040  

ManpowerGroup, Inc.

     44        4,261  

Resources Connection, Inc.

     38        624  

TrueBlue, Inc. *

     72        1,741  
    

 

 

  
       15,909  
    

 

 

  

Real Estate Management & Development — 0.4%

 

   

Jones Lang LaSalle, Inc.

     18        3,062  

Realogy Holdings Corp. (a)

     45        439  
    

 

 

  
       3,501  
    

 

 

  

Road & Rail — 0.6%

 

   

ArcBest Corp.

     76        2,087  

Avis Budget Group, Inc. * (a)

     23        754  

Landstar System, Inc.

     26        2,957  
    

 

 

  
       5,798  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.5%

 

   

Advanced Energy Industries, Inc. * (a)

     14        989  

Axcelis Technologies, Inc. *

     95        2,287  

Cabot Microelectronics Corp.

     7        1,046  

Cirrus Logic, Inc. *

     20        1,643  

Cohu, Inc.

     54        1,232  

Cree, Inc. *

     22        1,011  

Cypress Semiconductor Corp. (a)

     122        2,851  

First Solar, Inc. * (a)

     40        2,238  

Kulicke & Soffa Industries, Inc. (Singapore)

     76        2,068  

MKS Instruments, Inc.

     25        2,791  

Onto Innovation, Inc. *

     58        2,130  

Photronics, Inc. *

     19        304  

Rambus, Inc. *

     110        1,521  

Semtech Corp. *

     22        1,185  

SMART Global Holdings, Inc. *

     43        1,643  

Synaptics, Inc. *

     11        743  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Semiconductors & Semiconductor Equipment — continued

 

   

Teradyne, Inc.

     68        4,664  

Ultra Clean Holdings, Inc. *

     26        616  

Universal Display Corp.

     11        2,226  

Veeco Instruments, Inc. *

     2        33  
    

 

 

  
       33,221  
    

 

 

  

Software — 2.6%

 

   

8x8, Inc. * (a)

     35        633  

ACI Worldwide, Inc. *

     41        1,546  

Bottomline Technologies DE, Inc. *

     12        616  

CDK Global, Inc.

     62        3,401  

CommVault Systems, Inc. *

     17        737  

Fair Isaac Corp. *

     10        3,767  

j2 Global, Inc.

     16        1,490  

LogMeIn, Inc.

     15        1,295  

Manhattan Associates, Inc. *

     32        2,520  

Progress Software Corp.

     16        656  

PTC, Inc. * (a)

     13        982  

Qualys, Inc. *

     11        892  

SPS Commerce, Inc. *

     13        698  

TiVo Corp.

     63        535  

Tyler Technologies, Inc. *

     16        4,860  
    

 

 

  
       24,628  
    

 

 

  

Specialty Retail — 3.2%

 

   

Aaron’s, Inc.

     22        1,265  

Abercrombie & Fitch Co., Class A

     23        398  

American Eagle Outfitters, Inc.

     93        1,363  

Asbury Automotive Group, Inc. *

     7        738  

AutoNation, Inc. *

     21        1,026  

Bed Bath & Beyond, Inc. (a)

     45        775  

Boot Barn Holdings, Inc. * (a)

     10        423  

Cato Corp. (The), Class A

     38        661  

Children’s Place, Inc. (The) (a)

     6        371  

Designer Brands, Inc., Class A

     28        433  

Dick’s Sporting Goods, Inc.

     28        1,367  

Express, Inc. *

     23        112  

Five Below, Inc. *

     19        2,417  

Foot Locker, Inc. (a)

     40        1,552  

GameStop Corp., Class A (a)

     40        244  

Genesco, Inc. *

     4        196  

Group 1 Automotive, Inc.

     7        695  

Haverty Furniture Cos., Inc. (a)

     5        110  

Hibbett Sports, Inc. *

     56        1,570  

Lithia Motors, Inc., Class A (a)

     18        2,675  

MarineMax, Inc. *

     8        135  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

   

Specialty Retail — continued

 

   

Michaels Cos., Inc. (The) *

     34        276  

Murphy USA, Inc. *

     10        1,217  

Office Depot, Inc.

     480        1,315  

Rent-A-Center, Inc.

     83        2,394  

RH * (a)

     7        1,430  

Sally Beauty Holdings, Inc. * (a)

     43        788  

Signet Jewelers Ltd.

     21        454  

Tailored Brands, Inc. (a)

     15        62  

Urban Outfitters, Inc. * (a)

     49        1,366  

Williams-Sonoma, Inc. (a)

     25        1,843  

Zumiez, Inc. *

     28        960  
    

 

 

  
       30,631  
    

 

 

  

Technology Hardware, Storage & Peripherals — 0.2%

 

   

Diebold Nixdorf, Inc. *

     29        304  

NCR Corp. *

     46        1,628  
    

 

 

  
       1,932  
    

 

 

  

Textiles, Apparel & Luxury Goods — 1.1%

 

   

Carter’s, Inc.

     16        1,695  

Crocs, Inc. *

     25        1,043  

Deckers Outdoor Corp. *

     20        3,428  

Fossil Group, Inc. * (a)

     18        141  

G-III Apparel Group Ltd. *

     14        476  

Kontoor Brands, Inc. (a)

     14        605  

Movado Group, Inc.

     5        117  

Skechers U.S.A., Inc., Class A *

     44        1,919  

Steven Madden Ltd.

     27        1,159  
    

 

 

  
       10,583  
    

 

 

  

Thrifts & Mortgage Finance — 0.6%

 

   

HomeStreet, Inc. *

     9        292  

LendingTree, Inc. *

     2        698  

Meta Financial Group, Inc.

     11        398  

New York Community Bancorp, Inc. (a)

     87        1,045  

NMI Holdings, Inc., Class A * (a)

     22        727  

TrustCo Bank Corp. (a)

     138        1,200  

Walker & Dunlop, Inc.

     24        1,552  
    

 

 

  
       5,912  
    

 

 

  

Tobacco — 0.1%

 

   

Universal Corp.

     9        508  

Vector Group Ltd.

     38        503  
    

 

 

  
       1,011  
    

 

 

  

Trading Companies & Distributors — 1.0%

 

   

Applied Industrial Technologies, Inc.

     13        860  

DXP Enterprises, Inc. *

     4        167  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Trading Companies & Distributors — continued

 

   

GMS, Inc. *

     59        1,584  

Kaman Corp.

     33        2,169  

MSC Industrial Direct Co., Inc., Class A

     15        1,193  

NOW, Inc. *

     108        1,208  

Veritiv Corp. * (a)

     22        441  

Watsco, Inc. (a)

     11        1,982  
    

 

 

  
       9,604  
    

 

 

  

Water Utilities — 0.1%

 

   

American States Water Co.

     12        1,026  

Aqua America, Inc.

     4        169  
    

 

 

  
       1,195  
    

 

 

  

Wireless Telecommunication Services — 0.2%

 

   

Spok Holdings, Inc.

     29        349  

Telephone & Data Systems, Inc.

     69        1,747  
    

 

 

  
       2,096  
    

 

 

  

Total Common Stocks
(Cost $675,831)

        926,381  
    

 

 

  
     NO. OF
RIGHTS
(000)		          

Rights — 0.0% (b)

 

   

Chemicals — 0.0% (b)

 

   

Schulman, Inc., CVR * ‡
(Cost $—)

     28        — (c) 
    

 

 

  
     SHARES
(000)		          

Short-Term Investments — 6.5%

 

Investment Companies — 2.3%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (d) (e)
(Cost $21,164)

     21,158        21,165  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 4.2%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (d) (e)

     36,008        36,011  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (d) (e)

     4,123        4,123  
    

 

 

  

Total Investment of Cash Collateral from Securities Loaned
(Cost $40,131)

        40,134  
    

 

 

  

Total Short-Term Investments
(Cost $61,295)

        61,299  
    

 

 

  

Total Investments — 104.1%
(Cost $737,126)

        987,680  

Liabilities in Excess of
Other Assets — (4.1)%

        (38,626 ) 
    

 

 

  

NET ASSETS — 100.0%

        949,054  
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         23  

Table of Contents

JPMorgan Market Expansion Enhanced Index Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Abbreviations

 

CVR   Contingent Value Rights
REIT   Real Estate Investment Trust
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $39,206,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Amount rounds to less than one thousand.
(d)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(e)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
‡   Value determined using significant unobservable inputs.
 

 

Futures contracts outstanding as of December 31, 2019 (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

        60          03/2020          USD          5,010          49  

S&P Midcap 400 E-Mini Index

        72          03/2020          USD          14,863          142  
                        

 

 

  
                           191  
                        

 

 

  

 

Abbreviations

 

USD   United States Dollar
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

Table of Contents

 

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DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         25  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands, except per share amounts)

 

      JPMorgan
Equity Index
Fund		      JPMorgan
Market
Expansion
Enhanced
Index Fund		  

ASSETS:

      

Investments in non-affiliates, at value

    $ 5,171,794      $ 926,381  

Investments in affiliates, at value

      113,861        21,165  

Investment of cash collateral received from securities loaned, at value (See Note 2.C.)

      37,374        40,134  

Cash

      3        29  

Deposits at broker for futures contracts

      1,328        790  

Receivables:

      

Investment securities sold

      21,071        —  

Fund shares sold

      4,254        488  

Dividends from non-affiliates

      5,335        1,111  

Dividends from affiliates

      52        1  

Securities lending income (See Note 2.C.)

      8        20  

Variation margin on futures contracts

      86        16  

Due from adviser

      12        —  
  

 

 

     

 

 

  

Total Assets

      5,355,178        990,135  
  

 

 

     

 

 

  

LIABILITIES:

      

Payables:

      

Collateral received on securities loaned (See Note 2.C.)

      37,374        40,134  

Fund shares redeemed

      38,226        620  

Accrued liabilities:

      

Investment advisory fees

      —        144  

Administration fees

      156        26  

Distribution fees

      234        50  

Service fees

      211        31  

Custodian and accounting fees

      24        9  

Trustees’ and Chief Compliance Officer’s fees

      1        —  

Other

      70        67  
  

 

 

     

 

 

  

Total Liabilities

      76,296        41,081  
  

 

 

     

 

 

  

Net Assets

    $ 5,278,882      $ 949,054  
  

 

 

     

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

Table of Contents
        JPMorgan Equity
Index Fund		       

JPMorgan
Market
Expansion
Enhanced
Index Fund

  

NET ASSETS:

          

Paid-in-Capital

      $ 3,149,092        $ 697,782  

Total distributable earnings (loss)

        2,129,790          251,272  
    

 

 

       

 

 

  

Total Net Assets

      $ 5,278,882        $ 949,054  
    

 

 

       

 

 

  

Net Assets:

          

Class A

      $ 774,366        $ 127,514  

Class C

        109,851          27,928  

Class I

        845,764          246,282  

Class R2

        —          12,518  

Class R6

        3,548,901          534,812  
    

 

 

       

 

 

  

Total

      $ 5,278,882        $ 949,054  
    

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

          

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

          

Class A

        15,766          12,724  

Class C

        2,260          3,475  

Class I

        17,195          24,116  

Class R2

        —          1,272  

Class R6

        72,126          52,726  

Net Asset Value (a):

          

Class A — Redemption price per share

      $ 49.11        $ 10.02  

Class C — Offering price per share (b)

        48.60          8.04  

Class I — Offering and redemption price per share

        49.19          10.21  

Class R2 — Offering and redemption price per share

        —          9.84  

Class R6 — Offering and redemption price per share

        49.20          10.14  

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)]

      $ 51.83        $ 10.58  
    

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 3,029,065        $ 675,831  

Cost of investments in affiliates

        69,731          21,164  

Investment securities on loan, at value (See Note 2.C.)

        36,535          39,206  

Cost of investment of cash collateral (See Note 2.C.)

        37,374          40,131  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         27  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands)

 

        JPMorgan
Equity Index Fund		      JPMorgan
Market
Expansion
Enhanced
Index Fund		  

INVESTMENT INCOME:

        

Interest income from non-affiliates

      $ 14      $ 7  

Interest income from affiliates

        — (a)       —  

Dividend income from non-affiliates

        53,890        7,313  

Dividend income from affiliates

        1,318        190  

Income from securities lending (net) (See Note 2.C.)

        52        128  
    

 

 

     

 

 

  

Total investment income

        55,274        7,638  
    

 

 

     

 

 

  

EXPENSES:

        

Investment advisory fees

        977        1,161  

Administration fees

        1,832        348  

Distribution fees:

        

Class A

        927        157  

Class C

        381        107  

Class R2

        —        31  

Service fees:

        

Class A

        927        157  

Class C

        127        36  

Class I

        984        309  

Class R2

        —        15  

Custodian and accounting fees

        62        20  

Interest expense to affiliates

        — (a)       — (a) 

Professional fees

        50        32  

Trustees’ and Chief Compliance Officer’s fees

        22        14  

Printing and mailing costs

        44        36  

Registration and filing fees

        50        49  

Transfer agency fees (See Note 2.F.)

        147        40  

Other

        30        10  
    

 

 

     

 

 

  

Total expenses

        6,560        2,522  
    

 

 

     

 

 

  

Less fees waived

        (2,863 )       (863 ) 

Less expense reimbursements

        (11 )       (1 ) 
    

 

 

     

 

 

  

Net expenses

        3,686        1,658  
    

 

 

     

 

 

  

Net investment income (loss)

        51,588        5,980  
    

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

        

Net realized gain (loss) on transactions from:

        

Investments in non-affiliates

        (16,377 )       14,940  

Investments in affiliates

        (65 )       (2 ) 

Futures contracts

        3,661        568  
    

 

 

     

 

 

  

Net realized gain (loss)

        (12,781 )       15,506  
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

        

Investments in non-affiliates

        451,316        47,673  

Investments in affiliates

        16,987        (5 ) 

Futures contracts

        275        36  
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        468,578        47,704  
    

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        455,797        63,210  
    

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 507,385      $ 69,190  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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		  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                    

Net investment income (loss)

      $ 51,588        $ 79,171        $ 5,980        $ 11,988  

Net realized gain (loss)

        (12,781 )         (697 )         15,506          60,062  

Change in net unrealized appreciation/depreciation

        468,578          296,868          47,704          (113,928 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        507,385          375,342          69,190          (41,878 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

        (8,873 )         (10,894 )         (7,463 )         (17,379 ) 

Class C

        (941 )         (1,200 )         (1,930 )         (4,564 ) 

Class I

        (10,628 )         (15,256 )         (14,281 )         (38,817 ) 

Class R2

        —          —          (683 )         (1,606 ) 

Class R6 (a)

        (46,298 )         (59,940 )         (32,417 )         (57,201 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (66,740 )         (87,290 )         (56,774 )         (119,567 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                    

Change in net assets resulting from capital transactions

        327,831          856,598          (12,433 )         24,718  
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

                    

Change in net assets

        768,476          1,144,650          (17 )         (136,727 ) 

Beginning of period

        4,510,406          3,365,756          949,071          1,085,798  
    

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 5,278,882        $ 4,510,406        $ 949,054        $ 949,071  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Market Expansion Enhanced Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         29  

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		  
        Six Months Ended
December 31, 2019
(Unaudited)		       

Year Ended

June 30, 2019

        Six Months Ended
December 31, 2019
(Unaudited)		       

Year Ended

June 30, 2019

  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 253,465        $ 104,926        $ 7,483        $ 28,741  

Distributions reinvested

        8,744          10,738          7,071          15,789  

Cost of shares redeemed

        (154,623 )         (150,518 )         (18,168 )         (62,068 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 107,586        $ (34,854 )       $ (3,614 )       $ (17,538 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 12,882        $ 39,258        $ 1,524        $ 9,837  

Distributions reinvested

        686          886          1,874          4,419  

Cost of shares redeemed

        (9,494 )         (30,024 )         (5,462 )         (14,664 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ 4,074        $ 10,120        $ (2,064 )       $ (408 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Proceeds from shares issued

      $ 203,534        $ 373,010        $ 33,323        $ 135,987  

Distributions reinvested

        10,105          14,608          12,652          34,494  

Cost of shares redeemed

        (230,743 )         (340,701 )         (67,201 )         (683,948 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (17,104 )       $ 46,917        $ (21,226 )       $ (513,467 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Proceeds from shares issued

      $ —        $ —        $ 1,478        $ 5,659  

Distributions reinvested

        —          —          683          1,476  

Cost of shares redeemed

        —          —          (2,616 )         (5,678 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ —        $ —        $ (455 )       $ 1,457  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6 (a)

                    

Proceeds from shares issued

      $ 568,263        $ 1,219,905        $ 11,845        $ 516,387  

Distributions reinvested

        45,689          59,271          32,417          57,201  

Cost of shares redeemed

        (380,677 )         (444,761 )         (29,336 )         (18,914 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 233,275        $ 834,415        $ 14,926        $ 554,674  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 327,831        $ 856,598        $ (12,433 )       $ 24,718  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Market Expansion Enhanced Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Equity Index Fund        JPMorgan Market Expansion
Enhanced Index Fund		  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

                    

Class A

                    

Issued

        5,525          2,516          754          2,791  

Reinvested

        185          257          706          1,719  

Redeemed

        (3,355 )         (3,539 )         (1,839 )         (5,982 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        2,355          (766 )         (379 )         (1,472 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Issued

        282          964          190          1,183  

Reinvested

        14          22          234          591  

Redeemed

        (209 )         (718 )         (684 )         (1,763 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        87          268          (260 )         11  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Issued

        4,367          8,890          3,299          13,208  

Reinvested

        213          349          1,238          3,691  

Redeemed

        (4,994 )         (8,135 )         (6,697 )         (63,152 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        (414 )         1,104          (2,160 )         (46,253 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Issued

        —          —          154          530  

Reinvested

        —          —          69          164  

Redeemed

        —          —          (270 )         (548 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R2 Shares

        —          —          (47 )         146  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6 (a)

                    

Issued

        12,333          27,981          1,240          47,015  

Reinvested

        964          1,409          3,191          6,146  

Redeemed

        (8,301 )         (10,460 )         (2,933 )         (1,933 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        4,996          18,930          1,498          51,228  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

Commencement of offering of class of shares effective October 1, 2018 for JPMorgan Market Expansion Enhanced Index Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         31  

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

              

Six Months Ended December 31, 2019 (Unaudited)

   $ 44.90     $ 0.42     $ 4.35     $ 4.77     $ (0.47 )    $ (0.09 )    $ (0.56 ) 

Year Ended June 30, 2019

     41.64       0.72       3.33       4.05       (0.65 )      (0.14 )      (0.79 ) 

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 ) 

Class C

              

Six Months Ended December 31, 2019 (Unaudited)

     44.45       0.28       4.30       4.58       (0.34 )      (0.09 )      (0.43 ) 

Year Ended June 30, 2019

     41.27       0.46       3.30       3.76       (0.44 )      (0.14 )      (0.58 ) 

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 ) 

Class I

              

Six Months Ended December 31, 2019 (Unaudited)

     44.97       0.48       4.36       4.84       (0.53 )      (0.09 )      (0.62 ) 

Year Ended June 30, 2019

     41.68       0.83       3.34       4.17       (0.74 )      (0.14 )      (0.88 ) 

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 ) 

Class R6

              

Six Months Ended December 31, 2019 (Unaudited)

     44.98       0.52       4.36       4.88       (0.57 )      (0.09 )      (0.66 ) 

Year Ended June 30, 2019

     41.68       0.90       3.33       4.23       (0.79 )      (0.14 )      (0.93 ) 

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.

 

 
32       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 49.11       10.67 %      $ 774,366       0.45 %      1.81 %      0.66 %      5 % 
  44.90       9.87       602,186       0.45       1.68       0.66       6  
  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  
           
  48.60       10.33       109,851       1.05       1.22       1.13       5  
  44.45       9.23       96,605       1.05       1.10       1.13       6  
  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  
           
  49.19       10.82       845,764       0.20       2.05       0.38       5  
  44.97       10.16       791,881       0.20       1.94       0.38       6  
  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  
           
  49.20       10.90       3,548,901       0.044       2.23       0.13       5  
  44.98       10.33       3,019,734       0.043       2.11       0.13       6  
  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.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         33  

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 Market Expansion Enhanced Index Fund

              

Class A

              

Six Months Ended December 31, 2019 (Unaudited)

   $ 9.88     $ 0.05     $ 0.71     $ 0.76     $ (0.11 )    $ (0.51 )    $ (0.62 ) 

Year Ended June 30, 2019

     11.75       0.10       (0.65 )      (0.55 )      (0.09 )      (1.23 )      (1.32 ) 

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 ) 

Class C

              

Six Months Ended December 31, 2019 (Unaudited)

     8.02       0.02       0.58       0.60       (0.07 )      (0.51 )      (0.58 ) 

Year Ended June 30, 2019

     9.83       0.04       (0.56 )      (0.52 )      (0.06 )      (1.23 )      (1.29 ) 

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 ) 

Class I

              

Six Months Ended December 31, 2019 (Unaudited)

     10.06       0.07       0.72       0.79       (0.13 )      (0.51 )      (0.64 ) 

Year Ended June 30, 2019

     11.92       0.13       (0.67 )      (0.54 )      (0.09 )      (1.23 )      (1.32 ) 

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 ) 

Class R2

              

Six Months Ended December 31, 2019 (Unaudited)

     9.69       0.03       0.69       0.72       (0.06 )      (0.51 )      (0.57 ) 

Year Ended June 30, 2019

     11.56       0.07       (0.65 )      (0.58 )      (0.06 )      (1.23 )      (1.29 ) 

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 ) 

Class R6

              

Six Months Ended December 31, 2019 (Unaudited)

     10.00       0.07       0.72       0.79       (0.14 )      (0.51 )      (0.65 ) 

October 1, 2018 (f) through June 30, 2019

     12.08       0.11       (0.82 )      (0.71 )      (0.14 )      (1.23 )      (1.37 ) 

 

(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.

 

 
34       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 10.02       7.65 %    $ 127,514       0.60 %      1.05 %      0.88 %      14 % 
  9.88       (3.69 )      129,406       0.60       0.98       0.88       36  
  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  
           
  8.04       7.48       27,928       1.10       0.54       1.40       14  
  8.02       (4.21 )      29,952       1.10       0.49       1.38       36  
  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  
           
  10.21       7.85       246,282       0.35       1.29       0.62       14  
  10.06       (3.56 )      264,415       0.34       1.14       0.61       36  
  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  
           
  9.84       7.49       12,518       1.00       0.65       1.35       14  
  9.69       (4.11 )      12,786       0.93       0.66       1.35       36  
  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  
           
  10.14       7.91       534,812       0.25       1.41       0.36       14  
  10.00       (4.81 )      512,512       0.25       1.51       0.37       36  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         35  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

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    Diversification Classification
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, Class R2 and Class R6    Diversified

 

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. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (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 their market value 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/or 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 the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for 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 (“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.

 

 
36       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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):

Equity Index Fund

 

        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		       

Level 3
Significant

unobservable inputs

        Total  

Total Investments in Securities (a)

      $ 5,323,029        $ —        $ —        $ 5,323,029  
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

                    

Futures Contracts (a)

      $ 736        $ —        $ —        $ 736  
    

 

 

       

 

 

       

 

 

       

 

 

  

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 (b)

      $ 987,680        $ —        $ — (c)     $ 987,680  
    

 

 

       

 

 

       

 

 

     

 

 

  

Appreciation in Other Financial Instruments

                  

Futures Contracts (a)

      $ 191        $ —        $ —      $ 191  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a)

All portfolio holdings designated as level 1 are disclosed individually on the SOIs.

(b)

All portfolio holdings designated as level 1 and level 3 are disclosed individually on the SOI. Level 3 consists of rights. Please refer to the SOI for industry specifics of portfolio holdings.

(c)

Amount rounds to less than one thousand.

There were no transfers into or out of level 3 for the six months ended December 31, 2019.

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, while cash deposited, which is considered restricted, 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.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         37  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

The table below discloses the volume of the Funds’ futures contracts activity during the six months ended December 31, 2019 (amounts in thousands):

 

     

Equity Index

Fund

       

Market
Expansion

Enhanced
Index Fund

  

Futures Contracts — Equity:

        

Average Notional Balance Long

    $ 36,087        $ 16,559  

Ending Notional Balance Long

      29,734          19,873  

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. Securities Lending —The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.

The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).

 

     

Investment Securities

on Loan, at value,

Presented on the

Statements of Assets

and Liabilities

     

Cash Collateral

Posted by Borrower*

    

Net Amount Due

to Counterparty

(not less than zero)

  

Equity Index Fund

    $ 36,535      $ (36,535 )    $ —  

Market Expansion Enhanced Index Fund

      39,206        (39,206 )      —  

 

*

Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security. JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):

 

Equity Index Fund

    $ 5  

Market Expansion Enhanced Index Fund

      5  

The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).

 

 
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D. 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. Amounts in the tables below are in thousands.

Equity Index Fund

 

    For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Chase & Co. (a)

   $ 66,537     $ 7,150     $ 4,706     $ (65 )    $ 16,990     $ 85,906       616     $ 1,026     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c)

     30,018       155,000       159,000       (1 )*      (3 )      26,014       26,011       340 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c)

     8,648       123,137       120,425       —       —       11,360       11,360       93 *      —  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.47% (b) (c)

     24,731       696,809       693,585       —       —       27,955       27,955       292       —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 129,934     $ 982,096     $ 977,716     $ (66 )    $ 16,987     $ 151,235       $ 1,751     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Market Expansion Enhanced Index Fund

 

    For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases at
Cost		     Proceeds
from Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)

   $ 9,338     $ 143,154     $ 131,324     $ (2 )    $ (1 )    $ 21,165       21,158     $ 190     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c)

     58,018       24,998       47,000       (1 )*      (4 )      36,011       36,008       488 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c)

     14,456       110,523       120,856       —       —       4,123       4,123       113 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 81,812     $ 278,675     $ 299,180     $ (3 )    $ (5 )    $ 61,299       $ 791     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

Investment in affiliate. This security is included in an index in which the Fund, as an index fund, tracks.

(b)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(c)

The rate shown is the current yield as of December 31, 2019.

*

Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).

E. 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.

F. 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 applicable funds. 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.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         39  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the six months ended December 31, 2019 are as follows (amounts in thousands):

 

      Class A      Class C      Class I      Class R2      Class R6      Total  

Equity Index Fund

                  

Transfer agency fees

    $ 123      $ 3      $ 11        n/a      $ 10      $ 147  

Market Expansion Enhanced Index Fund

                  

Transfer agency fees

      14        5        4      $ 15        2        40  

G. 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 December 31, 2019, no liability for Federal 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.

H. 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.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ 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, pursuant to Rule 12b-1 under the 1940 Act. The Class I and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 six months ended December 31, 2019, JPMDS retained the following amounts (amounts in thousands):

 

      Front-End Sales Charge        CDSC  

Equity Index Fund

    $ 18        $ — (a) 

Market Expansion Enhanced Index Fund

      5          — (a) 

 

(a)

Amount rounds to less than one thousand.

 

 
40       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except 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. Pursuant to such contracts, 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.

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, expenses related to trustee elections 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 %       n/a (1)        0.20 %       n/a        0.045 % 

Market Expansion Enhanced Index Fund

        0.60        1.10 %       0.35        1.00 %       0.25  

 

(1)

Effective November 1, 2019, the contractual expense limitation for Class C Shares expired. Prior to November 1, 2019, the contractual expense limitation was 1.20% for Class C Shares.

The expense limitation agreements were in effect for the six months ended December 31, 2019 and are in place until at least October 31, 2020.

For the six months ended December 31, 2019, 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

      $ 977        $ 990        $ 861        $ 2,828        $ 11  

Market Expansion Enhanced Index Fund

        309          206          336          851          1  

Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral.

The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 was as follows (amounts in thousands):

 

Equity Index Fund

    $ 35  

Market Expansion Enhanced Index Fund

      12  

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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with 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.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         41  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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 six months ended December 31, 2019, 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

    $ 569,025        $ 252,600  

Market Expansion Enhanced Index Fund

      129,815          204,152  

During the six months ended December 31, 2019, 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 December 31, 2019 were as follows (amounts in thousands):

 

       

Aggregate

Cost

       

Gross

Unrealized

Appreciation

       

Gross

Unrealized

Depreciation

       

Net Unrealized

Appreciation

(Depreciation)

  

Equity Index Fund

      $ 3,136,170        $ 2,217,982        $ 30,387        $ 2,187,595  

Market Expansion Enhanced Index Fund

        737,126          288,892          38,147          250,745  

As of June 30, 2019, the Funds did not have any net capital loss carryforwards.

Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2019, the Funds deferred to July 1, 2019 the following net capital losses of (amounts in thousands):

 

     Net Capital Losses  
      Short-Term      Long-Term  

Equity Index Fund

    $ 1,986      $ —  

Market Expansion Enhanced Index Fund

      9,985        —  

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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.

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 2, 2020.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.

The Trust, along with certain other trusts for the J.P. Morgan Funds (“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 London InterBank Offered Rate (“LIBOR”). The annual commitment fee to maintain the

 

 
42       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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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 13, 2019, 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 six months ended December 31, 2019.

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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.

As of December 31, 2019, the Funds had individual shareholder and/or omnibus accounts, which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

      Number of
individual shareholder
and/or Affiliated
Omnibus Accounts		      % of the Fund  

Market Expansion Enhanced Index Fund

      3        46.4 % 

As of December 31, 2019, 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

      —       47.3 % 

Market Expansion Enhanced Index Fund

      51.7 %      —  

Significant shareholder transactions by these shareholders may impact each Fund’s performance.

Because the Funds may invest a portion of their assets in Real Estate Investment Trusts (“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. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         43  

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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, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.

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 titled “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
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  
                   

JPMorgan Equity Index Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,106.70        $ 2.38          0.45 % 

Hypothetical

        1,000.00          1,022.87          2.29          0.45  

Class C

                    

Actual

        1,000.00          1,103.30          5.55          1.05  

Hypothetical

        1,000.00          1,019.86          5.33          1.05  

Class I

                    

Actual

        1,000.00          1,108.20          1.06          0.20  

Hypothetical

        1,000.00          1,024.13          1.02          0.20  

Class R6

                    

Actual

        1,000.00          1,109.00          0.21          0.04  

Hypothetical

        1,000.00          1,024.94          0.20          0.04  

JPMorgan Market Expansion Enhanced Index Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,076.50        $ 3.13          0.60 % 

Hypothetical

        1,000.00          1,022.12          3.05          0.60  

Class C

                    

Actual

        1,000.00          1,074.80          5.74          1.10  

Hypothetical

        1,000.00          1,019.61          5.58          1.10  

Class I

                    

Actual

        1,000.00          1,078.50          1.83          0.35  

Hypothetical

        1,000.00          1,023.38          1.78          0.35  

Class R2

                    

Actual

        1,000.00          1,074.90          5.22          1.00  

Hypothetical

        1,000.00          1,020.11          5.08          1.00  

Class R6

                    

Actual

        1,000.00          1,079.10          1.31          0.25  

Hypothetical

        1,000.00          1,023.88          1.27          0.25  

 

*

Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
44       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2019, at which the Trustees considered the continuation of the investment advisory agreement for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 14, 2019.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel, and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive session with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.

The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         45  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited) (continued)

 

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. The Trustees also reviewed the Adviser’s allocation of fund

brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

Independent Written Evaluation of the Funds’ Senior Officer

The Trustees noted that, upon their direction, the Senior Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional

 

 

 
46       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Equity Index Fund’s performance for Class A shares was in the third, first and first quintiles based upon the Peer Group, and in the fourth, third and third quintiles based upon the Universe, for the one-, three-, five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first quintile based upon the Peer Group for each of the one-, three- and

five-year periods ended December 31, 2018, and in the third, second and second quintiles based upon the Universe for the one-, three- and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the Market Expansion Enhanced Index Fund’s performance for Class A shares was in fifth, fifth and second quintiles based upon the Peer Group, and in the third, third and first quintiles based upon Universe, for the one-, three- and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the fifth, fifth and second quintiles based upon the Peer Group, and in the third, second and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with the members of the Board’s equity committee at each of its regularly scheduled meetings over the course of the next year.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where

 

 

 
DECEMBER 31, 2019   J.P. MORGAN EQUITY FUNDS         47  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited) (continued)

 

deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Equity Index Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Market Expansion Enhanced Index Fund’s net advisory fee for Class A shares was in the third and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the fourth and first quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the fourth and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the fifth and first quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the fourth and first quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

 

 

 
48       J.P. MORGAN EQUITY FUNDS   DECEMBER 31, 2019

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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-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

 

  © JPMorgan Chase & Co., 2019. All rights reserved. December 2019.   SAN-INDEX-1219

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Semi-Annual Report

J.P. Morgan Investor Funds

December 31, 2019 (Unaudited)

JPMorgan Investor Balanced Fund

JPMorgan Investor Conservative Growth Fund

JPMorgan Investor Growth Fund

JPMorgan Investor Growth & Income Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.

You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going to www.jpmorganfunds.com/edelivery.

You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us at funds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).

LOGO

Table of Contents

CONTENTS

 

Letter to Shareholders        1  
Fund Facts        2  
Funds Commentary        3  
Schedules of Portfolio Investments        8  
Financial Statements        12  
Financial Highlights        20  
Notes to Financial Statements        28  
Schedule of Shareholder Expenses        39  
Board Approval of Investment Advisory Agreements        41  
Tax Letter        46  

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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LETTER TO SHAREHOLDERS

February 10, 2020 (Unaudited)

 

Dear Shareholders,

We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.

 

LOGO   

 

“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher

At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.

While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.

Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

 

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         1  

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J.P. Morgan Investor Funds

FUND FACTS

SIX MONTHS ENDED DECEMBER 31, 2019 (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)		     MSCI EAFE Index
(net of foreign
withholding
taxes)		     Fund Net
Assets as of
December 31, 2019
(in thousands)		  
JPMorgan Investor Balanced Fund, Class A     0.53 %      5.29 %      1.85 %      10.37 %      7.01 %    $ 4,830,247  
JPMorgan Investor Conservative Growth Fund, Class A     (0.73 )      3.92       1.85       10.37       7.01       3,592,453  
JPMorgan Investor Growth Fund, Class A     2.93       7.78       1.85       10.37       7.01       2,964,942  
JPMorgan Investor Growth & Income Fund, Class A     1.70       6.50       1.85       10.37       7.01       3,108,823  

Portfolio Composition by Asset Class**

 

Investor Balanced Fund

  
Fixed Income      47.5 % 
U.S. Equity      33.7  
International Equity      15.3  
Short-Term Investments      2.0  
Alternative Assets      1.5  

Investor Conservative Growth Fund

  
Fixed Income      67.1 % 
U.S. Equity      19.8  
International Equity      9.1  
Short-Term Investments      2.1  
Alternative Assets      1.9  

Investor Growth Fund

  
U.S. Equity      60.1 % 
International Equity      25.3  
Fixed Income      11.6  
Short-Term Investments      2.5  
Alternative Assets      0.5  

Investor Growth & Income Fund

  
U.S. Equity      46.3 % 
Fixed Income      31.5  
International Equity      19.0  
Short-Term Investments      2.2  
Alternative Assets      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.
**   Percentages indicated are based on total investments as of December 31, 2019. The Funds’ portfolio composition is subject to change.
 

 

 
2       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

Table of Contents

J.P. Morgan Investor Funds

FUNDS COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (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?

Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Globally, U.S. equity generally outperformed other equity markets, as well as bond markets.

In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and, by the end of October, leading equity U.S. indexes had reached record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value stocks generally outperformed growth stocks. Equity prices in other developed markets also rose during the reporting period and largely performed in line with emerging markets equity.

Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period.

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 six months ended December 31, 2019, each of the Investor Funds’ Class A shares outperformed the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Investor Funds’ broad based fixed income benchmark, mainly due to the Investor Funds’ exposure to global equity, which largely outperformed U.S. fixed income markets.

Each of the Investor Funds’ Class A shares underperformed the Russell 3000 Index, the Investor Funds’ broad based equity benchmark, mainly due to the Investor Funds’ allocation to international equity, which underperformed U.S. equity.

The JPMorgan Investor Growth Fund’s Class A Shares outperformed the MSCI EAFE Index, largely due to strong returns from emerging markets and U.S. equity. The remaining three Investor Funds underperformed the MSCI EAFE Index, largely due to their exposure to fixed income markets.

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 maintained their relative overweight positions in international equities.

 

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

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         3  

Table of Contents

JPMorgan Investor Balanced Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

 
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    December 10, 1996                    

With Sales Charge**

           0.53 %         11.61 %         4.78 %         6.50 % 

Without Sales Charge

           5.29          16.86          5.75          6.99  

CLASS C SHARES

    July 1, 1997                    

With CDSC***

           4.10        15.30        5.17        6.42

Without CDSC

           5.10          16.30          5.17          6.42  

CLASS I SHARES

    December 10, 1996        5.44        17.16        6.02        7.25

CLASS R6 SHARES

    July 31, 2017        5.58        17.52        6.11        7.30

 

*   Not annualized.
**   Sales Charge for Class A Shares is 4.50%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Moderate Funds Index from December 31, 2009 to December 31, 2019. 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 MSCI EAFE Index (net of foreign withholding taxes) 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 MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Investor Conservative Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    December 10, 1996                    

With Sales Charge**

           (0.73 )%         7.69 %         3.46 %         4.91 % 

Without Sales Charge

           3.92          12.75          4.42          5.40  

CLASS C SHARES

    July 1, 1997                    

With CDSC***

           2.58        11.12        3.82        4.83

Without CDSC

           3.58          12.12          3.82          4.83  

CLASS I SHARES

    December 10, 1996        4.02        13.04        4.67        5.67

CLASS R6 SHARES

    July 31, 2017        4.13        13.26        4.73        5.70

 

*   Not annualized.
**   Sales Charge for Class A Shares is 4.50%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from December 31, 2009 to December 31, 2019. 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 MSCI EAFE Index (net of foreign withholding taxes) 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 MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         5  

Table of Contents

JPMorgan Investor Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    December 10, 1996                    

With Sales Charge**

           2.93 %         19.26 %         7.11 %         9.42 % 

Without Sales Charge

           7.78          24.88          8.10          9.92  

CLASS C SHARES

    July 1, 1997                    

With CDSC***

           6.52        23.14        7.50        9.32

Without CDSC

           7.52          24.14          7.50          9.32  

CLASS I SHARES

    December 10, 1996        7.96        25.21        8.39        10.21

CLASS R6 SHARES

    July 31, 2017        8.06        25.38        8.45        10.24

 

*   Not annualized.
**   Sales Charge for Class A Shares is 4.50%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index from December 31, 2009 to December 31, 2019. 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 MSCI EAFE Index (net of foreign withholding taxes) 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 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 MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Investor Growth & Income Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    December 10, 1996                    

With Sales Charge**

           1.70 %         15.16 %         5.94 %         7.88 % 

Without Sales Charge

           6.50          20.60          6.92          8.38  

CLASS C SHARES

    July 1, 1997                    

With CDSC***

           5.24        19.00        6.32        7.80

Without CDSC

           6.24          20.00          6.32          7.80  

CLASS I SHARES

    December 10, 1996        6.63        20.86        7.18        8.65

CLASS R6 SHARES

    July 31, 2017        6.74        21.10        7.26        8.68

 

*   Not annualized.
**   Sales Charge for Class A Shares is 4.50%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Growth Funds Index from December 31, 2009 to December 31, 2019. 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 MSCI EAFE Index (net of foreign withholding taxes) 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 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 MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. 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.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         7  

Table of Contents

JPMorgan Investor Balanced Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Investment Companies — 98.0%

 

   

Alternative Assets — 1.4%

     

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     5,153        71,680  
    

 

 

  

Fixed Income — 47.6%

     

JPMorgan Core Bond Fund Class R6 Shares (a)

     86,993        1,030,002  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     57,337        484,499  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     5,706        46,792  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     10,318        93,891  

JPMorgan High Yield Fund Class R6 Shares (a)

     19,803        143,970  

JPMorgan Income Fund Class R6 Shares (a)

     9,770        94,090  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     6,907        71,353  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     20,330        205,334  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     7,503        86,208  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

     4,351        42,860  
    

 

 

  

Total Fixed Income

        2,298,999  
    

 

 

  

International Equity — 15.3%

 

   

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     3,323        108,549  

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     4,274        76,626  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     3,217        82,160  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     7,481        159,937  

JPMorgan International Equity Fund Class R6 Shares (a)

     3,270        58,557  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     13,748        252,684  
    

 

 

  

Total International Equity

        738,513  
    

 

 

  

U.S. Equity — 33.7%

 

   

JPMorgan Equity Income Fund Class R6 Shares (a)

     7,422        144,292  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     3,009        165,137  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     6,166        259,150  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     8,285        126,592  

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     16,412        166,413  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

U.S. Equity — continued

     

JPMorgan Mid Cap Growth Fund Class R6 Shares * (a)

     1,108        43,648  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     2,192        56,219  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     26,610        430,555  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     3,400        93,366  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     3,835        142,966  
    

 

 

  

Total U.S. Equity

        1,628,338  
    

 

 

  

Total Investment Companies
(Cost $3,991,520)

        4,737,530  
  

 

 

  

Short-Term Investments — 2.0%

  

Investment Companies — 2.0%

 

   

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)
(Cost $94,417)

     94,417        94,417  
    

 

 

  

Total Investments — 100.0%
(Cost $4,085,937)

        4,831,947  

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

        (1,700 ) 
  

 

 

  

NET ASSETS — 100.0%

        4,830,247  
  

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of December 31, 2019.
(c)   Amount rounds to less than 0.1% 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 portfolio holdings filed quarterly on Form N-PORT, 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Investor Conservative Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Investment Companies — 98.0%

 

Alternative Assets — 2.0%

     

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     5,001        69,569  
    

 

 

  

Fixed Income — 67.1%

     

JPMorgan Core Bond Fund Class R6 Shares (a)

     93,501        1,107,057  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     54,640        461,704  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     4,275        35,058  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     8,778        79,876  

JPMorgan Government Bond Fund Class R6 Shares (a)

     3,968        42,578  

JPMorgan High Yield Fund Class R6 Shares (a)

     15,006        109,094  

JPMorgan Income Fund Class R6 Shares (a)

     11,204        107,892  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     6,187        63,907  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     29,996        302,961  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     5,707        65,572  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

     3,491        34,388  
    

 

 

  

Total Fixed Income

        2,410,087  
    

 

 

  

International Equity — 9.1%

     

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     1,741        56,877  

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     2,395        42,946  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     997        25,463  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     2,114        45,189  

JPMorgan International Equity Fund Class R6 Shares (a)

     1,559        27,919  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     7,051        129,599  
    

 

 

  

Total International Equity

        327,993  
    

 

 

  

U.S. Equity — 19.8%

     

JPMorgan Equity Income Fund Class R6 Shares (a)

     4,092        79,548  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     1,561        85,668  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     2,410        101,282  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     2,349        35,890  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

U.S. Equity — continued

     

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     4,991        50,605  

JPMorgan Mid Cap Growth Fund Class R6 Shares * (a)

     857        33,747  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     1,244        31,910  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     9,956        161,089  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     2,006        55,085  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     2,038        75,991  
    

 

 

  

Total U.S. Equity

 

      710,815  
    

 

 

  

Total Investment Companies
(Cost $3,137,676)

        3,518,464  
  

 

 

  

Short-Term Investments — 2.1%

     

Investment Companies — 2.1%

     

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)
(Cost $76,260)

     76,260        76,260  
    

 

 

  

Total Investments — 100.1%
(Cost $3,213,936)

        3,594,724  

Liabilities in Excess of
Other Assets — (0.1)%

        (2,271 ) 
  

 

 

  

NET ASSETS — 100.0%

        3,592,453  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of December 31, 2019.
*   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 portfolio holdings filed quarterly on Form N-PORT, 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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         9  

Table of Contents

JPMorgan Investor Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Investment Companies — 97.5%

     

Alternative Assets — 0.5%

     

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     1,019        14,176  
    

 

 

  

Fixed Income — 11.6%

     

JPMorgan Core Bond Fund Class R6 Shares (a)

     19,193        227,242  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     4,311        36,425  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     1,626        13,336  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     1,509        13,730  

JPMorgan High Yield Fund Class R6 Shares (a)

     7,213        52,437  
    

 

 

  

Total Fixed Income

        343,170  
    

 

 

  

International Equity — 25.3%

     

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     2,490        81,342  

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     3,528        63,259  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     3,541        90,447  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     4,482        95,822  

JPMorgan International Equity Fund Class R6 Shares (a)

     6,497        116,360  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     11,370        208,974  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     4,146        94,570  
    

 

 

  

Total International Equity

        750,774  
    

 

 

  

U.S. Equity — 60.1%

     

JPMorgan Equity Income Fund Class R6 Shares (a)

     4,848        94,239  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     2,787        152,952  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     8,036        337,756  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     18,577        283,859  

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     15,338        155,529  

JPMorgan Mid Cap Growth Fund Class R6 Shares * (a)

     1,150        45,303  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     2,289        58,724  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     25,554        413,460  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     5,390        148,009  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

U.S. Equity — continued

     

JPMorgan Value Advantage Fund Class R6 Shares (a)

     2,522        94,009  
    

 

 

  

Total U.S. Equity

        1,783,840  
    

 

 

  

Total Investment Companies
(Cost $2,227,263)

        2,891,960  
  

 

 

  

Short-Term Investments — 2.5%

  

Investment Companies — 2.5%

     

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)
(Cost $73,469)

     73,469        73,469  
    

 

 

  

Total Investments — 100.0%
(Cost $2,300,732)

        2,965,429  

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

        (487 ) 
  

 

 

  

NET ASSETS — 100.0%

        2,964,942  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of December 31, 2019.
(c)   Amount rounds to less than 0.1% 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 portfolio holdings filed quarterly on Form N-PORT, 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   DECEMBER 31, 2019

Table of Contents

JPMorgan Investor Growth & Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Investment Companies — 97.9%

 

Alternative Assets — 1.0%

     

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     2,247        31,250  
    

 

 

  

Fixed Income — 31.5%

     

JPMorgan Core Bond Fund Class R6 Shares (a)

     42,310        500,949  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     22,879        193,331  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     1,783        14,620  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     5,024        45,720  

JPMorgan High Yield Fund Class R6 Shares (a)

     11,782        85,657  

JPMorgan Income Fund Class R6 Shares (a)

     3,160        30,429  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     3,809        39,350  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     4,341        43,841  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     2,322        26,680  
    

 

 

  

Total Fixed Income

        980,577  
    

 

 

  

International Equity — 19.0%

     

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     2,247        73,404  

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     3,049        54,671  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     2,715        69,333  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     5,630        120,368  

JPMorgan International Equity Fund Class R6 Shares (a)

     3,455        61,883  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     8,942        164,348  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     1,990        45,400  
    

 

 

  

Total International Equity

        589,407  
    

 

 

  

U.S. Equity — 46.4%

     

JPMorgan Equity Income Fund Class R6 Shares (a)

     5,472        106,366  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     1,798        98,714  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     7,018        294,978  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     10,893        166,449  

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     11,652        118,149  

JPMorgan Mid Cap Growth Fund Class R6 Shares * (a)

     1,030        40,558  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

U.S. Equity — continued

     

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     2,228        57,159  

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     19,979        323,260  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     4,758        130,644  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     2,804        104,550  
    

 

 

  

Total U.S. Equity

        1,440,827  
    

 

 

  

Total Investment Companies
(Cost $2,429,457)

 

      3,042,061  
    

 

 

  

Short-Term Investments — 2.2%

 

Investment Companies — 2.2%

 

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)
(Cost $69,529)

     69,529        69,529  
    

 

 

  

Total Investments — 100.1%
(Cost $2,498,986)

 

      3,111,590  

Liabilities in Excess of
Other Assets — (0.1)%

 

      (2,767 ) 
    

 

 

  

NET ASSETS — 100.0%

 

      3,108,823  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(b)   The rate shown is the current yield as of December 31, 2019.
*   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 portfolio holdings filed quarterly on Form N-PORT, 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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         11  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited)

(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

      $ 4,831,947        $ 3,594,724        $ 2,965,429      $ 3,111,590  

Cash

        —          —          81        —  

Receivables:

                  

Fund shares sold

        7,530          3,435          4,317        3,615  

Dividends from affiliates

        1,947          1,957          312        807  
    

 

 

       

 

 

       

 

 

     

 

 

  

Total Assets

        4,841,424          3,600,116          2,970,139        3,116,012  
    

 

 

       

 

 

       

 

 

     

 

 

  

LIABILITIES:

                  

Payables:

                  

Due to custodian

        259          348          —        36  

Distributions

        207          78          278        207  

Investment securities purchased

        1,563          1,517          309        682  

Fund shares redeemed

        6,586          3,531          3,123        4,687  

Accrued liabilities:

                  

Investment advisory fees

        192          143          117        123  

Distribution fees

        1,250          1,186          612        699  

Service fees

        925          711          509        565  

Custodian and accounting fees

        4          5          4        4  

Trustees’ and Chief Compliance Officer’s fees

        —          —          — (a)       — (a) 

Other

        191          144          245        186  
    

 

 

       

 

 

       

 

 

     

 

 

  

Total Liabilities

        11,177          7,663          5,197        7,189  
    

 

 

       

 

 

       

 

 

     

 

 

  

Net Assets

      $ 4,830,247        $ 3,592,453        $ 2,964,942      $ 3,108,823  
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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

      $ 3,959,531      $ 3,138,911      $ 2,175,902      $ 2,404,114  

Total distributable earnings (loss)

        870,716        453,542        789,040        704,709  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total Net Assets

      $ 4,830,247      $ 3,592,453      $ 2,964,942      $ 3,108,823  
    

 

 

     

 

 

     

 

 

     

 

 

  

Net Assets:

              

Class A

      $ 3,711,641      $ 2,368,179      $ 2,361,824      $ 2,638,469  

Class C

        739,141        1,081,598        190,134        230,118  

Class I

        312,538        141,345        401,027        225,488  

Class R6

        66,927        1,331        11,957        14,748  
    

 

 

     

 

 

     

 

 

     

 

 

  

Total

      $ 4,830,247      $ 3,592,453      $ 2,964,942      $ 3,108,823  
    

 

 

     

 

 

     

 

 

     

 

 

  

Outstanding units of beneficial interest (shares)

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

              

Class A

        248,914        188,145        117,360        156,319  

Class C

        50,468        86,374        10,271        14,103  

Class I

        20,914        11,158        19,440        13,612  

Class R6

        4,481        105        580        890  

Net Asset Value (a):

              

Class A — Redemption price per share

      $ 14.91      $ 12.59      $ 20.12      $ 16.88  

Class C — Offering price per share (b)

        14.65        12.52        18.51        16.32  

Class I — Offering and redemption price per share

        14.94        12.67        20.63        16.56  

Class R6 — Offering and redemption price per share

        14.94        12.66        20.62        16.56  

Class A maximum sales charge

        4.50 %       4.50 %       4.50 %       4.50 % 

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

      $ 15.61      $ 13.18      $ 21.07      $ 17.68  
    

 

 

     

 

 

     

 

 

     

 

 

  

Cost of investments in affiliates

      $ 4,085,937      $ 3,213,936      $ 2,300,732      $ 2,498,986  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         13  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

(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

      $ —        $ — (a)     $ — (a)     $ — (a) 

Dividend income from affiliates

        70,926          53,633        36,417        41,007  
    

 

 

       

 

 

     

 

 

     

 

 

  

Total investment income

        70,926          53,633        36,417        41,007  
    

 

 

       

 

 

     

 

 

     

 

 

  

EXPENSES:

                

Investment advisory fees

        1,195          879        706        745  

Distribution fees:

                

Class A

        4,465          2,846        2,757        3,137  

Class C

        2,794          4,117        706        867  

Service fees:

                

Class A

        4,465          2,846        2,757        3,137  

Class C

        931          1,372        235        289  

Class I

        482          176        522        282  

Custodian and accounting fees

        10          11        11        11  

Interest expense to affiliates

        19          —        5        —  

Professional fees

        39          33        29        31  

Trustees’ and Chief Compliance Officer’s fees

        21          19        18        18  

Printing and mailing costs

        166          120        126        121  

Registration and filing fees

        93          76        82        64  

Transfer agency fees (See Note 2.D.)

        197          124        264        202  

Other

        29          22        19        19  
    

 

 

       

 

 

     

 

 

     

 

 

  

Total expenses

        14,906          12,641        8,237        8,923  
    

 

 

       

 

 

     

 

 

     

 

 

  

Less fees waived

        (919 )         (575 )       (803 )       (739 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Net expenses

        13,987          12,066        7,434        8,184  
    

 

 

       

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        56,939          41,567        28,983        32,823  
    

 

 

       

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

                

Net realized gain (loss) on investments in affiliates

        148,532          78,992        125,852        134,128  

Distributions of capital gains received from investment company affiliates

        119,158          52,549        112,377        97,301  

Change in net unrealized appreciation/depreciation of investments in affiliates

        (79,342 )         (42,507 )       (52,591 )       (75,233 ) 
    

 

 

       

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        188,348          89,034        185,638        156,196  
    

 

 

       

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 245,287        $ 130,601      $ 214,621      $ 189,019  
    

 

 

       

 

 

     

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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		  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

      $ 56,939        $ 89,737        $ 41,567        $ 69,987  

Net realized gain (loss) on investments in affiliates

        148,532          37,713          78,992          10,717  

Distributions of capital gains received from investment company affiliates

        119,158          173,212          52,549          72,093  

Change in net unrealized appreciation/depreciation of investments in affiliates

        (79,342 )         (54,707 )         (42,507 )         28,942  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        245,287          245,955          130,601          181,739  
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

        (208,107 )         (232,243 )         (87,188 )         (119,285 ) 

Class C

        (40,427 )         (50,570 )         (37,601 )         (58,906 ) 

Class I

        (18,037 )         (34,408 )         (5,387 )         (8,011 ) 

Class R6

        (4,069 )         (6,281 )         (50 )         (56 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (270,640 )         (323,502 )         (130,226 )         (186,258 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

 

Change in net assets resulting from capital transactions

        74,359          74,192          167,742          (70,867 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

 

Change in net assets

        49,006          (3,355 )         168,117          (75,386 ) 

Beginning of period

        4,781,241          4,784,596          3,424,336          3,499,722  
    

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 4,830,247        $ 4,781,241        $ 3,592,453        $ 3,424,336  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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		  
      Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		     Six Months Ended
December 31, 2019
(Unaudited)		     Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

    $ 28,983     $ 35,452     $ 32,823     $ 46,287  

Net realized gain (loss) on investments in affiliates

      125,852       14,651       134,128       18,602  

Distributions of capital gains received from investment company affiliates

      112,377       164,537       97,301       139,926  

Change in net unrealized appreciation/depreciation of investments in affiliates

      (52,591 )      (85,789 )      (75,233 )      (58,395 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from operations

      214,621       128,851       189,019       146,420  
  

 

 

    

 

 

    

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

         

Class A

      (174,017 )      (144,207 )      (169,732 )      (172,898 ) 

Class C

      (14,895 )      (14,542 )      (14,778 )      (17,650 ) 

Class I

      (29,461 )      (31,959 )      (15,244 )      (18,084 ) 

Class R6

      (896 )      (635 )      (999 )      (131 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total distributions to shareholders

      (219,269 )      (191,343 )      (200,753 )      (208,763 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

CAPITAL TRANSACTIONS:

 

Change in net assets resulting from capital transactions

      183,516       146,730       214,773       78,414  
  

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS:

 

Change in net assets

      178,868       84,238       203,039       16,071  

Beginning of period

      2,786,074       2,701,836       2,905,784       2,889,713  
  

 

 

    

 

 

    

 

 

    

 

 

  

End of period

    $ 2,964,942     $ 2,786,074     $ 3,108,823     $ 2,905,784  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Investor Balanced Fund        JPMorgan Investor Conservative Growth Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 410,963        $ 419,952        $ 351,984        $ 294,066  

Distributions reinvested

        207,304          231,262          86,879          118,802  

Cost of shares redeemed

        (343,591 )         (575,307 )         (241,218 )         (414,742 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 274,676        $ 75,907        $ 197,645        $ (1,874 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 44,793        $ 129,028        $ 78,674        $ 143,401  

Distributions reinvested

        40,179          50,322          37,451          58,642  

Cost of shares redeemed

        (99,736 )         (197,314 )         (148,955 )         (273,784 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (14,764 )       $ (17,964 )       $ (32,830 )       $ (71,741 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Proceeds from shares issued

      $ 29,989        $ 106,093        $ 12,525        $ 31,399  

Distributions reinvested

        17,742          34,018          5,255          7,805  

Cost of shares redeemed

        (213,881 )         (126,231 )         (15,189 )         (37,283 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (166,150 )       $ 13,880        $ 2,591        $ 1,921  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ 348        $ 434        $ 297        $ 825  

Distributions reinvested

        4,068          6,281          50          56  

Cost of shares redeemed

        (23,819 )         (4,346 )         (11 )         (54 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ (19,403 )       $ 2,369        $ 336        $ 827  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 74,359        $ 74,192        $ 167,742        $ (70,867 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        27,155          28,470          27,731          23,834  

Reinvested

        13,858          16,469          6,880          9,899  

Redeemed

        (22,713 )         (38,906 )         (19,005 )         (33,557 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        18,300          6,033          15,606          176  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

 

Issued

        3,012          8,765          6,231          11,611  

Reinvested

        2,737          3,662          2,984          4,929  

Redeemed

        (6,716 )         (13,554 )         (11,804 )         (22,262 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        (967 )         (1,127 )         (2,589 )         (5,722 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

 

Issued

        1,982          7,190          981          2,514  

Reinvested

        1,183          2,415          413          645  

Redeemed

        (14,085 )         (8,512 )         (1,189 )         (2,999 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        (10,920 )         1,093          205          160  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

 

Issued

        23          29          24          63  

Reinvested

        271          446          4          5  

Redeemed

        (1,574 )         (303 )         (1 )         (4 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        (1,280 )         172          27          64  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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 Growth Fund            
JPMorgan Investor Growth & Income Fund		  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 253,276        $ 295,028        $ 279,861        $ 294,835  

Distributions reinvested

        172,675          143,072          168,717          171,732  

Cost of shares redeemed

        (189,632 )         (311,300 )         (230,825 )         (373,201 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 236,319        $ 126,800        $ 217,753        $ 93,366  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 11,307        $ 34,224        $ 12,381        $ 35,286  

Distributions reinvested

        14,722          14,397          14,649          17,483  

Cost of shares redeemed

        (26,420 )         (55,653 )         (33,163 )         (68,604 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (391 )       $ (7,032 )       $ (6,133 )       $ (15,835 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Proceeds from shares issued

      $ 33,334        $ 82,376        $ 14,381        $ 35,550  

Distributions reinvested

        28,659          31,144          14,774          17,565  

Cost of shares redeemed

        (116,064 )         (88,944 )         (26,867 )         (64,882 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (54,071 )       $ 24,576        $ 2,288        $ (11,767 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ 1,861        $ 3,044        $ 93        $ 12,753  

Distributions reinvested

        895          634          999          131  

Cost of shares redeemed

        (1,097 )         (1,292 )         (227 )         (234 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 1,659        $ 2,386        $ 865        $ 12,650  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 183,516        $ 146,730        $ 214,773        $ 78,414  
    

 

 

       

 

 

       

 

 

       

 

 

  

SHARE TRANSACTIONS:

 

Class A

 

Issued

        12,455          15,030          16,349          17,769  

Reinvested

        8,582          7,926          9,983          11,040  

Redeemed

        (9,347 )         (15,769 )         (13,506 )         (22,350 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        11,690          7,187          12,826          6,459  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

 

Issued

        601          1,838          746          2,154  

Reinvested

        796          861          898          1,166  

Redeemed

        (1,407 )         (3,007 )         (2,005 )         (4,230 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        (10 )         (308 )         (361 )         (910 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

 

Issued

        1,604          4,074          856          2,158  

Reinvested

        1,389          1,682          891          1,147  

Redeemed

        (5,575 )         (4,427 )         (1,598 )         (4,001 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        (2,582 )         1,329          149          (696 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

 

Issued

        89          152          6          808  

Reinvested

        44          34          60          8  

Redeemed

        (53 )         (66 )         (14 )         (14 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        80          120          52          802  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

Table of Contents

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         19  

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

              

Six Months Ended December 31, 2019 (Unaudited)

   $ 15.00     $ 0.19 (g)    $ 0.59     $ 0.78     $ (0.18 )    $ (0.69 )    $ (0.87 ) 

Year Ended June 30, 2019

     15.30       0.29 (g)      0.46       0.75       (0.37 )      (0.68 )      (1.05 ) 

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 ) 

Class C

              

Six Months Ended December 31, 2019 (Unaudited)

     14.74       0.14 (g)      0.60       0.74       (0.14 )      (0.69 )      (0.83 ) 

Year Ended June 30, 2019

     15.06       0.21 (g)      0.44       0.65       (0.29 )      (0.68 )      (0.97 ) 

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 ) 

Class I

              

Six Months Ended December 31, 2019 (Unaudited)

     15.02       0.18 (g)      0.63       0.81       (0.20 )      (0.69 )      (0.89 ) 

Year Ended June 30, 2019

     15.33       0.33 (g)      0.45       0.78       (0.41 )      (0.68 )      (1.09 ) 

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 ) 

Class R6

              

Six Months Ended December 31, 2019 (Unaudited)

     15.02       0.21 (g)      0.62       0.83       (0.22 )      (0.69 )      (0.91 ) 

Year Ended June 30, 2019

     15.32       0.36 (g)      0.45       0.81       (0.43 )      (0.68 )      (1.11 ) 

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.

 

 
20       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 14.91       5.29 %    $ 3,711,641       0.53 %      2.49 %      0.58 %      13 % 
  15.00       5.52       3,458,135       0.52       1.98       0.60       12  
  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  
           
  14.65       5.10       739,141       1.07       1.88       1.07       13  
  14.74       4.89       758,346       1.08       1.42       1.10       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  
           
  14.94       5.44       312,538       0.28       2.38       0.32       13  
  15.02       5.71       478,250       0.27       2.24       0.35       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  
           
  14.94       5.58       66,927       0.06       2.76       0.07       13  
  15.02       5.96       86,510       0.09       2.40       0.10       12  
  15.32       5.07       85,614       0.12       2.03       0.12       9  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         21  

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

              

Six Months Ended December 31, 2019 (Unaudited)

   $ 12.58     $ 0.16 (g)    $ 0.33     $ 0.49     $ (0.16 )    $ (0.32 )    $ (0.48 ) 

Year Ended June 30, 2019

     12.61       0.28 (g)      0.41       0.69       (0.32 )      (0.40 )      (0.72 ) 

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 ) 

Class C

              

Six Months Ended December 31, 2019 (Unaudited)

     12.52       0.12 (g)      0.32       0.44       (0.12 )      (0.32 )      (0.44 ) 

Year Ended June 30, 2019

     12.55       0.21 (g)      0.41       0.62       (0.25 )      (0.40 )      (0.65 ) 

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 ) 

Class I

              

Six Months Ended December 31, 2019 (Unaudited)

     12.66       0.18 (g)      0.32       0.50       (0.17 )      (0.32 )      (0.49 ) 

Year Ended June 30, 2019

     12.69       0.31 (g)      0.41       0.72       (0.35 )      (0.40 )      (0.75 ) 

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 ) 

Class R6

              

Six Months Ended December 31, 2019 (Unaudited)

     12.65       0.20 (g)      0.32       0.52       (0.19 )      (0.32 )      (0.51 ) 

Year Ended June 30, 2019

     12.68       0.35 (g)      0.38       0.73       (0.36 )      (0.40 )      (0.76 ) 

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.

 

 
22       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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)

  
           
           
$ 12.59       3.92 %    $ 2,368,179       0.53 %      2.55 %      0.58 %      8 % 
  12.58       5.80       2,170,888       0.52       2.25       0.60       10  
  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  
           
  12.52       3.58       1,081,598       1.07       1.95       1.07       8  
  12.52       5.24       1,113,797       1.08       1.69       1.10       10  
  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  
           
  12.67       4.02       141,345       0.28       2.77       0.33       8  
  12.66       6.03       138,655       0.27       2.51       0.36       10  
  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  
           
  12.66       4.13       1,331       0.08       3.12       0.08       8  
  12.65       6.19       996       0.12       2.78       0.12       10  
  12.68       2.95       175       0.14       2.09       0.15       6  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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)(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

                 

Six Months Ended December 31, 2019 (Unaudited)

    $ 20.15      $ 0.21      $ 1.35     $ 1.56     $ (0.20 )    $ (1.39 )    $ (1.59 ) 

Year Ended June 30, 2019

      20.80        0.27        0.55       0.82       (0.46 )      (1.01 )      (1.47 ) 

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 ) 

Class C

                 

Six Months Ended December 31, 2019 (Unaudited)

      18.67        0.14        1.25       1.39       (0.16 )      (1.39 )      (1.55 ) 

Year Ended June 30, 2019

      19.43        0.14        0.51       0.65       (0.40 )      (1.01 )      (1.41 ) 

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 ) 

Class I

                 

Six Months Ended December 31, 2019 (Unaudited)

      20.62        0.22        1.40       1.62       (0.22 )      (1.39 )      (1.61 ) 

Year Ended June 30, 2019

      21.24        0.32        0.58       0.90       (0.51 )      (1.01 )      (1.52 ) 

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 ) 

Class R6

                 

Six Months Ended December 31, 2019 (Unaudited)

      20.61        0.27        1.37       1.64       (0.24 )      (1.39 )      (1.63 ) 

Year Ended June 30, 2019

      21.23        0.36        0.57       0.93       (0.54 )      (1.01 )      (1.55 ) 

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)

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.

 

 
24       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 20.12       7.83 %    $ 2,361,824       0.53 %      2.10 %      0.59 %      15 % 
  20.15       4.89       2,129,765       0.52       1.33       0.62       7  
  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  
           
  18.51       7.52       190,134       1.09       1.44       1.09       15  
  18.67       4.31       191,971       1.09       0.77       1.12       7  
  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  
           
  20.63       7.96       401,027       0.28       2.13       0.33       15  
  20.62       5.18       454,039       0.27       1.59       0.36       7  
  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  
           
  20.62       8.06       11,957       0.11       2.56       0.11       15  
  20.61       5.35       10,299       0.11       1.77       0.12       7  
  21.23       8.90       8,073       0.14       1.45       0.27       11

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   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 & Income Fund

              

Class A

              

Six Months Ended December 31, 2019 (Unaudited)

   $ 16.94     $ 0.19     $ 0.90     $ 1.09     $ (0.18 )    $ (0.97 )    $ (1.15 ) 

Year Ended June 30, 2019

     17.41       0.28       0.52       0.80       (0.40 )      (0.87 )      (1.27 ) 

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 ) 

Class C

              

Six Months Ended December 31, 2019 (Unaudited)

     16.41       0.13       0.89       1.02       (0.14 )      (0.97 )      (1.11 ) 

Year Ended June 30, 2019

     16.92       0.18       0.49       0.67       (0.31 )      (0.87 )      (1.18 ) 

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 ) 

Class I

              

Six Months Ended December 31, 2019 (Unaudited)

     16.64       0.21       0.88       1.09       (0.20 )      (0.97 )      (1.17 ) 

Year Ended June 30, 2019

     17.14       0.32       0.50       0.82       (0.45 )      (0.87 )      (1.32 ) 

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 ) 

Class R6

              

Six Months Ended December 31, 2019 (Unaudited)

     16.64       0.23       0.88       1.11       (0.22 )      (0.97 )      (1.19 ) 

Year Ended June 30, 2019

     17.13       0.26       0.59       0.85       (0.47 )      (0.87 )      (1.34 ) 

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.

 

 
26       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 16.88       6.50 %    $ 2,638,469       0.53 %      2.24 %      0.58 %      14 % 
  16.94       5.45       2,430,409       0.52       1.67       0.61       12  
  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  
           
  16.32       6.24       230,118       1.08       1.61       1.08       14  
  16.41       4.78       237,376       1.09       1.11       1.11       12  
  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  
           
  16.56       6.63       225,488       0.28       2.43       0.32       14  
  16.64       5.62       224,050       0.27       1.93       0.36       12  
  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  
           
  16.56       6.74       14,748       0.07       2.68       0.07       14  
  16.64       5.85       13,949       0.08       1.60       0.09       12  
  17.13       7.04       619       0.13       1.42       0.14       11  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         27  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

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    Diversification Classification
JPMorgan Investor Balanced Fund    Class A, Class C, Class I, Class R6 and Class T(1)    Diversified
JPMorgan Investor Conservative Growth Fund    Class A, Class C, Class I, Class R6 and Class T(1)    Diversified
JPMorgan Investor Growth Fund    Class A, Class C, Class I, Class R6 and Class T(1)    Diversified
JPMorgan Investor Growth & Income Fund    Class A, Class C, Class I, Class R6 and Class T(1)    Diversified

 

(1) 

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. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (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 their market value 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 (“Underlying Funds”) are valued at each Underlying Fund’s net asset value per share (“NAV”) as of the report date.

 

 
28       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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)

      $ 4,831,947        $ —        $ —        $ 4,831,947  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 3,594,724        $ —        $ —        $ 3,594,724  
    

 

 

       

 

 

       

 

 

       

 

 

  
Investor Growth Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		       

Level 3
Significant

unobservable inputs

        Total  

Total Investments in Securities (a)

      $ 2,965,429        $ —        $ —        $ 2,965,429  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 3,111,590        $ —        $ —        $ 3,111,590  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(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 into or out of level 3 for the six months ended December 31, 2019.

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. Amounts in the tables below are in thousands.

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         29  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Investor Balanced Fund

 

     For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Core Bond Fund Class R6 Shares (a)

   $ 1,022,269     $ 74,100     $ 71,576     $ 1,973     $ 3,236     $ 1,030,002       86,993     $ 14,472     $ 4,772  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     494,130       15,637       27,844       695       1,881       484,499       57,337       7,975       —  

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     72,339       —       70,683       12       (1,668 )      —       —       —       —  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     48,363       1,209       2,866       48       38       46,792       5,706       1,209       —  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     103,229       985       3,850       234       7,951       108,549       3,323       985       —  

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     —       70,650       —       —       5,976       76,626       4,274       559       154  

JPMorgan Equity Income Fund Class R6 Shares (a)

     102,579       33,034       —       —       8,679       144,292       7,422       1,315       1,427  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     83,133       2,561       6,257       (452 )      3,175       82,160       3,217       2,561       —  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     99,110       2,366       7,171       (576 )      162       93,891       10,318       2,366       —  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     165,104       16,006       20,179       707       (1,701 )      159,937       7,481       3,956       12,050  

JPMorgan High Yield Fund Class R6 Shares (a)

     144,086       4,329       5,275       2       828       143,970       19,803       4,330       —  

JPMorgan Income Fund Class R6 Shares (a)

     86,074       11,997       4,796       46       769       94,090       9,770       2,372       23  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     69,859       875       —       —       619       71,353       6,907       875       —  

JPMorgan International Equity Fund Class R6 Shares (a)

     57,620       1,876       2,848       411       1,498       58,557       3,270       1,816       60  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     250,550       7,448       14,307       (313 )      9,306       252,684       13,748       7,448       —  

JPMorgan Intrepid America Fund Class R6 Shares (a)

     305,956       —       313,643       135,098       (127,411 )      —       —       —       —  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     162,805       19,929       12,963       2,352       (6,986 )      165,137       3,009       1,826       18,103  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     156,297       119,812       8,195       1,884       (10,648 )      259,150       6,166       681       28,563  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     110,175       7,036       1,916       60       11,237       126,592       8,285       1,114       —  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     204,605       7,436       6,714       52       (45 )      205,334       20,330       2,646       —  

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     157,807       14,760       8,633       (908 )      3,387       166,413       16,412       2,268       7,791  

JPMorgan Mid Cap Growth Fund Class R6 Shares * (a)

     41,715       2,999       1,452       30       356       43,648       1,108       —       2,998  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     48,829       7,918       1,439       (300 )      1,211       56,219       2,192       459       2,759  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     88,125       1,186       2,878       (113 )      (112 )      86,208       7,503       1,185       —  

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     72,859       1,564       1,429       (128 )      (1,186 )      71,680       5,153       1,563       — (b) 

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     419,721       53,430       50,519       7,487       436       430,555       26,610       2,596       36,733  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (c)

     75,914       193,590       175,087       —       —       94,417       94,417       734       —  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     —       88,302       —       —       5,064       93,366       3,400       409       314  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

     42,039       823       —       —       (2 )      42,860       4,351       823       —  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     98,936       43,032       3,841       231       4,608       142,966       3,835       2,383       3,411  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 4,784,228     $ 804,890     $ 826,361     $ 148,532     $ (79,342 )    $ 4,831,947       $ 70,926     $ 119,158  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

 
30       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

Table of Contents

Investor Conservative Growth Fund

 

     For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Core Bond Fund Class R6 Shares (a)

   $ 1,063,660     $ 51,919     $ 13,013     $ 370     $ 4,121     $ 1,107,057       93,501     $ 15,506     $ 5,178  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     449,252       10,363       —       —       2,089       461,704       54,640       7,517       —  

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     40,505       —       39,576       566       (1,495 )      —       —       —       —  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     35,823       900       1,722       27       30       35,058       4,275       900       —  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     52,237       499       —       —       4,141       56,877       1,741       498       —  

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     —       39,598       —       —       3,348       42,946       2,395       313       87  

JPMorgan Equity Income Fund Class R6 Shares (a)

     56,914       21,320       3,527       384       4,457       79,548       4,092       729       801  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     25,239       794       1,380       (55 )      865       25,463       997       794       —  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     79,278       1,973       1,033       (108 )      (234 )      79,876       8,778       1,973       —  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     46,301       4,377       5,234       328       (583 )      45,189       2,114       1,096       3,282  

JPMorgan Government Bond Fund Class R6 Shares (a)

     37,739       4,704       —       —       135       42,578       3,968       496       —  

JPMorgan High Yield Fund Class R6 Shares (a)

     100,446       8,048       —       —       600       109,094       15,006       3,243       —  

JPMorgan Income Fund Class R6 Shares (a)

     104,309       2,705       —       —       878       107,892       11,204       2,677       26  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     62,568       784       —       —       555       63,907       6,187       784       —  

JPMorgan International Equity Fund Class R6 Shares (a)

     27,175       892       1,035       125       762       27,919       1,559       866       28  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     125,255       5,576       5,929       (49 )      4,746       129,599       7,051       3,841       —  

JPMorgan Intrepid America Fund Class R6 Shares (a)

     156,000       —       160,464       74,295       (69,831 )      —       —       —       —  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     81,748       10,439       3,897       192       (2,814 )      85,668       1,561       955       9,484  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     43,152       68,989       7,425       364       (3,798 )      101,282       2,410       271       11,456  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     20,665       14,517       2,103       208       2,603       35,890       2,349       268       —  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     289,258       13,724       —       —       (21 )      302,961       29,996       3,859       —  

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     44,919       6,565       1,780       (12 )      913       50,605       4,991       690       2,454  

JPMorgan Mid Cap Growth Fund Class R6 Shares * (a)

     34,234       2,460       3,207       170       90       33,747       857       —       2,461  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     27,792       5,343       1,780       (211 )      766       31,910       1,244       266       1,655  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     64,851       889       —       —       (168 )      65,572       5,707       890       —  

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     71,049       1,517       1,721       (154 )      (1,122 )      69,569       5,001       1,517       — (b) 

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     153,308       24,865       20,465       2,071       1,310       161,089       9,956       981       13,621  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (c)

     43,626       104,612       71,978       —       —       76,260       76,260       531       —  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     —       52,781       716       18       3,002       55,085       2,006       244       188  

JPMorgan Unconstrained Debt Fund Class R6 Shares (a)

     33,730       660       —       —       (2 )      34,388       3,491       660       —  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     53,069       23,117       2,808       463       2,150       75,991       2,038       1,268       1,828  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 3,424,102     $ 484,930     $ 350,793     $ 78,992     $ (42,507 )    $ 3,594,724       $ 53,633     $ 52,549  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         31  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Investor Growth Fund

 

     For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Core Bond Fund Class R6 Shares (a)

   $ 223,027     $ 7,444     $ 4,222     $ 65     $ 928     $ 227,242       19,193     $ 3,270     $ 1,073  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     35,663       595       —       —       167       36,425       4,311       596       —  

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     59,679       —       58,313       (1,353 )      (13 )      —       —       —       —  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     12,981       339       —       —       16       13,336       1,626       339       —  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     74,707       712       —       —       5,923       81,342       2,490       713       —  

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     —       58,326       —       —       4,933       63,259       3,528       461       127  

JPMorgan Equity Income Fund Class R6 Shares (a)

     55,107       33,834       —       —       5,298       94,239       4,848       790       932  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     84,747       2,819       —       —       2,881       90,447       3,541       2,819       —  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     13,449       340       —       —       (59 )      13,730       1,509       338       —  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     88,852       8,978       1,407       (76 )      (525 )      95,822       4,482       2,287       6,692  

JPMorgan High Yield Fund Class R6 Shares (a)

     49,717       4,112       1,689       7       290       52,437       7,213       1,575       —  

JPMorgan International Equity Fund Class R6 Shares (a)

     120,554       3,723       11,568       483       3,168       116,360       6,497       3,609       116  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     195,505       6,160       —       —       7,309       208,974       11,370       6,159       —  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     87,466       369       —       —       6,735       94,570       4,146       369       —  

JPMorgan Intrepid America Fund Class R6 Shares (a)

     305,094       —       313,003       128,036       (120,127 )      —       —       —       —  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     139,445       18,059       —       —       (4,552 )      152,952       2,787       1,677       16,381  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     248,829       100,534       —       —       (11,607 )      337,756       8,036       883       37,021  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     255,817       2,534       —       —       25,508       283,859       18,577       2,534       —  

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     151,149       9,401       7,036       (1,046 )      3,061       155,529       15,338       2,120       7,282  

JPMorgan Mid Cap Growth Fund Class R6 Shares * (a)

     43,329       3,011       1,407       191       179       45,303       1,150       —       3,012  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     43,641       13,830       —       —       1,253       58,724       2,289       475       2,882  

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     19,762       309       5,636       (455 )      196       14,176       1,019       309       — (b) 

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     371,400       36,490       —       —       5,570       413,460       25,554       2,371       34,119  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (c)

     51,367       131,655       109,553       —       —       73,469       73,469       506       —  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     —       139,993       —       —       8,016       148,009       5,390       648       498  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     54,788       36,360       —       —       2,861       94,009       2,522       1,569       2,242  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 2,786,075     $ 619,927     $ 513,834     $ 125,852     $ (52,591 )    $ 2,965,429       $ 36,417     $ 112,377  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

 
32       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

Table of Contents

Investor Growth & Income Fund

 

     For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases
at Cost		     Proceeds
from
Sales		     Net
Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Core Bond Fund Class R6 Shares (a)

   $ 463,773     $ 47,975     $ 12,865     $ 308     $ 1,758     $ 500,949       42,310     $ 6,820     $ 2,254  

JPMorgan Core Plus Bond Fund Class R6 Shares (a)

     189,282       3,164       —       —       885       193,331       22,879       3,164       —  

JPMorgan Emerging Economies Fund Class R6 Shares (a)

     51,555       —       50,373       310       (1,492 )      —       —       —       —  

JPMorgan Emerging Markets Debt Fund Class R6 Shares (a)

     14,230       372       —       —       18       14,620       1,783       372       —  

JPMorgan Emerging Markets Equity Fund Class R6 Shares (a)

     67,416       643       —       —       5,345       73,404       2,247       643       —  

JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a)

     —       50,408       —       —       4,263       54,671       3,049       399       110  

JPMorgan Equity Income Fund Class R6 Shares (a)

     60,205       40,243       —       —       5,918       106,366       5,472       880       1,052  

JPMorgan Europe Dynamic Fund Class R6 Shares (a)

     67,904       2,160       2,938       (351 )      2,558       69,333       2,715       2,161       —  

JPMorgan Floating Rate Income Fund Class R6 Shares (a)

     44,786       1,127       —       —       (193 )      45,720       5,024       1,127       —  

JPMorgan Global Research Enhanced Index Fund Class R6 Shares (a)

     114,167       11,483       4,514       198       (966 )      120,368       5,630       2,925       8,557  

JPMorgan High Yield Fund Class R6 Shares (a)

     82,635       2,546       —       —       476       85,657       11,782       2,546       —  

JPMorgan Income Fund Class R6 Shares (a)

     29,419       762       —       —       248       30,429       3,160       755       7  

JPMorgan Inflation Managed Bond Fund Class R6 Shares (a)

     38,526       483       —       —       341       39,350       3,809       483       —  

JPMorgan International Equity Fund Class R6 Shares (a)

     59,410       1,979       1,469       178       1,785       61,883       3,455       1,919       61  

JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a)

     152,749       9,131       3,589       (186 )      6,243       164,348       8,942       4,844       —  

JPMorgan International Unconstrained Equity Fund Class R6 Shares (a)

     41,989       178       —       —       3,233       45,400       1,990       177       —  

JPMorgan Intrepid America Fund Class R6 Shares (a)

     281,749       —       289,814       130,120       (122,055 )      —       —       —       —  

JPMorgan Intrepid Growth Fund Class R6 Shares (a)

     89,987       12,509       878       109       (3,013 )      98,714       1,798       1,082       10,572  

JPMorgan Large Cap Growth Fund Class R6 Shares (a)

     201,436       124,490       20,729       1,795       (12,014 )      294,978       7,018       787       33,354  

JPMorgan Large Cap Value Fund Class R6 Shares (a)

     152,478       4,346       5,734       505       14,854       166,449       10,893       1,500       —  

JPMorgan Limited Duration Bond Fund Class R6 Shares (a)

     43,271       570       —       —       —       43,841       4,341       570       —  

JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a)

     109,487       7,142       —       —       1,520       118,149       11,652       1,610       5,532  

JPMorgan Mid Cap Growth Fund Class R6 Shares * (a)

     39,253       2,821       1,837       1       320       40,558       1,030       —       2,821  

JPMorgan Small Cap Value Fund Class R6 Shares (a)

     47,232       8,950       —       —       977       57,159       2,228       467       2,805  

JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a)

     26,387       361       —       —       (68 )      26,680       2,322       362       —  

JPMorgan Systematic Alpha Fund Class R6 Shares (a)

     33,150       682       2,025       (156 )      (401 )      31,250       2,247       682       — (b) 

JPMorgan U.S. Equity Fund Class R6 Shares (a)

     302,258       37,673       21,948       1,297       3,980       323,260       19,979       1,913       27,242  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (c)

     42,608       96,053       69,132       —       —       69,529       69,529       503       —  

JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a)

     —       123,564       —       —       7,080       130,644       4,758       572       439  

JPMorgan Value Advantage Fund Class R6 Shares (a)

     58,138       43,245       —       —       3,167       104,550       2,804       1,744       2,495  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 2,905,480     $ 635,060     $ 487,845     $ 134,128     $ (75,233 )    $ 3,111,590       $ 41,007     $ 97,301  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b)

Amount rounds to less than one thousand.

(c)

The rate shown is the current yield as of December 31, 2019.

*    

Non-income producing security.

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         33  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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 applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 are as follows (amounts in thousands):

 

        Class A        Class C        Class I        Class R6      Total  

Investor Balanced Fund

                       

Transfer agency fees

      $ 169        $ 20        $ 8        $ — (a)     $ 197  

Investor Conservative Growth Fund

                       

Transfer agency fees

        97          17          10          — (a)       124  

Investor Growth Fund

                       

Transfer agency fees

        230          19          13          2        264  

Investor Growth & Income Fund

                       

Transfer agency fees

        186          10          6          — (a)       202  

 

(a)

Amount rounds to less than one thousand.

The Funds invest in other J.P. Morgan Funds and, as a result, bore 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 December 31, 2019, no liability for Federal 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.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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. The Administrator does not receive a fee for these services.

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 Funds’ 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, pursuant to Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each

 

 
34       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

Table of Contents

Fund shall pay, with respect to the applicable share classes, 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 six months ended December 31, 2019, JPMDS retained the following amounts (in thousands):

 

        Front-End Sales Charge        CDSC  

Investor Balanced Fund

      $ 167        $ — (a) 

Investor Conservative Growth Fund

        114          — (a) 

Investor Growth Fund

        86          — (a) 

Investor Growth & Income Fund

        86          — (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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except 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. Pursuant to such contracts, 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.

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, expenses related to trustee elections 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

        0.55 %(1)         1.10 %         0.30 %(1)         0.15 %         0.55 %(1) 

Investor Conservative Growth Fund

        0.55 (1)          1.10          0.30 (1)          0.15          0.55 (1)  

Investor Growth Fund

        0.55 (1)          1.10          0.30 (1)          0.15          0.55 (1)  

Investor Growth & Income Fund

        0.55 (1)          1.10          0.30 (1)          0.15          0.55 (1)  

 

(1)  

Prior to November 1, 2019, the contractual expense limitation for Class A, Class I, and Class T Shares was 0.52%, 0.27% and 0.52%, respectively.

The expense limitation agreements were in effect for the six months ended December 31, 2019 and are in place until at least October 31, 2020.

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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         35  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

For the six months ended December 31, 2019, 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		        Service
Fees		        Total  

Investor Balanced Fund

      $ 2        $ 867        $ 869  

Investor Conservative Growth Fund

        1          538          539  

Investor Growth Fund

        1          766          767  

Investor Growth & Income Fund

        1          703          704  

Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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 six months ended December 31, 2019 were as follows (amounts in thousands):

 

Investor Balanced Fund

    $ 50  

Investor Conservative Growth Fund

      36  

Investor Growth Fund

      36  

Investor Growth & Income Fund

      35  

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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 381-1 under the 1940 Act. Each Fund, along with 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.

4. Investment Transactions

During the six months ended December 31, 2019, 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

      $ 611,300        $ 651,274  

Investor Conservative Growth Fund

        380,318          278,814  

Investor Growth Fund

        488,272          404,282  

Investor Growth & Income Fund

        539,007          418,714  

During the six months ended December 31, 2019, 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 December 31, 2019 were as follows (amounts in thousands):

 

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

Investor Balanced Fund

      $ 4,085,937        $ 760,371        $ 14,361        $ 746,010  

Investor Conservative Growth Fund

        3,213,936          393,631          12,843          380,788  

Investor Growth Fund

        2,300,732          665,995          1,298          664,697  

Investor Growth & Income Fund

        2,498,986          617,571          4,967          612,604  

As of June 30, 2019, the Funds did not have any net capital loss carryforwards.

 

 
36       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

Table of Contents

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 Funds had no borrowings outstanding from another fund at December 31, 2019. Average borrowings from the Facility during the six month ended December 31, 2019, were as follows (amounts in thousands, except number of days outstanding):

 

        Average
Borrowings		        Average Interest
Rate Paid		        Number of
Days Outstanding		        Interest
Paid		  

Investor Balanced Fund

      $ 90,299          2.59 %         3        $ 19  

Investor Growth Fund

        25,311          2.59          3          5  

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 2, 2020.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.

The Trust, along with certain other trusts for J.P. Morgan Funds (“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 London InterBank Offered Rate (“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 13, 2019, 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 six months ended December 31, 2019.

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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.

As of December 31, 2019, the Funds had individual shareholder and/or omnibus accounts, which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

     

Number of

individual shareholder
and/or

Affiliated

Omnibus

Accounts

      % of the Fund    

Number of
individual shareholder
and/or

Non-Affiliated
Omnibus

Accounts

      % of the Fund  

Investor Balanced Fund

      1        78.7 %      —        —  

Investor Conservative Growth Fund

      1        82.4       —        —  

Investor Growth Fund

      1        62.0       —        —  

Investor Growth & Income Fund

      1        68.1       1        10.6 % 

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

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         37  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

As of December 31, 2019, the Funds owned, in the aggregate, shares representing more than 10% of the net assets of the following Underlying Funds:

 

        % of Net Assets  

JPMorgan Market Expansion Enhanced Index Fund

        51.7 % 

JPMorgan Systematic Alpha Fund

        51.7  

JPMorgan Europe Dynamic Fund

        47.8  

JPMorgan Limited Duration Bond Fund

        45.0  

JPMorgan Intrepid Growth Fund

        43.4  

JPMorgan Large Cap Value Fund

        37.9  

JPMorgan Floating Rate Income Fund

        20.4  

JPMorgan Inflation Managed Bond Fund

        17.2  

JPMorgan Small Cap Value Fund

        15.3  

JPMorgan International Research Enhanced Equity Fund

        14.3  

JPMorgan Global Research Enhanced Index Fund

        10.6  

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.

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

 

 
38       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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, July 1, 2019 and continued to hold your shares at the end of the reporting period, December 31, 2019.

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 titled “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
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Investor Balanced Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,052.90        $ 2.73          0.53 % 

Hypothetical

        1,000.00          1,022.47          2.69          0.53  

Class C

                    

Actual

        1,000.00          1,051.00          5.52          1.07  

Hypothetical

        1,000.00          1,019.76          5.43          1.07  

Class I

                    

Actual

        1,000.00          1,054.40          1.45          0.28  

Hypothetical

        1,000.00          1,023.73          1.42          0.28  

Class R6

                    

Actual

        1,000.00          1,055.80          0.31          0.06  

Hypothetical

        1,000.00          1,024.83          0.31          0.06  

JPMorgan Investor Conservative Growth Fund

 

               

Class A

       1,000.00          1,039.20          2.72          0.53  

Actual

        1,000.00          1,022.47          2.69          0.53  

Hypothetical

                    

Class C

       1,000.00          1,035.80          5.48          1.07  

Actual

        1,000.00          1,019.76          5.43          1.07  

Hypothetical

                    

Class I

       1,000.00          1,040.20          1.44          0.28  

Actual

        1,000.00          1,023.73          1.42          0.28  

Hypothetical

                    

Class R6

       1,000.00          1,041.30          0.41          0.08  

Actual

        1,000.00          1,024.73          0.41          0.08  

Hypothetical

                    

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         39  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Investor Growth Fund

 

               

Class A

                    

Actual

      $ 1,000.00        $ 1,078.30        $ 2.77        $ 0.53  

Hypothetical

        1,000.00          1,022.47          2.69          0.53  

Class C

                    

Actual

        1,000.00          1,075.20          5.69          1.09  

Hypothetical

        1,000.00          1,019.66          5.53          1.09  

Class I

                    

Actual

        1,000.00          1,079.60          1.46          0.28  

Hypothetical

        1,000.00          1,023.73          1.42          0.28  

Class R6

                    

Actual

        1,000.00          1,080.60          0.58          0.11  

Hypothetical

        1,000.00          1,024.58          0.56          0.11  

JPMorgan Investor Growth & Income Fund

 

               

Class A

                    

Actual

        1,000.00          1,065.00          2.75          0.53  

Hypothetical

        1,000.00          1,022.47          2.69          0.53  

Class C

                    

Actual

        1,000.00          1,062.40          5.60          1.08  

Hypothetical

        1,000.00          1,019.71          5.48          1.08  

Class I

                    

Actual

        1,000.00          1,066.30          1.45          0.28  

Hypothetical

        1,000.00          1,023.73          1.42          0.28  

Class R6

                    

Actual

        1,000.00          1,067.40          0.36          0.07  

Hypothetical

        1,000.00          1,024.78          0.36          0.07  

 

*

Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
40       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

Table of Contents

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2019, at which the Trustees considered the continuation of the investment advisory agreement for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information concerning the Funds and other J.P. Morgan Funds in which each Fund invests (the “Underlying Funds”). Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 14, 2019.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds and Underlying Funds received from the Adviser. This information includes the Funds’ and Underlying Funds’ performance as compared to the performance of the Funds’ and Underlying Funds’ peers and benchmarks and analyses by the Adviser of the Funds’ and the Underlying Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including, with respect to the Funds and/or Underlying Funds, performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds and /or Underlying Funds as compared to the Funds’ and /or Underlying Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel

to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds and Underlying Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees also reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.

The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the Funds and Underlying Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and

 

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         41  

Table of Contents

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

its affiliates, the commitment of the Adviser to provide high quality service to the Funds and Underlying Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund and Underlying Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Funds and Underlying Funds. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds and Underlying Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund and Underlying Fund.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds and/or Underlying Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including the benefits received by the Adviser and its affiliates in connection with the Funds’ investments in the Underlying Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which each Fund was priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

 

 

 
42       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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Independent Written Evaluation of the Funds’ Senior Officer

The Trustees noted that, upon their direction, the Senior Officer for the Funds had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, and for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as

applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Investor Balanced Fund’s performance for Class A shares was in the second, first, and first quintiles based upon the Peer Group, and in the second, third, and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, second and first quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon the Peer Group, and in the second quintile based upon the Universe, for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Investor Conservative Growth Fund’s performance for Class A shares was in the second, fourth and third quintiles based upon the Peer Group, and in the second quintile based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for the Class I shares was in the second, second and first quintiles based upon the Peer Group, and in the first, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon the Peer Group, and in the first quintile based upon the Universe, for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Investor Growth Fund’s performance for Class A shares was in the second, second and first quintiles based upon the Peer Group, and in the second, first and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, first and first quintiles based upon both the Peer Group and Universe for the one-, three- and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the second quintile based upon both the Peer Group and Universe, for the

 

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         43  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Investor Growth & Income Fund’s performance for Class A shares was in the second, third and second quintiles based upon the Peer Group, and in the third, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the first, second and first quintiles based upon the Peer Group, and in the third, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for the Class R6 shares was in the third quintile based upon the Universe for the one-year period ended December 31, 2018. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and the administration fee rates and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and/or Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio after taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Investor Balanced Fund’s net advisory fee for Class A shares was in the first and third quintiles

based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contract of the Underlying Funds in which the Fund invests.

The Trustees noted that the Investor Conservative Growth Fund’s net advisory fee for Class A shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares were in the second and third quintiles based upon the Peer Group, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expense were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contract of the Underlying Funds in which the Fund invests.

The Trustees noted that the Investor Growth Fund’s net advisory fee and actual total expenses for Class A shares were in the third and first quintiles, respectively, based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for the Class I shares were in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After

 

 

 
44       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contract of the Underlying Funds in which the Fund invests.

The Trustees noted that the Investor Growth & Income Fund’s net advisory fee for Class A shares was in the second and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the second and first quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the second and

third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the third and first quintiles, respectively, based upon the Universe. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund and that such fees would be for services provided in addition to, rather than duplicative of, services provided under the advisory contract of the Underlying Funds in which the Fund invests.

 

 

 
DECEMBER 31, 2019   J.P. MORGAN INVESTOR FUNDS         45  

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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, 2019. 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, 2019. The information necessary to complete your income tax returns for the calendar year ending December 31, 2019 will be provided under separate cover.

Foreign Source Income and Foreign Tax Credit Pass Through

For the fiscal year ended June 30, 2019, the Funds elected to pass through to shareholders taxes paid to foreign countries. Income and foreign tax expenses were as follows or amounts as finally determined (amounts in thousands):

 

    

Total

Foreign
Source Income

    

Total

Foreign
Tax Credit

  

JPMorgan Investor Balanced Fund

   $ 11,944     $ 1,840  

JPMorgan Investor Conservative Growth Fund

     5,782       881  

JPMorgan Investor Growth Fund

     11,439       1,795  

JPMorgan Investor Growth & Income Fund

     8,809       1,379  
 

 

 
46       J.P. MORGAN INVESTOR FUNDS   DECEMBER 31, 2019

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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-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

 

  © JPMorgan Chase & Co., 2019.  All rights reserved. December 2019.   SAN-INV-1219

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Semi-Annual Report

J.P. Morgan Intrepid Funds

December 31, 2019 (Unaudited)

JPMorgan Intrepid Growth Fund

JPMorgan Intrepid Mid Cap Fund

JPMorgan Intrepid Sustainable Equity Fund

JPMorgan Intrepid Value Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.

You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan) or, if you are a direct investor, by going to www.jpmorganfunds.com/edelivery.

You may elect to receive paper copies of all future reports free of charge. Contact your financial intermediary or, if you invest directly with the Funds, email us at funds.website.support@jpmorganfunds.com or call 1-800-480-4111. Your election to receive paper reports will apply to all funds held within your account(s).

     LOGO  

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CONTENTS

 

Letter to Shareholders        1  
Market Overview        2  

Fund Commentaries:

     

JPMorgan Intrepid Growth Fund

        3  

JPMorgan Intrepid Mid Cap Fund

        5  

JPMorgan Intrepid Sustainable Equity Fund

        7  

JPMorgan Intrepid Value Fund

        9  
Schedules of Portfolio Investments        11  
Financial Statements        24  
Financial Highlights        36  
Notes to Financial Statements        44  
Schedule of Shareholder Expenses        53  
Board Approval of Investment Advisory Agreements        55  

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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LETTER TO SHAREHOLDERS

February 10, 2020 (Unaudited)

 

Dear Shareholders,

We’ve entered 2020 with strong momentum at J.P. Morgan Asset Management, propelled by a strong 2019 for financial markets that included a 31.5% total return in the S&P 500 Index.

 

LOGO   

 

“Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.” — Andrea L. Lisher

At the end of July 2019, the U.S. Federal Reserve responded to signs of a weakening economy by cutting interest rates for the first time in more than a decade and proceeded to cut rates two more times in 2019. Financial markets responded favorably and the S&P 500 Index reached record highs in late October. Global equity prices were also supported by easing U.S.-China trade tensions, continued growth in corporate profits and accommodative policies of leading global central banks, including a reduction in interest rates and a resumption of monthly asset purchases by the European Central Bank. These tailwinds overshadowed investor concerns about Brexit and weak economic data, allowing for a strong second half of 2019 for financial markets.

While 2019 was largely a rewarding year for investors, 2020 may bring increased market volatility amid geo-political tensions, U.S. elections and a U.S. economy that appears to be in the late stages of a record long expansion. Additionally, the strong equity market returns of the past year may be hard to replicate. On the other hand, we believe leading central banks have clearly signaled they will remain supportive of continued economic expansion, which should benefit financial markets. We believe investors who maintain a well-diversified portfolio and a long-term outlook will be best positioned in the year ahead.

Regardless of the market environment, our goal remains to be the most trusted asset manager in the world by using the unique breadth of capabilities to provide our clients and shareholders with the insights and solutions they need to achieve their long-term goals.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your assets. 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

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

 

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         1  

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J.P. Morgan Intrepid Funds

MARKET OVERVIEW

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

Equity markets largely provided positive returns for the reporting period on the back of low interest rates, continued corporate profit growth and an easing of U.S.-China trade tensions. Overall, U.S. equity outperformed other equity markets as well as fixed income markets.

In response to slowing economic growth and continued low inflation, the U.S. Federal Reserve in late July 2019 cut interest rates for the first time in more than a decade. The central bank followed with another cut in mid-September and another at the end of October. Equity investors responded to lower interest rates by driving stock prices higher and by the end of October leading equity U.S. indexes had returned to record highs. Within U.S. large cap stocks, growth stocks mostly outperformed value stocks but within mid cap and small cap stocks, value generally outperformed growth.

Bond markets generally provided positive returns for the second half of 2019, led by U.S. high yield bonds (also known as “junk bonds”) and emerging markets debt. Investment grade U.S. corporate debt provided modest returns while yields on U.S. Treasury bonds fell during the period.

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 identified 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.

 

 
2       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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JPMorgan Intrepid Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      9.53%  
Russell 1000 Growth Index      12.27%  
Net Assets as of 12/31/2019 (In Thousands)    $ 1,156,829  

 

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 six months ended December 31, 2019. The Fund’s security selection in the information technology and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and real estate sectors was a leading contributor to relative performance.

Leading individual detractors from the Fund’s relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Oracle Corp. and Sinclair Broadcast Group Inc. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of Oracle, a software company, fell amid several consecutive quarters of weak revenue growth. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019.

Leading individual contributors to relative performance included the Fund’s overweight position in Lam Research Corp. and Amgen Inc. and its out-of-Benchmark position in NXP Semiconductors NV. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers. Shares of Amgen, a developer and manufacturer of pharmaceuticals, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019 and raised its earnings forecast for the full year 2019. Shares of NXP Semiconductors, a Netherlands semiconductor manufacturer, rose after the company reported better-than-expected revenue for the third quarter of 2019.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Microsoft Corp.      9.7 % 
  2.      Apple, Inc.      7.8  
  3.      Visa, Inc., Class A      3.7  
  4.      Amazon.com, Inc.      3.5  
  5.      Oracle Corp.      2.8  
  6.      Accenture plc, Class A      2.7  
  7.      Amgen, Inc.      2.5  
  8.      Alphabet, Inc., Class A      2.4  
  9.      Facebook, Inc., Class A      2.4  
  10.      Alphabet, Inc., Class C      2.2  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      41.3 % 
Health Care      14.7
Consumer Discretionary      13.7
Communication Services      11.6
Industrials      6.4
Consumer Staples      4.0
Real Estate      2.6
Financials      1.5
Materials      1.2
Others (each less than 1.0%)      1.2  
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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         3  

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JPMorgan Intrepid Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		        6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      February 19, 2005                      

With Sales Charge**

           3.65%          22.06 %         10.66 %         13.32 % 

Without Sales Charge

           9.40          28.81          11.86          13.93  

CLASS C SHARES

      February 19, 2005                      

With CDSC***

           8.13        27.18        11.31        13.36

Without CDSC

           9.13          28.18          11.31          13.36  

CLASS I SHARES

      February 28, 2003          9.53        29.12        12.15        14.21

CLASS R2 SHARES

      November 3, 2008          9.27        28.47        11.59        13.65

CLASS R5 SHARES

      May 15, 2006          9.62        29.33        12.34        14.43

CLASS R6 SHARES

      November 2, 2015          9.69        29.44        12.41        14.46

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
4       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Intrepid Mid Cap Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      9.22%  
Russell Midcap Index      7.58%  
Net Assets as of 12/31/2019 (In Thousands)    $ 496,870  

 

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 outperformed the Russell Midcap Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the consumer discretionary and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the communication services and industrials sectors was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Lam Research Corp., Timken Co. and Best Buy Inc. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers. Shares of Timken, a manufacturer of ball bearings and power transmission products, rose after the company issued an upbeat forecast for the full year 2019. Shares of Best Buy, a consumer electronics retail chain, rose after the company reported better-than-expected sales for the third quarter of 2019 and forecast fourth quarter 2019 earnings that were at the high end of financial analysts’ expectations.

Leading individual detractors from relative performance included the Fund’s overweight positions in Sinclair Broadcast Group Inc., L3Harris Technologies Inc. and Berry Global Group Inc. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of L3Harris Technologies, an aerospace and defense technology company, fell after the company lowered its earnings forecast for the full year 2019 amid a reduction in flight simulator orders from Boeing Co. Shares of Berry Global Group, a maker of engineered materials and consumer product packaging, fell after the company reported lower-than-expected revenue for its fiscal fourth quarter.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Timken Co. (The)      2.0 % 
  2.      Wyndham Destinations, Inc.      1.8  
  3.      Ingersoll-Rand plc      1.8  
  4.      PulteGroup, Inc.      1.7  
  5.      NRG Energy, Inc.      1.7  
  6.      AES Corp.      1.6  
  7.      Vistra Energy Corp.      1.6  
  8.      Centene Corp.      1.5  
  9.      O’Reilly Automotive, Inc.      1.5  
  10.      Zimmer Biomet Holdings, Inc.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      18.3 % 
Industrials      14.0
Consumer Discretionary      12.5
Health Care      10.9
Financials      10.2
Real Estate      9.4
Utilities      6.1
Materials      5.4
Communication Services      5.2
Energy      3.3
Consumer Staples      2.8
Short-Term Investments      1.9  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         5  

Table of Contents

JPMorgan Intrepid Mid Cap Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		        6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      May 1, 1992                      

With Sales Charge**

           3.35 %         19.22 %         5.17 %         10.91 % 

Without Sales Charge

           9.08          25.86          6.32          11.51  

CLASS C SHARES

      March 22, 1999                      

With CDSC***

           7.77        24.18        5.72        10.84

Without CDSC

           8.77          25.18          5.72          10.84  

CLASS I SHARES

      June 1, 1991          9.22        26.12        6.58        11.78

CLASS R3 SHARES

      September 9, 2016          9.10        25.92        6.32        11.51

CLASS R4 SHARES

      September 9, 2016          9.24        26.15        6.58        11.78

CLASS R6 SHARES

      November 2, 2015          9.33        26.46        6.81        11.90

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
6       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Intrepid Sustainable Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      10.73%  
S&P 500 Index      10.92%  
Net Assets as of 12/31/2019 (In Thousands)      $36,884  

 

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 six months ended December 31, 2019. The Fund’s security selection in the financials and industrials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and consumer discretionary sectors was a leading contributor to relative performance.

Leading individual detractors from performance relative to the Benchmark included the Fund’s underweight position in Apple Inc. and its overweight positions in Cisco Systems Inc. and Travelers Co. Shares of Apple, a maker of mobile and desktop devices and computers, rose amid better-than-expected quarterly earnings as well as positive investor response to the company’s newly launched services, products and latest iPhone upgrade cycle. Shares of Cisco Systems, a network and information technology provider, fell following two consecutive quarters of weak revenue growth. Shares of Travelers, a property and casualty insurance provider, fell after the company reported lower-than-expected earnings for the third quarter of 2019.

Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions Target Corp., Amgen Inc. and Lam Research Corp. Shares of Target, a retail merchandise chain, rose after the company reported better-than-expected earnings and sales for the third quarter of 2019 and raised its earnings forecast for the full-year 2019. Shares of Amgen, a developer and manufacturer of pharmaceuticals, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019 and raised its earnings forecast for the full year 2019. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.     

Microsoft Corp.

      6.4 % 
  2.     

Verizon Communications, Inc.

      3.0  
  3.     

Bank of America Corp.

      3.0  
  4.     

Cisco Systems, Inc.

      2.7  
  5.     

Citigroup, Inc.

      2.6  
  6.     

Mastercard, Inc., Class A

      2.3  
  7.     

American Express Co.

      2.3  
  8.     

American Tower Corp.

      2.3  
  9.     

Apple, Inc.

      2.3  
  10.     

Amgen, Inc.

      2.3  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      23.9 % 
Health Care      13.4
Financials      13.2
Communication Services      10.2
Consumer Discretionary      9.3
Industrials      8.4
Consumer Staples      6.1
Energy      4.0
Real Estate      3.2
Utilities      3.0
Materials      2.0
Short-Term Investments      3.3  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         7  

Table of Contents

JPMorgan Intrepid Sustainable Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		        6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

      February 19, 2005                      

With Sales Charge**

           4.79 %         22.81 %         9.18 %         12.47 % 

Without Sales Charge

           10.60          29.62          10.36          13.08  

CLASS C SHARES

      February 19, 2005                      

With CDSC***

           9.30        27.97        9.81        12.52

Without CDSC

           10.30          28.97          9.81          12.52  

CLASS I SHARES

      February 28, 2003          10.73        29.93        10.64        13.36

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 December 31, 2009 to December 31, 2019. 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.

 

 

 
8       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Intrepid Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      7.10%  
Russell 1000 Value Index      8.86%  
Net Assets as of 12/31/2019 (In Thousands)    $ 998,731  

 

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 underperformed the Russell 1000 Value Index (the “Benchmark”) for the six months ended December 31, 2019. The Fund’s security selection in the financials and communication services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the health care and consumer staples sectors was a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Sinclair Broadcast Group Inc. and Travelers Cos. and its underweight position in JPMorgan Chase & Co. Shares of Sinclair Broadcast Group, a television broadcaster, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of Travelers, a property and casualty insurance provider, fell after the company reported lower-than-expected earnings for the third quarter of 2019. Shares of JPMorgan Chase, which the Fund is prohibited from holding, rose amid broader gains in stocks of large banks during the reporting period.

Leading individual contributors to relative performance included the Fund’s overweight position in Amgen Inc. and Lam Research Corp. and its out-of-Benchmark position in NXP Semiconductors NV. Shares of Amgen, a developer and manufacturer of pharmaceuticals, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2019 and raised its earnings forecast for the full year 2019. Shares of Lam Research, a maker of semiconductor manufacturing equipment, rose after the company reported better-than-expected earnings for its fiscal first quarter and amid a broader rebound in shares of semiconductor equipment makers. Shares of NXP Semiconductors, a Netherlands semiconductor manufacturer, rose after the company reported better-than-expected revenue for the third quarter of 2019.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Bank of America Corp.      3.9 % 
  2.      Chevron Corp.      3.3  
  3.      Citigroup, Inc.      3.2  
  4.      Comcast Corp., Class A      2.8  
  5.      Verizon Communications, Inc.      2.2  
  6.      Exelon Corp.      2.1  
  7.      Travelers Cos., Inc. (The)      1.9  
  8.      Starbucks Corp.      1.8  
  9.      Procter & Gamble Co. (The)      1.8  
  10.      NXP Semiconductors NV (Netherlands)      1.7  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      21.1 % 
Health Care      13.7
Information Technology      8.3
Energy      8.3
Communication Services      8.2
Industrials      8.1
Consumer Staples      7.4
Utilities      6.1
Consumer Discretionary      5.8
Real Estate      5.2
Materials      4.0
Short-Term Investments      3.8  

 

*   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 December 31, 2019. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         9  

Table of Contents

JPMorgan Intrepid Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2019

  
     INCEPTION DATE OF
CLASS		      6 MONTH*      1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 19, 2005                    

With Sales Charge**

         1.37%        16.40 %         5.38 %         10.22 % 

Without Sales Charge

         6.98        22.86          6.53          10.82  

CLASS C SHARES

    February 19, 2005                    

With CDSC***

         5.70        21.23        6.00        10.27

Without CDSC

         6.70        22.23          6.00          10.27  

CLASS I SHARES

    February 28, 2003      7.10        23.16        6.73        11.01

CLASS R2 SHARES

    November 3, 2008      6.81        22.53        6.24        10.53

CLASS R5 SHARES

    May 15, 2006      7.18        23.31        6.92        11.22

CLASS R6 SHARES

    November 30, 2010      7.23        23.44        7.00        11.29

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/09 TO 12/31/19)

 

 

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 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 December 31, 2009 to December 31, 2019. 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.

 

 

 
10       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Intrepid Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.2%

 

Aerospace & Defense — 1.3%

     

Northrop Grumman Corp.

     43        14,722  
    

 

 

  

Airlines — 1.9%

     

Delta Air Lines, Inc.

     106        6,176  

JetBlue Airways Corp. *

     472        8,828  

United Airlines Holdings, Inc. *

     79        6,968  
    

 

 

  
       21,972  
    

 

 

  

Biotechnology — 6.5%

     

AbbVie, Inc.

     187        16,530  

Amgen, Inc.

     121        29,084  

Gilead Sciences, Inc.

     277        17,987  

Vertex Pharmaceuticals, Inc. *

     51        11,166  
    

 

 

  
       74,767  
    

 

 

  

Capital Markets — 0.8%

     

MSCI, Inc.

     35        8,907  
    

 

 

  

Chemicals — 0.8%

     

CF Industries Holdings, Inc.

     184        8,789  
    

 

 

  

Communications Equipment — 2.1%

     

Cisco Systems, Inc.

     505        24,205  
    

 

 

  

Construction & Engineering — 1.2%

     

EMCOR Group, Inc.

     50        4,289  

MasTec, Inc. *

     146        9,335  
    

 

 

  
       13,624  
    

 

 

  

Containers & Packaging — 0.4%

     

Crown Holdings, Inc. *

     62        4,469  
    

 

 

  

Electronic Equipment, Instruments & Components — 0.5%

 

Keysight Technologies, Inc. *

     55        5,593  
    

 

 

  

Entertainment — 1.6%

     

Live Nation Entertainment, Inc. *

     137        9,756  

Take-Two Interactive Software, Inc. *

     76        9,341  
    

 

 

  
       19,097  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.6%

 

   

American Tower Corp.

     55        12,594  

Invitation Homes, Inc.

     310        9,294  

SBA Communications Corp.

     35        8,410  
    

 

 

  
       30,298  
    

 

 

  

Food & Staples Retailing — 0.6%

     

Walgreens Boots Alliance, Inc.

     118        6,951  
    

 

 

  
    

Food Products — 1.7%

     

General Mills, Inc.

     203        10,878  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Food Products — continued

     

Hershey Co. (The)

     38        5,527  

Post Holdings, Inc. *

     26        2,869  
    

 

 

  
       19,274  
    

 

 

  
    

Health Care Equipment & Supplies — 0.1%

     

Dentsply Sirona, Inc.

     30        1,709  
    

 

 

  

Health Care Providers & Services — 3.1%

     

Anthem, Inc.

     39        11,870  

Humana, Inc.

     10        3,738  

McKesson Corp.

     51        7,068  

UnitedHealth Group, Inc.

     46        13,494  
    

 

 

  
       36,170  
    

 

 

  

Health Care Technology — 0.6%

     

Veeva Systems, Inc., Class A *

     52        7,357  
    

 

 

  

Hotels, Restaurants & Leisure — 2.9%

     

Hilton Worldwide Holdings, Inc.

     79        8,795  

Starbucks Corp.

     277        24,337  
    

 

 

  
       33,132  
    

 

 

  

Household Durables — 2.0%

     

NVR, Inc. *

     2        9,369  

PulteGroup, Inc.

     245        9,494  

Whirlpool Corp.

     29        4,278  
    

 

 

  
       23,141  
    

 

 

  

Household Products — 1.0%

     

Procter & Gamble Co. (The)

     93        11,653  
    

 

 

  

Independent Power and Renewable Electricity Producers — 0.4%

 

NRG Energy, Inc.

     130        5,148  
    

 

 

  

Insurance — 0.7%

     

Allstate Corp. (The)

     10        1,147  

Everest Re Group Ltd.

     3        830  

Lincoln National Corp.

     76        4,467  

Progressive Corp. (The)

     25        1,774  
    

 

 

  
       8,218  
    

 

 

  

Interactive Media & Services — 7.1%

     

Alphabet, Inc., Class A *

     21        28,261  

Alphabet, Inc., Class C *

     19        25,805  

Facebook, Inc., Class A *

     137        28,181  
    

 

 

  
       82,247  
    

 

 

  

Internet & Direct Marketing Retail — 4.9%

     

Amazon.com, Inc. *

     22        40,560  

eBay, Inc.

     235        8,497  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         11  

Table of Contents

JPMorgan Intrepid Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

Internet & Direct Marketing Retail — continued

 

   

Expedia Group, Inc.

     66        7,148  
    

 

 

  
       56,205  
    

 

 

  

IT Services — 11.5%

     

Accenture plc, Class A

     147        31,038  

Euronet Worldwide, Inc. *

     58        9,186  

KBR, Inc.

     300        9,144  

Leidos Holdings, Inc.

     97        9,515  

Mastercard, Inc., Class A

     49        14,691  

Perspecta, Inc.

     328        8,680  

VeriSign, Inc. *

     43        8,324  

Visa, Inc., Class A

     226        42,465  
    

 

 

  
       133,043  
    

 

 

  

Life Sciences Tools & Services — 0.8%

     

IQVIA Holdings, Inc. *

     61        9,456  
    

 

 

  

Machinery — 0.2%

     

Allison Transmission Holdings, Inc.

     45        2,174  
    

 

 

  

Media — 2.9%

     

Altice USA, Inc., Class A *

     312        8,527  

AMC Networks, Inc., Class A *

     51        2,003  

Comcast Corp., Class A

     162        7,290  

Nexstar Media Group, Inc., Class A

     46        5,393  

Omnicom Group, Inc.

     58        4,675  

Sinclair Broadcast Group, Inc., Class A

     163        5,418  
    

 

 

  
       33,306  
    

 

 

  

Multiline Retail — 1.8%

     

Dollar General Corp.

     36        5,537  

Target Corp.

     122        15,680  
    

 

 

  
       21,217  
    

 

 

  

Oil, Gas & Consumable Fuels — 0.7%

     

ConocoPhillips

     13        832  

HollyFrontier Corp.

     139        7,054  
    

 

 

  
       7,886  
    

 

 

  

Pharmaceuticals — 3.5%

     

Allergan plc

     39        7,532  

Bristol-Myers Squibb Co.

     291        18,673  

Jazz Pharmaceuticals plc *

     53        7,867  

Johnson & Johnson

     43        6,214  
    

 

 

  
       40,286  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Professional Services — 1.0%

     

FTI Consulting, Inc. *

     82        9,063  

ManpowerGroup, Inc.

     25        2,447  
    

 

 

  
       11,510  
    

 

 

  

Semiconductors & Semiconductor Equipment — 4.4%

 

Lam Research Corp.

     79        22,953  

NXP Semiconductors NV (Netherlands)

     190        24,205  

Universal Display Corp.

     19        3,833  
    

 

 

  
       50,991  
    

 

 

  

Software — 14.1%

     

Atlassian Corp. plc, Class A *

     81        9,712  

Fortinet, Inc. *

     91        9,758  

Microsoft Corp.

     709        111,738  

Oracle Corp.

     604        31,984  
    

 

 

  
       163,192  
    

 

 

  

Specialty Retail — 2.1%

     

AutoZone, Inc. *

     8        8,935  

RH *

     10        2,156  

Ross Stores, Inc.

     119        13,819  
    

 

 

  
       24,910  
    

 

 

  

Technology Hardware, Storage & Peripherals — 8.7%

 

   

Apple, Inc.

     306        89,784  

HP, Inc.

     215        4,412  

Xerox Holdings Corp.

     188        6,946  
    

 

 

  
       101,142  
    

 

 

  

Tobacco — 0.8%

     

Altria Group, Inc.

     178        8,864  
    

 

 

  

Trading Companies & Distributors — 0.9%

     

United Rentals, Inc. *

     60        9,957  
    

 

 

  

Total Common Stocks
(Cost $793,694)

        1,135,582  
    

 

 

  
     NO. OF
RIGHTS
(000)		          

Rights — 0.0% (a)

     

Pharmaceuticals — 0.0% (a)

     

Bristol-Myers Squibb Co., CVR,
expiring 12/31/2020 *
(Cost $71)

     33        100  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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

Short-Term Investments — 1.8%

     

Investment Companies — 1.8%

     

JPMorgan Prime Money Market Fund
Class IM Shares, 1.77% (b) (c)
(Cost $20,958)

     20,951        20,958  
    

 

 

  

Total Investments — 100.0%
(Cost $814,723)

        1,156,640  

Other Assets Less Liabilities — 0.0% (a)

        189  
    

 

 

  

NET ASSETS — 100.0%

        1,156,829  
    

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

 

CVR   Contingent Value Rights

(a)

   Amount rounds to less than 0.1% of net assets.

(b)

   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(c)

   The rate shown is the current yield as of December 31, 2019.

*

   Non-income producing security.
 

 

Futures contracts outstanding as of December 31, 2019 (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

        124          03/2020          USD          20,038          379  
                        

 

 

  

 

Abbreviations  
USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         13  

Table of Contents

JPMorgan Intrepid Mid Cap Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 98.4%

 

Aerospace & Defense — 4.1%

 

Curtiss-Wright Corp.

     42        5,917  

HEICO Corp., Class A

     41        3,653  

Huntington Ingalls Industries, Inc.

     9        2,137  

L3Harris Technologies, Inc.

     32        6,233  

Spirit AeroSystems Holdings, Inc., Class A

     19        1,414  

Teledyne Technologies, Inc. *

     2        797  
    

 

 

  
       20,151  
    

 

 

  

Air Freight & Logistics — 0.3%

 

XPO Logistics, Inc. *

     17        1,379  
    

 

 

  

Airlines — 0.1%

 

Alaska Air Group, Inc.

     7        447  
    

 

 

  

Banks — 3.4%

 

East West Bancorp, Inc.

     16        765  

Fifth Third Bancorp

     73        2,241  

First Horizon National Corp.

     122        2,022  

KeyCorp

     65        1,306  

Popular, Inc. (Puerto Rico)

     83        4,870  

Regions Financial Corp.

     61        1,038  

Signature Bank

     22        3,005  

SVB Financial Group *

     6        1,406  
    

 

 

  
       16,653  
    

 

 

  

Biotechnology — 1.4%

 

BioMarin Pharmaceutical, Inc. *

     12        1,032  

Bluebird Bio, Inc. *

     18        1,544  

Incyte Corp. *

     7        611  

Moderna, Inc. * (a)

     104        2,025  

Neurocrine Biosciences, Inc. *

     14        1,526  

Sarepta Therapeutics, Inc. *

     1        103  
    

 

 

  
       6,841  
    

 

 

  

Capital Markets — 2.9%

 

Cboe Global Markets, Inc.

     10        1,224  

E*TRADE Financial Corp.

     6        268  

Legg Mason, Inc.

     35        1,267  

LPL Financial Holdings, Inc.

     55        5,097  

MarketAxess Holdings, Inc.

     3        1,137  

Morningstar, Inc.

     21        3,208  

MSCI, Inc.

     5        1,162  

Raymond James Financial, Inc.

     12        1,029  
    

 

 

  
       14,392  
    

 

 

  

Chemicals — 2.4%

 

Cabot Corp.

     28        1,331  

CF Industries Holdings, Inc.

     47        2,239  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Chemicals — continued

     

Eastman Chemical Co.

     23        1,791  

Huntsman Corp.

     120        2,887  

Valvoline, Inc.

     180        3,856  
    

 

 

  
       12,104  
    

 

 

  

Commercial Services & Supplies — 0.2%

 

Copart, Inc. *

     11        973  
    

 

 

  

Communications Equipment — 1.2%

 

F5 Networks, Inc. *

     41        5,754  
    

 

 

  

Construction & Engineering — 0.6%

 

AECOM *

     71        3,071  
    

 

 

  

Containers & Packaging — 1.6%

 

Ardagh Group SA

     123        2,408  

Avery Dennison Corp.

     21        2,734  

Berry Global Group, Inc. *

     54        2,584  

Graphic Packaging Holding Co.

     17        286  
    

 

 

  
       8,012  
    

 

 

  

Distributors — 1.0%

 

LKQ Corp. *

     138        4,941  
    

 

 

  

Diversified Consumer Services — 0.2%

 

frontdoor, Inc. *

     21        984  
    

 

 

  

Diversified Financial Services — 0.3%

 

AXA Equitable Holdings, Inc.

     67        1,660  
    

 

 

  

Diversified Telecommunication Services — 0.6%

 

CenturyLink, Inc.

     242        3,197  
    

 

 

  

Electric Utilities — 0.2%

 

Evergy, Inc.

     6        410  

OGE Energy Corp.

     13        587  
    

 

 

  
       997  
    

 

 

  

Electrical Equipment — 0.5%

 

GrafTech International Ltd. (a)

     86        994  

Regal Beloit Corp.

     20        1,746  
    

 

 

  
       2,740  
    

 

 

  

Electronic Equipment, Instruments & Components — 1.7%

 

Arrow Electronics, Inc. *

     32        2,703  

Avnet, Inc.

     73        3,090  

CDW Corp.

     18        2,614  
    

 

 

  
       8,407  
    

 

 

  

Energy Equipment & Services — 0.1%

 

Baker Hughes Co.

     29        753  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

 

   

Entertainment — 1.6%

 

   

Activision Blizzard, Inc.

     19        1,099  

Take-Two Interactive Software, Inc. *

     55        6,734  
    

 

 

  
       7,833  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 9.4%

 

American Campus Communities, Inc.

     8        376  

American Homes 4 Rent, Class A

     58        1,515  

Brixmor Property Group, Inc.

     39        838  

Camden Property Trust

     5        509  

CyrusOne, Inc.

     6        412  

Douglas Emmett, Inc.

     8        338  

Duke Realty Corp.

     86        2,975  

EPR Properties

     7        495  

Equinix, Inc.

     12        6,830  

Equity LifeStyle Properties, Inc.

     46        3,217  

Equity Residential

     23        1,845  

Gaming and Leisure Properties, Inc.

     79        3,414  

Hudson Pacific Properties, Inc.

     42        1,574  

Invitation Homes, Inc.

     100        2,982  

Liberty Property Trust

     73        4,360  

Medical Properties Trust, Inc.

     16        344  

Mid-America Apartment Communities, Inc.

     6        747  

Realty Income Corp.

     90        6,634  

Regency Centers Corp.

     3        208  

Retail Properties of America, Inc., Class A

     71        946  

SBA Communications Corp.

     3        675  

SITE Centers Corp.

     10        136  

Sun Communities, Inc.

     19        2,852  

VICI Properties, Inc.

     100        2,565  
    

 

 

  
       46,787  
    

 

 

  

Food & Staples Retailing — 0.9%

 

US Foods Holding Corp. *

     102        4,264  
    

 

 

  

Food Products — 1.9%

 

Archer-Daniels-Midland Co.

     60        2,762  

Hershey Co. (The)

     16        2,352  

Tyson Foods, Inc., Class A

     49        4,434  
    

 

 

  
       9,548  
    

 

 

  

Gas Utilities — 0.6%

 

National Fuel Gas Co. (a)

     8        377  

UGI Corp.

     60        2,694  
    

 

 

  
       3,071  
    

 

 

  

Health Care Equipment & Supplies — 3.0%

 

Cooper Cos., Inc. (The)

     1        193  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Health Care Equipment & Supplies — continued

     

Dentsply Sirona, Inc.

     31        1,754  

Hill-Rom Holdings, Inc.

     18        1,987  

Hologic, Inc. *

     34        1,796  

SmileDirectClub, Inc. * (a)

     101        880  

Teleflex, Inc.

     3        1,205  

Zimmer Biomet Holdings, Inc.

     48        7,244  
    

 

 

  
       15,059  
    

 

 

  

Health Care Providers & Services — 4.4%

 

AmerisourceBergen Corp.

     35        3,001  

Cardinal Health, Inc.

     43        2,160  

Centene Corp. *

     121        7,588  

DaVita, Inc. *

     22        1,681  

McKesson Corp.

     31        4,302  

Premier, Inc., Class A *

     82        3,095  
    

 

 

  
       21,827  
    

 

 

  

Hotels, Restaurants & Leisure — 3.6%

 

Aramark

     54        2,348  

Chipotle Mexican Grill, Inc. *

     3        2,511  

Hilton Worldwide Holdings, Inc.

     37        4,082  

Wyndham Destinations, Inc.

     175        9,066  
    

 

 

  
       18,007  
    

 

 

  

Household Durables — 3.1%

 

Garmin Ltd.

     12        1,122  

Newell Brands, Inc.

     258        4,963  

PulteGroup, Inc.

     223        8,660  

Tempur Sealy International, Inc. *

     6        479  
    

 

 

  
       15,224  
    

 

 

  

Independent Power and Renewable Electricity Producers — 4.9%

 

AES Corp.

     397        7,898  

NRG Energy, Inc.

     214        8,511  

Vistra Energy Corp.

     338        7,775  
    

 

 

  
       24,184  
    

 

 

  

Insurance — 3.6%

 

American Financial Group, Inc.

     20        2,160  

American National Insurance Co.

     2        212  

Arch Capital Group Ltd. *

     12        530  

Assurant, Inc.

     2        229  

Assured Guaranty Ltd.

     13        618  

Axis Capital Holdings Ltd.

     5        285  

Everest Re Group Ltd.

     7        2,021  

Fidelity National Financial, Inc.

     30        1,367  

First American Financial Corp.

     51        2,951  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         15  

Table of Contents

JPMorgan Intrepid Mid Cap Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Insurance — continued

 

Hanover Insurance Group, Inc. (The)

     19        2,569  

Hartford Financial Services Group, Inc. (The)

     24        1,465  

Lincoln National Corp.

     4        224  

Mercury General Corp.

     7        341  

Old Republic International Corp.

     12        257  

Progressive Corp. (The)

     6        405  

Willis Towers Watson plc

     12        2,343  
    

 

 

  
       17,977  
    

 

 

  

Interactive Media & Services — 0.5%

 

Twitter, Inc. *

     77        2,471  
    

 

 

  

IT Services — 6.9%

 

Black Knight, Inc. *

     41        2,671  

Broadridge Financial Solutions, Inc.

     25        3,101  

CACI International, Inc., Class A *

     28        6,975  

DXC Technology Co.

     46        1,744  

Euronet Worldwide, Inc. *

     5        803  

Fidelity National Information Services, Inc.

     44        6,132  

Fiserv, Inc. *

     33        3,758  

Global Payments, Inc.

     13        2,416  

Leidos Holdings, Inc.

     44        4,327  

Sabre Corp.

     116        2,610  
    

 

 

  
       34,537  
    

 

 

  

Leisure Products — 0.1%

 

Peloton Interactive, Inc., Class A * (a)

     10        290  
    

 

 

  

Life Sciences Tools & Services — 0.6%

 

Agilent Technologies, Inc.

     35        2,986  
    

 

 

  

Machinery — 4.8%

 

Allison Transmission Holdings, Inc.

     41        1,996  

Crane Co.

     35        3,006  

Ingersoll-Rand plc

     67        8,852  

Timken Co. (The)

     175        9,871  
    

 

 

  
       23,725  
    

 

 

  

Media — 2.5%

 

Altice USA, Inc., Class A *

     45        1,217  

Discovery, Inc., Class C *

     46        1,399  

DISH Network Corp., Class A *

     61        2,157  

Fox Corp., Class B

     58        2,104  

Nexstar Media Group, Inc., Class A

     12        1,348  

Sinclair Broadcast Group, Inc., Class A

     113        3,767  

ViacomCBS, Inc.

     8        346  
    

 

 

  
       12,338  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Metals & Mining — 1.4%

 

   

Newmont Goldcorp Corp.

     67        2,911  

Reliance Steel & Aluminum Co.

     11        1,258  

Steel Dynamics, Inc.

     76        2,580  
    

 

 

  
       6,749  
    

 

 

  

Multiline Retail — 1.3%

     

Dollar General Corp.

     42        6,551  
    

 

 

  

Multi-Utilities — 0.4%

     

CenterPoint Energy, Inc.

     30        823  

Consolidated Edison, Inc.

     14        1,303  
    

 

 

  
       2,126  
    

 

 

  

Oil, Gas & Consumable Fuels — 3.2%

     

Cabot Oil & Gas Corp.

     94        1,640  

Devon Energy Corp.

     90        2,330  

EQT Corp.

     84        911  

Marathon Oil Corp.

     233        3,161  

Marathon Petroleum Corp.

     27        1,633  

PBF Energy, Inc., Class A

     52        1,644  

Valero Energy Corp.

     9        796  

Williams Cos., Inc. (The)

     159        3,781  
    

 

 

  
       15,896  
    

 

 

  

Pharmaceuticals — 1.5%

     

Elanco Animal Health, Inc. *

     41        1,199  

Jazz Pharmaceuticals plc *

     11        1,567  

Mylan NV *

     96        1,930  

Nektar Therapeutics * (a)

     66        1,431  

Perrigo Co. plc

     25        1,286  
    

 

 

  
       7,413  
    

 

 

  

Professional Services — 2.3%

     

CoStar Group, Inc. *

     7        4,368  

ManpowerGroup, Inc.

     17        1,621  

Nielsen Holdings plc

     40        806  

TransUnion

     54        4,649  
    

 

 

  
       11,444  
    

 

 

  

Road & Rail — 0.3%

     

Kansas City Southern

     5        827  

Landstar System, Inc.

     7        786  
    

 

 

  
       1,613  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.5%

 

KLA Corp.

     6        1,104  

Lam Research Corp.

     23        6,667  

Marvell Technology Group Ltd.

     123        3,259  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Semiconductors & Semiconductor Equipment — continued

 

ON Semiconductor Corp. *

     103        2,516  

Xilinx, Inc.

     41        3,999  
    

 

 

  
       17,545  
    

 

 

  

Software — 2.0%

     

Citrix Systems, Inc.

     32        3,504  

Crowdstrike Holdings, Inc., Class A *

     37        1,860  

Datadog, Inc., Class A *

     15        578  

Fair Isaac Corp. *

     6        2,286  

Synopsys, Inc. *

     12        1,615  
    

 

 

  
       9,843  
    

 

 

  

Specialty Retail — 2.4%

     

AutoZone, Inc. *

     1        834  

Best Buy Co., Inc.

     36        3,196  

Burlington Stores, Inc. *

     2        501  

O’Reilly Automotive, Inc. *

     17        7,330  
    

 

 

  
       11,861  
    

 

 

  

Technology Hardware, Storage & Peripherals — 3.0%

 

Dell Technologies, Inc., Class C *

     125        6,430  

NCR Corp. *

     43        1,508  

Xerox Holdings Corp.

     195        7,171  
    

 

 

  
       15,109  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.9%

 

Lululemon Athletica, Inc. *

     19        4,471  
    

 

 

  

Thrifts & Mortgage Finance — 0.1%

 

MGIC Investment Corp.

     22        307  
    

 

 

  

Trading Companies & Distributors — 0.9%

 

HD Supply Holdings, Inc. *

     112        4,517  
    

 

 

  

Total Common Stocks
(Cost $389,138)

        489,029  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 1.9%

 

Investment Companies — 1.0%

 

JPMorgan Prime Money Market Fund
Class IM Shares, 1.77% (b) (c)
(Cost $4,843)

     4,841        4,843  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 0.9%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (b) (c)

     2,000        2,000  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (b) (c)

     2,328        2,328  
    

 

 

  

TotaL Investment of Cash Collateral from Securities Loaned
(Cost $4,328)

        4,328  
    

 

 

  

Total Short-Term Investments
(Cost $9,171)

        9,171  
    

 

 

  

Total Investments — 100.3%
(Cost $398,309)

        498,200  

Liabilities in Excess of
Other Assets — (0.3)%

        (1,330 ) 
    

 

 

  

NET ASSETS — 100.0%

        496,870  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $4,362,000.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

Futures contracts outstanding as of December 31, 2019 (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      63        03/2020          USD          13,006          43  
                        

 

 

  

 

Abbreviations

USD

   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         17  

Table of Contents

JPMorgan Intrepid Sustainable Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 96.6%

 

   

Airlines — 0.7%

 

   

Delta Air Lines, Inc.

     4        256  
    

 

 

  

Banks — 6.2%

 

   

Bank of America Corp.

     32        1,111  

Citigroup, Inc.

     12        973  

PNC Financial Services Group, Inc. (The)

     1        217  
    

 

 

  
       2,301  
    

 

 

  

Beverages — 2.0%

 

   

PepsiCo, Inc.

     5        749  
    

 

 

  

Biotechnology — 6.1%

 

   

AbbVie, Inc.

     8        710  

Amgen, Inc.

     3        841  

Gilead Sciences, Inc.

     11        695  
    

 

 

  
       2,246  
    

 

 

  

Building Products — 0.8%

 

   

Owens Corning

     4        278  
    

 

 

  

Chemicals — 0.8%

 

   

Axalta Coating Systems Ltd. *

     10        293  
    

 

 

  

Communications Equipment — 2.7%

 

   

Cisco Systems, Inc.

     21        991  
    

 

 

  

Construction & Engineering — 0.8%

 

   

EMCOR Group, Inc.

     3        278  
    

 

 

  

Consumer Finance — 3.1%

 

   

Ally Financial, Inc.

     9        285  

American Express Co.

     7        856  
    

 

 

  
       1,141  
    

 

 

  

Containers & Packaging — 1.2%

 

   

Ball Corp.

     5        301  

Crown Holdings, Inc. *

     2        135  
    

 

 

  
       436  
    

 

 

  

Diversified Financial Services — 0.3%

 

   

Voya Financial, Inc.

     2        107  
    

 

 

  

Diversified Telecommunication Services — 3.0%

 

   

Verizon Communications, Inc.

     18        1,122  
    

 

 

  

Electric Utilities — 2.4%

 

   

Entergy Corp.

     2        181  

Exelon Corp.

     2        106  

NextEra Energy, Inc.

     2        582  
    

 

 

  
       869  
    

 

 

  

Energy Equipment & Services — 0.6%

 

   

Baker Hughes Co.

     6        159  

Halliburton Co.

     3        76  
    

 

 

  
       235  
    

 

 

  
INVESTMENTS   SHARES
(000)		     VALUE
($000)		  
   

Entertainment — 1.6%

 

  

Electronic Arts, Inc. *

     3       302  

Take-Two Interactive Software, Inc. *

     2       294  
   

 

 

  
      596  
   

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.3%

 

  

American Tower Corp.

     4       853  
   

 

 

  

Food & Staples Retailing — 0.8%

 

  

Kroger Co. (The)

     10       302  
   

 

 

  

Food Products — 1.5%

 

  

General Mills, Inc.

     10       543  
   

 

 

  

Health Care Providers & Services — 5.1%

 

  

Anthem, Inc.

     2       717  

Cigna Corp.

     3       566  

Humana, Inc.

     1       198  

UnitedHealth Group, Inc.

     1       406  
   

 

 

  
      1,887  
   

 

 

  

Hotels, Restaurants & Leisure — 1.5%

 

  

Chipotle Mexican Grill, Inc. *

     — (a)      293  

Darden Restaurants, Inc.

     2       258  
   

 

 

  
      551  
   

 

 

  

Household Durables — 0.7%

 

  

PulteGroup, Inc.

     7       265  
   

 

 

  

Household Products — 1.8%

 

  

Procter & Gamble Co. (The)

     5       661  
   

 

 

  

Insurance — 3.6%

 

  

Lincoln National Corp.

     4       238  

Prudential Financial, Inc.

     4       334  

Travelers Cos., Inc. (The)

     5       737  
   

 

 

  
      1,309  
   

 

 

  

Interactive Media & Services — 3.9%

 

  

Alphabet, Inc., Class A *

     — (a)      629  

Alphabet, Inc., Class C *

     1       816  
   

 

 

  
      1,445  
   

 

 

  

Internet & Direct Marketing Retail — 1.8%

 

  

Amazon.com, Inc. *

     — (a)      369  

eBay, Inc.

     8       299  
   

 

 

  
      668  
   

 

 

  

IT Services — 4.4%

 

  

Accenture plc, Class A

     3       596  

Automatic Data Processing, Inc.

     1       145  

Mastercard, Inc., Class A

     3       863  
   

 

 

  
      1,604  
   

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

 

  

Machinery — 3.5%

 

  

Cummins, Inc.

     2       285  

Flowserve Corp.

     4       213  

Ingersoll-Rand plc

     4       570  

Parker-Hannifin Corp.

     1       226  
   

 

 

  
      1,294  
   

 

 

  

Media — 1.6%

 

  

Cable One, Inc.

     — (a)      179  

New York Times Co. (The), Class A

     4       134  

Omnicom Group, Inc.

     4       294  
   

 

 

  
      607  
   

 

 

  

Multiline Retail — 2.1%

 

  

Target Corp.

     6       785  
   

 

 

  

Multi-Utilities — 0.7%

 

  

CMS Energy Corp.

     2       99  

Sempra Energy

     1       148  
   

 

 

  
      247  
   

 

 

  

Oil, Gas & Consumable Fuels — 3.3%

 

  

HollyFrontier Corp.

     5       250  

Phillips 66

     5       523  

Valero Energy Corp.

     5       460  
   

 

 

  
      1,233  
   

 

 

  

Pharmaceuticals — 2.2%

 

  

Bristol-Myers Squibb Co.

     11       674  

Jazz Pharmaceuticals plc *

     1       128  
   

 

 

  
      802  
   

 

 

  

Professional Services — 0.8%

 

  

FTI Consulting, Inc. *

     3       292  
   

 

 

  

Real Estate Management & Development — 0.9%

 

CBRE Group, Inc., Class A *

     5       328  
   

 

 

  

Road & Rail — 1.3%

 

  

CSX Corp.

     7       476  
   

 

 

  

Semiconductors & Semiconductor Equipment — 4.3%

 

Applied Materials, Inc.

     7       454  

Lam Research Corp.

     3       779  

Texas Instruments, Inc.

     3       354  
   

 

 

  
      1,587  
   

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Software — 8.7%

 

   

Cadence Design Systems, Inc. *

     4        282  

Intuit, Inc.

     2        555  

Microsoft Corp.

     15        2,365  
    

 

 

  
       3,202  
    

 

 

  

Specialty Retail — 2.3%

 

   

Best Buy Co., Inc.

     3        290  

Home Depot, Inc. (The)

     3        550  
    

 

 

  
       840  
    

 

 

  

Technology Hardware, Storage & Peripherals — 3.8%

 

   

Apple, Inc.

     3        849  

HP, Inc.

     13        277  

Xerox Holdings Corp.

     8        288  
    

 

 

  
       1,414  
    

 

 

  

Textiles, Apparel & Luxury Goods — 0.8%

 

   

Deckers Outdoor Corp. *

     2        306  
    

 

 

  

Trading Companies & Distributors — 0.6%

 

   

United Rentals, Inc. *

     1        238  
    

 

 

  

Total Common Stocks
(Cost $27,931)

        35,637  
    

 

 

  

Short-Term Investments — 3.3%

 

Investment Companies — 3.3%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (b) (c)
(Cost $1,213)

     1,212        1,213  
    

 

 

  

Total Investments — 99.9%
(Cost $29,144)

        36,850  

Other Assets Less Liabilities — 0.1%

        34  
    

 

 

  

NET ASSETS — 100.0%

        36,884  
    

 

 

  

 

Percentages indicated are based on net assets.

 

(a)   Amount rounds to less than one thousand.
(b)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         19  

Table of Contents

JPMorgan Intrepid Sustainable Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

Futures contracts outstanding as of December 31, 2019 (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      7        03/2020          USD          1,131          15  
                        

 

 

  

 

Abbreviations  

USD

   United States Dollar
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents

JPMorgan Intrepid Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — 96.6%

 

Aerospace & Defense — 1.6%

 

Northrop Grumman Corp.

     37        12,555  

United Technologies Corp.

     23        3,414  
    

 

 

  
       15,969  
    

 

 

  

Airlines — 1.4%

 

Delta Air Lines, Inc.

     112        6,550  

United Airlines Holdings, Inc. *

     90        7,954  
    

 

 

  
       14,504  
    

 

 

  

Auto Components — 0.3%

 

Lear Corp.

     21        2,867  
    

 

 

  

Automobiles — 0.3%

 

General Motors Co.

     96        3,506  
    

 

 

  

Banks — 10.7%

 

Bank of America Corp.

     1,121        39,481  

CIT Group, Inc.

     84        3,833  

Citigroup, Inc.

     402        32,083  

Citizens Financial Group, Inc.

     194        7,862  

Popular, Inc. (Puerto Rico)

     147        8,660  

Regions Financial Corp.

     497        8,527  

US Bancorp

     104        6,148  
    

 

 

  
       106,594  
    

 

 

  

Beverages — 0.2%

 

Molson Coors Brewing Co., Class B

     46        2,458  
    

 

 

  

Biotechnology — 4.7%

 

AbbVie, Inc.

     170        15,061  

Amgen, Inc.

     55        13,366  

Biogen, Inc. *

     18        5,371  

Gilead Sciences, Inc.

     198        12,833  
    

 

 

  
       46,631  
    

 

 

  

Capital Markets — 0.8%

 

Ameriprise Financial, Inc.

     49        8,129  
    

 

 

  

Chemicals — 2.3%

 

Axalta Coating Systems Ltd. *

     178        5,402  

CF Industries Holdings, Inc.

     166        7,925  

DuPont de Nemours, Inc.

     60        3,852  

Huntsman Corp.

     257        6,207  
    

 

 

  
       23,386  
    

 

 

  

Communications Equipment — 1.1%

 

Cisco Systems, Inc.

     221        10,590  
    

 

 

  

Construction & Engineering — 1.6%

 

AECOM *

     87        3,731  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

Construction & Engineering — continued

     

EMCOR Group, Inc.

     51        4,401  

MasTec, Inc. *

     126        8,071  
    

 

 

  
       16,203  
    

 

 

  

Consumer Finance — 2.4%

 

Ally Financial, Inc.

     144        4,388  

American Express Co.

     57        7,046  

Credit Acceptance Corp. * (a)

     9        3,832  

Discover Financial Services

     105        8,915  
    

 

 

  
       24,181  
    

 

 

  

Containers & Packaging — 1.2%

 

Ball Corp.

     65        4,229  

Berry Global Group, Inc. *

     15        689  

Crown Holdings, Inc. *

     103        7,493  
    

 

 

  
       12,411  
    

 

 

  

Diversified Financial Services — 0.8%

 

Voya Financial, Inc.

     137        8,360  
    

 

 

  

Diversified Telecommunication Services — 2.2%

 

Verizon Communications, Inc.

     360        22,122  
    

 

 

  

Electric Utilities — 4.3%

 

American Electric Power Co., Inc.

     52        4,867  

Entergy Corp.

     67        7,991  

Exelon Corp.

     472        21,532  

FirstEnergy Corp.

     40        1,964  

OGE Energy Corp.

     116        5,145  

Southern Co. (The)

     18        1,121  
    

 

 

  
       42,620  
    

 

 

  

Equity Real Estate Investment Trusts (REITs) — 5.2%

 

American Tower Corp.

     53        12,112  

Essex Property Trust, Inc.

     25        7,582  

Extra Space Storage, Inc.

     74        7,763  

Invitation Homes, Inc.

     262        7,837  

Mid-America Apartment Communities, Inc.

     17        2,229  

Paramount Group, Inc.

     596        8,299  

SL Green Realty Corp.

     17        1,580  

STORE Capital Corp.

     123        4,569  
    

 

 

  
       51,971  
    

 

 

  

Food & Staples Retailing — 1.2%

 

Walgreens Boots Alliance, Inc.

     163        9,611  

Walmart, Inc.

     17        2,008  
    

 

 

  
       11,619  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         21  

Table of Contents

JPMorgan Intrepid Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Common Stocks — continued

     

Food Products — 2.3%

 

General Mills, Inc.

     119        6,389  

Pilgrim’s Pride Corp. *

     264        8,640  

Tyson Foods, Inc., Class A

     87        7,948  
    

 

 

  
       22,977  
    

 

 

  

Health Care Equipment & Supplies — 0.6%

 

Hologic, Inc. *

     115        5,988  
    

 

 

  

Health Care Providers & Services — 3.5%

 

Anthem, Inc.

     43        12,867  

DaVita, Inc. *

     102        7,623  

McKesson Corp.

     33        4,578  

UnitedHealth Group, Inc.

     34        9,966  
    

 

 

  
       35,034  
    

 

 

  

Hotels, Restaurants & Leisure — 1.9%

 

Starbucks Corp.

     211        18,560  
    

 

 

  

Household Durables — 1.1%

 

PulteGroup, Inc.

     203        7,888  

Toll Brothers, Inc.

     80        3,161  
    

 

 

  
       11,049  
    

 

 

  

Household Products — 1.8%

 

Procter & Gamble Co. (The)

     144        17,986  
    

 

 

  

Independent Power and Renewable Electricity Producers — 1.9%

 

AES Corp.

     199        3,956  

NRG Energy, Inc.

     203        8,081  

Vistra Energy Corp.

     300        6,900  
    

 

 

  
       18,937  
    

 

 

  

Industrial Conglomerates — 0.8%

 

Carlisle Cos., Inc.

     49        7,930  
    

 

 

  

Insurance — 6.5%

 

Allstate Corp. (The)

     128        14,382  

Aon plc

     28        5,874  

Fidelity National Financial, Inc.

     169        7,642  

MetLife, Inc.

     88        4,490  

Primerica, Inc.

     57        7,442  

Progressive Corp. (The)

     83        5,994  

Travelers Cos., Inc. (The)

     138        18,858  
    

 

 

  
       64,682  
    

 

 

  

Internet & Direct Marketing Retail — 1.1%

 

eBay, Inc.

     217        7,829  

Expedia Group, Inc.

     26        2,768  
    

 

 

  
       10,597  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  
    

IT Services — 1.6%

 

KBR, Inc.

     175        5,341  

Leidos Holdings, Inc.

     84        8,262  

Visa, Inc., Class A

     13        2,461  
    

 

 

  
       16,064  
    

 

 

  

Life Sciences Tools & Services — 0.8%

 

IQVIA Holdings, Inc. *

     49        7,525  
    

 

 

  
    

Machinery — 0.7%

     

Cummins, Inc.

     41        7,284  
    

 

 

  

Media — 6.0%

 

Altice USA, Inc., Class A *

     277        7,568  

AMC Networks, Inc., Class A *

     75        2,958  

Comcast Corp., Class A

     628        28,228  

Nexstar Media Group, Inc., Class A

     78        9,110  

Omnicom Group, Inc.

     57        4,634  

Sinclair Broadcast Group, Inc., Class A

     220        7,325  
    

 

 

  
       59,823  
    

 

 

  

Multiline Retail — 0.6%

 

Target Corp.

     43        5,564  
    

 

 

  

Oil, Gas & Consumable Fuels — 8.3%

 

Cabot Oil & Gas Corp.

     94        1,630  

Chevron Corp.

     272        32,773  

ConocoPhillips

     206        13,403  

CVR Energy, Inc. (a)

     45        1,823  

EOG Resources, Inc.

     29        2,412  

HollyFrontier Corp.

     136        6,917  

PBF Energy, Inc., Class A

     57        1,775  

Phillips 66

     104        11,587  

Valero Energy Corp.

     116        10,891  
    

 

 

  
       83,211  
    

 

 

  

Paper & Forest Products — 0.4%

 

Domtar Corp.

     100        3,809  
    

 

 

  

Personal Products — 0.8%

 

Herbalife Nutrition Ltd. *

     176        8,390  
    

 

 

  

Pharmaceuticals — 4.3%

 

Allergan plc

     33        6,251  

Bristol-Myers Squibb Co.

     237        15,220  

Jazz Pharmaceuticals plc *

     58        8,718  

Johnson & Johnson

     67        9,817  

Mylan NV *

     131        2,629  
    

 

 

  
       42,635  
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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

Common Stocks — continued

     

Professional Services — 0.7%

 

FTI Consulting, Inc. *

     60        6,673  
    

 

 

  

Road & Rail — 0.7%

 

CSX Corp.

     96        6,968  
    

 

 

  

Semiconductors & Semiconductor Equipment — 3.8%

 

Applied Materials, Inc.

     25        1,550  

Lam Research Corp.

     36        10,380  

Micron Technology, Inc. *

     33        1,759  

NXP Semiconductors NV (Netherlands)

     131        16,620  

QUALCOMM, Inc.

     86        7,553  
    

 

 

  
       37,862  
    

 

 

  

Software — 1.5%

 

Oracle Corp.

     277        14,660  
    

 

 

  

Specialty Retail — 0.6%

 

AutoZone, Inc. *

     5        6,314  
    

 

 

  

Technology Hardware, Storage & Peripherals — 0.4%

 

Apple, Inc.

     15        4,258  
    

 

 

  

Tobacco — 1.1%

 

Altria Group, Inc.

     212        10,596  
    

 

 

  

Trading Companies & Distributors — 0.5%

 

United Rentals, Inc. *

     31        5,203  
    

 

 

  

Total Common Stocks
(Cost $809,970)

 

      964,700  
  

 

 

  
     NO. OF
RIGHTS
(000)		          

Rights — 0.0% (b)

 

Pharmaceuticals — 0.0% (b)

 

Bristol-Myers Squibb Co., CVR, expiring 12/31/2020 *
(Cost $30)

     14        43  
    

 

 

  
INVESTMENTS   SHARES
(000)		      VALUE
($000)		  

Short-Term Investments — 3.8%

 

Investment Companies — 3.4%

 

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (c) (d)
(Cost $34,565)

     34,554        34,565  
    

 

 

  

Investment of Cash Collateral from Securities Loaned — 0.4%

 

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (c) (d)

     2,003        2,003  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (c) (d)

     1,703        1,704  
    

 

 

  

Total Investment of Cash Collateral from
Securities Loaned
(Cost $3,707)

 

      3,707  
    

 

 

  

Total Short-Term Investments
(Cost $38,272)

 

      38,272  
    

 

 

  

Total Investments — 100.4%
(Cost $848,272)

 

      1,003,015  

Liabilities in Excess of
Other Assets — (0.4)%

 

      (4,284 ) 
    

 

 

  

NET ASSETS — 100.0%

 

      998,731  
  

 

 

  
  

 

Percentages indicated are based on net assets.

Abbreviations

 

CVR   Contingent Value Rights
(a)   The security or a portion of this security is on loan at December 31, 2019. The total value of securities on loan at December 31, 2019 is approximately $3,649,000.
(b)   Amount rounds to less than 0.1% of net assets.
(c)   Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)   The rate shown is the current yield as of December 31, 2019.
*   Non-income producing security.
 

 

Futures contracts outstanding as of December 31, 2019 (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

        199          03/2020          USD          32,158          543  
                        

 

 

  

 

Abbreviations

USD

   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         23  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands, except per share amounts)

 

       

JPMorgan
Intrepid
Growth

Fund

      JPMorgan
Intrepid
Mid Cap
Fund		  

ASSETS:

        

Investments in non-affiliates, at value

      $ 1,135,682      $ 489,029  

Investments in affiliates, at value

        20,958        4,843  

Investment of cash collateral received from securities loaned, at value (See Note 2.C.)

        —        4,328  

Cash

        38        19  

Deposits at broker for futures contracts

        981        387  

Receivables:

        

Investment securities sold

        3,377        10,626  

Fund shares sold

        731        455  

Dividends from non-affiliates

        575        542  

Dividends from affiliates

        1        — (a) 

Securities lending income (See Note 2.C.)

        — (a)       10  

Variation margin on futures contracts

        53        4  
    

 

 

     

 

 

  

Total Assets

        1,162,396        510,243  
    

 

 

     

 

 

  

LIABILITIES:

        

Payables:

        

Investment securities purchased

        4,530        —  

Collateral received on securities loaned (See Note 2.C.)

        —        4,328  

Fund shares redeemed

        501        8,522  

Accrued liabilities:

        

Investment advisory fees

        256        221  

Administration fees

        51        24  

Distribution fees

        65        69  

Service fees

        85        83  

Custodian and accounting fees

        9        10  

Audit fees

        10        9  

Legal fees

        —        — (a) 

Other

        60        107  
    

 

 

     

 

 

  

Total Liabilities

        5,567        13,373  
    

 

 

     

 

 

  

Net Assets

      $ 1,156,829      $ 496,870  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents
     

JPMorgan
Intrepid
Growth

Fund

        JPMorgan
Intrepid
Mid Cap
Fund		  

NET ASSETS:

        

Paid-in-Capital

    $ 795,672        $ 383,295  

Total distributable earnings (loss)

      361,157          113,575  
  

 

 

       

 

 

  

Total Net Assets

    $ 1,156,829        $ 496,870  
  

 

 

       

 

 

  

Net Assets:

        

Class A

    $ 106,187        $ 192,223  

Class C

      36,614          38,471  

Class I

      156,931          163,896  

Class R2

      45,678          —  

Class R3

      —          14,643  

Class R4

      —          1,212  

Class R5

      195,931          —  

Class R6

      615,488          86,425  
  

 

 

       

 

 

  

Total

    $ 1,156,829        $ 496,870  
  

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

        

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

        

Class A

      1,938          10,834  

Class C

      683          2,779  

Class I

      2,811          8,588  

Class R2

      856          —  

Class R3

      —          831  

Class R4

      —          64  

Class R5

      3,568          —  

Class R6

      11,213          4,531  

Net Asset Value (a):

        

Class A — Redemption price per share

    $ 54.78        $ 17.74  

Class C — Offering price per share (b)

      53.62          13.84  

Class I — Offering and redemption price per share

      55.82          19.08  

Class R2 — Offering and redemption price per share

      53.36          —  

Class R3 — Offering and redemption price per share

      —          17.62  

Class R4 — Offering and redemption price per share

      —          19.00  

Class R5 — Offering and redemption price per share

      54.92          —  

Class R6 — Offering and redemption price per share

      54.89          19.07  

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)]

    $ 57.82        $ 18.72  
  

 

 

       

 

 

  

Cost of investments in non-affiliates

    $ 793,765        $ 389,138  

Cost of investments in affiliates

      20,958          4,843  

Investment securities on loan, at value (See Note 2.C.)

      —          4,362  

Cost of investment of cash collateral (See Note 2.C.)

      —          4,328  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         25  

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

(Amounts in thousands, except per share amounts)

 

        JPMorgan
Intrepid
Sustainable
Equity Fund		     

JPMorgan
Intrepid
Value

Fund

  

ASSETS:

 

Investments in non-affiliates, at value

      $ 35,637      $ 964,743  

Investments in affiliates, at value

        1,213        34,565  

Investment of cash collateral received from securities loaned, at value (See Note 2.C.)

        —        3,707  

Cash

        1        51  

Deposits at broker for futures contracts

        72        1,365  

Receivables:

        

Fund shares sold

        5        1,930  

Dividends from non-affiliates

        26        944  

Dividends from affiliates

        — (a)       2  

Securities lending income (See Note 2.C.)

        —        1  

Variation margin on futures contracts

        3        85  
    

 

 

     

 

 

  

Total Assets

        36,957        1,007,393  
    

 

 

     

 

 

  

LIABILITIES:

 

Payables:

        

Investment securities purchased

        —        2,893  

Collateral received on securities loaned (See Note 2.C.)

        —        3,707  

Fund shares redeemed

        20        1,453  

Accrued liabilities:

        

Investment advisory fees

        —        211  

Administration fees

        —        38  

Distribution fees

        5        26  

Service fees

        4        175  

Custodian and accounting fees

        6        7  

Trustees’ and Chief Compliance Officer’s fees

        1        —  

Registration fees

        10        —  

Audit fees

        13        10  

Legal fees

        8        — (a) 

Other

        6        142  
    

 

 

     

 

 

  

Total Liabilities

        73        8,662  
    

 

 

     

 

 

  

Net Assets

      $ 36,884      $ 998,731  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents
        JPMorgan
Intrepid
Sustainable
Equity Fund		        JPMorgan
Intrepid
Value
Fund		  

NET ASSETS:

          

Paid-in-Capital

      $ 29,270        $ 840,724  

Total distributable earnings (loss)

        7,614          158,007  
    

 

 

       

 

 

  

Total Net Assets

      $ 36,884        $ 998,731  
    

 

 

       

 

 

  

Net Assets:

          

Class A

      $ 12,872        $ 66,701  

Class C

        3,085          16,498  

Class I

        20,927          731,298  

Class R2

        —          3,826  

Class R5

        —          14,953  

Class R6

        —          165,455  
    

 

 

       

 

 

  

Total

      $ 36,884        $ 998,731  
    

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

          

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

          

Class A

        298          2,137  

Class C

        73          538  

Class I

        482          23,274  

Class R2

        —          124  

Class R5

        —          474  

Class R6

        —          5,245  

Net Asset Value (a):

          

Class A — Redemption price per share

      $ 43.16        $ 31.21  

Class C — Offering price per share (b)

        42.30          30.65  

Class I — Offering and redemption price per share

        43.45          31.42  

Class R2 — Offering and redemption price per share

        —          30.89  

Class R5 — Offering and redemption price per share

        —          31.54  

Class R6 — Offering and redemption price per share

        —          31.55  

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)]

      $ 45.55        $ 32.94  
    

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 27,931        $ 810,000  

Cost of investments in affiliates

        1,213          34,565  

Investment securities on loan, at value (See Note 2.C.)

        —          3,649  

Cost of investment of cash collateral (See Note 2.C.)

        —          3,707  

 

(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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         27  

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2019 (Unaudited)

(Amounts in thousands)

 

        JPMorgan
Intrepid
Growth
Fund		      JPMorgan
Intrepid
Mid Cap
Fund		  

INVESTMENT INCOME:

        

Interest income from non-affiliates

      $ 11      $ 5  

Interest income from affiliates

        — (a)       — (a) 

Dividend income from non-affiliates

        7,123        3,845  

Dividend income from affiliates

        264        113  

Income from securities lending (net) (See Note 2.C.)

        7        40  
    

 

 

     

 

 

  

Total investment income

        7,405        4,003  
    

 

 

     

 

 

  

EXPENSES:

        

Investment advisory fees

        1,924        1,452  

Administration fees

        431        192  

Distribution fees:

        

Class A

        130        247  

Class C

        135        150  

Class R2

        112        —  

Class R3

        —        19  

Service fees:

        

Class A

        130        247  

Class C

        45        50  

Class I

        201        217  

Class R2

        56        —  

Class R3

        —        19  

Class R4

        —        2  

Class R5

        96        —  

Custodian and accounting fees

        23        19  

Interest expense to affiliates

        — (a)       — (a) 

Professional fees

        33        29  

Trustees’ and Chief Compliance Officer’s fees

        15        14  

Printing and mailing costs

        8        38  

Registration and filing fees

        53        60  

Transfer agency fees (See Note 2.F.)

        37        38  

Other

        12        9  
    

 

 

     

 

 

  

Total expenses

        3,441        2,802  
    

 

 

     

 

 

  

Less fees waived

        (596 )       (220 ) 

Less expense reimbursements

        —        (1 ) 
    

 

 

     

 

 

  

Net expenses

        2,845        2,581  
    

 

 

     

 

 

  

Net investment income (loss)

        4,560        1,422  
    

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

        

Net realized gain (loss) on transactions from:

        

Investments in non-affiliates

        43,309        44,957  

Investments in affiliates

        (4 )       (1 ) 

Futures contracts

        3,500        828  
    

 

 

     

 

 

  

Net realized gain (loss)

        46,805        45,784  
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

        

Investments in non-affiliates

        53,972        (3,098 ) 

Investments in affiliates

        (2 )       (1 ) 

Futures contracts

        66        (41 ) 
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        54,036        (3,140 ) 
    

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        100,841        42,644  
    

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 105,401      $ 44,066  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents
        JPMorgan
Intrepid
Sustainable
Equity Fund		      JPMorgan
Intrepid
Value
Fund		  

INVESTMENT INCOME:

        

Interest income from non-affiliates

      $ 1      $ 11  

Interest income from affiliates

        —        — (a) 

Dividend income from non-affiliates

        318        10,560  

Dividend income from affiliates

        11        278  

Income from securities lending (net) (See Note 2.C.)

        —        6  
    

 

 

     

 

 

  

Total investment income

        330        10,855  
    

 

 

     

 

 

  

EXPENSES:

        

Investment advisory fees

        77        1,542  

Administration fees

        13        364  

Distribution fees:

        

Class A

        15        87  

Class C

        11        67  

Class R2

        —        10  

Service fees:

        

Class A

        15        87  

Class C

        4        23  

Class I

        24        880  

Class R2

        —        5  

Class R5

        —        23  

Custodian and accounting fees

        15        21  

Interest expense to affiliates

        —        — (a) 

Professional fees

        25        32  

Trustees’ and Chief Compliance Officer’s fees

        13        15  

Printing and mailing costs

        5        58  

Registration and filing fees

        27        54  

Transfer agency fees (See Note 2.F.)

        3        16  

Other

        1        11  
    

 

 

     

 

 

  

Total expenses

        248        3,295  
    

 

 

     

 

 

  

Less fees waived

        (122 )       (480 ) 

Less expense reimbursements

        (1 )       (2 ) 
    

 

 

     

 

 

  

Net expenses

        125        2,813  
    

 

 

     

 

 

  

Net investment income (loss)

        205        8,042  
    

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

        

Net realized gain (loss) on transactions from:

 

Investments in non-affiliates

        93        31,908  

Investments in affiliates

        — (a)       (2 ) 

Futures contracts

        107        2,606  
    

 

 

     

 

 

  

Net realized gain (loss)

        200        34,512  
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

        

Investments in non-affiliates

        3,118        23,455  

Investments in affiliates

        — (a)       — (a) 

Futures contracts

        3        416  
    

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        3,121        23,871  
    

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        3,321        58,383  
    

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 3,526      $ 66,425  
    

 

 

     

 

 

  

 

(a)

Amount rounds to less than one thousand.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         29  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       JPMorgan Intrepid Growth Fund        JPMorgan Intrepid Mid Cap Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                    

Net investment income (loss)

      $ 4,560        $ 13,040        $ 1,422        $ 3,897  

Net realized gain (loss)

        46,805          139,379          45,784          67,943  

Change in net unrealized appreciation/depreciation

        54,036          (69,695 )         (3,140 )         (69,436 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        105,401          82,724          44,066          2,404  
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

        (12,262 )         (10,076 )         (21,131 )         (46,279 ) 

Class C

        (4,180 )         (3,578 )         (5,115 )         (12,486 ) 

Class I

        (18,221 )         (20,749 )         (17,337 )         (46,107 ) 

Class R2

        (5,271 )         (4,245 )         —          —  

Class R3

        —          —          (1,616 )         (3,226 ) 

Class R4

        —          —          (132 )         (191 ) 

Class R5

        (23,132 )         (20,788 )         —          —  

Class R6

        (73,479 )         (60,741 )         (9,366 )         (13,230 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (136,545 )         (120,177 )         (54,697 )         (121,519 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                    

Change in net assets resulting from capital transactions

        39,635          16,197          (21,732 )         (168,175 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

                    

Change in net assets

        8,491          (21,256 )         (32,363 )         (287,290 ) 

Beginning of period

        1,148,338          1,169,594          529,233          816,523  
    

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 1,156,829        $ 1,148,338        $ 496,870        $ 529,233  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Intrepid Sustainable Equity Fund        JPMorgan Intrepid Value Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                    

Net investment income (loss)

      $ 205        $ 329        $ 8,042        $ 19,043  

Net realized gain (loss)

        200          2,392          34,512          88,982  

Change in net unrealized appreciation/depreciation

        3,121          (180 )         23,871          (66,169 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from operations

        3,526          2,541          66,425          41,856  
    

 

 

       

 

 

       

 

 

       

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                    

Class A

        (858 )         (747 )         (4,816 )         (9,987 ) 

Class C

        (204 )         (214 )         (1,217 )         (2,585 ) 

Class I

        (1,447 )         (880 )         (52,561 )         (96,496 ) 

Class R2

        —          —          (271 )         (579 ) 

Class R5

        —          —          (3,233 )         (10,610 ) 

Class R6

        —          —          (9,747 )         (15,052 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total distributions to shareholders

        (2,509 )         (1,841 )         (71,845 )         (135,309 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

CAPITAL TRANSACTIONS:

                    

Change in net assets resulting from capital transactions

        5,182          8,039          26,773          (27,032 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

NET ASSETS:

                    

Change in net assets

        6,199          8,739          21,353          (120,485 ) 

Beginning of period

        30,685          21,946          977,378          1,097,863  
    

 

 

       

 

 

       

 

 

       

 

 

  

End of period

      $ 36,884        $ 30,685        $ 998,731        $ 977,378  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         31  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Intrepid Growth Fund        JPMorgan Intrepid Mid Cap Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 9,339        $ 23,602        $ 7,208        $ 29,916  

Distributions reinvested

        8,614          6,926          19,511          40,963  

Cost of shares redeemed

        (15,852 )         (24,982 )         (34,373 )         (134,149 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 2,101        $ 5,546        $ (7,654 )       $ (63,270 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 1,740        $ 5,263        $ 712        $ 4,428  

Distributions reinvested

        3,299          2,906          4,866          11,150  

Cost of shares redeemed

        (3,326 )         (8,391 )         (7,698 )         (23,180 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ 1,713        $ (222 )       $ (2,120 )       $ (7,602 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Proceeds from shares issued

      $ 11,739        $ 42,963        $ 14,733        $ 46,939  

Distributions reinvested

        16,565          19,170          15,360          39,134  

Cost of shares redeemed

        (30,938 )         (86,816 )         (52,553 )         (146,883 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ (2,634 )       $ (24,683 )       $ (22,460 )       $ (60,810 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Proceeds from shares issued

      $ 5,274        $ 13,480        $ —        $ —  

Distributions reinvested

        5,051          3,834          —          —  

Cost of shares redeemed

        (8,410 )         (11,486 )         —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ 1,915        $ 5,828        $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R3

                    

Proceeds from shares issued

      $ —        $ —        $ 2,600        $ 5,800  

Distributions reinvested

        —          —          1,599          2,914  

Cost of shares redeemed

        —          —          (4,673 )         (3,876 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R3 capital transactions

      $ —        $ —        $ (474 )       $ 4,838  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R4

                    

Proceeds from shares issued

      $ —        $ —        $ 70        $ 419  

Distributions reinvested

        —          —          105          191  

Cost of shares redeemed

        —          —          (141 )         (417 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R4 capital transactions

      $ —        $ —        $ 34        $ 193  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Proceeds from shares issued

      $ 7,838        $ 22,080        $ —        $ —  

Distributions reinvested

        23,131          19,502          —          —  

Cost of shares redeemed

        (23,982 )         (41,585 )         —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ 6,987        $ (3 )       $ —        $ —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ 21,394        $ 52,907        $ 15,865        $ 52,306  

Distributions reinvested

        68,077          56,881          7,917          12,629  

Cost of shares redeemed

        (59,918 )         (80,057 )         (12,840 )         (106,459 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ 29,553        $ 29,731        $ 10,942        $ (41,524 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 39,635        $ 16,197        $ (21,732 )       $ (168,175 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Intrepid Growth Fund        JPMorgan Intrepid Mid Cap Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

                    

Class A

                    

Issued

        166          427          394          1,581  

Reinvested

        160          136          1,108          2,426  

Redeemed

        (278 )         (436 )         (1,862 )         (6,614 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        48          127          (360 )         (2,607 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Issued

        32          97          50          287  

Reinvested

        63          58          355          821  

Redeemed

        (60 )         (152 )         (524 )         (1,483 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        35          3          (119 )         (375 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Issued

        201          747          744          2,306  

Reinvested

        300          371          810          2,168  

Redeemed

        (526 )         (1,560 )         (2,655 )         (7,149 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        (25 )         (442 )         (1,101 )         (2,675 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Issued

        95          244          —          —  

Reinvested

        96          77          —          —  

Redeemed

        (151 )         (208 )         —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R2 Shares

        40          113          —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R3

                    

Issued

        —          —          140          284  

Reinvested

        —          —          91          173  

Redeemed

        —          —          (253 )         (213 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R3 Shares

        —          —          (22 )         244  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R4

                    

Issued

        —          —          3          23  

Reinvested

        —          —          6          11  

Redeemed

        —          —          (7 )         (20 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R4 Shares

        —          —          2          14  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Issued

        138          387          —          —  

Reinvested

        425          383          —          —  

Redeemed

        (419 )         (743 )         —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R5 Shares

        144          27          —          —  
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Issued

        377          951          803          2,722  

Reinvested

        1,251          1,116          416          698  

Redeemed

        (1,019 )         (1,391 )         (655 )         (4,759 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        609          676          564          (1,339 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         33  

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

       JPMorgan Intrepid Sustainable Equity Fund        JPMorgan Intrepid Value Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 1,464        $ 2,348        $ 3,349        $ 11,985  

Distributions reinvested

        837          718          4,389          9,196  

Cost of shares redeemed

        (618 )         (1,953 )         (13,606 )         (27,574 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ 1,683        $ 1,113        $ (5,868 )       $ (6,393 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 165        $ 525        $ 210        $ 1,402  

Distributions reinvested

        187          197          1,147          2,461  

Cost of shares redeemed

        (310 )         (1,137 )         (3,889 )         (6,446 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ 42        $ (415 )       $ (2,532 )       $ (2,583 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Proceeds from shares issued

      $ 3,855        $ 9,527        $ 88,746        $ 264,946  

Distributions reinvested

        1,446          879          52,459          96,262  

Cost of shares redeemed

        (1,844 )         (3,065 )         (104,692 )         (367,734 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class I capital transactions

      $ 3,457        $ 7,341        $ 36,513        $ (6,526 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Proceeds from shares issued

      $ —        $ —        $ 467        $ 1,113  

Distributions reinvested

        —          —          187          330  

Cost of shares redeemed

        —          —          (1,257 )         (2,425 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ —        $ —        $ (603 )       $ (982 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Proceeds from shares issued

      $ —        $ —        $ 1,862        $ 11,721  

Distributions reinvested

        —          —          3,233          10,610  

Cost of shares redeemed

        —          —          (38,903 )         (55,669 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ —        $ —        $ (33,808 )       $ (33,338 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ —        $ —        $ 42,425        $ 30,950  

Distributions reinvested

        —          —          9,740          15,044  

Cost of shares redeemed

        —          —          (19,094 )         (23,204 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ —        $ —        $ 33,071        $ 22,790  
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ 5,182        $ 8,039        $ 26,773        $ (27,032 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents
       JPMorgan Intrepid Sustainable Equity Fund        JPMorgan Intrepid Value Fund  
        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		        Six Months Ended
December 31, 2019
(Unaudited)		        Year Ended
June 30, 2019		  

SHARE TRANSACTIONS:

                    

Class A

                    

Issued

        34          58          106          363  

Reinvested

        20          19          142          314  

Redeemed

        (15 )         (48 )         (431 )         (859 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class A Shares

        39          29          (183 )         (182 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Issued

        4          14          7          47  

Reinvested

        4          5          38          85  

Redeemed

        (7 )         (28 )         (126 )         (208 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class C Shares

        1          (9 )         (81 )         (76 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class I

                    

Issued

        90          235          2,805          8,250  

Reinvested

        33          23          1,684          3,260  

Redeemed

        (42 )         (78 )         (3,322 )         (11,663 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class I Shares

        81          180          1,167          (153 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Issued

        —          —          15          36  

Reinvested

        —          —          6          11  

Redeemed

        —          —          (40 )         (73 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R2 Shares

        —          —          (19 )         (26 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Issued

        —          —          58          353  

Reinvested

        —          —          104          358  

Redeemed

        —          —          (1,229 )         (1,777 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R5 Shares

        —          —          (1,067 )         (1,066 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Issued

        —          —          1,341          992  

Reinvested

        —          —          311          507  

Redeemed

        —          —          (598 )         (719 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in Class R6 Shares

        —          —          1,054          780  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         35  

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 Growth Fund

                

Class A

                

Six Months Ended December 31, 2019 (Unaudited)

    $ 56.61      $ 0.13     $ 5.05     $ 5.18     $ (0.34 )    $ (6.67 )    $ (7.01 ) 

Year Ended June 30, 2019

      59.09        0.45       3.01       3.46       (0.30 )      (5.64 )      (5.94 ) 

Year Ended June 30, 2018

      48.60        0.23       10.51       10.74       (0.25 )      —       (0.25 ) 

Year Ended June 30, 2017

      40.37        0.22       8.27       8.49       (0.26 )      —       (0.26 ) 

Year Ended June 30, 2016

      40.99        0.27       (0.63 )      (0.36 )      (0.26 )      —       (0.26 ) 

Year Ended June 30, 2015

      37.05        0.25       3.88       4.13       (0.19 )      —       (0.19 ) 

Class C

                

Six Months Ended December 31, 2019 (Unaudited)

      55.45        (0.01 )      4.94       4.93       (0.09 )      (6.67 )      (6.76 ) 

Year Ended June 30, 2019

      58.00        0.16       2.97       3.13       (0.04 )      (5.64 )      (5.68 ) 

Year Ended June 30, 2018

      47.72        (0.04 )      10.32       10.28       —       —       —  

Year Ended June 30, 2017

      39.63        — (f)      8.13       8.13       (0.04 )      —       (0.04 ) 

Year Ended June 30, 2016

      40.26        0.07       (0.61 )      (0.54 )      (0.09 )      —       (0.09 ) 

Year Ended June 30, 2015

      36.45        0.05       3.81       3.86       (0.05 )      —       (0.05 ) 

Class I

                

Six Months Ended December 31, 2019 (Unaudited)

      57.60        0.21       5.14       5.35       (0.46 )      (6.67 )      (7.13 ) 

Year Ended June 30, 2019

      60.04        0.60       3.05       3.65       (0.45 )      (5.64 )      (6.09 ) 

Year Ended June 30, 2018

      49.34        0.38       10.68       11.06       (0.36 )      —       (0.36 ) 

Year Ended June 30, 2017

      40.99        0.34       8.40       8.74       (0.39 )      —       (0.39 ) 

Year Ended June 30, 2016

      41.27        0.29       (0.55 )      (0.26 )      (0.02 )      —       (0.02 ) 

Year Ended June 30, 2015

      37.23        0.32       3.93       4.25       (0.21 )      —       (0.21 ) 

Class R2

                

Six Months Ended December 31, 2019 (Unaudited)

      55.27        0.06       4.92       4.98       (0.22 )      (6.67 )      (6.89 ) 

Year Ended June 30, 2019

      57.95        0.30       2.93       3.23       (0.27 )      (5.64 )      (5.91 ) 

Year Ended June 30, 2018

      47.66        0.09       10.31       10.40       (0.11 )      —       (0.11 ) 

Year Ended June 30, 2017

      39.66        0.11       8.12       8.23       (0.23 )      —       (0.23 ) 

Year Ended June 30, 2016

      40.39        0.19       (0.63 )      (0.44 )      (0.29 )      —       (0.29 ) 

Year Ended June 30, 2015

      36.49        0.12       3.85       3.97       (0.07 )      —       (0.07 ) 

Class R5

                

Six Months Ended December 31, 2019 (Unaudited)

      56.82        0.25       5.07       5.32       (0.55 )      (6.67 )      (7.22 ) 

Year Ended June 30, 2019

      59.32        0.68       2.99       3.67       (0.53 )      (5.64 )      (6.17 ) 

Year Ended June 30, 2018

      48.76        0.46       10.56       11.02       (0.46 )      —       (0.46 ) 

Year Ended June 30, 2017

      40.51        0.42       8.29       8.71       (0.46 )      —       (0.46 ) 

Year Ended June 30, 2016

      41.12        0.45       (0.62 )      (0.17 )      (0.44 )      —       (0.44 ) 

Year Ended June 30, 2015

      37.09        0.41       3.91       4.32       (0.29 )      —       (0.29 ) 

Class R6

                

Six Months Ended December 31, 2019 (Unaudited)

      56.81        0.28       5.08       5.36       (0.61 )      (6.67 )      (7.28 ) 

Year Ended June 30, 2019

      59.32        0.74       2.98       3.72       (0.59 )      (5.64 )      (6.23 ) 

Year Ended June 30, 2018

      48.74        0.51       10.56       11.07       (0.49 )      —       (0.49 ) 

Year Ended June 30, 2017

      40.50        0.44       8.29       8.73       (0.49 )      —       (0.49 ) 

November 2, 2015 (h) through June 30, 2016

      42.20        0.36       (1.60 )      (1.24 )      (0.46 )      —       (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)

Amount rounds to less than $0.005.

(g)

Amount rounds to less than 0.005%.

(h)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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)

  
           
           
$ 54.78       9.40 %    $ 106,187       0.84 %      0.45 %      0.95 %      40 % 
  56.61       7.06       106,993       0.84       0.79       1.12       95  
  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  
           
  53.62       9.13       36,614       1.34       (0.05 )      1.44       40  
  55.45       6.51       35,931       1.34       0.29       1.61       95  
  58.00       21.54       37,416       1.36       (0.08 )      1.61       69  
  47.72       20.52       42,811       1.41       0.00 (g)      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  
           
  55.82       9.53       156,931       0.59       0.70       0.69       40  
  57.60       7.33       163,324       0.59       1.04       0.86       95  
  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  
           
  53.36       9.27       45,678       1.09       0.20       1.28       40  
  55.27       6.78       45,086       1.09       0.54       1.49       95  
  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  
           
  54.92       9.62       195,931       0.44       0.85       0.54       40  
  56.82       7.48       194,550       0.44       1.19       0.71       95  
  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  
           
  54.89       9.69       615,488       0.34       0.95       0.44       40  
  56.81       7.59       602,454       0.34       1.29       0.61       95  
  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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         37  

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

                

Six Months Ended December 31, 2019 (Unaudited)

    $ 18.24      $ 0.04     $ 1.58     $ 1.62     $ (0.09 )    $ (2.03 )    $ (2.12 ) 

Year Ended June 30, 2019

      22.76        0.10       (0.28 )      (0.18 )      (0.08 )      (4.26 )      (4.34 ) 

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 ) 

Class C

                

Six Months Ended December 31, 2019 (Unaudited)

      14.64        (0.01 )      1.26       1.25       (0.02 )      (2.03 )      (2.05 ) 

Year Ended June 30, 2019

      19.23        — (f)      (0.30 )      (0.30 )      (0.03 )      (4.26 )      (4.29 ) 

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 ) 

Class I

                

Six Months Ended December 31, 2019 (Unaudited)

      19.48        0.07       1.68       1.75       (0.12 )      (2.03 )      (2.15 ) 

Year Ended June 30, 2019

      24.01        0.16       (0.29 )      (0.13 )      (0.14 )      (4.26 )      (4.40 ) 

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 ) 

Class R3

                

Six Months Ended December 31, 2019 (Unaudited)

      18.12        0.04       1.58       1.62       (0.09 )      (2.03 )      (2.12 ) 

Year Ended June 30, 2019

      22.70        0.11       (0.31 )      (0.20 )      (0.12 )      (4.26 )      (4.38 ) 

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

                

Six Months Ended December 31, 2019 (Unaudited)

      19.41        0.07       1.68       1.75       (0.13 )      (2.03 )      (2.16 ) 

Year Ended June 30, 2019

      23.95        0.16       (0.29 )      (0.13 )      (0.15 )      (4.26 )      (4.41 ) 

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

                

Six Months Ended December 31, 2019 (Unaudited)

      19.49        0.10       1.69       1.79       (0.18 )      (2.03 )      (2.21 ) 

Year Ended June 30, 2019

      24.04        0.21       (0.30 )      (0.09 )      (0.20 )      (4.26 )      (4.46 ) 

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)

Amount rounds to less than 0.005%.

(h)

Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		    

Total return
(excludes

sales charge) (c)(d)

     Net assets,
end of
period
(000’s)		     Net
expenses (e)		    

Net
investment

income
(loss)

         
Expenses without
waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)		  
           
           
$ 17.74       9.02 %    $ 192,223       1.14 %      0.43 %      1.24 %      41 % 
  18.24       0.81       204,131       1.14       0.49       1.31       82  
  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  
           
  13.84       8.77       38,471       1.64       (0.08 )      1.73       41  
  14.64       0.24       42,429       1.64       0.00 (g)      1.79       82  
  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  
           
  19.08       9.16       163,896       0.89       0.67       0.97       41  
  19.48       1.05       188,694       0.89       0.75       1.04       82  
  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  
           
  17.62       9.10       14,643       1.14       0.43       1.21       41  
  18.12       0.76       15,456       1.14       0.55       1.29       82  
  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  
           
  19.00       9.18       1,212       0.89       0.70       0.97       41  
  19.41       1.06       1,202       0.89       0.76       1.04       82  
  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  
           
  19.07       9.33       86,425       0.64       0.96       0.71       41  
  19.49       1.28       77,321       0.64       0.98       0.80       82  
  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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         39  

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 Sustainable Equity Fund

                   

Class A

                   

Six Months Ended December 31, 2019 (Unaudited)

    $ 41.85      $ 0.24     $ 4.15     $ 4.39      $ (0.43 )     $ (2.65 )     $ (3.08 ) 

Year Ended June 30, 2019

      41.28        0.50       3.21       3.71        (0.41 )       (2.73 )       (3.14 ) 

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 (f)      (0.87 )(f)      (0.25 )       (0.56 )       —        (0.56 ) 

Year Ended June 30, 2015

      31.93        0.28       2.02       2.30        (0.22 )       —        (0.22 ) 

Class C

 

Six Months Ended December 31, 2019 (Unaudited)

      40.98        0.13       4.06       4.19        (0.22 )       (2.65 )       (2.87 ) 

Year Ended June 30, 2019

      40.44        0.29       3.16       3.45        (0.18 )       (2.73 )       (2.91 ) 

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 (f)      (0.85 )(f)      (0.41 )       (0.40 )       —        (0.40 ) 

Year Ended June 30, 2015

      31.38        0.12       1.98       2.10        (0.19 )       —        (0.19 ) 

Class I

 

Six Months Ended December 31, 2019 (Unaudited)

      42.15        0.30       4.17       4.47        (0.52 )       (2.65 )       (3.17 ) 

Year Ended June 30, 2019

      41.56        0.60       3.23       3.83        (0.51 )       (2.73 )       (3.24 ) 

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 (f)      (0.86 )(f)      (0.18 )       (0.64 )       —        (0.64 ) 

Year Ended June 30, 2015

      32.07        0.37       2.04       2.41        (0.26 )       —        (0.26 ) 

 

(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)

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.

 

 
40       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 43.16       10.60 %    $ 12,872       0.84 %      1.13 %      1.59 %      40 % 
  41.85       9.90       10,828       0.83       1.22       1.73       97  
  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 (f)      1.95       31  
  34.01       7.22       10,933       1.15       0.85       1.87       35  
           
  42.30       10.33       3,085       1.34       0.64       2.07       40  
  40.98       9.34       2,949       1.33       0.73       2.22       97  
  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 (f)      2.46       31  
  33.29       6.71       6,874       1.65       0.36       2.36       35  
           
  43.45       10.73       20,927       0.59       1.38       1.31       40  
  42.15       10.18       16,908       0.58       1.46       1.45       97  
  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 (f)      1.65       31  
  34.22       7.51       4,833       0.90       1.10       1.59       35  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         41  

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 Value Fund

                 

Class A

                 

Six Months Ended December 31, 2019 (Unaudited)

    $ 31.42      $ 0.22      $ 1.94     $ 2.16     $ (0.24 )    $ (2.13 )    $ (2.37 ) 

Year Ended June 30, 2019

      34.53        0.49        0.55       1.04       (0.51 )      (3.64 )      (4.15 ) 

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 ) 

Class C

                 

Six Months Ended December 31, 2019 (Unaudited)

      30.90        0.14        1.90       2.04       (0.16 )      (2.13 )      (2.29 ) 

Year Ended June 30, 2019

      34.06        0.32        0.54       0.86       (0.38 )      (3.64 )      (4.02 ) 

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 ) 

Class I

                 

Six Months Ended December 31, 2019 (Unaudited)

      31.62        0.26        1.95       2.21       (0.28 )      (2.13 )      (2.41 ) 

Year Ended June 30, 2019

      34.71        0.57        0.55       1.12       (0.57 )      (3.64 )      (4.21 ) 

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 ) 

Class R2

                 

Six Months Ended December 31, 2019 (Unaudited)

      31.12        0.18        1.92       2.10       (0.20 )      (2.13 )      (2.33 ) 

Year Ended June 30, 2019

      34.26        0.40        0.54       0.94       (0.44 )      (3.64 )      (4.08 ) 

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 ) 

Class R5

                 

Six Months Ended December 31, 2019 (Unaudited)

      31.73        0.29        1.95       2.24       (0.30 )      (2.13 )      (2.43 ) 

Year Ended June 30, 2019

      34.80        0.62        0.56       1.18       (0.61 )      (3.64 )      (4.25 ) 

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 ) 

Class R6

                 

Six Months Ended December 31, 2019 (Unaudited)

      31.74        0.31        1.95       2.26       (0.32 )      (2.13 )      (2.45 ) 

Year Ended June 30, 2019

      34.80        0.65        0.57       1.22       (0.64 )      (3.64 )      (4.28 ) 

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 ) 

 

(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.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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)		  
           
           
$ 31.21       6.98 %    $ 66,701       0.83 %      1.41 %      0.94 %      31 % 
  31.42       4.08       72,888       0.82       1.49       1.01       88  
  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  
           
  30.65       6.70       16,498       1.33       0.91       1.46       31  
  30.90       3.57       19,139       1.32       0.99       1.52       88  
  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  
           
  31.42       7.10       731,298       0.59       1.65       0.68       31  
  31.62       4.33       698,989       0.58       1.74       0.76       88  
  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  
           
  30.89       6.84       3,826       1.09       1.16       1.36       31  
  31.12       3.81       4,438       1.08       1.22       1.62       88  
  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  
           
  31.54       7.18       14,953       0.44       1.79       0.54       31  
  31.73       4.50       48,910       0.43       1.89       0.61       88  
  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  
           
  31.55       7.23       165,455       0.34       1.90       0.44       31  
  31.74       4.63       133,014       0.33       1.99       0.51       88  
  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  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         43  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited)

 

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 4 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:

 

      Classes Offered    Trust    Diversification Classification
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 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. 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, thus, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (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 their market value 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.

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 (“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.

 

 
44       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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•  

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 Growth Fund

 

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

Total Investments in Securities (a)

      $ 1,156,640        $ —        $ —        $ 1,156,640  
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

                    

Futures Contracts (a)

      $ 379        $ —        $ —        $ 379  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 498,200        $ —        $ —        $ 498,200  
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

                    

Futures Contracts (a)

      $ 43        $ —        $ —        $ 43  
    

 

 

       

 

 

       

 

 

       

 

 

  
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)

      $ 36,850        $ —        $ —        $ 36,850  
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

                    

Futures Contracts (a)

      $ 15        $ —        $ —        $ 15  
    

 

 

       

 

 

       

 

 

       

 

 

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

Total Investments in Securities (a)

      $ 1,003,015        $ —        $ —        $ 1,003,015  
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

                    

Futures Contracts (a)

      $ 543        $ —        $ —        $ 543  
    

 

 

       

 

 

       

 

 

       

 

 

  

 

(a)

All portfolio holdings designated as level 1 are disclosed individually on the SOIs.

There were no transfers into or out of level 3 for the six months ended December 31, 2019.

B. Futures Contracts — The Funds 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, while cash deposited, which is considered restricted, 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.

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         45  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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 six months ended December 31, 2019 (amounts in thousands):

 

        Intrepid Growth
Fund		        Intrepid Mid
Cap Fund		        Intrepid
Sustainable
Equity Fund		        Intrepid
Value Fund		  

Futures Contracts — Equity:

                    

Average Notional Balance Long

      $ 22,834        $ 9,969        $ 1,023        $ 25,933  

Ending Notional Balance Long

        20,038          13,006          1,131          32,158  

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. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.

The following table presents for each lending fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of December 31, 2019 (amounts in thousands).

 

        Investment Securities
on Loan, at value,
Presented on the
Statements of Assets
and Liabilities		        Cash Collateral
Posted by Borrower*		        Net Amount Due
to Counterparty
(not less than zero)		  

Intrepid Mid Cap Fund

      $ 4,362        $ (4,328 )**       $ 34  

Intrepid Value Fund

        3,649          (3,649 )         —  

 

*

Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower.

**

Subsequent to December 31, 2019, additional collateral was received from borrowers.

 

 
46       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.16% to 0.06%. For the six months ended December 31, 2019, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows (amounts in thousands):

 

Intrepid Growth Fund

    $ 1  

Intrepid Mid Cap Fund

      1  

Intrepid Value Fund

      2  

The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included in the Statements of Operations as Income from securities lending (net).

Intrepid Growth Fund did not have any securities out on loan at December 31, 2019. Intrepid Sustainable Equity Fund did not lend out any securities during the six months ended December 31, 2019.

D. 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 table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the tables below. Amounts in the tables below are in thousands.

Intrepid Growth Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases at
Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		    

Change in
Unrealized

Appreciation/

(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 26,680     $ 227,523     $ 233,239     $ (4 )    $ (2 )    $ 20,958       20,951     $ 264     $ —  

JPMorgan U.S. Government Money Market Fund Class IM Shares (a)

     1,273       30,082       31,355       —       —       —       —       33 *      —  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 27,953     $ 257,605     $ 264,594     $ (4 )    $ (2 )    $ 20,958       $ 297     $ —  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Intrepid Mid Cap Fund

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		    

Purchases at

Cost

    

Proceeds

from Sales

     Net Realized
Gain (Loss)		    

Change in
Unrealized

Appreciation/

(Depreciation)

     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 7,093     $ 106,272     $ 108,520     $ (1 )    $ (1 )    $ 4,843       4,841     $ 113     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     3,001       —       1,001       —       — (c)      2,000       2,000       32 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     2,904       30,628       31,204       —       —       2,328       2,328       30 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 12,998     $ 136,900     $ 140,725     $ (1 )    $ (1 )    $ 9,171       $ 175     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

Intrepid Sustainable Equity Fund

 

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases at
Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 1,669     $ 9,056     $ 9,512     $ — (c)    $ — (c)    $ 1,213       1,212     $ 11     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         47  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

 

Intrepid Value Fund

 

 

For the six months ended December 31, 2019  
Security Description   Value at
June 30,
2019		     Purchases at
Cost		     Proceeds
from Sales		     Net Realized
Gain (Loss)		     Change in
Unrealized
Appreciation/
(Depreciation)		     Value at
December 31,
2019		     Shares at
December 31,
2019		     Dividend
Income		     Capital Gain
Distributions		  

JPMorgan Prime Money Market Fund Class IM Shares, 1.77% (a) (b)

   $ 23,318     $ 147,022     $ 135,773     $ (2 )    $ — (c)    $ 34,565       34,554     $ 278     $ —  

JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.82% (a) (b)

     —       4,999       2,996       —       —       2,003       2,003       25 *      —  

JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.53% (a) (b)

     —       41,642       39,938       —       —       1,704       1,703       38 *      —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 23,318     $ 193,663     $ 178,707     $ (2 )    $ — (c)    $ 38,272       $ 341     $ —  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(a)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(b)

The rate shown is the current yield as of December 31, 2019.

(c)

Amount rounds to less than one thousand.

*

Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee).

E. 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.

F. 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 applicable funds. 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 share class of the Funds for the six months ended December 31, 2019 are as follows (amounts in thousands):

 

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

Intrepid Growth Fund

                        

Transfer agency fees

    $ 8      $ 1     $ 4      $ 21        n/a       n/a     $ 1      $ 2      $ 37  

Intrepid Mid Cap Fund

                        

Transfer agency fees

      29        3       5        n/a      $ — (a)    $ — (a)      n/a        1        38  

Intrepid Sustainable Equity Fund

                        

Transfer agency fees

      2        — (a)      1        n/a        n/a       n/a       n/a        n/a        3  

Intrepid Value Fund

                        

Transfer agency fees

      3        2       5        3        n/a       n/a       1        2        16  

 

(a)

Amount rounds to less than one thousand.

G. 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 December 31, 2019, no liability for Federal 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.

 

 
48       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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H. 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.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory 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 Growth Fund

      0.30 %(1)  

Intrepid Mid Cap Fund

      0.55 (1)  

Intrepid Sustainable Equity Fund

      0.45 (1)  

Intrepid Value Fund

      0.30 (1)  

 

(1)  

Prior to August 1, 2019, the investment advisory fee for Intrepid Growth Fund, Intrepid Mid Cap Fund, Intrepid Sustainable Equity Fund and Intrepid Value Fund was accrued daily and pay monthly at an annual rate of 0.50%, 0.65%, 0.50% and 0.40%, respectively, of each Fund’s daily net assets.

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 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2019, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

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

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

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ 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, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, 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 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 six months ended December 31, 2019, JPMDS retained the following (amounts in thousands):

 

      Front-End Sales Charge        CDSC  

Intrepid Growth Fund

    $ 6        $ —  

Intrepid Mid Cap Fund

      2          —  

Intrepid Sustainable Equity Fund

      1          —  

Intrepid Value Fund

      1          —  

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         49  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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 fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, 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 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. Pursuant to such contracts 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.

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, expenses related to trustee elections and extraordinary expenses) exceed the percentages of each 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 Growth Fund

      0.84 %       1.34 %       0.59 %       1.09 %       n/a        n/a        0.44 %       0.34 % 

Intrepid Mid Cap Fund

      1.14        1.64        0.89        n/a        1.14 %       0.89 %       n/a        0.64  

Intrepid Sustainable Equity Fund

      0.84        1.34        0.59        n/a        n/a        n/a        n/a        n/a  

Intrepid Value Fund

      0.83        1.33        0.59        1.09        n/a        n/a        0.44        0.34  

The expense limitation agreements were in effect for the six months ended December 31, 2019 and are in place until at least October 31, 2020.

For the six months ended December 31, 2019, 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 Growth Fund

    $ 358        $ 188        $ 33        $ 579        $ —  

Intrepid Mid Cap Fund

      107          71          35          213          1  

Intrepid Sustainable Equity Fund

      77          12          32          121          1  

Intrepid Value Fund

      270          181          12          463          2  

Additionally, the Funds may invest in one or more money market funds advised by the Adviser (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, except for investments of securities lending cash collateral.

The amounts of waivers resulting from investments in these money market funds for the six months ended December 31, 2019 were as follows (amounts in thousands):

 

Intrepid Growth Fund

    $ 17  

Intrepid Mid Cap Fund

      7  

Intrepid Sustainable Equity Fund

      1  

Intrepid Value Fund

      17  

 

 
50       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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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 designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with 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 six months ended December 31, 2019, Intrepid Growth Fund and 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 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 six months ended December 31, 2019, 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 Growth Fund

    $ 446,156        $ 532,837  

Intrepid Mid Cap Fund

      205,550          282,882  

Intrepid Sustainable Equity Fund

      15,368          12,854  

Intrepid Value Fund

      292,260          338,354  

During the six months ended December 31, 2019, 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 December 31, 2019 were as follows (amounts in thousands):

 

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

Intrepid Growth Fund

    $ 814,723        $ 351,528        $ 9,232        $ 342,296  

Intrepid Mid Cap Fund

      398,309          108,958          9,024          99,934  

Intrepid Sustainable Equity Fund

      29,144          7,829          108          7,721  

Intrepid Value Fund

      848,272          167,304          12,018          155,286  

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 Funds had no borrowings outstanding from another fund during the six months ended December 31, 2019.

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 2, 2020.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2019.

The Trusts, along with certain other trusts for J.P. Morgan Funds (“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

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         51  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2019 (Unaudited) (continued)

 

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 London InterBank Offered Rate (“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 13, 2019, 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 six months ended December 31, 2019.

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 brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.

As of December 31, 2019, the Funds had individual shareholder and/or omnibus accounts which owned more than 10% of the respective Fund’s outstanding shares as follows:

 

     

Number of
individual shareholder
and/or

Affiliated

Omnibus

Accounts

      % of the Fund    

Number of
individual shareholder
and/or

Non-Affiliated
Omnibus

Accounts

      % of the Fund  

Intrepid Growth Fund

      2        27.5 %      —        —  

Intrepid Mid Cap Fund

      1        19.5       1        15.4 % 

Intrepid Sustainable Equity Fund

      1        15.8       3        42.6  

Intrepid Value Fund

      —        —       1        61.0  

As of December 31, 2019, J.P. Morgan Investor 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		  

Intrepid Growth Fund

      43.4 % 

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

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

 

 
52       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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, July 1, 2019, and continued to hold your shares at the end of the reporting period, December 31, 2019.

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 titled “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
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Intrepid Growth Fund

                    

Class A

                    

Actual

      $ 1,000.00        $ 1,094.00        $ 4.42          0.84 % 

Hypothetical

        1,000.00          1,020.91          4.27          0.84  

Class C

                    

Actual

        1,000.00          1,091.30          7.04          1.34  

Hypothetical

        1,000.00          1,018.40          6.80          1.34  

Class I

                    

Actual

        1,000.00          1,095.30          3.11          0.59  

Hypothetical

        1,000.00          1,022.17          3.00          0.59  

Class R2

                    

Actual

        1,000.00          1,092.70          5.73          1.09  

Hypothetical

        1,000.00          1,019.66          5.53          1.09  

Class R5

                    

Actual

        1,000.00          1,096.20          2.32          0.44  

Hypothetical

        1,000.00          1,022.92          2.24          0.44  

Class R6

                    

Actual

        1,000.00          1,096.90          1.79          0.34  

Hypothetical

        1,000.00          1,023.43          1.73          0.34  

JPMorgan Intrepid Mid Cap Fund

                    

Class A

                    

Actual

        1,000.00          1,090.20          5.99          1.14  

Hypothetical

        1,000.00          1,019.41          5.79          1.14  

Class C

                    

Actual

        1,000.00          1,087.70          8.61          1.64  

Hypothetical

        1,000.00          1,016.89          8.31          1.64  

Class I

                    

Actual

        1,000.00          1,091.60          4.68          0.89  

Hypothetical

        1,000.00          1,020.66          4.52          0.89  

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         53  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
July 1, 2019		        Ending
Account Value
December 31, 2019		        Expenses
Paid During
the Period*		        Annualized
Expense
Ratio		  

JPMorgan Intrepid Mid Cap Fund (continued)

                    

Class R3

                    

Actual

      $ 1,000.00        $ 1,091.00        $ 5.99          1.14 %  

Hypothetical

        1,000.00          1,019.41          5.79          1.14  

Class R4

                    

Actual

        1,000.00          1,091.80          4.68          0.89  

Hypothetical

        1,000.00          1,020.66          4.52          0.89  

Class R6

                    

Actual

        1,000.00          1,093.30          3.37          0.64  

Hypothetical

        1,000.00          1,021.92          3.25          0.64  

JPMorgan Intrepid Sustainable Equity Fund

                    

Class A

                    

Actual

        1,000.00          1,106.00          4.45          0.84  

Hypothetical

        1,000.00          1,020.91          4.27          0.84  

Class C

                    

Actual

        1,000.00          1,103.30          7.08          1.34  

Hypothetical

        1,000.00          1,018.40          6.80          1.34  

Class I

                    

Actual

        1,000.00          1,107.30          3.13          0.59  

Hypothetical

        1,000.00          1,022.17          3.00          0.59  

JPMorgan Intrepid Value Fund

                    

Class A

                    

Actual

        1,000.00          1,069.80          4.32          0.83  

Hypothetical

        1,000.00          1,020.96          4.22          0.83  

Class C

                    

Actual

        1,000.00          1,067.00          6.91          1.33  

Hypothetical

        1,000.00          1,018.45          6.75          1.33  

Class I

                    

Actual

        1,000.00          1,071.00          3.07          0.59  

Hypothetical

        1,000.00          1,022.17          3.00          0.59  

Class R2

                    

Actual

        1,000.00          1,068.40          5.67          1.09  

Hypothetical

        1,000.00          1,019.66          5.53          1.09  

Class R5

                    

Actual

        1,000.00          1,071.80          2.29          0.44  

Hypothetical

        1,000.00          1,022.92          2.24          0.44  

Class R6

                    

Actual

        1,000.00          1,072.30          1.77          0.34  

Hypothetical

        1,000.00          1,023.43          1.73          0.34  

 

*

Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

 

 
54       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2019, at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 14, 2019.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds as compared to the Funds’ objectives and peer groups. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.

A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.

After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of the Advisory Agreements was in the best interests of each Fund and its shareholders.

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by the Adviser in its role as administrator.

The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted each Fund with fee waivers and contractual expense limitations (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale, as well as each Fund that had achieved scale and no longer had a Fee Cap in place for some or all of its classes. The Trustees noted that the fees remain competitive with peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure, for each Fund, including any Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders, and that, for those J.P. Morgan Funds that had achieved scale and no longer had Fee Caps in place for some or all of their classes, through lower average expenses as asset levels had increased, in addition to the reinvestment that ensures sufficient resources in terms of personnel and infrastructure to support the Funds.

Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer

The Trustees noted that, upon their direction, the Senior Officer for the Intrepid Mid Cap Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Intrepid Growth Fund, Intrepid Sustainable Equity Fund and Intrepid Value Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

 

 

 
56       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Intrepid Growth Fund’s performance for Class A shares was in the third, second and first quintiles based upon both the Peer Group and Universe, for the

one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, second and first quintiles based upon the Peer Group, and in the third, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third and second quintiles based upon the Peer Group, and in the third and first quintiles based upon the Universe, for the one- and three-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Intrepid Mid Cap Fund’s performance for Class A shares was in the third quintile based upon both the Peer Group and Universe for each of the one-, three-, and five-year periods ended December 31, 2018. The Trustees noted that the performance for Class I shares was in the fourth, third and second quintiles based upon the Peer Group, and in the third, third and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth and third quintiles based upon the Peer Group, and in the third quintile based upon the Universe, for the one- and three-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.

The Trustees noted that the Intrepid Sustainable Equity Fund’s performance for Class A shares was in the third, second and first quintiles based upon the Peer Group, and in the second, third and third quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second quintile based upon the Peer Group for each of the one-, three- and five-year periods ended December 31, 2018, and in the second, third and second quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser, and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

The Trustees noted that the Intrepid Value Fund’s performance for Class A shares was in the second, third and third quintiles

 

 

 
DECEMBER 31, 2019   J.P. MORGAN INTREPID FUNDS         57  

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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS

(Unaudited) (continued)

 

based upon the Peer Group, and in the second, third and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class I shares was in the second, third and second quintiles based upon both the Peer Group and Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees noted that the performance for Class R6 shares was in the third quintile based upon the Peer Group for the one-year period ended December 31, 2018, and in the first, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2018, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates and that changes made to the administration agreement in January 2019 were reflected in such rate. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. The Trustees considered the Fee Caps currently in place for each Fund, the net advisory fee rate after taking into account any waivers and/or reimbursements, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. In addition, the Trustees noted the reductions to the Funds’ contractual advisory fees effective August 1, 2019. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’

determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Intrepid Growth Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Intrepid Mid Cap Fund’s net advisory fee for both Class A and Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for both Class A and Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Intrepid Sustainable Equity Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

The Trustees noted that the Intrepid Value Fund’s net advisory fee and actual total expenses for Class A, Class I and Class R6 shares were in the first quintile based upon both the Peer Group and the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.

 

 

 
58       J.P. MORGAN INTREPID FUNDS   DECEMBER 31, 2019

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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-PORT. Prior to March 31, 2019, each Fund filed 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’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

 

  © JPMorgan Chase & Co., 2019. All rights reserved. December, 2019.   SAN-INT-1219

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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.

Not applicable to a semi-annual 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.

(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)).

(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 to a semi-annual report.

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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.

(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.

(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.

(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.

(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.

(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.

(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.

(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.

(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.

Not applicable to a semi-annual report.

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 to a semi-annual report.

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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.

Not applicable.

(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
  February 28, 2020

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
  February 28, 2020
By:  

/s/ Timothy J. Clemens

  Timothy J. Clemens
  Treasurer and Principal Financial Officer
  February 28, 2020