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, 2023 through December 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
a.) 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).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
Semi-Annual Report
J.P. Morgan Small Cap Funds
December 31, 2023 (Unaudited)
| JPMorgan Small
Cap Blend Fund |
| JPMorgan Small Cap
Equity Fund |
| JPMorgan Small Cap
Growth Fund |
| JPMorgan Small Cap
Sustainable Leaders Fund |
| JPMorgan Small Cap
Value Fund |
| JPMorgan SMID Cap
Equity Fund |
| JPMorgan U.S. Small
Company Fund |
CONTENTS
| |
|
| 1 | |
| 2 | |
| | |
| 3 | |
| 6 | |
| 10 | |
| 14 | |
| 17 | |
| 20 | |
| 23 | |
| 27 | |
| 60 | |
| 84 | |
| 110 | |
| 127 | |
| 131 |
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.
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.
Letter to Shareholders
February 7, 2024 (Unaudited)
Dear Shareholder,
U.S.
equity markets surged through the end of 2023 and into early 2024 as the risk of economic recession receded and the prospect of lower interest rates drove investor optimism. Globally, financial markets largely generated
positive returns, despite heightened geopolitical tensions and signs of economic weakness across
Europe and China.
 |
“Investors appear to have begun 2024 with a positive outlook, with the U.S. economy and its financial markets leading global growth.” — Brian S. Shlissel |
Inflation pressures eased sufficiently during the second half of 2023 to allow the U.S. Federal Reserve (the
“Fed”) to hold the benchmark discount interest rate at 5.25% at its June 2023
meeting, ending a string of 10 consecutive interest rate increases. The Fed raised rates once
more in July 2023, then held the benchmark rate at 5.50% for the remainder of the
2023.
In the face of
elevated interest rates, the U.S. economy proved surprisingly resilient and largely led developed markets in growth through the end of 2023. Gross domestic product outpaced economists’ consensus expectations with
a 4.9% jump in the third quarter and estimated growth of 3.3% in the fourth quarter. Though the
U.S. economy continued to expand, inflation data indicated that the Fed’s efforts to cool the
domestic economy appeared to be effective.
Certain other measures of the U.S. economy showed little sign of weakness. Consumer spending remained elevated
in the second half of 2023 and rose month-to-month to reach approximately $709.9 billion in
retail sales in December 2023. The unemployment rate settled at 3.7% in the final two months of
2023 as approximately 333,000 jobs were added in December alone. Further, an estimated 353,000 jobs were added in January 2024, approximately double the increase anticipated by certain economists.
Both equity and bond markets in the U.S. performed
well, buoyed by the overall strength shown by the U.S. economy and the apparent turn in Fed
policy. Stronger-than-expected consumer spending and corporate earnings, as well as investor
expectations for artificial-intelligence-driven productivity gains bolstered demand for equities
in recent months. Certain leading U.S. equity indexes returned more than 9% in November and in
excess of 5% in December 2023. In January 2024, the S&P 500 Index reached six new closing highs and surpassed 4,800 points for the first time. However, equity market gains were not broadly spread: The largest
10 stocks in the S&P 500 Index comprised approximately 90% of the index’s price gains
for all of 2023.
While U.S. financial markets largely appeared to withstand increased geopolitical tensions in 2023, the potential for the conflicts in Ukraine and Israel to expand in
intensity and geography may threaten global economic growth and increase market volatility.
Additionally, the Fed may be forced to change policy should the strength of U.S. economy recede or the downward trend in inflation were to reverse.
Investors appear to have begun 2024 with a positive outlook, with the U.S. economy and its financial markets
leading global growth. While risks to the growth outlook remain, we believe investors who hold a
well-diversified portfolio over the long term should be positioned to benefit from positive economic trends.
Our suite of investment
solutions seeks to provide investors with the ability to build durable portfolios that meet their
financial goals, regardless of macroeconomic and geopolitical uncertainties.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
1 |
J.P. Morgan Small Cap
Funds
MARKET OVERVIEW
SIX MONTHS ENDED December 31,
2023 (Unaudited)
U.S. equity markets largely rallied in the final two months
of 2023, rebounding from three months of declines to generate positive returns for the six month period. Investor demand for large cap stocks in the technology and
communications sectors was a leading driver of equity market returns. Bond markets generally provided positive returns but underperformed equity markets.
After raising its policy benchmark interest rates by 0.25% in July 2023, the U.S. Federal Reserve (the
“Fed”) declined to raise rates further at its next three meetings for the year. More importantly for investors, the central bank stated in December 2023 that it
could begin to lower interest rates in the first half of 2024, if inflationary pressures continued to recede.
While the U.S. economic growth showed signs of slowing in mid-2023, third-quarter gross domestic product exceeded
economists’ consensus expectations with a 4.9% increase. Growth was largely driven by resilient consumer spending and inventory building by businesses. The unemployment rate in the U.S. remained historically low at 3.8% for most of the six-month period before settling at 3.7% in December 2023. The data and the outlook for interest rates fed investor expectations that the U.S. could avoid an economic recession in 2024.
U.S. equities
generally outperformed both international developed markets and emerging markets equities for the period. Overall, gains in U.S. markets were led by large capitalization
stocks in the technology and communications sectors, particularly the so-called Magnificent Seven: Apple Inc., Amazon.com Inc., Alphabet Inc., Meta Platforms Inc., Microsoft
Corp., Nvidia Corp. and Tesla Inc. At the end of 2023, the 10 largest companies in the S&P 500 Index accounted for 31.2% of the index’s total market
capitalization. Notably, only within small cap stocks did value outperform growth for the period.
Investor expectations that the Fed and private sector banks could begin to lower their interest rates sparked a
broad rally in U.S. fixed income markets in the final two months of 2023. Overall, lower quality bonds, high yield bonds (also known a junk bonds) and emerging markets debt outperformed U.S. Treasury bonds and higher quality U.S. corporate debt.
| 2 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
JPMorgan Small Cap Blend
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class A Shares, without a sales charge) * |
6.02% |
| Russell 2000 Index |
8.18% |
| Net Assets as of 12/31/2023 (In Thousands) |
$1,425,677 |
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, underperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31,
2023.
The Fund’s security selection in the consumer discretionary and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s
security selection in the information technology and materials sectors was a leading contributor
to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight position in Revance Therapeutics Inc. and its out-of-Benchmark positions
in Petco Health and Wellness Co. and Confluent Inc. Shares of Revance Therapeutics, a
pharmaceutical cosmetics developer, fell after the company reported lower-than-expected earnings and revenue for the third quarter of 2023. Shares of Petco Health and Wellness, a pet products chain, fell after
the company reported lower-than-expected earnings for the third quarter of 2023. Shares of
Confluent, a software developer, fell sharply after the company issued a weaker than expected earnings forecast.
Leading individual
contributors to relative performance included the Fund’s out-of-Benchmark position in
SentinelOne Inc. and its overweight positions in Twist Bioscience Corp. and Independent Bank
Corp. Shares of SentinelOne, a data security technology provider, rose after the company reported
better-than-expected earnings and revenue for the third quarter of 2023 and raised its full year 2023 earnings forecast. Shares of Twist Bioscience, a biotechnology developer, rose after the company reported
consecutive quarters of better-than-expected earnings and revenue. Shares of Independent Bank, a
regional bank based in Grand Rapids, Michigan, rose after reporting consecutive quarters of
better-than-expected earnings and revenue and amid investor expectations that regional banks
would benefit from lower interest rates in 2024.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Applied Industrial Technologies, Inc. |
1.3 % |
| 2.
|
Matador Resources Co. |
1.0 |
| 3. |
Comfort Systems USA, Inc. |
1.0 |
| 4.
|
Super Micro Computer, Inc. |
1.0 |
| 5. |
Selective Insurance Group, Inc. |
1.0 |
| 6.
|
Simpson Manufacturing Co., Inc. |
0.9 |
| 7. |
Cactus, Inc., Class A |
0.8 |
| 8.
|
Chord Energy Corp. |
0.8 |
| 9. |
PennyMac Financial Services, Inc. |
0.8 |
| 10.
|
Evolent Health, Inc., Class A |
0.8 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Industrials |
20.3% |
| Financials |
14.3 |
| Information Technology |
13.7 |
| Health Care |
12.6 |
| Consumer Discretionary |
10.6 |
| Energy |
5.0 |
| Real Estate |
4.6 |
| Consumer Staples |
3.6 |
| Utilities |
2.2 |
| Materials |
2.2 |
| Communication Services |
1.6 |
| Others (each less than 1.0%) |
0.1 |
| Short-Term Investments |
9.2 |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
3 |
JPMorgan Small Cap Blend
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
*
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.
| 4 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
May 19, 1997 |
|
|
|
|
| With Sales Charge ** |
|
0.44 % |
9.09 % |
10.35 % |
8.87 % |
| Without Sales Charge |
|
6.02 |
15.15 |
11.55 |
9.46 |
| CLASS C SHARES |
January 7, 1998 |
|
|
|
|
| With CDSC *** |
|
4.67 |
13.58 |
11.00 |
9.02 |
| Without CDSC |
|
5.67 |
14.58 |
11.00 |
9.02 |
| CLASS I SHARES |
April 5, 1999 |
6.12 |
15.40 |
11.83 |
9.74 |
| CLASS R6 SHARES |
July 2, 2018 |
6.26 |
15.72 |
12.11 |
10.02 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 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 and the Russell 2000 Index from December 31, 2013 to December 31,
2023. 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 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. Investors cannot invest directly in an index.
Effective June 1, 2018, 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total
return shown above for Class C Shares reflects Class A Share's performance for the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
5 |
JPMorgan Small Cap Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class A Shares, without a sales charge) * |
5.61% |
| Russell 2000 Index |
8.18% |
| Net Assets as of 12/31/2023 (In Thousands) |
$5,442,125 |
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,
2023.
The Fund’s security selection in the consumer discretionary and health care sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s
security selection in the consumer staples sector and industrials sectors were leading
contributors to relative performance.
Leading individual detractors from relative performance
included the Fund’s out-of-Benchmark positions in ICU Medical and Driven Brands Holdings
Inc., and its overweight position in Agiliti Inc. Shares of ICU Medical, a medical devices
manufacturer, fell after the company reported lower-than-expected revenue for the second quarter
of 2023 and a decline in revenue for the third quarter of 2023. Shares of Driven Brands Holdings,
an automotive parts and services provider, fell after the company sharply lowered its earnings forecast during the period. Shares of Agiliti, a provider of management technology and services to the health care industry,
fell after the company reported lower-than-expected earnings for the second quarter of
2023.
Leading individual contributors to relative performance included the Fund’s overweight positions in Macom Technology Solutions Holdings Inc. and Simpson
Manufacturing Co., and its out-of-Benchmark position in Evercore Inc. Shares of Macom Technology
Solutions, a semiconductor manufacturer, rose after the company reported better-than-expected earnings for the third quarter of 2023 amid increased demand for artificial intelligence technologies. Shares of Simpson
Manufacturing, a construction products maker, rose after the company reported consecutive
quarters of better-than-expected earnings and revenue. Shares of Evercore, an investment banking and brokerage firm, rose after the company reported better-than-expected earnings and revenue for the third
quarter of 2023.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
WillScot Mobile Mini Holdings Corp. |
1.6 % |
| 2.
|
MACOM Technology Solutions Holdings, Inc. |
1.6 |
| 3. |
RBC Bearings, Inc. |
1.6 |
| 4.
|
Performance Food Group Co. |
1.5 |
| 5. |
MSA Safety, Inc. |
1.5 |
| 6.
|
Encompass Health Corp. |
1.5 |
| 7. |
Power Integrations, Inc. |
1.5 |
| 8.
|
WEX, Inc. |
1.4 |
| 9. |
Novanta, Inc. |
1.4 |
| 10.
|
Casella Waste Systems, Inc., Class A |
1.4 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Industrials |
25.8% |
| Financials |
15.6 |
| Information Technology |
12.4 |
| Health Care |
9.6 |
| Consumer Discretionary |
7.6 |
| Consumer Staples |
6.8 |
| Real Estate |
5.2 |
| Materials |
4.6 |
| Utilities |
1.7 |
| Energy |
1.4 |
| Short-Term Investments |
9.3 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
| 6 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
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.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
7 |
JPMorgan Small Cap Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
December 20, 1994 |
|
|
|
|
| With Sales Charge ** |
|
0.08 % |
5.74 % |
9.15 % |
7.56 % |
| Without Sales Charge |
|
5.61 |
11.61 |
10.34 |
8.14 |
| CLASS C SHARES |
February 19, 2005 |
|
|
|
|
| With CDSC *** |
|
4.39 |
10.06 |
9.81 |
7.72 |
| Without CDSC |
|
5.39 |
11.06 |
9.81 |
7.72 |
| CLASS I SHARES |
May 7, 1996 |
5.77 |
11.90 |
10.63 |
8.45 |
| CLASS R2 SHARES |
November 3, 2008 |
5.50 |
11.34 |
10.08 |
7.89 |
| CLASS R3 SHARES |
September 9, 2016 |
5.61 |
11.62 |
10.36 |
8.16 |
| CLASS R4 SHARES |
September 9, 2016 |
5.76 |
11.90 |
10.63 |
8.45 |
| CLASS R5 SHARES |
May 15, 2006 |
5.87 |
12.10 |
10.84 |
8.66 |
| CLASS R6 SHARES |
May 31, 2016 |
5.90 |
12.16 |
10.91 |
8.70 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 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 and the Russell 2000 Index from December 31, 2013 to December 31,
2023. 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for
the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related
| 8 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
thereto. Frank Russell
Company is not responsible for the formatting or configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
9 |
JPMorgan Small Cap Growth
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class A Shares, without a sales charge) * |
0.70% |
| Russell 2000 Growth Index |
4.50% |
| Net Assets as of 12/31/2023 (In Thousands) |
$3,776,333 |
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Growth Fund (the “Fund”) seeks long-term capital growth primarily by investing in a portfolio of equity securities of small-capitalization
and emerging growth companies.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, underperformed the Russell 2000 Growth Index (the “Benchmark”) for the six months ended December
31, 2023.
The Fund’s security selection in the health care and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the
Fund’s underweight position in the telecommunications sector and security selection in the
technology sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in
Outset Medical Inc. and Revance Therapeutics Inc., and its out-of-Benchmark position in Petco
Health and Wellness Co. Shares of Outset Medical, a maker of kidney dialysis systems, fell after the company lowered its 2023 revenue forecast and reported lower-than-expected earnings for the third quarter of
2023. Shares of Revance Therapeutics, a pharmaceutical cosmetics developer, fell after the
company reported lower-than-expected earnings and revenue for the third quarter of 2023. Shares of
Petco Health and Wellness, a pet products chain, fell after the company reported
lower-than-expected earnings for the third quarter of 2023.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions
in Twist Bioscience Corp., SentinelOne Inc. and Elastic NV. Shares of Twist Bioscience, a
biotechnology developer, rose after the company reported consecutive quarters of better-than-expected earnings and revenue. Shares of SentinelOne, a data security technology provider, rose after the company
reported better-than-expected earnings and revenue for the third quarter of 2023 and raised its
full year 2023 earnings forecast. Shares of Elastic, a data storage software developer, rose after
the company reported better-than-expected earnings and
revenue for its fiscal second quarter and issued a
stronger-than-expected earnings forecast.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual
companies in an effort to construct portfolios of stocks that have strong fundamentals.
The Fund’s
portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings
growth.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Super Micro Computer, Inc. |
1.9 % |
| 2.
|
Simpson Manufacturing Co., Inc. |
1.7 |
| 3. |
Applied Industrial Technologies, Inc. |
1.7 |
| 4.
|
Evolent Health, Inc., Class A |
1.5 |
| 5. |
AAON, Inc. |
1.5 |
| 6.
|
Rambus, Inc. |
1.3 |
| 7. |
Casella Waste Systems, Inc., Class A |
1.3 |
| 8.
|
Amicus Therapeutics, Inc. |
1.3 |
| 9. |
ITT, Inc. |
1.3 |
| 10.
|
elf Beauty, Inc. |
1.3 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Industrials |
24.7% |
| Information Technology |
21.2 |
| Health Care |
20.2 |
| Consumer Discretionary |
12.4 |
| Financials |
4.6 |
| Consumer Staples |
4.4 |
| Energy |
3.6 |
| Real Estate |
1.5 |
| Short-Term Investments |
7.4 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
| 10 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
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.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
11 |
JPMorgan Small Cap Growth
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
July 1, 1991 |
|
|
|
|
| With Sales Charge ** |
|
(4.57 )% |
7.89 % |
8.37 % |
7.77 % |
| Without Sales Charge |
|
0.70 |
13.85 |
9.54 |
8.35 |
| CLASS C SHARES |
November 4, 1997 |
|
|
|
|
| With CDSC *** |
|
(0.56 ) |
12.29 |
9.01 |
7.91 |
| Without CDSC |
|
0.44 |
13.29 |
9.01 |
7.91 |
| CLASS I SHARES |
March 26, 1996 |
0.81 |
14.17 |
9.83 |
8.62 |
| CLASS L SHARES |
February 19, 2005 |
0.88 |
14.33 |
9.98 |
8.78 |
| CLASS R2 SHARES |
November 3, 2008 |
0.54 |
13.56 |
9.27 |
8.08 |
| CLASS R3 SHARES |
July 31, 2017 |
0.70 |
13.90 |
9.54 |
8.35 |
| CLASS R4 SHARES |
July 31, 2017 |
0.81 |
14.16 |
9.83 |
8.62 |
| CLASS R5 SHARES |
September 9, 2016 |
0.88 |
14.31 |
9.98 |
8.78 |
| CLASS R6 SHARES |
November 30, 2010 |
0.96 |
14.48 |
10.11 |
8.89 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 Shares prior to their inception date are based on the performance of Class L Shares. The actual returns for Class R5 Shares would have been different than those shown
because Class R5 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 and the Russell 2000 Growth Index from December 31, 2013 to December 31, 2023. 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 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. 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 on gains resulting
from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8
years, the 10 year average annual total return shown above for Class C Shares reflects Class A
Share's performance for the period after conversion.
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, 2023
|
Frank Russell Company is
the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
13 |
JPMorgan Small Cap
Sustainable Leaders Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31, 2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class R5
Shares) * |
5.62% |
| Russell 2000 Index |
8.18% |
| Net Assets as of 12/31/2023 (In Thousands) |
$38,768 |
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Sustainable Leaders 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, 2023.
The Fund’s security selection in the pharmaceuticals sector and its overweight position in the health services & systems sector were leading detractors from performance
relative to the Benchmark. The Fund’s security selection in the consumer cyclical and
industrial cyclical sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in
Outset Medical Inc. and Shrodinger Inc., and its out-of-Benchmark position in Darling Ingredients
Inc. Shares of Outset Medical, a maker of kidney dialysis systems, fell after the company lowered its 2023 revenue forecast and reported lower-than-expected earnings for the third quarter of 2023. Shares of
Schrodinger, a maker of pharmaceutical development technology, fell after the company reported
consecutive quarters of lower-than-expected earnings. Shares of Darling Ingredients, an agricultural products and services provider, fell after the company reported consecutive quarters of lower-than-expected
earnings and revenue.
Leading individual contributors to relative performance included the Fund’s overweight positions in Amalgamated Financial Corp. and MillerKnoll Inc., and its
out-of-Benchmark position in Deckers Outdoor Corp. Shares of Amalgamated Financial, a New York
State regional bank, rose after the company reported better-than-expected earnings for the third
quarter of 2023, and amid investor expectations that regional bank would benefit from lower
interest rates in 2024. Shares of MillerKnoll, an office services and supplies provider, rose after
reporting consecutive quarters of better-than-expected earnings and revenue. Shares of Deckers
Outdoor, a footwear and apparel designer, rose after the company reported better-than-expected
earnings and revenue for the second quarter of 2023 and issued an upbeat earnings forecast for the
full year 2023.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
AAON, Inc. |
3.2 % |
| 2.
|
KB Home |
3.1 |
| 3. |
WESCO International, Inc. |
2.8 |
| 4.
|
Amalgamated Financial Corp. |
2.7 |
| 5. |
Deckers Outdoor Corp. |
2.5 |
| 6.
|
CNO Financial Group, Inc. |
2.3 |
| 7. |
Kontoor Brands, Inc. |
2.3 |
| 8.
|
Huron Consulting Group, Inc. |
2.2 |
| 9. |
Badger Meter, Inc. |
2.2 |
| 10.
|
Visteon Corp. |
2.1 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Industrials |
22.7% |
| Health Care |
15.4 |
| Consumer Discretionary |
15.3 |
| Financials |
13.4 |
| Information Technology |
9.8 |
| Real Estate |
6.3 |
| Materials |
5.3 |
| Consumer Staples |
4.1 |
| Utilities |
3.9 |
| Communication Services |
2.5 |
| Others (each less than 1.0%) |
0.4 |
| Short-Term Investments |
0.9 |
| 14 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
*
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.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
15 |
JPMorgan Small Cap
Sustainable Leaders Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31, 2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
May 31, 2016 |
|
|
|
|
| With Sales Charge ** |
|
(0.15 )% |
3.00 % |
5.14 % |
4.90 % |
| Without Sales Charge |
|
5.38 |
8.71 |
6.28 |
5.47 |
| CLASS C SHARES |
May 31, 2016 |
|
|
|
|
| With CDSC *** |
|
4.14 |
7.17 |
5.75 |
5.07 |
| Without CDSC |
|
5.14 |
8.17 |
5.75 |
5.07 |
| CLASS I SHARES |
January 3, 2017 |
5.53 |
8.99 |
6.54 |
5.68 |
| CLASS R2 SHARES |
July 31, 2017 |
5.23 |
8.42 |
6.01 |
5.09 |
| CLASS R3 SHARES |
July 31, 2017 |
5.38 |
8.72 |
6.27 |
5.35 |
| CLASS R4 SHARES |
July 31, 2017 |
5.51 |
8.97 |
6.55 |
5.62 |
| CLASS R5 SHARES |
January 1, 1997 |
5.62 |
9.18 |
6.74 |
5.82 |
| CLASS R6 SHARES |
May 31, 2016 |
5.65 |
9.25 |
6.81 |
5.87 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 Sustainable Leaders Fund and the Russell 2000 Index from December 31, 2013 to
December 31, 2023. 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 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.
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 on gains resulting
from 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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| 16 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
JPMorgan Small Cap Value
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
10.02% |
| Russell 2000 Value Index |
11.85% |
| Net Assets as of 12/31/2023 (In Thousands) |
$1,459,032 |
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, 2023.
The Fund’s
security selection in the pharmaceuticals and software & services sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the industrial cyclical
and media sectors was a leading detractor from relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in
Reata Pharmaceuticals Inc., its out-of-Benchmark position in Prothena Corp. and its overweight
position in Enova International Inc. Shares of Reata Pharmaceuticals, a drug discovery and
development company not held by the Fund, rose ahead of the company’s acquisition by Biogen
Inc. Shares of Prothena, a biotechnology developer, fell after the company reported
lower-than-expected earnings and revenue for the second quarter of 2023. Shares of Enova
International, a consumer lender and financial services provider, fell after the company
reported lower-than-expected earnings for the third quarter of 2023.
Leading individual
contributors to relative performance included the Fund’s overweight positions in Bluegreen
Vacations Holding Corp. and Customers Bancorp Inc., and its out-of-Benchmark position in RxSight
Inc. Shares of Bluegreen Vacations, a seller of resorts ownership and management services, rose
after it agreed to be acquired by Hilton Grand Vacations. Shares of Customers Bancorp, a Pennsylvania retail bank, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2023
and amid investor expectations that regional banks would benefit from lower interest rates in
2024. Shares of RxSight, a manufacturer of ophthalmic medical devices, rose after the company
reported consecutive quarters of better-than-expected earnings and
revenue.
HOW WAS THE FUND POSITIONED?
In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and
construct the Fund so that stock selection is typically the primary driver of 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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Encore Wire Corp. |
1.0 % |
| 2.
|
OFG Bancorp (Puerto Rico) |
1.0 |
| 3. |
First BanCorp (Puerto Rico) |
1.0 |
| 4.
|
Rush Enterprises, Inc., Class A |
0.8 |
| 5. |
Essent Group Ltd. |
0.8 |
| 6.
|
Knowles Corp. |
0.8 |
| 7. |
Commercial Metals Co. |
0.8 |
| 8.
|
SM Energy Co. |
0.7 |
| 9. |
Customers Bancorp, Inc. |
0.7 |
| 10.
|
Meritage Homes Corp. |
0.7 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
24.7% |
| Industrials |
13.7 |
| Real Estate |
9.4 |
| Consumer Discretionary |
9.3 |
| Energy |
8.1 |
| Health Care |
7.2 |
| Information Technology |
5.3 |
| Utilities |
3.9 |
| Materials |
3.7 |
| Consumer Staples |
3.2 |
| Communication Services |
1.7 |
| Short-Term Investments |
9.8 |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
17 |
JPMorgan Small Cap Value
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
*
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.
| 18 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
January 27, 1995 |
|
|
|
|
| With Sales Charge ** |
|
4.10 % |
6.83 % |
8.95 % |
5.36 % |
| Without Sales Charge |
|
9.85 |
12.77 |
10.12 |
5.93 |
| CLASS C SHARES |
March 22, 1999 |
|
|
|
|
| With CDSC *** |
|
8.58 |
11.19 |
9.58 |
5.47 |
| Without CDSC |
|
9.58 |
12.19 |
9.58 |
5.47 |
| CLASS I SHARES |
January 27, 1995 |
10.02 |
13.07 |
10.42 |
6.21 |
| CLASS R2 SHARES |
November 3, 2008 |
9.69 |
12.45 |
9.86 |
5.66 |
| CLASS R3 SHARES |
September 9, 2016 |
9.86 |
12.71 |
10.13 |
5.93 |
| CLASS R4 SHARES |
September 9, 2016 |
9.96 |
12.98 |
10.41 |
6.19 |
| CLASS R5 SHARES |
May 15, 2006 |
10.07 |
13.18 |
10.56 |
6.33 |
| CLASS R6 SHARES |
February 22, 2005 |
10.10 |
13.29 |
10.67 |
6.44 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 and the Russell 2000 Value Index from December 31, 2013 to
December 31, 2023. 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
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. 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 on gains resulting
from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8
years, the 10 year average annual total return shown above for Class C Shares reflects Class A
Share's performance for the period after conversion.
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.
Frank Russell Company is the source and
owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
19 |
JPMorgan SMID Cap Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
4.74% |
| Russell 2500 Index |
7.93% |
| Net Assets as of 12/31/2023 (In Thousands) |
$337,571 |
INVESTMENT OBJECTIVE**
The JPMorgan SMID Cap Equity Fund (the “Fund”) seeks long-term capital growth by investing primarily in equity securities of companies with intermediate
capitalizations.
INVESTMENT PROCESS
The Fund employs a fundamental bottom-up investment process to invest in a diversified portfolio of small- to mid-cap stocks - similar to those in the
Russell 2500 Index (the “Benchmark”) – and seeks to invest in companies with leading competitive advantages, predictable and durable business models and sustainable free cash flows.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The
Fund’s Class I Shares underperformed the Benchmark for the six months ended December 31, 2023.
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 overweight position in the financials sector and its security selection in the basic
materials sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Driven Brands Holdings Inc., ICU Medical Inc. and Cognex
Corp. Shares of Driven Brands Holdings, an automotive parts and services provider, fell after the
company sharply lowered its earnings forecast during the period. Shares of ICU Medical, a medical
devices manufacturer, fell after the company reported
lower-than-expected revenue for the second quarter of 2023 and a decline in revenue for the third quarter of 2023. Shares of Cognex, an electronic equipment and
instruments manufacturer, fell after the company reported a decline in revenue for the second
quarter of 2023.
Leading individual contributors to relative performance included the Fund’s overweight positions in Simpson Manufacturing Co., RBC Bearings Inc. and ServisFirst
Bancshares Inc.
Shares of
Simpson Manufacturing, a construction products maker, rose after the company reported consecutive quarters of better-than-expected earnings and revenue. Shares of RBC Bearings, an industrial machinery and components
manufacturer, rose after the company reported better-than-expected earnings during the period.
Shares of ServisFirst Bancshares, an Alabama regional bank, rose after the company reported
consecutive quarters of better-than-expected earnings and amid investor expectations that regional banks would benefit from lower interest rates in 2024.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employ a fundamental bottom-up investment process that seeks to invest in
companies that they believe are undervalued, have leading competitive positions and predictable
and durable business models. As a result of this process, the Fund’s largest allocations
during the period were to the industrials and financials sectors, while the Fund’s smallest allocations were to the energy and basic materials sectors. The Fund had no
holdings in the telecommunications
sector.
| 20 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
*
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.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
WillScot Mobile Mini Holdings Corp. |
1.7 % |
| 2.
|
RBC Bearings, Inc. |
1.6 |
| 3. |
MSA Safety, Inc. |
1.6 |
| 4.
|
Waste Connections, Inc. |
1.6 |
| 5. |
Pool Corp. |
1.6 |
| 6.
|
WEX, Inc. |
1.5 |
| 7. |
Performance Food Group Co. |
1.5 |
| 8.
|
Molina Healthcare, Inc. |
1.4 |
| 9. |
BJ's Wholesale Club Holdings, Inc. |
1.4 |
| 10.
|
STERIS plc |
1.4 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Industrials |
28.6% |
| Financials |
19.0 |
| Health Care |
10.5 |
| Information Technology |
10.0 |
| Consumer Discretionary |
9.8 |
| Consumer Staples |
6.3 |
| Real Estate |
5.8 |
| Materials |
3.8 |
| Energy |
1.5 |
| Utilities |
1.2 |
| Short-Term Investments |
3.5 |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
21 |
JPMorgan SMID Cap Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
May 1, 1992 |
|
|
|
|
| With Sales Charge ** |
|
(0.89 )% |
7.12 % |
8.04 % |
6.25 % |
| Without Sales Charge |
|
4.60 |
13.04 |
9.21 |
6.82 |
| CLASS C SHARES |
March 22, 1999 |
|
|
|
|
| With CDSC *** |
|
3.29 |
11.41 |
8.66 |
6.34 |
| Without CDSC |
|
4.29 |
12.41 |
8.66 |
6.34 |
| CLASS I SHARES |
June 1, 1991 |
4.74 |
13.32 |
9.48 |
7.09 |
| CLASS R3 SHARES |
September 9, 2016 |
4.58 |
12.97 |
9.21 |
6.81 |
| CLASS R4 SHARES |
September 9, 2016 |
4.67 |
13.29 |
9.47 |
7.08 |
| CLASS R6 SHARES |
November 2, 2015 |
4.87 |
13.57 |
9.76 |
7.31 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 SMID Cap Equity Fund and the Russell 2500 Index from December 31, 2013 to
December 31, 2023. 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 2500 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 Russell
2500 Index measures the performance of
the 2,500 smallest companies in the Russell 3000 Index. 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 on gains resulting from redemptions of Fund shares.
Effective November 1, 2020, the Fund changed its investment strategies. The Fund’s past performance would
have been different if the Fund were managed using the current strategies. Past performance is not necessarily an indication of how any class of the Fund will perform in the future.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for
the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| 22 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
JPMorgan U.S. Small Company
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class L
Shares) * |
6.34% |
| Russell 2000 Index |
8.18% |
| Net Assets as of 12/31/2023 (In Thousands) |
$941,225 |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Small Company Fund (the “Fund”) seeks to provide high total return from a portfolio of small company stocks.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The
Fund’s Class L Shares underperformed the Russell 2000 Index (the “Benchmark”) for the six months ended December 31, 2023.
The Fund’s security
selection in the pharmaceuticals and finance sectors was a leading detractor from performance
relative to the Benchmark, while the Fund’s security selection in the industrial cyclical
and semiconductors sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark position in
Inspire Medical Systems Inc. and its overweight positions in Acelyrin Inc. and International
Money Express Inc. Shares of Inspire Medical Systems, a medical device manufacturer, fell amid
investor concerns that new weight-loss drugs would reduce demand for the company’s sleep apnea prevention devices. Shares of Acelyrin, a biotechnology developer, fell after the company’s inflammatory disease
drug candidate failed in late-stage clinical trials. Shares of International Money Express, a
payments processing service provider, fell after the company reported lower-than-expected earnings and revenue for the second quarter of 2023.
Leading
individual contributors to relative performance included the Fund’s overweight positions in Bluegreen Vacations Holding Corp. and Immunovant Inc., and its out-of-Benchmark position in Medpace Holdings Inc. Shares
of Bluegreen Vacations, a seller of resort ownership and management services, rose after it
agreed to be acquired by Hilton Grand Vacations. Shares of Immunovant, a biopharmaceuticals
developer, rose amid positive research results for its autoimmune disease drug candidate. Shares of
Medpace Holdings, a provider of clinical drug and medical devices development services, rose
after the company reported consecutive quarters of better-than-expected earnings and
revenue.
HOW WAS THE FUND
POSITIONED?
In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so that stock selection is typically the primary
driver of the Fund’s performance relative to 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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Super Micro Computer, Inc. |
0.9 % |
| 2.
|
Comfort Systems USA, Inc. |
0.8 |
| 3. |
Atkore, Inc. |
0.8 |
| 4.
|
UFP Industries, Inc. |
0.7 |
| 5. |
MYR Group, Inc. |
0.7 |
| 6.
|
Mueller Industries, Inc. |
0.7 |
| 7. |
First BanCorp (Puerto Rico) |
0.6 |
| 8.
|
Watts Water Technologies, Inc., Class A |
0.6 |
| 9. |
Taylor Morrison Home Corp., Class A |
0.6 |
| 10.
|
TriNet Group, Inc. |
0.6 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Industrials |
16.7% |
| Financials |
15.8 |
| Health Care |
12.1 |
| Information Technology |
11.8 |
| Consumer Discretionary |
9.7 |
| Energy |
5.8 |
| Real Estate |
5.4 |
| Consumer Staples |
4.7 |
| Materials |
3.5 |
| Utilities |
2.7 |
| Communication Services |
1.8 |
| Short-Term Investments |
10.0 |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
23 |
JPMorgan U.S. Small Company
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
*
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.
| 24 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
November 1, 2007 |
|
|
|
|
| With Sales Charge ** |
|
0.61 % |
8.15 % |
9.41 % |
6.45 % |
| Without Sales Charge |
|
6.16 |
14.12 |
10.59 |
7.02 |
| CLASS C SHARES |
November 1, 2007 |
|
|
|
|
| With CDSC *** |
|
4.82 |
12.53 |
10.03 |
6.59 |
| Without CDSC |
|
5.82 |
13.53 |
10.03 |
6.59 |
| CLASS I SHARES |
September 10, 2001 |
6.26 |
14.40 |
10.87 |
7.30 |
| CLASS L SHARES |
November 4, 1993 |
6.34 |
14.57 |
11.04 |
7.47 |
| CLASS R2 SHARES |
November 1, 2011 |
5.94 |
13.75 |
10.29 |
6.74 |
| CLASS R3 SHARES |
September 9, 2016 |
6.16 |
14.14 |
10.60 |
7.02 |
| CLASS R4 SHARES |
September 9, 2016 |
6.23 |
14.37 |
10.86 |
7.29 |
| CLASS R5 SHARES |
September 9, 2016 |
6.34 |
14.53 |
11.03 |
7.46 |
| CLASS R6 SHARES |
November 1, 2011 |
6.43 |
14.66 |
11.15 |
7.57 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
Returns for Class R3
Shares prior to their inception date are based on the performance of the 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 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 R5 Shares prior to their inception date are based on the performance of the Class L Shares.
The actual returns of Class R5 Shares would have been similar to those shown because Class R5 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 U.S. Small Company Fund and the Russell 2000 Index from December 31, 2013 to December 31, 2023. 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 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. 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 on gains resulting
from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8
years, the 10 year average annual total return shown above for Class C Shares reflects Class A
Share's performance for the period after conversion.
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, 2023 |
J.P. Morgan Small Cap Funds |
25 |
JPMorgan U.S. Small Company
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
Frank Russell Company is the source and
owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| 26 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
JPMorgan Small Cap Blend
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 97.1% | ||
| Aerospace & Defense — 1.2% | ||
| Cadre Holdings, Inc. |
98 |
3,218 |
| Hexcel Corp. |
122 |
9,034 |
| Moog, Inc., Class A |
32 |
4,645 |
| |
|
16,897 |
| Automobile Components — 1.2% | ||
| Atmus Filtration Technologies, Inc. * (a) |
100 |
2,338 |
| LCI Industries (a) |
32 |
4,068 |
| Patrick Industries, Inc. |
40 |
4,013 |
| Visteon Corp. * |
55 |
6,843 |
| |
|
17,262 |
| Automobiles — 0.3% | ||
| Winnebago Industries, Inc. (a) |
51 |
3,714 |
| Banks — 8.5% | ||
| BancFirst Corp. |
37 |
3,603 |
| Camden National Corp. |
108 |
4,060 |
| City Holding Co. (a) |
49 |
5,371 |
| Columbia Banking System, Inc. |
331 |
8,829 |
| First Busey Corp. |
345 |
8,575 |
| First Commonwealth Financial Corp. |
367 |
5,662 |
| First Financial Bankshares, Inc. |
58 |
1,745 |
| First Merchants Corp. |
180 |
6,665 |
| Heritage Commerce Corp. |
549 |
5,449 |
| Independent Bank Corp. |
104 |
6,823 |
| Independent Bank Corp. |
383 |
9,968 |
| Lakeland Bancorp, Inc. |
300 |
4,432 |
| Old National Bancorp |
495 |
8,366 |
| Pinnacle Financial Partners, Inc. |
42 |
3,695 |
| Premier Financial Corp. |
288 |
6,946 |
| QCR Holdings, Inc. |
55 |
3,214 |
| Simmons First National Corp., Class A |
220 |
4,369 |
| SouthState Corp. (a) |
110 |
9,308 |
| TriCo Bancshares |
154 |
6,607 |
| WSFS Financial Corp. (a) |
174 |
7,987 |
| |
|
121,674 |
| Beverages — 0.5% | ||
| Primo Water Corp. |
484 |
7,288 |
| Biotechnology — 5.9% | ||
| ACELYRIN, Inc. * (a) |
176 |
1,308 |
| Agios Pharmaceuticals, Inc. * |
131 |
2,925 |
| Alector, Inc. * |
193 |
1,543 |
| Allogene Therapeutics, Inc. * (a) |
323 |
1,036 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Biotechnology — continued | ||
| Amicus Therapeutics, Inc. * |
704 |
9,984 |
| Apellis Pharmaceuticals, Inc. * (a) |
63 |
3,777 |
| Arrowhead Pharmaceuticals, Inc. * |
173 |
5,294 |
| Blueprint Medicines Corp. * |
96 |
8,871 |
| Halozyme Therapeutics, Inc. * |
216 |
7,977 |
| Natera, Inc. * |
144 |
9,034 |
| PMV Pharmaceuticals, Inc. * |
157 |
488 |
| REGENXBIO, Inc. * |
248 |
4,455 |
| Relay Therapeutics, Inc. * |
401 |
4,417 |
| REVOLUTION Medicines, Inc. * |
255 |
7,315 |
| Sage Therapeutics, Inc. * |
114 |
2,464 |
| Twist Bioscience Corp. * (a) |
243 |
8,941 |
| Vaxcyte, Inc. * |
29 |
1,814 |
| Verve Therapeutics, Inc. * (a) |
140 |
1,954 |
| |
|
83,597 |
| Broadline Retail — 0.5% | ||
| Global-e Online Ltd. (Israel) * (a) |
169 |
6,684 |
| Building Products — 4.2% | ||
| AAON, Inc. |
149 |
10,977 |
| Advanced Drainage Systems, Inc. |
52 |
7,363 |
| AZZ, Inc. (a) |
120 |
6,973 |
| CSW Industrials, Inc. |
34 |
7,129 |
| Hayward Holdings, Inc. * |
483 |
6,565 |
| Simpson Manufacturing Co., Inc. |
66 |
13,178 |
| UFP Industries, Inc. |
62 |
7,756 |
| |
|
59,941 |
| Capital Markets — 2.4% | ||
| Donnelley Financial Solutions, Inc. * |
93 |
5,817 |
| Evercore, Inc., Class A |
45 |
7,691 |
| Hamilton Lane, Inc., Class A |
66 |
7,411 |
| LPL Financial Holdings, Inc. |
25 |
5,684 |
| Virtus Investment Partners, Inc. |
30 |
7,317 |
| |
|
33,920 |
| Chemicals — 2.3% | ||
| Hawkins, Inc. |
72 |
5,041 |
| HB Fuller Co. |
119 |
9,690 |
| Innospec, Inc. |
65 |
7,998 |
| Quaker Chemical Corp. |
19 |
4,122 |
| Stepan Co. |
65 |
6,136 |
| |
|
32,987 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
27 |
JPMorgan Small Cap Blend
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Commercial Services & Supplies — 1.7% | ||
| ACV Auctions, Inc., Class A * |
325 |
4,927 |
| Casella Waste Systems, Inc., Class A * |
117 |
10,024 |
| MSA Safety, Inc. |
58 |
9,754 |
| |
|
24,705 |
| Communications Equipment — 0.2% | ||
| Ciena Corp. * |
59 |
2,652 |
| Construction & Engineering — 2.0% | ||
| Comfort Systems USA, Inc. |
74 |
15,212 |
| EMCOR Group, Inc. |
19 |
4,003 |
| MasTec, Inc. * |
47 |
3,575 |
| Valmont Industries, Inc. |
23 |
5,390 |
| |
|
28,180 |
| Consumer Staples Distribution & Retail — 1.0% | ||
| Chefs' Warehouse, Inc. (The) * |
163 |
4,798 |
| Grocery Outlet Holding Corp. * |
191 |
5,141 |
| Performance Food Group Co. * |
57 |
3,958 |
| |
|
13,897 |
| Diversified Consumer Services — 0.4% | ||
| Bright Horizons Family Solutions, Inc. * |
62 |
5,873 |
| Diversified Telecommunication Services — 0.5% | ||
| Iridium Communications, Inc. |
173 |
7,136 |
| Electric Utilities — 0.4% | ||
| Portland General Electric Co. |
122 |
5,280 |
| Electrical Equipment — 1.3% | ||
| Bloom Energy Corp., Class A * (a) |
348 |
5,154 |
| NEXTracker, Inc., Class A * (a) |
130 |
6,104 |
| Shoals Technologies Group, Inc., Class A * |
269 |
4,174 |
| Vicor Corp. * |
54 |
2,428 |
| |
|
17,860 |
| Electronic Equipment, Instruments & Components — 2.4% | ||
| Insight Enterprises, Inc. * (a) |
21 |
3,669 |
| Knowles Corp. * |
376 |
6,737 |
| Littelfuse, Inc. |
19 |
4,995 |
| Plexus Corp. * |
32 |
3,516 |
| TTM Technologies, Inc. * |
508 |
8,040 |
| Vishay Intertechnology, Inc. |
307 |
7,355 |
| |
|
34,312 |
| Energy Equipment & Services — 2.2% | ||
| Cactus, Inc., Class A |
273 |
12,408 |
| ChampionX Corp. |
255 |
7,438 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Energy Equipment & Services — continued | ||
| Noble Corp. plc |
55 |
2,659 |
| TechnipFMC plc (United Kingdom) |
338 |
6,812 |
| Weatherford International plc * |
20 |
1,908 |
| |
|
31,225 |
| Financial Services — 2.5% | ||
| AvidXchange Holdings, Inc. * |
432 |
5,356 |
| Flywire Corp. * |
127 |
2,943 |
| PennyMac Financial Services, Inc. (a) |
133 |
11,774 |
| Radian Group, Inc. |
319 |
9,113 |
| Remitly Global, Inc. * |
346 |
6,707 |
| |
|
35,893 |
| Food Products — 1.0% | ||
| Flowers Foods, Inc. |
180 |
4,047 |
| Freshpet, Inc. * (a) |
110 |
9,518 |
| |
|
13,565 |
| Gas Utilities — 1.1% | ||
| Chesapeake Utilities Corp. |
59 |
6,245 |
| ONE Gas, Inc. (a) |
111 |
7,068 |
| Southwest Gas Holdings, Inc. |
40 |
2,534 |
| |
|
15,847 |
| Ground Transportation — 0.8% | ||
| Marten Transport Ltd. |
347 |
7,274 |
| Saia, Inc. * |
10 |
4,461 |
| |
|
11,735 |
| Health Care Equipment & Supplies — 2.2% | ||
| Alphatec Holdings, Inc. * |
157 |
2,376 |
| CONMED Corp. |
23 |
2,469 |
| Establishment Labs Holdings, Inc. (Costa Rica) * (a) |
74 |
1,922 |
| Inari Medical, Inc. * |
113 |
7,359 |
| iRhythm Technologies, Inc. * (a) |
75 |
7,992 |
| Outset Medical, Inc. * |
318 |
1,719 |
| Shockwave Medical, Inc. * |
17 |
3,296 |
| Utah Medical Products, Inc. |
55 |
4,626 |
| |
|
31,759 |
| Health Care Providers & Services — 2.8% | ||
| Acadia Healthcare Co., Inc. * |
72 |
5,579 |
| Accolade, Inc. * |
437 |
5,245 |
| Encompass Health Corp. |
154 |
10,323 |
| Ensign Group, Inc. (The) |
60 |
6,724 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Providers & Services — continued | ||
| Patterson Cos., Inc. |
342 |
9,744 |
| Progyny, Inc. * |
77 |
2,856 |
| |
|
40,471 |
| Health Care REITs — 0.4% | ||
| CareTrust REIT, Inc. |
259 |
5,794 |
| Health Care Technology — 0.8% | ||
| Evolent Health, Inc., Class A * (a) |
354 |
11,675 |
| Hotel & Resort REITs — 0.5% | ||
| RLJ Lodging Trust |
305 |
3,581 |
| Sunstone Hotel Investors, Inc. |
325 |
3,485 |
| |
|
7,066 |
| Hotels, Restaurants & Leisure — 3.6% | ||
| Bloomin' Brands, Inc. |
135 |
3,798 |
| Boyd Gaming Corp. |
126 |
7,906 |
| Cava Group, Inc. * |
40 |
1,722 |
| Everi Holdings, Inc. * |
397 |
4,470 |
| Jack in the Box, Inc. (a) |
32 |
2,652 |
| Life Time Group Holdings, Inc. * |
375 |
5,660 |
| Marriott Vacations Worldwide Corp. |
33 |
2,794 |
| Papa John's International, Inc. (a) |
74 |
5,620 |
| Planet Fitness, Inc., Class A * |
76 |
5,539 |
| Six Flags Entertainment Corp. * |
201 |
5,033 |
| Texas Roadhouse, Inc., Class A |
54 |
6,624 |
| |
|
51,818 |
| Household Durables — 1.7% | ||
| Helen of Troy Ltd. * |
22 |
2,633 |
| La-Z-Boy, Inc. |
110 |
4,059 |
| M/I Homes, Inc. * |
50 |
6,883 |
| MDC Holdings, Inc. |
70 |
3,867 |
| Sonos, Inc. * |
387 |
6,637 |
| |
|
24,079 |
| Industrial REITs — 1.2% | ||
| Plymouth Industrial REIT, Inc. |
200 |
4,810 |
| Terreno Realty Corp. |
185 |
11,610 |
| |
|
16,420 |
| Insurance — 1.7% | ||
| Safety Insurance Group, Inc. |
118 |
8,986 |
| Selective Insurance Group, Inc. |
148 |
14,703 |
| |
|
23,689 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Interactive Media & Services — 0.6% | ||
| IAC, Inc. * |
114 |
5,942 |
| TripAdvisor, Inc. * |
134 |
2,886 |
| |
|
8,828 |
| IT Services — 0.6% | ||
| DigitalOcean Holdings, Inc. * (a) |
109 |
3,988 |
| Globant SA * |
21 |
5,092 |
| |
|
9,080 |
| Life Sciences Tools & Services — 0.2% | ||
| Fortrea Holdings, Inc. * |
98 |
3,434 |
| Machinery — 4.3% | ||
| Alamo Group, Inc. |
38 |
7,953 |
| Chart Industries, Inc. * (a) |
36 |
4,905 |
| Douglas Dynamics, Inc. |
114 |
3,394 |
| Enpro Inc. |
31 |
4,817 |
| ITT, Inc. |
83 |
9,948 |
| John Bean Technologies Corp. |
54 |
5,419 |
| Kadant, Inc. |
27 |
7,530 |
| Mueller Industries, Inc. |
132 |
6,206 |
| Toro Co. (The) |
40 |
3,845 |
| Watts Water Technologies, Inc., Class A |
36 |
7,452 |
| |
|
61,469 |
| Media — 0.6% | ||
| John Wiley & Sons, Inc., Class A |
258 |
8,190 |
| Mortgage Real Estate Investment Trusts (REITs) — 0.2% | ||
| Ladder Capital Corp. |
258 |
2,966 |
| Multi-Utilities — 0.4% | ||
| Unitil Corp. |
117 |
6,150 |
| Office REITs — 0.8% | ||
| Equity Commonwealth |
377 |
7,233 |
| Highwoods Properties, Inc. |
202 |
4,641 |
| |
|
11,874 |
| Oil, Gas & Consumable Fuels — 3.2% | ||
| Chord Energy Corp. |
74 |
12,201 |
| CNX Resources Corp. * (a) |
200 |
3,989 |
| Equitrans Midstream Corp. |
445 |
4,530 |
| Magnolia Oil & Gas Corp., Class A (a) |
328 |
6,992 |
| Matador Resources Co. |
272 |
15,463 |
| SM Energy Co. |
73 |
2,839 |
| |
|
46,014 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
29 |
JPMorgan Small Cap Blend
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Personal Care Products — 1.4% | ||
| Edgewell Personal Care Co. |
165 |
6,034 |
| elf Beauty, Inc. * |
68 |
9,887 |
| Inter Parfums, Inc. |
29 |
4,147 |
| |
|
20,068 |
| Pharmaceuticals — 1.5% | ||
| Arvinas, Inc. * |
127 |
5,221 |
| Intra-Cellular Therapies, Inc. * |
128 |
9,205 |
| Prestige Consumer Healthcare, Inc. * |
64 |
3,926 |
| Revance Therapeutics, Inc. * (a) |
305 |
2,677 |
| |
|
21,029 |
| Professional Services — 1.6% | ||
| ASGN, Inc. * |
55 |
5,284 |
| ExlService Holdings, Inc. * |
191 |
5,876 |
| KBR, Inc. |
109 |
6,049 |
| Paycor HCM, Inc. * (a) |
119 |
2,575 |
| Verra Mobility Corp., Class A * |
113 |
2,599 |
| |
|
22,383 |
| Residential REITs — 0.6% | ||
| American Homes 4 Rent, Class A |
120 |
4,312 |
| Centerspace |
72 |
4,167 |
| |
|
8,479 |
| Retail REITs — 1.1% | ||
| Agree Realty Corp. |
140 |
8,797 |
| Kite Realty Group Trust |
299 |
6,848 |
| |
|
15,645 |
| Semiconductors & Semiconductor Equipment — 3.9% | ||
| Allegro MicroSystems, Inc. (Japan) * |
134 |
4,050 |
| Amkor Technology, Inc. |
140 |
4,660 |
| Axcelis Technologies, Inc. * |
19 |
2,527 |
| Cohu, Inc. * |
197 |
6,956 |
| Credo Technology Group Holding Ltd. * |
271 |
5,282 |
| MACOM Technology Solutions Holdings, Inc. * |
24 |
2,276 |
| MKS Instruments, Inc. |
41 |
4,178 |
| Onto Innovation, Inc. * |
23 |
3,559 |
| Power Integrations, Inc. |
53 |
4,343 |
| Rambus, Inc. * |
148 |
10,096 |
| Synaptics, Inc. * |
66 |
7,515 |
| |
|
55,442 |
| Software — 6.5% | ||
| Appfolio, Inc., Class A * |
6 |
1,073 |
| BlackLine, Inc. * |
93 |
5,778 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Software — continued | ||
| Box, Inc., Class A * |
288 |
7,382 |
| Clear Secure, Inc., Class A (a) |
189 |
3,896 |
| Confluent, Inc., Class A * |
238 |
5,576 |
| CyberArk Software Ltd. * |
41 |
8,951 |
| Elastic NV * |
54 |
6,131 |
| Envestnet, Inc. * |
54 |
2,655 |
| Five9, Inc. * |
72 |
5,668 |
| Gitlab, Inc., Class A * |
49 |
3,094 |
| HashiCorp, Inc., Class A * |
243 |
5,738 |
| JFrog Ltd. (Israel) * |
127 |
4,404 |
| Klaviyo, Inc., Class A * |
96 |
2,676 |
| PowerSchool Holdings, Inc., Class A * (a) |
130 |
3,068 |
| SentinelOne, Inc., Class A * |
281 |
7,712 |
| Smartsheet, Inc., Class A * |
157 |
7,499 |
| Vertex, Inc., Class A * |
226 |
6,083 |
| Workiva, Inc., Class A * |
54 |
5,447 |
| |
|
92,831 |
| Specialized REITs — 0.3% | ||
| CubeSmart |
101 |
4,692 |
| Specialty Retail — 2.1% | ||
| Burlington Stores, Inc. * |
18 |
3,432 |
| Floor & Decor Holdings, Inc., Class A * (a) |
53 |
5,958 |
| Group 1 Automotive, Inc. |
26 |
8,031 |
| Lithia Motors, Inc., Class A |
24 |
7,829 |
| Urban Outfitters, Inc. * |
117 |
4,181 |
| |
|
29,431 |
| Technology Hardware, Storage & Peripherals — 1.0% | ||
| Super Micro Computer, Inc. * (a) |
52 |
14,784 |
| Textiles, Apparel & Luxury Goods — 1.7% | ||
| Carter's, Inc. (a) |
79 |
5,913 |
| Kontoor Brands, Inc. |
115 |
7,165 |
| Movado Group, Inc. |
95 |
2,864 |
| Steven Madden Ltd. (a) |
181 |
7,632 |
| |
|
23,574 |
| Trading Companies & Distributors — 4.7% | ||
| Air Lease Corp., Class A |
119 |
4,980 |
| Applied Industrial Technologies, Inc. |
116 |
19,996 |
| Beacon Roofing Supply, Inc. * |
85 |
7,448 |
| FTAI Aviation Ltd. (a) |
93 |
4,326 |
| McGrath RentCorp |
64 |
7,684 |
| Rush Enterprises, Inc., Class A |
154 |
7,729 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Trading Companies & Distributors — continued | ||
| SiteOne Landscape Supply, Inc. * (a) |
33 |
5,406 |
| WESCO International, Inc. |
53 |
9,183 |
| |
|
66,752 |
| Water Utilities — 0.4% | ||
| American States Water Co. |
80 |
6,412 |
| Total Common Stocks
(Cost $1,124,262) |
|
1,384,422 |
| |
NO. OF CONTRACTS |
|
| Options Purchased — 0.1% | ||
| Call Options Purchased — 0.1% | ||
| SPDR S&P Biotech ETF |
|
|
| 1/19/2024 at USD 70.00 , American Style |
|
|
| Notional Amount: USD 2,679 |
|
|
| Counterparty: Exchange-Traded * |
300 |
585 |
| 2/16/2024 at USD 70.00 , American Style |
|
|
| Notional Amount: USD 1,786 |
|
|
| Counterparty: Exchange-Traded * |
200 |
394 |
| 1/19/2024 at USD 80.00 , American Style |
|
|
| Notional Amount: USD 6,250 |
|
|
| Counterparty: Exchange-Traded * |
700 |
681 |
| 2/16/2024 at USD 80.00 , American Style |
|
|
| Notional Amount: USD 2,679 |
|
|
| Counterparty: Exchange-Traded * |
300 |
323 |
| Total Call Options Purchased (Cost $323) |
|
1,983 |
| |
SHARES (000) |
|
| Short-Term Investments — 9.9% | ||
| Investment Companies — 2.6% | ||
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (b) (c) (Cost $37,445) |
37,435 |
37,464 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Investment of Cash Collateral from Securities Loaned — 7.3% | ||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (b) (c) |
89,242 |
89,278 |
| JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.30% (b) (c) |
13,770 |
13,770 |
| Total Investment of Cash Collateral from Securities Loaned (Cost $103,036) |
|
103,048 |
| Total Short-Term Investments
(Cost $140,481) |
|
140,512 |
| Total Investments — 107.1% (Cost $1,265,066) |
|
1,526,917 |
| Liabilities in Excess of Other Assets —
(7.1)% |
|
(101,240
) |
| NET ASSETS — 100.0% |
|
1,425,677 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| ETF |
Exchange Traded Fund |
| REIT |
Real
Estate Investment Trust |
| SPDR |
Standard & Poor's Depositary Receipt |
| USD |
United States Dollar |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $98,903. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
31 |
JPMorgan Small Cap Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 96.2% | ||
| Aerospace & Defense — 0.8% | ||
| Woodward, Inc. |
317 |
43,142 |
| Automobile Components — 1.0% | ||
| LCI Industries (a) |
430 |
54,059 |
| Banks — 8.3% | ||
| BankUnited, Inc. |
1,555 |
50,446 |
| Commerce Bancshares, Inc. (a) |
1,109 |
59,216 |
| Cullen/Frost Bankers, Inc. |
531 |
57,603 |
| First Financial Bancorp |
2,238 |
53,164 |
| First Hawaiian, Inc. |
2,399 |
54,845 |
| First Interstate BancSystem, Inc., Class A |
1,832 |
56,322 |
| ServisFirst Bancshares, Inc. (a) |
868 |
57,835 |
| Wintrust Financial Corp. |
667 |
61,851 |
| |
|
451,282 |
| Beverages — 1.0% | ||
| Primo Water Corp. |
3,671 |
55,243 |
| Broadline Retail — 0.6% | ||
| Savers Value Village, Inc. * (a) |
1,801 |
31,308 |
| Building Products — 4.0% | ||
| AZEK Co., Inc. (The), Class A * |
1,453 |
55,574 |
| Hayward Holdings, Inc. * (a) |
4,368 |
59,406 |
| Janus International Group, Inc. * |
2,170 |
28,319 |
| Simpson Manufacturing Co., Inc. |
386 |
76,391 |
| |
|
219,690 |
| Capital Markets — 4.5% | ||
| AssetMark Financial Holdings, Inc. * |
1,686 |
50,495 |
| Evercore, Inc., Class A |
401 |
68,601 |
| Moelis & Co., Class A (a) |
469 |
26,341 |
| Morningstar, Inc. |
137 |
39,274 |
| StepStone Group, Inc., Class A |
1,969 |
62,664 |
| |
|
247,375 |
| Chemicals — 3.5% | ||
| Axalta Coating Systems Ltd. * |
1,649 |
56,012 |
| Balchem Corp. |
235 |
34,978 |
| Perimeter Solutions SA * (a) |
4,829 |
22,214 |
| Quaker Chemical Corp. (a) |
352 |
75,037 |
| |
|
188,241 |
| Commercial Services & Supplies — 7.0% | ||
| Casella Waste Systems, Inc., Class A * |
955 |
81,615 |
| Driven Brands Holdings, Inc. * |
2,719 |
38,764 |
| MSA Safety, Inc. |
521 |
87,995 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Commercial Services & Supplies — continued | ||
| RB Global, Inc. (Canada) |
729 |
48,761 |
| Stericycle, Inc. * |
1,378 |
68,308 |
| UniFirst Corp. |
304 |
55,611 |
| |
|
381,054 |
| Construction & Engineering — 1.7% | ||
| WillScot Mobile Mini Holdings Corp. * |
2,107 |
93,771 |
| Consumer Staples Distribution & Retail — 4.3% | ||
| BJ's Wholesale Club Holdings, Inc. * |
1,135 |
75,637 |
| Casey's General Stores, Inc. |
254 |
69,957 |
| Performance Food Group Co. * |
1,280 |
88,488 |
| |
|
234,082 |
| Containers & Packaging — 1.4% | ||
| AptarGroup, Inc. |
630 |
77,818 |
| Diversified Consumer Services — 1.3% | ||
| Bright Horizons Family Solutions, Inc. * (a) |
729 |
68,691 |
| Electric Utilities — 1.1% | ||
| Portland General Electric Co. |
1,384 |
59,997 |
| Electrical Equipment — 1.0% | ||
| Generac Holdings, Inc. * (a) |
174 |
22,489 |
| Shoals Technologies Group, Inc., Class A * |
2,179 |
33,858 |
| |
|
56,347 |
| Electronic Equipment, Instruments & Components — 4.4% | ||
| Badger Meter, Inc. |
405 |
62,477 |
| Cognex Corp. |
611 |
25,499 |
| Fabrinet (Thailand) * |
212 |
40,332 |
| nLight, Inc. * |
2,188 |
29,546 |
| Novanta, Inc. * (a) |
489 |
82,351 |
| |
|
240,205 |
| Financial Services — 1.5% | ||
| WEX, Inc. * |
428 |
83,338 |
| Food Products — 1.9% | ||
| Freshpet, Inc. * (a) |
558 |
48,422 |
| Utz Brands, Inc. (a) |
3,259 |
52,922 |
| |
|
101,344 |
| Ground Transportation — 2.1% | ||
| Knight-Swift Transportation Holdings, Inc. |
919 |
52,963 |
| Landstar System, Inc. |
324 |
62,765 |
| |
|
115,728 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Equipment & Supplies — 3.4% | ||
| Envista Holdings Corp. * |
1,817 |
43,724 |
| ICU Medical, Inc. * (a) |
430 |
42,843 |
| Neogen Corp. * (a) |
2,217 |
44,579 |
| QuidelOrtho Corp. * |
695 |
51,233 |
| |
|
182,379 |
| Health Care Providers & Services — 5.4% | ||
| Agiliti, Inc. * (a) |
3,432 |
27,177 |
| Chemed Corp. |
120 |
70,009 |
| Encompass Health Corp. |
1,299 |
86,649 |
| HealthEquity, Inc. * |
968 |
64,203 |
| Progyny, Inc. * |
1,214 |
45,152 |
| |
|
293,190 |
| Health Care Technology — 0.7% | ||
| Certara, Inc. * |
2,247 |
39,528 |
| Hotel & Resort REITs — 1.2% | ||
| Ryman Hospitality Properties, Inc. |
585 |
64,394 |
| Hotels, Restaurants & Leisure — 3.1% | ||
| Monarch Casino & Resort, Inc. |
513 |
35,510 |
| Planet Fitness, Inc., Class A * |
958 |
69,945 |
| Wendy's Co. (The) (a) |
3,192 |
62,174 |
| |
|
167,629 |
| Industrial REITs — 1.1% | ||
| EastGroup Properties, Inc. |
323 |
59,268 |
| Insurance — 2.1% | ||
| Kinsale Capital Group, Inc. |
144 |
48,118 |
| RLI Corp. |
513 |
68,295 |
| |
|
116,413 |
| Leisure Products — 2.2% | ||
| Acushnet Holdings Corp. (a) |
861 |
54,365 |
| Brunswick Corp. (a) |
679 |
65,699 |
| |
|
120,064 |
| Life Sciences Tools & Services — 0.7% | ||
| Azenta, Inc. * (a) |
575 |
37,471 |
| Machinery — 5.5% | ||
| Douglas Dynamics, Inc. |
1,014 |
30,090 |
| Hillman Solutions Corp. * |
6,022 |
55,463 |
| Lincoln Electric Holdings, Inc. (a) |
293 |
63,745 |
| RBC Bearings, Inc. * (a) |
312 |
88,855 |
| Toro Co. (The) |
621 |
59,578 |
| |
|
297,731 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Multi-Utilities — 0.7% | ||
| Northwestern Energy Group, Inc. |
777 |
39,538 |
| Oil, Gas & Consumable Fuels — 1.5% | ||
| DT Midstream, Inc. (a) |
885 |
48,487 |
| SM Energy Co. |
887 |
34,363 |
| |
|
82,850 |
| Professional Services — 3.0% | ||
| First Advantage Corp. (a) |
3,847 |
63,753 |
| Paycor HCM, Inc. * (a) |
2,172 |
46,888 |
| Verra Mobility Corp., Class A * |
2,405 |
55,386 |
| |
|
166,027 |
| Real Estate Management & Development — 1.0% | ||
| Cushman & Wakefield plc * (a) |
4,846 |
52,337 |
| Retail REITs — 1.2% | ||
| NNN REIT, Inc. |
1,469 |
63,297 |
| Semiconductors & Semiconductor Equipment — 3.9% | ||
| Allegro MicroSystems, Inc. (Japan) * |
1,169 |
35,385 |
| MACOM Technology Solutions Holdings, Inc. * |
990 |
92,074 |
| Power Integrations, Inc. |
1,022 |
83,907 |
| |
|
211,366 |
| Software — 4.9% | ||
| Clearwater Analytics Holdings, Inc., Class A * |
2,639 |
52,860 |
| Envestnet, Inc. * |
881 |
43,634 |
| Guidewire Software, Inc. * |
486 |
52,948 |
| nCino, Inc. * (a) |
1,253 |
42,131 |
| Qualys, Inc. * (a) |
124 |
24,413 |
| Workiva, Inc., Class A * |
477 |
48,479 |
| |
|
264,465 |
| Specialized REITs — 1.1% | ||
| CubeSmart |
1,345 |
62,356 |
| Trading Companies & Distributors — 2.1% | ||
| Applied Industrial Technologies, Inc. |
383 |
66,233 |
| Core & Main, Inc., Class A * |
1,209 |
48,852 |
| |
|
115,085 |
| Total Common Stocks (Cost $3,656,256) |
|
5,238,103 |
| Short-Term Investments — 9.9% | ||
| Investment Companies — 4.2% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (b) (c)
(Cost $227,576) |
227,476 |
227,658 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
33 |
JPMorgan Small Cap Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short-Term Investments — continued | ||
| Investment of Cash Collateral from Securities Loaned — 5.7% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (b) (c) |
276,926 |
277,037 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (b) (c) |
32,096 |
32,096 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $309,096) |
|
309,133 |
| Total Short-Term Investments (Cost $536,672) |
|
536,791 |
| Total Investments — 106.1% (Cost $4,192,928) |
|
5,774,894 |
| Liabilities in Excess of Other Assets —
(6.1)% |
|
(332,769
) |
| NET ASSETS — 100.0% |
|
5,442,125 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $297,559. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
JPMorgan Small Cap Growth
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.3% | ||
| Aerospace & Defense — 1.3% | ||
| Hexcel Corp. |
653 |
48,168 |
| Automobile Components — 1.5% | ||
| LCI Industries (a) |
172 |
21,689 |
| Visteon Corp. * |
291 |
36,316 |
| |
|
58,005 |
| Automobiles — 0.5% | ||
| Winnebago Industries, Inc. (a) |
272 |
19,800 |
| Banks — 0.8% | ||
| First Financial Bankshares, Inc. |
307 |
9,306 |
| Pinnacle Financial Partners, Inc. |
226 |
19,700 |
| |
|
29,006 |
| Biotechnology — 11.8% | ||
| ACELYRIN, Inc. * (a) |
935 |
6,975 |
| Agios Pharmaceuticals, Inc. * |
700 |
15,594 |
| Alector, Inc. * (a) |
1,031 |
8,225 |
| Allogene Therapeutics, Inc. * (a) |
1,722 |
5,526 |
| Amicus Therapeutics, Inc. * (a) |
3,752 |
53,234 |
| Apellis Pharmaceuticals, Inc. * (a) |
336 |
20,137 |
| Arrowhead Pharmaceuticals, Inc. * (a) |
923 |
28,228 |
| Blueprint Medicines Corp. * |
510 |
47,080 |
| Halozyme Therapeutics, Inc. * (a) |
1,151 |
42,532 |
| Natera, Inc. * |
769 |
48,168 |
| PMV Pharmaceuticals, Inc. * |
1,173 |
3,635 |
| REGENXBIO, Inc. * |
1,323 |
23,756 |
| Relay Therapeutics, Inc. * |
2,139 |
23,553 |
| REVOLUTION Medicines, Inc. * (a) |
1,360 |
39,005 |
| Sage Therapeutics, Inc. * (a) |
606 |
13,136 |
| Twist Bioscience Corp. * (a) |
1,284 |
47,325 |
| Vaxcyte, Inc. * |
154 |
9,671 |
| Verve Therapeutics, Inc. * (a) |
747 |
10,419 |
| |
|
446,199 |
| Broadline Retail — 0.9% | ||
| Global-e Online Ltd. (Israel) * (a) |
899 |
35,638 |
| Building Products — 4.5% | ||
| AAON, Inc. |
792 |
58,530 |
| Advanced Drainage Systems, Inc. |
279 |
39,259 |
| Simpson Manufacturing Co., Inc. |
355 |
70,262 |
| |
|
168,051 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Capital Markets — 1.6% | ||
| Evercore, Inc., Class A |
240 |
41,010 |
| Hamilton Lane, Inc., Class A |
168 |
19,132 |
| |
|
60,142 |
| Commercial Services & Supplies — 3.5% | ||
| ACV Auctions, Inc., Class A * |
1,727 |
26,158 |
| Casella Waste Systems, Inc., Class A * |
625 |
53,449 |
| MSA Safety, Inc. |
308 |
52,009 |
| |
|
131,616 |
| Communications Equipment — 0.4% | ||
| Ciena Corp. * |
314 |
14,141 |
| Construction & Engineering — 2.9% | ||
| Comfort Systems USA, Inc. |
203 |
41,746 |
| EMCOR Group, Inc. |
98 |
21,163 |
| MasTec, Inc. * |
252 |
19,061 |
| Valmont Industries, Inc. |
123 |
28,739 |
| |
|
110,709 |
| Consumer Staples Distribution & Retail — 2.0% | ||
| Chefs' Warehouse, Inc. (The) * |
866 |
25,477 |
| Grocery Outlet Holding Corp. * |
1,016 |
27,409 |
| Performance Food Group Co. * |
304 |
21,018 |
| |
|
73,904 |
| Diversified Consumer Services — 0.8% | ||
| Bright Horizons Family Solutions, Inc. * |
332 |
31,312 |
| Electrical Equipment — 2.5% | ||
| Bloom Energy Corp., Class A * (a) |
1,857 |
27,481 |
| NEXTracker, Inc., Class A * (a) |
695 |
32,545 |
| Shoals Technologies Group, Inc., Class A * |
1,432 |
22,258 |
| Vicor Corp. * |
288 |
12,944 |
| |
|
95,228 |
| Electronic Equipment, Instruments & Components — 0.7% | ||
| Littelfuse, Inc. |
100 |
26,634 |
| Energy Equipment & Services — 2.1% | ||
| Cactus, Inc., Class A |
977 |
44,371 |
| TechnipFMC plc (United Kingdom) |
1,795 |
36,152 |
| |
|
80,523 |
| Financial Services — 2.6% | ||
| AvidXchange Holdings, Inc. * (a) |
2,305 |
28,559 |
| Flywire Corp. * |
678 |
15,693 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
35 |
JPMorgan Small Cap Growth
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Financial Services — continued | ||
| PennyMac Financial Services, Inc. (a) |
216 |
19,053 |
| Remitly Global, Inc. * |
1,841 |
35,758 |
| |
|
99,063 |
| Food Products — 1.4% | ||
| Freshpet, Inc. * (a) |
585 |
50,748 |
| Ground Transportation — 0.6% | ||
| Saia, Inc. * |
54 |
23,674 |
| Health Care Equipment & Supplies — 3.8% | ||
| Alphatec Holdings, Inc. * |
844 |
12,747 |
| CONMED Corp. (a) |
120 |
13,165 |
| Establishment Labs Holdings, Inc. (Costa Rica) * (a) |
396 |
10,248 |
| Inari Medical, Inc. * (a) |
604 |
39,239 |
| iRhythm Technologies, Inc. * (a) |
398 |
42,611 |
| Outset Medical, Inc. * (a) |
1,694 |
9,164 |
| Shockwave Medical, Inc. * |
92 |
17,570 |
| |
|
144,744 |
| Health Care Providers & Services — 1.9% | ||
| Acadia Healthcare Co., Inc. * |
382 |
29,746 |
| Accolade, Inc. * |
2,329 |
27,968 |
| Progyny, Inc. * |
410 |
15,227 |
| |
|
72,941 |
| Health Care Technology — 1.7% | ||
| Evolent Health, Inc., Class A * (a) |
1,885 |
62,251 |
| Hotels, Restaurants & Leisure — 5.8% | ||
| Boyd Gaming Corp. (a) |
673 |
42,156 |
| Cava Group, Inc. * (a) |
214 |
9,183 |
| Life Time Group Holdings, Inc. * (a) |
2,001 |
30,181 |
| Marriott Vacations Worldwide Corp. |
176 |
14,896 |
| Papa John's International, Inc. (a) |
393 |
29,965 |
| Planet Fitness, Inc., Class A * |
403 |
29,409 |
| Six Flags Entertainment Corp. * (a) |
1,070 |
26,836 |
| Texas Roadhouse, Inc., Class A |
288 |
35,169 |
| |
|
217,795 |
| Household Durables — 1.3% | ||
| Helen of Troy Ltd. * (a) |
116 |
14,040 |
| Sonos, Inc. * |
2,063 |
35,349 |
| |
|
49,389 |
| Industrial REITs — 0.9% | ||
| Terreno Realty Corp. |
542 |
33,986 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| IT Services — 1.3% | ||
| DigitalOcean Holdings, Inc. * (a) |
579 |
21,264 |
| Globant SA * |
114 |
27,038 |
| |
|
48,302 |
| Machinery — 2.9% | ||
| Chart Industries, Inc. * (a) |
192 |
26,154 |
| ITT, Inc. |
442 |
52,798 |
| John Bean Technologies Corp. |
291 |
28,894 |
| |
|
107,846 |
| Oil, Gas & Consumable Fuels — 1.8% | ||
| Chord Energy Corp. |
97 |
16,202 |
| Matador Resources Co. (a) |
614 |
34,892 |
| SM Energy Co. |
391 |
15,141 |
| |
|
66,235 |
| Personal Care Products — 1.4% | ||
| elf Beauty, Inc. * |
364 |
52,498 |
| Pharmaceuticals — 2.4% | ||
| Arvinas, Inc. * |
677 |
27,838 |
| Intra-Cellular Therapies, Inc. * |
685 |
49,078 |
| Revance Therapeutics, Inc. * (a) |
1,624 |
14,274 |
| |
|
91,190 |
| Professional Services — 2.0% | ||
| ExlService Holdings, Inc. * |
1,016 |
31,332 |
| KBR, Inc. (a) |
577 |
31,975 |
| Paycor HCM, Inc. * (a) |
636 |
13,730 |
| |
|
77,037 |
| Semiconductors & Semiconductor Equipment — 5.1% | ||
| Allegro MicroSystems, Inc. (Japan) * |
713 |
21,596 |
| Axcelis Technologies, Inc. * |
104 |
13,472 |
| Credo Technology Group Holding Ltd. * |
1,447 |
28,165 |
| MACOM Technology Solutions Holdings, Inc. * |
131 |
12,134 |
| MKS Instruments, Inc. |
216 |
22,275 |
| Onto Innovation, Inc. * |
124 |
18,978 |
| Power Integrations, Inc. (a) |
282 |
23,156 |
| Rambus, Inc. * |
789 |
53,831 |
| |
|
193,607 |
| Software — 13.1% | ||
| Appfolio, Inc., Class A * |
33 |
5,720 |
| BlackLine, Inc. * |
493 |
30,805 |
| Box, Inc., Class A * |
1,537 |
39,359 |
| Clear Secure, Inc., Class A (a) |
1,006 |
20,775 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Software — continued | ||
| Confluent, Inc., Class A * |
1,271 |
29,733 |
| CyberArk Software Ltd. * |
218 |
47,724 |
| Elastic NV * |
289 |
32,552 |
| Envestnet, Inc. * |
286 |
14,155 |
| Five9, Inc. * |
383 |
30,166 |
| Gitlab, Inc., Class A * |
262 |
16,494 |
| HashiCorp, Inc., Class A * |
1,294 |
30,596 |
| JFrog Ltd. (Israel) * |
679 |
23,482 |
| Klaviyo, Inc., Class A * |
514 |
14,271 |
| PowerSchool Holdings, Inc., Class A * (a) |
694 |
16,357 |
| SentinelOne, Inc., Class A * |
1,492 |
40,948 |
| Smartsheet, Inc., Class A * |
836 |
39,984 |
| Vertex, Inc., Class A * |
1,204 |
32,435 |
| Workiva, Inc., Class A * |
286 |
29,041 |
| |
|
494,597 |
| Specialized REITs — 0.7% | ||
| CubeSmart |
540 |
25,016 |
| Specialty Retail — 2.4% | ||
| Burlington Stores, Inc. * |
93 |
18,222 |
| Floor & Decor Holdings, Inc., Class A * (a) |
285 |
31,765 |
| Lithia Motors, Inc., Class A (a) |
127 |
41,745 |
| |
|
91,732 |
| Technology Hardware, Storage & Peripherals — 2.1% | ||
| Super Micro Computer, Inc. * (a) |
277 |
78,824 |
| Trading Companies & Distributors — 6.3% | ||
| Air Lease Corp., Class A |
633 |
26,550 |
| Applied Industrial Technologies, Inc. |
404 |
69,745 |
| FTAI Aviation Ltd. (a) |
497 |
23,066 |
| Rush Enterprises, Inc., Class A |
819 |
41,212 |
| SiteOne Landscape Supply, Inc. * (a) |
177 |
28,825 |
| WESCO International, Inc. |
282 |
48,962 |
| |
|
238,360 |
| Total Common Stocks (Cost $2,968,597) |
|
3,748,911 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short-Term Investments — 7.9% | ||
| Investment Companies — 0.6% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (b) (c)
(Cost $22,498) |
22,493 |
22,511 |
| Investment of Cash Collateral from Securities Loaned — 7.3% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (b) (c) |
242,987 |
243,084 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (b) (c) |
32,822 |
32,822 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $275,880) |
|
275,906 |
| Total Short-Term Investments (Cost $298,378) |
|
298,417 |
| Total Investments — 107.2% (Cost $3,266,975) |
|
4,047,328 |
| Liabilities in Excess of Other Assets —
(7.2)% |
|
(270,995
) |
| NET ASSETS — 100.0% |
|
3,776,333 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $263,521. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
37 |
JPMorgan Small Cap
Sustainable Leaders Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.2% | ||
| Automobile Components — 2.1% | ||
| Visteon Corp. * |
7 |
819 |
| Banks — 8.5% | ||
| Amalgamated Financial Corp. |
39 |
1,061 |
| Berkshire Hills Bancorp, Inc. |
27 |
660 |
| Hilltop Holdings, Inc. |
20 |
703 |
| Synovus Financial Corp. |
17 |
643 |
| Zions Bancorp NA |
5 |
219 |
| |
|
3,286 |
| Biotechnology — 6.3% | ||
| Apellis Pharmaceuticals, Inc. * |
12 |
707 |
| Fate Therapeutics, Inc. * |
14 |
54 |
| Halozyme Therapeutics, Inc. * |
18 |
682 |
| Natera, Inc. * |
10 |
622 |
| Sarepta Therapeutics, Inc. * |
4 |
373 |
| |
|
2,438 |
| Building Products — 6.0% | ||
| AAON, Inc. |
17 |
1,239 |
| Advanced Drainage Systems, Inc. |
3 |
381 |
| AZEK Co., Inc. (The), Class A * |
18 |
703 |
| |
|
2,323 |
| Capital Markets — 1.3% | ||
| Federated Hermes, Inc. |
15 |
494 |
| Chemicals — 1.2% | ||
| Avient Corp. |
12 |
483 |
| Commercial Services & Supplies — 5.1% | ||
| ABM Industries, Inc. |
7 |
290 |
| Interface, Inc., Class A |
25 |
319 |
| MillerKnoll, Inc. |
24 |
631 |
| Tetra Tech, Inc. |
4 |
731 |
| |
|
1,971 |
| Consumer Staples Distribution & Retail — 2.0% | ||
| Sprouts Farmers Market, Inc. * |
12 |
585 |
| United Natural Foods, Inc. * |
13 |
201 |
| |
|
786 |
| Diversified Consumer Services — 0.6% | ||
| Coursera, Inc. * |
12 |
241 |
| Diversified REITs — 1.4% | ||
| Alexander & Baldwin, Inc. |
28 |
526 |
| Electric Utilities — 1.8% | ||
| Portland General Electric Co. |
16 |
712 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Electrical Equipment — 2.4% | ||
| Acuity Brands, Inc. |
1 |
312 |
| Bloom Energy Corp., Class A * |
6 |
89 |
| Fluence Energy, Inc. * |
5 |
114 |
| FuelCell Energy, Inc. * |
20 |
32 |
| NEXTracker, Inc., Class A * |
5 |
220 |
| SunPower Corp. * |
30 |
147 |
| |
|
914 |
| Electronic Equipment, Instruments & Components — 4.1% | ||
| Badger Meter, Inc. |
6 |
845 |
| Itron, Inc. * |
10 |
760 |
| |
|
1,605 |
| Food Products — 2.1% | ||
| Darling Ingredients, Inc. * |
12 |
619 |
| Vital Farms, Inc. * |
12 |
181 |
| |
|
800 |
| Health Care Equipment & Supplies — 1.4% | ||
| Outset Medical, Inc. * |
24 |
130 |
| Shockwave Medical, Inc. * |
2 |
402 |
| |
|
532 |
| Health Care Providers & Services — 5.2% | ||
| AMN Healthcare Services, Inc. * |
4 |
339 |
| Encompass Health Corp. |
6 |
429 |
| HealthEquity, Inc. * |
9 |
571 |
| Progyny, Inc. * |
19 |
694 |
| |
|
2,033 |
| Health Care Technology — 1.9% | ||
| Schrodinger, Inc. * |
15 |
537 |
| Veradigm, Inc. * |
20 |
205 |
| |
|
742 |
| Hotels, Restaurants & Leisure — 0.2% | ||
| Sweetgreen, Inc., Class A * |
5 |
58 |
| Household Durables — 4.1% | ||
| KB Home |
20 |
1,222 |
| Sonos, Inc. * |
22 |
385 |
| |
|
1,607 |
| Independent Power and Renewable Electricity Producers — 0.1% | ||
| Sunnova Energy International, Inc. * |
3 |
53 |
| Industrial REITs — 1.1% | ||
| Rexford Industrial Realty, Inc. |
7 |
409 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Insurance — 2.4% | ||
| CNO Financial Group, Inc. |
32 |
902 |
| Lemonade, Inc. * |
1 |
18 |
| |
|
920 |
| Interactive Media & Services — 2.5% | ||
| Bumble, Inc., Class A * |
18 |
269 |
| Yelp, Inc., Class A * |
15 |
691 |
| |
|
960 |
| Life Sciences Tools & Services — 0.6% | ||
| Azenta, Inc. * |
3 |
212 |
| Singular Genomics Systems, Inc. * |
51 |
23 |
| |
|
235 |
| Machinery — 2.2% | ||
| AGCO Corp. |
4 |
462 |
| Lindsay Corp. |
3 |
399 |
| |
|
861 |
| Metals & Mining — 4.0% | ||
| Alcoa Corp. |
9 |
302 |
| Constellium SE * |
38 |
757 |
| Schnitzer Steel Industries, Inc., Class A |
17 |
509 |
| |
|
1,568 |
| Mortgage Real Estate Investment Trusts (REITs) — 1.3% | ||
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. |
18 |
507 |
| Office REITs — 1.6% | ||
| Hudson Pacific Properties, Inc. |
9 |
85 |
| Kilroy Realty Corp. |
9 |
359 |
| Paramount Group, Inc. |
36 |
187 |
| |
|
631 |
| Oil, Gas & Consumable Fuels — 0.4% | ||
| Clean Energy Fuels Corp. * |
45 |
171 |
| Professional Services — 4.3% | ||
| Huron Consulting Group, Inc. * |
8 |
859 |
| ICF International, Inc. |
6 |
792 |
| |
|
1,651 |
| Real Estate Management & Development — 0.8% | ||
| Cushman & Wakefield plc * |
30 |
326 |
| Semiconductors & Semiconductor Equipment — 2.3% | ||
| Power Integrations, Inc. |
6 |
485 |
| Wolfspeed, Inc. * |
9 |
402 |
| |
|
887 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Software — 3.4% | ||
| Everbridge, Inc. * |
4 |
95 |
| NCR Voyix Corp. * |
17 |
284 |
| Q2 Holdings, Inc. * |
10 |
459 |
| Workiva, Inc., Class A * |
5 |
480 |
| |
|
1,318 |
| Specialized REITs — 1.4% | ||
| Rayonier, Inc. |
16 |
534 |
| Specialty Retail — 1.4% | ||
| ThredUp, Inc., Class A * |
52 |
117 |
| Warby Parker, Inc., Class A * |
29 |
405 |
| |
|
522 |
| Textiles, Apparel & Luxury Goods — 6.9% | ||
| Columbia Sportswear Co. |
6 |
435 |
| Deckers Outdoor Corp. * |
1 |
963 |
| Kontoor Brands, Inc. |
14 |
892 |
| Unifi, Inc. * |
59 |
392 |
| |
|
2,682 |
| Trading Companies & Distributors — 2.8% | ||
| WESCO International, Inc. |
6 |
1,098 |
| Water Utilities — 2.0% | ||
| American States Water Co. |
10 |
767 |
| Total Common Stocks
(Cost $39,104) |
|
38,470 |
| |
NO. OF RIGHTS (000) |
|
| Rights — 0.0% ^ | ||
| Pharmaceuticals — 0.0% ^ | ||
| Contra Aduro Biotech I ‡ *
(Cost $108) |
42 |
— |
| |
SHARES
(000) |
|
| Short-Term Investments — 0.9% | ||
| Investment Companies — 0.9% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (a) (b)
(Cost $345) |
345 |
345 |
| Total Investments — 100.1% (Cost $39,557) |
|
38,815 |
| Liabilities in Excess of Other Assets —
(0.1)% |
|
(47
) |
| NET ASSETS — 100.0% |
|
38,768 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
39 |
JPMorgan Small Cap
Sustainable Leaders Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| Percentages indicated are based on net assets. | ||
| Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| ^ |
Amount rounds to less than 0.1% of net assets. | |
| ‡ |
Value determined using significant unobservable inputs. |
|
| * |
Non-income producing security. |
|
| (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, 2023. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
JPMorgan Small Cap Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 97.8% | ||
| Aerospace & Defense — 0.7% | ||
| Archer Aviation, Inc., Class A * (a) |
223 |
1,367 |
| Parsons Corp. * (a) |
84 |
5,247 |
| V2X, Inc. * |
62 |
2,896 |
| |
|
9,510 |
| Air Freight & Logistics — 0.7% | ||
| Hub Group, Inc., Class A * |
100 |
9,165 |
| Radiant Logistics, Inc. * |
240 |
1,598 |
| |
|
10,763 |
| Automobile Components — 0.5% | ||
| Adient plc * |
171 |
6,235 |
| Dana, Inc. |
113 |
1,649 |
| |
|
7,884 |
| Banks — 17.3% | ||
| 1st Source Corp. |
19 |
1,048 |
| Amalgamated Financial Corp. |
47 |
1,269 |
| Ameris Bancorp |
148 |
7,829 |
| Associated Banc-Corp. |
63 |
1,350 |
| Banc of California, Inc. |
147 |
1,968 |
| Bancorp, Inc. (The) * |
51 |
1,950 |
| Bank of NT Butterfield & Son Ltd. (The) (Bermuda) |
289 |
9,252 |
| BankUnited, Inc. |
81 |
2,633 |
| Banner Corp. |
66 |
3,541 |
| Brookline Bancorp, Inc. |
98 |
1,068 |
| Business First Bancshares, Inc. |
81 |
1,998 |
| Byline Bancorp, Inc. |
223 |
5,263 |
| Capital City Bank Group, Inc. |
83 |
2,452 |
| Capstar Financial Holdings, Inc. (a) |
47 |
874 |
| Central Pacific Financial Corp. |
78 |
1,532 |
| City Holding Co. (a) |
1 |
147 |
| Columbia Banking System, Inc. |
55 |
1,459 |
| Community Trust Bancorp, Inc. |
24 |
1,072 |
| ConnectOne Bancorp, Inc. |
411 |
9,427 |
| CrossFirst Bankshares, Inc. * |
48 |
650 |
| Customers Bancorp, Inc. * |
203 |
11,701 |
| CVB Financial Corp. (a) |
383 |
7,740 |
| Eastern Bankshares, Inc. |
532 |
7,558 |
| Enterprise Financial Services Corp. |
128 |
5,713 |
| Equity Bancshares, Inc., Class A |
15 |
502 |
| Financial Institutions, Inc. |
47 |
993 |
| First BanCorp (Puerto Rico) (a) |
940 |
15,459 |
| First Bancshares, Inc. (The) |
85 |
2,505 |
| First Citizens BancShares, Inc., Class A |
5 |
6,625 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Banks — continued | ||
| First Commonwealth Financial Corp. |
161 |
2,478 |
| First Financial Corp. |
79 |
3,412 |
| First Merchants Corp. |
132 |
4,889 |
| First Mid Bancshares, Inc. |
22 |
746 |
| FNB Corp. (a) |
59 |
806 |
| Hancock Whitney Corp. |
61 |
2,982 |
| Heartland Financial USA, Inc. |
28 |
1,042 |
| Heritage Commerce Corp. |
272 |
2,700 |
| Home BancShares, Inc. |
212 |
5,370 |
| HomeTrust Bancshares, Inc. |
43 |
1,144 |
| Hope Bancorp, Inc. |
190 |
2,300 |
| Live Oak Bancshares, Inc. |
36 |
1,642 |
| Mercantile Bank Corp. |
17 |
695 |
| Mid Penn Bancorp, Inc. |
17 |
416 |
| Midland States Bancorp, Inc. |
28 |
784 |
| MVB Financial Corp. |
13 |
284 |
| National Bank Holdings Corp., Class A |
58 |
2,153 |
| OceanFirst Financial Corp. |
252 |
4,366 |
| OFG Bancorp (Puerto Rico) |
430 |
16,113 |
| Old National Bancorp |
659 |
11,124 |
| Old Second Bancorp, Inc. |
335 |
5,172 |
| Orrstown Financial Services, Inc. |
21 |
626 |
| Pathward Financial, Inc. |
171 |
9,053 |
| Peapack-Gladstone Financial Corp. |
18 |
546 |
| Peoples Bancorp, Inc. |
— |
— |
| Pinnacle Financial Partners, Inc. |
46 |
4,044 |
| Popular, Inc. (Puerto Rico) |
83 |
6,792 |
| Preferred Bank |
46 |
3,345 |
| Premier Financial Corp. |
104 |
2,512 |
| QCR Holdings, Inc. |
109 |
6,357 |
| Sierra Bancorp |
25 |
571 |
| SmartFinancial, Inc. |
17 |
405 |
| South Plains Financial, Inc. |
10 |
298 |
| Southside Bancshares, Inc. |
34 |
1,054 |
| SouthState Corp. |
60 |
5,084 |
| Towne Bank |
79 |
2,353 |
| TriCo Bancshares |
66 |
2,855 |
| UMB Financial Corp. |
23 |
1,897 |
| United Bankshares, Inc. |
83 |
3,105 |
| Veritex Holdings, Inc. |
96 |
2,229 |
| WesBanco, Inc. |
42 |
1,324 |
| Westamerica BanCorp |
34 |
1,934 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
41 |
JPMorgan Small Cap Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Banks — continued | ||
| Wintrust Financial Corp. |
91 |
8,485 |
| WSFS Financial Corp. |
36 |
1,658 |
| |
|
252,723 |
| Beverages — 0.2% | ||
| Primo Water Corp. |
224 |
3,371 |
| Biotechnology — 4.0% | ||
| 2seventy bio, Inc. * (a) |
181 |
773 |
| Agios Pharmaceuticals, Inc. * |
102 |
2,277 |
| Allogene Therapeutics, Inc. * (a) |
417 |
1,340 |
| Arcellx, Inc. * (a) |
137 |
7,584 |
| Avidity Biosciences, Inc. * |
223 |
2,021 |
| Biohaven Ltd. * (a) |
6 |
247 |
| Bluebird Bio, Inc. * (a) |
491 |
678 |
| Cytokinetics, Inc. * (a) |
74 |
6,167 |
| Dynavax Technologies Corp. * |
170 |
2,369 |
| Fate Therapeutics, Inc. * |
604 |
2,258 |
| Geron Corp. * (a) |
644 |
1,359 |
| Iovance Biotherapeutics, Inc. * (a) |
421 |
3,419 |
| Kymera Therapeutics, Inc. * |
222 |
5,660 |
| Lexicon Pharmaceuticals, Inc. * (a) |
1,465 |
2,242 |
| MacroGenics, Inc. * (a) |
546 |
5,254 |
| Prothena Corp. plc (Ireland) * |
83 |
3,006 |
| REVOLUTION Medicines, Inc. * |
74 |
2,104 |
| SpringWorks Therapeutics, Inc. * (a) |
149 |
5,438 |
| Syndax Pharmaceuticals, Inc. * |
184 |
3,981 |
| |
|
58,177 |
| Broadline Retail — 0.2% | ||
| Savers Value Village, Inc. * (a) |
127 |
2,214 |
| Building Products — 1.6% | ||
| Gibraltar Industries, Inc. * |
47 |
3,692 |
| Griffon Corp. |
91 |
5,585 |
| Resideo Technologies, Inc. * |
102 |
1,914 |
| UFP Industries, Inc. |
91 |
11,416 |
| |
|
22,607 |
| Capital Markets — 1.2% | ||
| AssetMark Financial Holdings, Inc. * |
48 |
1,429 |
| BGC Group, Inc., Class A |
84 |
608 |
| Federated Hermes, Inc. |
38 |
1,301 |
| Open Lending Corp. * |
117 |
1,000 |
| Piper Sandler Cos. |
13 |
2,192 |
| StoneX Group, Inc. * |
37 |
2,696 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Capital Markets — continued | ||
| Victory Capital Holdings, Inc., Class A |
184 |
6,327 |
| Virtus Investment Partners, Inc. |
10 |
2,471 |
| |
|
18,024 |
| Chemicals — 0.6% | ||
| AdvanSix, Inc. |
89 |
2,662 |
| Avient Corp. |
55 |
2,293 |
| Ecovyst, Inc. * |
58 |
567 |
| HB Fuller Co. |
30 |
2,480 |
| Tronox Holdings plc |
59 |
835 |
| |
|
8,837 |
| Commercial Services & Supplies — 0.6% | ||
| ABM Industries, Inc. |
176 |
7,886 |
| ACCO Brands Corp. |
115 |
697 |
| |
|
8,583 |
| Communications Equipment — 0.3% | ||
| Aviat Networks, Inc. * |
35 |
1,156 |
| NETGEAR, Inc. * |
233 |
3,397 |
| |
|
4,553 |
| Construction & Engineering — 1.5% | ||
| API Group Corp. * |
168 |
5,818 |
| Argan, Inc. |
14 |
667 |
| Comfort Systems USA, Inc. |
28 |
5,661 |
| MYR Group, Inc. * |
48 |
6,990 |
| Primoris Services Corp. |
88 |
2,907 |
| |
|
22,043 |
| Construction Materials — 0.2% | ||
| Summit Materials, Inc., Class A * |
80 |
3,080 |
| Consumer Finance — 1.0% | ||
| Encore Capital Group, Inc. * (a) |
61 |
3,077 |
| Enova International, Inc. * |
49 |
2,734 |
| FirstCash Holdings, Inc. |
41 |
4,450 |
| Nelnet, Inc., Class A |
10 |
834 |
| PROG Holdings, Inc. * |
112 |
3,468 |
| |
|
14,563 |
| Consumer Staples Distribution & Retail — 0.8% | ||
| Andersons, Inc. (The) |
89 |
5,109 |
| Sprouts Farmers Market, Inc. * |
112 |
5,376 |
| United Natural Foods, Inc. * |
106 |
1,731 |
| |
|
12,216 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Containers & Packaging — 0.3% | ||
| Greif, Inc., Class A |
39 |
2,557 |
| Myers Industries, Inc. |
18 |
349 |
| O-I Glass, Inc. * |
74 |
1,222 |
| |
|
4,128 |
| Diversified Consumer Services — 1.0% | ||
| Adtalem Global Education, Inc. * |
78 |
4,598 |
| Laureate Education, Inc., Class A |
267 |
3,656 |
| Perdoceo Education Corp. |
179 |
3,147 |
| Stride, Inc. * (a) |
46 |
2,707 |
| |
|
14,108 |
| Diversified REITs — 0.9% | ||
| Alexander & Baldwin, Inc. |
51 |
963 |
| American Assets Trust, Inc. |
38 |
863 |
| Armada Hoffler Properties, Inc. |
81 |
1,006 |
| Broadstone Net Lease, Inc. |
379 |
6,520 |
| Essential Properties Realty Trust, Inc. |
152 |
3,883 |
| |
|
13,235 |
| Diversified Telecommunication Services — 0.5% | ||
| ATN International, Inc. |
16 |
634 |
| EchoStar Corp., Class A * |
79 |
1,310 |
| Liberty Latin America Ltd., Class A (Puerto
Rico) * |
97 |
704 |
| Liberty Latin America Ltd., Class C (Puerto Rico) * |
579 |
4,252 |
| |
|
6,900 |
| Electric Utilities — 1.4% | ||
| IDACORP, Inc. (a) |
59 |
5,770 |
| MGE Energy, Inc. |
65 |
4,708 |
| Portland General Electric Co. |
218 |
9,464 |
| |
|
19,942 |
| Electrical Equipment — 1.4% | ||
| Encore Wire Corp. (a) |
77 |
16,346 |
| Powell Industries, Inc. |
40 |
3,547 |
| |
|
19,893 |
| Electronic Equipment, Instruments & Components — 2.1% | ||
| Benchmark Electronics, Inc. |
149 |
4,117 |
| Daktronics, Inc. * |
366 |
3,104 |
| Knowles Corp. * |
707 |
12,673 |
| OSI Systems, Inc. * |
51 |
6,572 |
| ScanSource, Inc. * |
98 |
3,877 |
| |
|
30,343 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Energy Equipment & Services — 1.8% | ||
| ChampionX Corp. |
48 |
1,387 |
| Helmerich & Payne, Inc. |
87 |
3,164 |
| Liberty Energy, Inc., Class A |
350 |
6,353 |
| Noble Corp. plc |
111 |
5,320 |
| Oil States International, Inc. * |
263 |
1,786 |
| Patterson-UTI Energy, Inc. |
549 |
5,929 |
| Select Water Solutions, Inc. |
348 |
2,641 |
| |
|
26,580 |
| Financial Services — 4.8% | ||
| Enact Holdings, Inc. |
100 |
2,879 |
| Essent Group Ltd. |
242 |
12,766 |
| Federal Agricultural Mortgage Corp., Class C |
16 |
3,132 |
| Jackson Financial, Inc., Class A |
154 |
7,870 |
| Merchants Bancorp |
206 |
8,766 |
| Mr. Cooper Group, Inc. * |
155 |
10,129 |
| NMI Holdings, Inc., Class A * |
206 |
6,114 |
| PennyMac Financial Services, Inc. (a) |
50 |
4,429 |
| Radian Group, Inc. |
302 |
8,614 |
| Repay Holdings Corp., Class A * (a) |
409 |
3,498 |
| StoneCo Ltd., Class A (Brazil) * (a) |
125 |
2,247 |
| |
|
70,444 |
| Food Products — 0.9% | ||
| Cal-Maine Foods, Inc. (a) |
13 |
751 |
| Darling Ingredients, Inc. * |
34 |
1,702 |
| Dole plc |
335 |
4,122 |
| Fresh Del Monte Produce, Inc. |
74 |
1,936 |
| John B Sanfilippo & Son, Inc. |
37 |
3,773 |
| Simply Good Foods Co. (The) * |
36 |
1,439 |
| |
|
13,723 |
| Gas Utilities — 1.5% | ||
| Chesapeake Utilities Corp. |
28 |
2,997 |
| New Jersey Resources Corp. |
66 |
2,955 |
| Northwest Natural Holding Co. |
83 |
3,232 |
| ONE Gas, Inc. (a) |
98 |
6,265 |
| Southwest Gas Holdings, Inc. |
38 |
2,389 |
| Spire, Inc. |
70 |
4,336 |
| |
|
22,174 |
| Ground Transportation — 0.6% | ||
| ArcBest Corp. |
67 |
8,003 |
| Health Care Equipment & Supplies — 1.5% | ||
| Alphatec Holdings, Inc. * |
383 |
5,792 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
43 |
JPMorgan Small Cap Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Equipment & Supplies — continued | ||
| Inari Medical, Inc. * (a) |
46 |
2,964 |
| RxSight, Inc. * |
263 |
10,612 |
| Sight Sciences, Inc. * |
546 |
2,818 |
| |
|
22,186 |
| Health Care Providers & Services — 0.8% | ||
| Addus HomeCare Corp. * |
34 |
3,141 |
| Fulgent Genetics, Inc. * (a) |
69 |
1,994 |
| ModivCare, Inc. * |
54 |
2,373 |
| NeoGenomics, Inc. * (a) |
269 |
4,357 |
| |
|
11,865 |
| Health Care REITs — 0.8% | ||
| CareTrust REIT, Inc. |
105 |
2,349 |
| Community Healthcare Trust, Inc. |
47 |
1,245 |
| Global Medical REIT, Inc. |
61 |
676 |
| Sabra Health Care REIT, Inc. |
472 |
6,739 |
| |
|
11,009 |
| Health Care Technology — 0.6% | ||
| Evolent Health, Inc., Class A * |
187 |
6,175 |
| Veradigm, Inc. * |
296 |
3,104 |
| |
|
9,279 |
| Hotel & Resort REITs — 1.5% | ||
| Apple Hospitality REIT, Inc. (a) |
354 |
5,881 |
| DiamondRock Hospitality Co. |
92 |
859 |
| RLJ Lodging Trust |
379 |
4,436 |
| Ryman Hospitality Properties, Inc. |
86 |
9,495 |
| Xenia Hotels & Resorts, Inc. |
74 |
1,011 |
| |
|
21,682 |
| Hotels, Restaurants & Leisure — 1.3% | ||
| Bluegreen Vacations Holding Corp., Class A (a) |
29 |
2,198 |
| Full House Resorts, Inc. * |
65 |
347 |
| International Game Technology plc |
85 |
2,339 |
| Light & Wonder, Inc. * |
119 |
9,744 |
| SeaWorld Entertainment, Inc. * |
77 |
4,082 |
| |
|
18,710 |
| Household Durables — 2.9% | ||
| Green Brick Partners, Inc. * |
32 |
1,664 |
| Helen of Troy Ltd. * |
12 |
1,404 |
| M/I Homes, Inc. * |
81 |
11,161 |
| Meritage Homes Corp. |
67 |
11,605 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Household Durables — continued | ||
| Taylor Morrison Home Corp., Class A * |
211 |
11,271 |
| Tri Pointe Homes, Inc. * |
164 |
5,814 |
| |
|
42,919 |
| Household Products — 0.4% | ||
| Central Garden & Pet Co., Class A * |
138 |
6,092 |
| Independent Power and Renewable Electricity Producers — 0.4% | ||
| Clearway Energy, Inc., Class A (a) |
102 |
2,615 |
| Clearway Energy, Inc., Class C (a) |
128 |
3,516 |
| |
|
6,131 |
| Industrial REITs — 1.4% | ||
| First Industrial Realty Trust, Inc. |
30 |
1,577 |
| Innovative Industrial Properties, Inc. (a) |
22 |
2,233 |
| Plymouth Industrial REIT, Inc. |
131 |
3,149 |
| STAG Industrial, Inc. |
182 |
7,151 |
| Terreno Realty Corp. |
95 |
5,977 |
| |
|
20,087 |
| Insurance — 1.0% | ||
| American Equity Investment Life Holding Co. * |
79 |
4,390 |
| CNO Financial Group, Inc. |
65 |
1,823 |
| Enstar Group Ltd. * |
6 |
1,728 |
| James River Group Holdings Ltd. |
47 |
438 |
| RLI Corp. |
32 |
4,294 |
| Skyward Specialty Insurance Group, Inc. * (a) |
38 |
1,268 |
| |
|
13,941 |
| Interactive Media & Services — 0.2% | ||
| Cars.com, Inc. * |
64 |
1,224 |
| QuinStreet, Inc. * |
143 |
1,830 |
| |
|
3,054 |
| IT Services — 0.5% | ||
| Information Services Group, Inc. |
743 |
3,501 |
| Unisys Corp. * |
723 |
4,059 |
| |
|
7,560 |
| Leisure Products — 0.2% | ||
| JAKKS Pacific, Inc. * |
63 |
2,222 |
| Machinery — 1.6% | ||
| AGCO Corp. |
48 |
5,791 |
| Albany International Corp., Class A |
9 |
877 |
| Enpro Inc. |
12 |
1,894 |
| Luxfer Holdings plc (United Kingdom) |
28 |
253 |
| Mueller Industries, Inc. (a) |
229 |
10,804 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Machinery — continued | ||
| Terex Corp. |
62 |
3,544 |
| Titan International, Inc. * |
37 |
547 |
| |
|
23,710 |
| Marine Transportation — 0.6% | ||
| Matson, Inc. |
72 |
7,922 |
| Safe Bulkers, Inc. (Greece) |
206 |
809 |
| |
|
8,731 |
| Media — 0.9% | ||
| AMC Networks, Inc., Class A * (a) |
125 |
2,342 |
| Entravision Communications Corp., Class A |
556 |
2,320 |
| Gray Television, Inc. |
446 |
3,992 |
| John Wiley & Sons, Inc., Class A |
20 |
620 |
| Magnite, Inc. * |
268 |
2,506 |
| Thryv Holdings, Inc. * |
91 |
1,860 |
| |
|
13,640 |
| Metals & Mining — 2.9% | ||
| Alpha Metallurgical Resources, Inc. (a) |
29 |
9,928 |
| Arch Resources, Inc. |
21 |
3,467 |
| Commercial Metals Co. |
241 |
12,062 |
| Constellium SE * |
151 |
3,014 |
| Hecla Mining Co. |
726 |
3,491 |
| Olympic Steel, Inc. |
13 |
890 |
| Ryerson Holding Corp. |
78 |
2,685 |
| Schnitzer Steel Industries, Inc., Class A |
63 |
1,898 |
| SunCoke Energy, Inc. |
125 |
1,344 |
| Warrior Met Coal, Inc. |
55 |
3,356 |
| |
|
42,135 |
| Mortgage Real Estate Investment Trusts (REITs) — 1.4% | ||
| Blackstone Mortgage Trust, Inc., Class A (a) |
47 |
1,001 |
| Brightspire Capital, Inc., Class A |
516 |
3,841 |
| Dynex Capital, Inc. (a) |
116 |
1,457 |
| Ellington Financial, Inc. (a) |
27 |
337 |
| KKR Real Estate Finance Trust, Inc. |
118 |
1,563 |
| Ladder Capital Corp. |
397 |
4,570 |
| MFA Financial, Inc. |
564 |
6,354 |
| PennyMac Mortgage Investment Trust (a) |
52 |
782 |
| Ready Capital Corp. (a) |
83 |
844 |
| |
|
20,749 |
| Multi-Utilities — 0.7% | ||
| Black Hills Corp. |
9 |
487 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Multi-Utilities — continued | ||
| Northwestern Energy Group, Inc. |
70 |
3,540 |
| Unitil Corp. |
123 |
6,485 |
| |
|
10,512 |
| Office REITs — 1.4% | ||
| Brandywine Realty Trust |
484 |
2,614 |
| City Office REIT, Inc. |
91 |
559 |
| COPT Defense Properties |
310 |
7,933 |
| Easterly Government Properties, Inc., Class A |
52 |
699 |
| Equity Commonwealth |
150 |
2,872 |
| Hudson Pacific Properties, Inc. |
146 |
1,356 |
| SL Green Realty Corp. (a) |
87 |
3,939 |
| |
|
19,972 |
| Oil, Gas & Consumable Fuels — 6.9% | ||
| California Resources Corp. |
108 |
5,917 |
| Chord Energy Corp. |
60 |
9,984 |
| Civitas Resources, Inc. (a) |
61 |
4,179 |
| CNX Resources Corp. * (a) |
191 |
3,829 |
| CONSOL Energy, Inc. |
20 |
2,032 |
| CVR Energy, Inc. (a) |
112 |
3,392 |
| Delek US Holdings, Inc. |
16 |
423 |
| Dorian LPG Ltd. (a) |
174 |
7,638 |
| Green Plains, Inc. * (a) |
82 |
2,057 |
| Gulfport Energy Corp. * |
36 |
4,822 |
| International Seaways, Inc. |
95 |
4,305 |
| Magnolia Oil & Gas Corp., Class A (a) |
30 |
636 |
| Matador Resources Co. |
160 |
9,123 |
| Murphy Oil Corp. |
205 |
8,727 |
| Ovintiv, Inc. (a) |
101 |
4,416 |
| Par Pacific Holdings, Inc. * |
34 |
1,242 |
| PBF Energy, Inc., Class A |
69 |
3,010 |
| Peabody Energy Corp. (a) |
138 |
3,362 |
| REX American Resources Corp. * |
20 |
944 |
| SM Energy Co. |
305 |
11,817 |
| Teekay Tankers Ltd., Class A (Canada) |
65 |
3,244 |
| Uranium Energy Corp. * (a) |
537 |
3,439 |
| World Kinect Corp. |
108 |
2,449 |
| |
|
100,987 |
| Passenger Airlines — 0.8% | ||
| JetBlue Airways Corp. * |
247 |
1,370 |
| Joby Aviation, Inc. * (a) |
214 |
1,420 |
| SkyWest, Inc. * |
165 |
8,629 |
| |
|
11,419 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
45 |
JPMorgan Small Cap Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Personal Care Products — 1.0% | ||
| BellRing Brands, Inc. * |
166 |
9,195 |
| Edgewell Personal Care Co. |
74 |
2,713 |
| Herbalife Ltd. * (a) |
171 |
2,607 |
| Nature's Sunshine Products, Inc. * |
40 |
692 |
| |
|
15,207 |
| Pharmaceuticals — 0.8% | ||
| ANI Pharmaceuticals, Inc. * |
75 |
4,126 |
| Intra-Cellular Therapies, Inc. * |
54 |
3,890 |
| Prestige Consumer Healthcare, Inc. * |
71 |
4,360 |
| |
|
12,376 |
| Professional Services — 1.1% | ||
| ASGN, Inc. * |
62 |
5,985 |
| Barrett Business Services, Inc. |
47 |
5,428 |
| Heidrick & Struggles International, Inc. |
75 |
2,199 |
| KBR, Inc. |
34 |
1,898 |
| |
|
15,510 |
| Real Estate Management & Development — 0.5% | ||
| Forestar Group, Inc. * |
175 |
5,801 |
| Opendoor Technologies, Inc. * |
365 |
1,635 |
| |
|
7,436 |
| Residential REITs — 0.3% | ||
| Independence Realty Trust, Inc. |
100 |
1,526 |
| UMH Properties, Inc. |
102 |
1,563 |
| Veris Residential, Inc. |
93 |
1,470 |
| |
|
4,559 |
| Retail REITs — 3.0% | ||
| Agree Realty Corp. |
177 |
11,161 |
| InvenTrust Properties Corp. |
128 |
3,253 |
| Kite Realty Group Trust |
357 |
8,169 |
| Phillips Edison & Co., Inc. (a) |
109 |
3,980 |
| Regency Centers Corp. |
11 |
706 |
| Retail Opportunity Investments Corp. |
665 |
9,325 |
| RPT Realty |
100 |
1,280 |
| SITE Centers Corp. |
265 |
3,609 |
| Tanger, Inc. (a) |
58 |
1,613 |
| |
|
43,096 |
| Semiconductors & Semiconductor Equipment — 1.4% | ||
| ACM Research, Inc., Class A * |
210 |
4,108 |
| Synaptics, Inc. * |
97 |
11,115 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Semiconductors & Semiconductor Equipment — continued | ||
| Ultra Clean Holdings, Inc. * |
46 |
1,564 |
| Veeco Instruments, Inc. * |
109 |
3,370 |
| |
|
20,157 |
| Software — 1.5% | ||
| Adeia, Inc. |
298 |
3,697 |
| LiveRamp Holdings, Inc. * |
255 |
9,639 |
| ON24, Inc. |
333 |
2,626 |
| Verint Systems, Inc. * |
119 |
3,210 |
| Xperi, Inc. * |
236 |
2,600 |
| |
|
21,772 |
| Specialized REITs — 0.5% | ||
| PotlatchDeltic Corp. |
145 |
7,131 |
| Specialty Retail — 3.7% | ||
| Abercrombie & Fitch Co., Class A * |
71 |
6,299 |
| Academy Sports & Outdoors, Inc. |
61 |
4,041 |
| Asbury Automotive Group, Inc. * |
45 |
10,016 |
| Caleres, Inc. |
71 |
2,190 |
| Carvana Co. * (a) |
35 |
1,845 |
| Group 1 Automotive, Inc. |
35 |
10,505 |
| ODP Corp. (The) * |
104 |
5,844 |
| Signet Jewelers Ltd. |
69 |
7,440 |
| Urban Outfitters, Inc. * |
113 |
4,034 |
| Valvoline, Inc. * |
39 |
1,464 |
| |
|
53,678 |
| Textiles, Apparel & Luxury Goods — 0.4% | ||
| G-III Apparel Group Ltd. * |
169 |
5,730 |
| Trading Companies & Distributors — 3.9% | ||
| Beacon Roofing Supply, Inc. * |
104 |
9,081 |
| BlueLinx Holdings, Inc. * |
24 |
2,751 |
| Boise Cascade Co. |
58 |
7,544 |
| GATX Corp. |
13 |
1,554 |
| GMS, Inc. * |
72 |
5,922 |
| Hudson Technologies, Inc. * |
93 |
1,248 |
| NOW, Inc. * |
563 |
6,372 |
| Rush Enterprises, Inc., Class A |
270 |
13,560 |
| Titan Machinery, Inc. * |
53 |
1,532 |
| WESCO International, Inc. |
38 |
6,643 |
| |
|
56,207 |
| Water Utilities — 0.2% | ||
| American States Water Co. |
44 |
3,566 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Wireless Telecommunication Services — 0.2% | ||
| Gogo, Inc. * |
192 |
1,950 |
| Telephone and Data Systems, Inc. |
55 |
1,007 |
| |
|
2,957 |
| Total Common Stocks (Cost $1,151,267) |
|
1,426,595 |
| Short-Term Investments — 10.6% | ||
| Investment Companies — 3.0% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (b) (c)
(Cost $43,668) |
43,654 |
43,689 |
| Investment of Cash Collateral from Securities Loaned — 7.6% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (b) (c) |
99,573 |
99,613 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (b) (c) |
11,992 |
11,992 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $111,594) |
|
111,605 |
| Total Short-Term Investments (Cost $155,262) |
|
155,294 |
| Total Investments — 108.4% (Cost $1,306,529) |
|
1,581,889 |
| Liabilities in Excess of Other Assets —
(8.4)% |
|
(122,857
) |
| NET ASSETS — 100.0% |
|
1,459,032 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $107,113. |
| (b) |
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc. |
| (c) |
The
rate shown is the current yield as of December 31, 2023. |
Futures contracts outstanding as of December 31, 2023 (amounts in
thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| Russell 2000 E-Mini Index |
285 |
03/15/2024 |
USD |
29,181 |
2,255 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
47 |
JPMorgan SMID Cap Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 96.6% | ||
| Aerospace & Defense — 1.1% | ||
| Howmet Aerospace, Inc. |
68 |
3,681 |
| Automobile Components — 0.7% | ||
| LCI Industries |
19 |
2,439 |
| Banks — 4.9% | ||
| Commerce Bancshares, Inc. |
64 |
3,441 |
| Cullen/Frost Bankers, Inc. |
33 |
3,563 |
| First Interstate BancSystem, Inc., Class A |
92 |
2,824 |
| ServisFirst Bancshares, Inc. |
41 |
2,742 |
| Wintrust Financial Corp. |
43 |
3,960 |
| |
|
16,530 |
| Building Products — 4.0% | ||
| Fortune Brands Innovations, Inc. |
50 |
3,850 |
| Hayward Holdings, Inc. * |
254 |
3,456 |
| Lennox International, Inc. |
6 |
2,619 |
| Simpson Manufacturing Co., Inc. |
19 |
3,728 |
| |
|
13,653 |
| Capital Markets — 8.2% | ||
| AssetMark Financial Holdings, Inc. * |
25 |
744 |
| Cboe Global Markets, Inc. |
25 |
4,517 |
| Evercore, Inc., Class A |
21 |
3,661 |
| FactSet Research Systems, Inc. |
8 |
3,541 |
| LPL Financial Holdings, Inc. |
20 |
4,596 |
| MarketAxess Holdings, Inc. |
11 |
3,065 |
| Moelis & Co., Class A |
24 |
1,363 |
| Morningstar, Inc. |
9 |
2,557 |
| StepStone Group, Inc., Class A |
109 |
3,474 |
| |
|
27,518 |
| Chemicals — 1.6% | ||
| Axalta Coating Systems Ltd. * |
121 |
4,108 |
| Perimeter Solutions SA * |
246 |
1,133 |
| |
|
5,241 |
| Commercial Services & Supplies — 5.9% | ||
| Driven Brands Holdings, Inc. * |
180 |
2,571 |
| MSA Safety, Inc. |
33 |
5,485 |
| RB Global, Inc. (Canada) |
44 |
2,957 |
| Stericycle, Inc. * |
72 |
3,584 |
| Waste Connections, Inc. |
37 |
5,433 |
| |
|
20,030 |
| Construction & Engineering — 1.7% | ||
| WillScot Mobile Mini Holdings Corp. * |
131 |
5,841 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Consumer Staples Distribution & Retail — 4.3% | ||
| BJ's Wholesale Club Holdings, Inc. * |
73 |
4,858 |
| Casey's General Stores, Inc. |
16 |
4,265 |
| Performance Food Group Co. * |
75 |
5,221 |
| |
|
14,344 |
| Containers & Packaging — 2.2% | ||
| AptarGroup, Inc. |
31 |
3,820 |
| Crown Holdings, Inc. |
40 |
3,682 |
| |
|
7,502 |
| Distributors — 2.5% | ||
| LKQ Corp. |
64 |
3,057 |
| Pool Corp. |
13 |
5,339 |
| |
|
8,396 |
| Diversified Consumer Services — 1.1% | ||
| Bright Horizons Family Solutions, Inc. * |
41 |
3,853 |
| Electrical Equipment — 0.7% | ||
| Shoals Technologies Group, Inc., Class A * |
149 |
2,307 |
| Electronic Equipment, Instruments & Components — 1.2% | ||
| Cognex Corp. |
94 |
3,932 |
| Financial Services — 2.9% | ||
| Jack Henry & Associates, Inc. |
29 |
4,622 |
| WEX, Inc. * |
27 |
5,285 |
| |
|
9,907 |
| Food Products — 1.4% | ||
| Lamb Weston Holdings, Inc. |
43 |
4,589 |
| Gas Utilities — 1.2% | ||
| Atmos Energy Corp. |
34 |
3,936 |
| Ground Transportation — 2.0% | ||
| Knight-Swift Transportation Holdings, Inc. |
56 |
3,221 |
| Landstar System, Inc. |
17 |
3,378 |
| |
|
6,599 |
| Health Care Equipment & Supplies — 4.0% | ||
| Envista Holdings Corp. * |
131 |
3,146 |
| ICU Medical, Inc. * |
21 |
2,148 |
| QuidelOrtho Corp. * |
44 |
3,267 |
| STERIS plc |
22 |
4,779 |
| |
|
13,340 |
| Health Care Providers & Services — 4.9% | ||
| Chemed Corp. |
7 |
3,990 |
| Encompass Health Corp. |
70 |
4,688 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Providers & Services — continued | ||
| HealthEquity, Inc. * |
44 |
2,901 |
| Molina Healthcare, Inc. * |
13 |
4,915 |
| |
|
16,494 |
| Health Care Technology — 0.6% | ||
| Certara, Inc. * |
114 |
2,005 |
| Hotel & Resort REITs — 0.9% | ||
| Ryman Hospitality Properties, Inc. |
28 |
3,111 |
| Hotels, Restaurants & Leisure — 3.3% | ||
| Planet Fitness, Inc., Class A * |
55 |
4,002 |
| Vail Resorts, Inc. |
18 |
3,915 |
| Wendy's Co. (The) |
168 |
3,276 |
| |
|
11,193 |
| Household Products — 0.8% | ||
| Reynolds Consumer Products, Inc. |
94 |
2,534 |
| Industrial REITs — 1.0% | ||
| EastGroup Properties, Inc. |
19 |
3,481 |
| Insurance — 3.0% | ||
| Brown & Brown, Inc. |
50 |
3,533 |
| Kinsale Capital Group, Inc. |
9 |
3,112 |
| RLI Corp. |
27 |
3,574 |
| |
|
10,219 |
| Leisure Products — 1.2% | ||
| Brunswick Corp. |
41 |
3,966 |
| Life Sciences Tools & Services — 1.0% | ||
| West Pharmaceutical Services, Inc. |
10 |
3,536 |
| Machinery — 7.1% | ||
| Hillman Solutions Corp. * |
300 |
2,762 |
| IDEX Corp. |
12 |
2,640 |
| Lincoln Electric Holdings, Inc. |
19 |
4,055 |
| Nordson Corp. |
16 |
4,320 |
| RBC Bearings, Inc. * |
20 |
5,605 |
| Toro Co. (The) |
48 |
4,627 |
| |
|
24,009 |
| Oil, Gas & Consumable Fuels — 1.5% | ||
| DT Midstream, Inc. |
47 |
2,536 |
| SM Energy Co. |
65 |
2,526 |
| |
|
5,062 |
| Professional Services — 5.1% | ||
| Broadridge Financial Solutions, Inc. |
13 |
2,623 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Professional Services — continued | ||
| First Advantage Corp. |
201 |
3,325 |
| Paylocity Holding Corp. * |
19 |
3,153 |
| SS&C Technologies Holdings, Inc. |
57 |
3,517 |
| TransUnion |
67 |
4,616 |
| |
|
17,234 |
| Real Estate Management & Development — 0.8% | ||
| Cushman & Wakefield plc * |
262 |
2,834 |
| Residential REITs — 1.0% | ||
| Mid-America Apartment Communities, Inc. |
26 |
3,443 |
| Retail REITs — 0.9% | ||
| NNN REIT, Inc. |
70 |
3,019 |
| Semiconductors & Semiconductor Equipment — 4.2% | ||
| Allegro MicroSystems, Inc. (Japan) * |
89 |
2,689 |
| Entegris, Inc. |
33 |
3,943 |
| Power Integrations, Inc. |
54 |
4,458 |
| Teradyne, Inc. |
30 |
3,195 |
| |
|
14,285 |
| Software — 4.6% | ||
| Clearwater Analytics Holdings, Inc., Class A * |
136 |
2,730 |
| Guidewire Software, Inc. * |
30 |
3,314 |
| Manhattan Associates, Inc. * |
14 |
2,939 |
| nCino, Inc. * |
83 |
2,784 |
| Tyler Technologies, Inc. * |
9 |
3,830 |
| |
|
15,597 |
| Specialized REITs — 1.1% | ||
| CubeSmart |
80 |
3,699 |
| Specialty Retail — 1.0% | ||
| Burlington Stores, Inc. * |
18 |
3,414 |
| Trading Companies & Distributors — 1.0% | ||
| Core & Main, Inc., Class A * |
80 |
3,226 |
| Total Common Stocks (Cost $269,270) |
|
325,999 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
49 |
JPMorgan SMID Cap Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short-Term Investments — 3.5% | ||
| Investment Companies — 3.5% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (a) (b)
(Cost $11,801) |
11,797 |
11,806 |
| Total Investments — 100.1% (Cost $281,071) |
|
337,805 |
| Liabilities in Excess of Other Assets —
(0.1)% |
|
(234
) |
| NET ASSETS — 100.0% |
|
337,571 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
JPMorgan U.S. Small Company
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 97.5% | ||
| Aerospace & Defense — 0.3% | ||
| V2X, Inc. * |
58 |
2,697 |
| Air Freight & Logistics — 0.6% | ||
| Forward Air Corp. |
8 |
505 |
| Hub Group, Inc., Class A * |
52 |
4,717 |
| Radiant Logistics, Inc. * |
126 |
839 |
| |
|
6,061 |
| Automobile Components — 0.7% | ||
| Adient plc * |
76 |
2,746 |
| American Axle & Manufacturing Holdings, Inc. * |
110 |
967 |
| Lear Corp. |
7 |
930 |
| Visteon Corp. * |
11 |
1,419 |
| XPEL, Inc. * (a) |
16 |
882 |
| |
|
6,944 |
| Banks — 9.7% | ||
| Amalgamated Financial Corp. |
7 |
203 |
| Ameris Bancorp |
53 |
2,827 |
| Associated Banc-Corp. |
31 |
672 |
| Banc of California, Inc. (b) |
51 |
691 |
| Bancorp, Inc. (The) * |
67 |
2,581 |
| Bank of NT Butterfield & Son Ltd. (The) (Bermuda) |
122 |
3,907 |
| BankUnited, Inc. |
28 |
895 |
| Banner Corp. |
30 |
1,609 |
| Business First Bancshares, Inc. |
29 |
708 |
| Byline Bancorp, Inc. |
70 |
1,647 |
| Capital City Bank Group, Inc. |
22 |
636 |
| Central Pacific Financial Corp. |
19 |
377 |
| City Holding Co. (b) |
1 |
92 |
| Coastal Financial Corp. * |
33 |
1,458 |
| ConnectOne Bancorp, Inc. |
207 |
4,734 |
| Customers Bancorp, Inc. * |
84 |
4,837 |
| CVB Financial Corp. (b) |
154 |
3,112 |
| Eastern Bankshares, Inc. |
222 |
3,148 |
| Enterprise Financial Services Corp. |
47 |
2,101 |
| Equity Bancshares, Inc., Class A |
6 |
214 |
| Financial Institutions, Inc. |
5 |
107 |
| First BanCorp (Puerto Rico) |
379 |
6,232 |
| First Bancshares, Inc. (The) |
24 |
707 |
| First Citizens BancShares, Inc., Class A |
1 |
2,113 |
| First Commonwealth Financial Corp. |
36 |
558 |
| First Financial Corp. |
12 |
539 |
| First Merchants Corp. |
65 |
2,419 |
| First Mid Bancshares, Inc. |
22 |
750 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Banks — continued | ||
| FNB Corp. |
27 |
370 |
| Heartland Financial USA, Inc. |
15 |
572 |
| Heritage Commerce Corp. |
119 |
1,183 |
| Home BancShares, Inc. |
53 |
1,342 |
| Hope Bancorp, Inc. |
81 |
981 |
| Live Oak Bancshares, Inc. |
13 |
579 |
| Mercantile Bank Corp. |
5 |
191 |
| Mid Penn Bancorp, Inc. |
5 |
117 |
| MidWestOne Financial Group, Inc. |
7 |
204 |
| MVB Financial Corp. |
2 |
49 |
| National Bank Holdings Corp., Class A |
12 |
451 |
| OceanFirst Financial Corp. |
115 |
2,006 |
| OFG Bancorp (Puerto Rico) |
113 |
4,253 |
| Old National Bancorp |
180 |
3,046 |
| Old Second Bancorp, Inc. |
91 |
1,399 |
| Pathward Financial, Inc. |
61 |
3,228 |
| Peoples Bancorp, Inc. |
— |
— |
| Pinnacle Financial Partners, Inc. |
17 |
1,446 |
| Popular, Inc. (Puerto Rico) |
67 |
5,510 |
| Preferred Bank |
12 |
864 |
| Premier Financial Corp. |
11 |
261 |
| QCR Holdings, Inc. |
40 |
2,314 |
| South Plains Financial, Inc. |
3 |
77 |
| Southside Bancshares, Inc. |
11 |
360 |
| SouthState Corp. |
12 |
1,006 |
| Towne Bank |
26 |
763 |
| TriCo Bancshares |
35 |
1,486 |
| UMB Financial Corp. |
4 |
373 |
| United Bankshares, Inc. |
21 |
794 |
| WesBanco, Inc. |
21 |
658 |
| Westamerica BanCorp |
10 |
546 |
| Wintrust Financial Corp. |
44 |
4,042 |
| WSFS Financial Corp. |
13 |
579 |
| |
|
90,924 |
| Beverages — 0.7% | ||
| Coca-Cola Consolidated, Inc. |
2 |
1,934 |
| Primo Water Corp. |
158 |
2,383 |
| Vita Coco Co., Inc. (The) * (b) |
97 |
2,485 |
| |
|
6,802 |
| Biotechnology — 6.5% | ||
| ACADIA Pharmaceuticals, Inc. * |
111 |
3,480 |
| ACELYRIN, Inc. * (b) |
195 |
1,452 |
| Alkermes plc * |
46 |
1,274 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
51 |
JPMorgan U.S. Small Company
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Biotechnology — continued | ||
| Allogene Therapeutics, Inc. * |
188 |
602 |
| Amicus Therapeutics, Inc. * |
341 |
4,834 |
| Arrowhead Pharmaceuticals, Inc. * |
36 |
1,096 |
| Atara Biotherapeutics, Inc. * |
522 |
268 |
| Biohaven Ltd. * (b) |
5 |
218 |
| Bluebird Bio, Inc. * (b) |
12 |
16 |
| Blueprint Medicines Corp. * |
19 |
1,759 |
| Bridgebio Pharma, Inc. * (b) |
20 |
808 |
| Catalyst Pharmaceuticals, Inc. * |
86 |
1,445 |
| Enanta Pharmaceuticals, Inc. * |
40 |
377 |
| Immunovant, Inc. * |
65 |
2,746 |
| Insmed, Inc. * |
62 |
1,920 |
| Intellia Therapeutics, Inc. * |
36 |
1,107 |
| Kura Oncology, Inc. * (b) |
149 |
2,140 |
| Madrigal Pharmaceuticals, Inc. * (b) |
14 |
3,146 |
| MeiraGTx Holdings plc * |
135 |
949 |
| Mural Oncology plc * |
4 |
27 |
| Natera, Inc. * |
20 |
1,249 |
| OmniAb Operations, Inc. ‡ * |
7 |
— |
| Ovid therapeutics, Inc. * |
617 |
1,987 |
| Protagonist Therapeutics, Inc. * |
59 |
1,354 |
| Prothena Corp. plc (Ireland) * |
41 |
1,498 |
| PTC Therapeutics, Inc. * |
35 |
961 |
| Replimune Group, Inc. * |
92 |
772 |
| REVOLUTION Medicines, Inc. * |
125 |
3,579 |
| Sage Therapeutics, Inc. * |
44 |
958 |
| Sana Biotechnology, Inc. * (b) |
1 |
4 |
| SpringWorks Therapeutics, Inc. * (b) |
83 |
3,039 |
| Sutro Biopharma, Inc. * |
10 |
42 |
| Syndax Pharmaceuticals, Inc. * |
107 |
2,319 |
| Travere Therapeutics, Inc. * |
130 |
1,165 |
| Twist Bioscience Corp. * (b) |
41 |
1,508 |
| Tyra Biosciences, Inc. * (b) |
153 |
2,121 |
| Vericel Corp. * |
52 |
1,844 |
| Viking Therapeutics, Inc. * (b) |
171 |
3,192 |
| Xencor, Inc. * |
162 |
3,444 |
| Y-mAbs Therapeutics, Inc. * |
3 |
19 |
| |
|
60,719 |
| Broadline Retail — 0.2% | ||
| Savers Value Village, Inc. * (b) |
81 |
1,416 |
| Building Products — 1.5% | ||
| Apogee Enterprises, Inc. |
17 |
905 |
| Gibraltar Industries, Inc. * |
17 |
1,352 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Building Products — continued | ||
| Griffon Corp. |
57 |
3,481 |
| Resideo Technologies, Inc. * |
41 |
779 |
| Simpson Manufacturing Co., Inc. |
5 |
935 |
| UFP Industries, Inc. |
56 |
6,967 |
| |
|
14,419 |
| Capital Markets — 2.0% | ||
| AssetMark Financial Holdings, Inc. * |
37 |
1,124 |
| BGC Group, Inc., Class A |
119 |
861 |
| Donnelley Financial Solutions, Inc. * |
90 |
5,607 |
| Federated Hermes, Inc. |
40 |
1,351 |
| Open Lending Corp. * |
111 |
944 |
| Piper Sandler Cos. |
12 |
2,137 |
| PJT Partners, Inc., Class A |
9 |
870 |
| StoneX Group, Inc. * |
17 |
1,228 |
| Victory Capital Holdings, Inc., Class A |
112 |
3,866 |
| Virtus Investment Partners, Inc. |
4 |
1,035 |
| |
|
19,023 |
| Chemicals — 1.6% | ||
| AdvanSix, Inc. |
27 |
792 |
| Avient Corp. |
41 |
1,708 |
| Cabot Corp. |
39 |
3,274 |
| Ecovyst, Inc. * |
24 |
231 |
| HB Fuller Co. |
27 |
2,216 |
| Ingevity Corp. * |
14 |
666 |
| Livent Corp. * |
26 |
468 |
| Orion SA (Germany) |
197 |
5,466 |
| Tronox Holdings plc |
39 |
549 |
| |
|
15,370 |
| Commercial Services & Supplies — 1.8% | ||
| ABM Industries, Inc. |
122 |
5,461 |
| Brink's Co. (The) |
27 |
2,394 |
| MillerKnoll, Inc. |
172 |
4,574 |
| Tetra Tech, Inc. |
27 |
4,541 |
| |
|
16,970 |
| Communications Equipment — 0.5% | ||
| Aviat Networks, Inc. * |
36 |
1,161 |
| Calix, Inc. * |
63 |
2,773 |
| Extreme Networks, Inc. * |
40 |
710 |
| |
|
4,644 |
| Construction & Engineering — 3.5% | ||
| API Group Corp. * |
173 |
5,970 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Construction & Engineering — continued | ||
| Argan, Inc. |
35 |
1,663 |
| Comfort Systems USA, Inc. |
40 |
8,184 |
| Construction Partners, Inc., Class A * |
34 |
1,481 |
| IES Holdings, Inc. * |
14 |
1,140 |
| MasTec, Inc. * |
15 |
1,105 |
| MYR Group, Inc. * |
48 |
6,886 |
| Primoris Services Corp. |
59 |
1,976 |
| Sterling Infrastructure, Inc. * |
54 |
4,770 |
| |
|
33,175 |
| Construction Materials — 0.1% | ||
| Summit Materials, Inc., Class A * |
23 |
886 |
| Consumer Finance — 0.4% | ||
| Enova International, Inc. * |
12 |
655 |
| FirstCash Holdings, Inc. |
28 |
3,100 |
| |
|
3,755 |
| Consumer Staples Distribution & Retail — 0.7% | ||
| Andersons, Inc. (The) |
35 |
2,001 |
| Chefs' Warehouse, Inc. (The) * |
39 |
1,161 |
| SpartanNash Co. |
45 |
1,033 |
| Sprouts Farmers Market, Inc. * (b) |
53 |
2,541 |
| |
|
6,736 |
| Containers & Packaging — 0.2% | ||
| Greif, Inc., Class A |
10 |
699 |
| O-I Glass, Inc. * |
79 |
1,291 |
| |
|
1,990 |
| Diversified Consumer Services — 1.0% | ||
| Adtalem Global Education, Inc. * |
43 |
2,521 |
| Duolingo, Inc. * |
13 |
2,961 |
| Perdoceo Education Corp. |
91 |
1,605 |
| Stride, Inc. * (b) |
35 |
2,076 |
| |
|
9,163 |
| Diversified REITs — 0.3% | ||
| Armada Hoffler Properties, Inc. |
19 |
238 |
| Broadstone Net Lease, Inc. |
61 |
1,055 |
| Essential Properties Realty Trust, Inc. |
54 |
1,368 |
| |
|
2,661 |
| Diversified Telecommunication Services — 0.5% | ||
| EchoStar Corp., Class A * |
28 |
475 |
| Iridium Communications, Inc. |
17 |
712 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Diversified Telecommunication Services — continued | ||
| Liberty Latin America Ltd., Class C (Puerto Rico) * |
258 |
1,892 |
| Ooma, Inc. * |
116 |
1,242 |
| |
|
4,321 |
| Electric Utilities — 0.9% | ||
| IDACORP, Inc. |
19 |
1,903 |
| MGE Energy, Inc. |
35 |
2,514 |
| Portland General Electric Co. |
89 |
3,841 |
| |
|
8,258 |
| Electrical Equipment — 1.5% | ||
| Atkore, Inc. * |
49 |
7,879 |
| Bloom Energy Corp., Class A * (b) |
38 |
560 |
| Encore Wire Corp. (b) |
25 |
5,242 |
| |
|
13,681 |
| Electronic Equipment, Instruments & Components — 1.9% | ||
| Benchmark Electronics, Inc. |
61 |
1,691 |
| Daktronics, Inc. * |
253 |
2,144 |
| Fabrinet (Thailand) * |
30 |
5,640 |
| Insight Enterprises, Inc. * (b) |
18 |
3,241 |
| OSI Systems, Inc. * |
29 |
3,765 |
| ScanSource, Inc. * |
28 |
1,100 |
| |
|
17,581 |
| Energy Equipment & Services — 2.3% | ||
| ChampionX Corp. |
98 |
2,854 |
| Helmerich & Payne, Inc. (b) |
9 |
340 |
| Liberty Energy, Inc., Class A |
205 |
3,727 |
| Noble Corp. plc |
74 |
3,586 |
| Oceaneering International, Inc. * |
90 |
1,913 |
| Oil States International, Inc. * |
108 |
731 |
| Patterson-UTI Energy, Inc. |
336 |
3,624 |
| Select Water Solutions, Inc. |
85 |
644 |
| Valaris Ltd. * |
12 |
819 |
| Weatherford International plc * |
31 |
3,055 |
| |
|
21,293 |
| Entertainment — 0.1% | ||
| Lions Gate Entertainment Corp., Class A * (b) |
117 |
1,274 |
| Financial Services — 3.7% | ||
| Enact Holdings, Inc. |
41 |
1,182 |
| Essent Group Ltd. |
80 |
4,217 |
| EVERTEC, Inc. (Puerto Rico) |
92 |
3,759 |
| Federal Agricultural Mortgage Corp., Class C |
4 |
682 |
| Flywire Corp. * |
130 |
3,021 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
53 |
JPMorgan U.S. Small Company
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Financial Services — continued | ||
| International Money Express, Inc. * |
84 |
1,864 |
| Jackson Financial, Inc., Class A |
63 |
3,223 |
| Merchants Bancorp |
66 |
2,802 |
| Mr. Cooper Group, Inc. * |
54 |
3,492 |
| NMI Holdings, Inc., Class A * |
102 |
3,036 |
| PennyMac Financial Services, Inc. (b) |
14 |
1,252 |
| Radian Group, Inc. |
135 |
3,855 |
| Remitly Global, Inc. * |
71 |
1,377 |
| Repay Holdings Corp., Class A * |
96 |
819 |
| |
|
34,581 |
| Food Products — 1.2% | ||
| Cal-Maine Foods, Inc. (b) |
25 |
1,451 |
| Darling Ingredients, Inc. * |
25 |
1,255 |
| Dole plc |
146 |
1,794 |
| Fresh Del Monte Produce, Inc. |
17 |
438 |
| John B Sanfilippo & Son, Inc. |
21 |
2,158 |
| Simply Good Foods Co. (The) * |
57 |
2,274 |
| SunOpta, Inc. (Canada) * |
176 |
962 |
| Vital Farms, Inc. * |
43 |
671 |
| |
|
11,003 |
| Gas Utilities — 0.9% | ||
| Chesapeake Utilities Corp. |
24 |
2,576 |
| New Jersey Resources Corp. |
35 |
1,534 |
| Northwest Natural Holding Co. |
26 |
1,023 |
| ONE Gas, Inc. (b) |
57 |
3,641 |
| |
|
8,774 |
| Ground Transportation — 0.4% | ||
| ArcBest Corp. |
35 |
4,176 |
| Health Care Equipment & Supplies — 1.9% | ||
| Alphatec Holdings, Inc. * |
93 |
1,409 |
| AngioDynamics, Inc. * |
140 |
1,093 |
| AtriCure, Inc. * |
91 |
3,260 |
| Atrion Corp. |
1 |
443 |
| Axonics, Inc. * |
16 |
1,008 |
| Inmode Ltd. * |
48 |
1,074 |
| Lantheus Holdings, Inc. * (b) |
70 |
4,333 |
| Merit Medical Systems, Inc. * |
40 |
3,019 |
| Omnicell, Inc. * (b) |
22 |
824 |
| SI-BONE, Inc. * |
59 |
1,241 |
| Treace Medical Concepts, Inc. * |
47 |
602 |
| |
|
18,306 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Health Care Providers & Services — 2.4% | ||
| AMN Healthcare Services, Inc. * |
14 |
1,039 |
| Cross Country Healthcare, Inc. * |
54 |
1,225 |
| Fulgent Genetics, Inc. * (b) |
30 |
853 |
| HealthEquity, Inc. * |
64 |
4,274 |
| National HealthCare Corp. |
40 |
3,687 |
| OPKO Health, Inc. * (b) |
449 |
678 |
| Option Care Health, Inc. * |
117 |
3,935 |
| Progyny, Inc. * |
133 |
4,928 |
| Surgery Partners, Inc. * |
22 |
710 |
| Tenet Healthcare Corp. * |
20 |
1,527 |
| |
|
22,856 |
| Health Care REITs — 0.4% | ||
| CareTrust REIT, Inc. |
36 |
811 |
| Community Healthcare Trust, Inc. |
19 |
514 |
| Global Medical REIT, Inc. |
19 |
206 |
| Sabra Health Care REIT, Inc. |
170 |
2,426 |
| |
|
3,957 |
| Health Care Technology — 0.5% | ||
| Health Catalyst, Inc. * |
337 |
3,123 |
| OptimizeRx Corp. * |
45 |
643 |
| Veradigm, Inc. * |
124 |
1,300 |
| |
|
5,066 |
| Hotel & Resort REITs — 0.9% | ||
| Apple Hospitality REIT, Inc. |
131 |
2,171 |
| RLJ Lodging Trust |
152 |
1,780 |
| Ryman Hospitality Properties, Inc. |
41 |
4,524 |
| |
|
8,475 |
| Hotels, Restaurants & Leisure — 2.0% | ||
| Bluegreen Vacations Holding Corp., Class A (b) |
28 |
2,130 |
| Boyd Gaming Corp. |
32 |
1,975 |
| Cava Group, Inc. * |
27 |
1,139 |
| Dave & Buster's Entertainment, Inc. * |
57 |
3,094 |
| Everi Holdings, Inc. * |
117 |
1,320 |
| Hilton Grand Vacations, Inc. * |
50 |
1,995 |
| Kura Sushi USA, Inc., Class A * (b) |
10 |
789 |
| Light & Wonder, Inc. * |
27 |
2,232 |
| SeaWorld Entertainment, Inc. * |
44 |
2,304 |
| Wingstop, Inc. |
6 |
1,615 |
| |
|
18,593 |
| Household Durables — 2.0% | ||
| Green Brick Partners, Inc. * |
31 |
1,595 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Household Durables — continued | ||
| Landsea Homes Corp. * |
167 |
2,191 |
| Meritage Homes Corp. |
21 |
3,597 |
| Skyline Champion Corp. * |
14 |
1,072 |
| Sonos, Inc. * |
98 |
1,678 |
| Taylor Morrison Home Corp., Class A * |
113 |
6,039 |
| Tri Pointe Homes, Inc. * |
81 |
2,868 |
| |
|
19,040 |
| Household Products — 0.3% | ||
| Central Garden & Pet Co., Class A * |
58 |
2,571 |
| Independent Power and Renewable Electricity Producers — 0.4% | ||
| Clearway Energy, Inc., Class A (b) |
22 |
557 |
| Clearway Energy, Inc., Class C (b) |
82 |
2,247 |
| Sunnova Energy International, Inc. * (b) |
39 |
600 |
| |
|
3,404 |
| Industrial REITs — 0.8% | ||
| First Industrial Realty Trust, Inc. |
15 |
785 |
| Innovative Industrial Properties, Inc. (b) |
9 |
889 |
| Plymouth Industrial REIT, Inc. |
79 |
1,900 |
| STAG Industrial, Inc. |
58 |
2,307 |
| Terreno Realty Corp. |
30 |
1,873 |
| |
|
7,754 |
| Insurance — 0.9% | ||
| American Equity Investment Life Holding Co. * |
21 |
1,162 |
| BRP Group, Inc., Class A * |
12 |
293 |
| Enstar Group Ltd. * |
1 |
332 |
| Kinsale Capital Group, Inc. |
1 |
391 |
| Palomar Holdings, Inc. * |
43 |
2,386 |
| RLI Corp. |
22 |
2,894 |
| Skyward Specialty Insurance Group, Inc. * |
21 |
695 |
| |
|
8,153 |
| Interactive Media & Services — 0.8% | ||
| Cars.com, Inc. * |
43 |
826 |
| QuinStreet, Inc. * |
69 |
889 |
| Shutterstock, Inc. |
42 |
2,024 |
| Yelp, Inc., Class A * |
74 |
3,488 |
| |
|
7,227 |
| IT Services — 0.8% | ||
| Information Services Group, Inc. |
438 |
2,063 |
| Perficient, Inc. * |
20 |
1,318 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| IT Services — continued | ||
| Squarespace, Inc., Class A * |
52 |
1,714 |
| Unisys Corp. * |
468 |
2,631 |
| |
|
7,726 |
| Leisure Products — 0.5% | ||
| Acushnet Holdings Corp. (b) |
60 |
3,764 |
| JAKKS Pacific, Inc. * |
14 |
502 |
| |
|
4,266 |
| Life Sciences Tools & Services — 0.7% | ||
| Adaptive Biotechnologies Corp. * |
14 |
68 |
| Medpace Holdings, Inc. * |
18 |
5,596 |
| OmniAb, Inc. * (b) |
75 |
462 |
| OmniAb, Inc. ‡ * |
7 |
— |
| Quanterix Corp. * |
26 |
708 |
| |
|
6,834 |
| Machinery — 1.5% | ||
| Albany International Corp., Class A |
4 |
405 |
| Luxfer Holdings plc (United Kingdom) |
21 |
183 |
| Mueller Industries, Inc. |
144 |
6,800 |
| Terex Corp. |
10 |
595 |
| Titan International, Inc. * |
27 |
400 |
| Watts Water Technologies, Inc., Class A |
30 |
6,183 |
| |
|
14,566 |
| Marine Transportation — 0.4% | ||
| Eagle Bulk Shipping, Inc. (b) |
9 |
495 |
| Matson, Inc. |
25 |
2,714 |
| Safe Bulkers, Inc. (Greece) |
104 |
410 |
| |
|
3,619 |
| Media — 0.5% | ||
| Gray Television, Inc. |
60 |
541 |
| Integral Ad Science Holding Corp. * |
57 |
818 |
| John Wiley & Sons, Inc., Class A |
30 |
962 |
| Magnite, Inc. * |
80 |
743 |
| Thryv Holdings, Inc. * |
63 |
1,274 |
| |
|
4,338 |
| Metals & Mining — 1.9% | ||
| Alpha Metallurgical Resources, Inc. (b) |
14 |
4,798 |
| Arch Resources, Inc. (b) |
11 |
1,875 |
| ATI, Inc. * (b) |
13 |
591 |
| Commercial Metals Co. |
108 |
5,409 |
| Constellium SE * |
92 |
1,835 |
| Hecla Mining Co. |
292 |
1,406 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
55 |
JPMorgan U.S. Small Company
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Metals & Mining — continued | ||
| Olympic Steel, Inc. |
6 |
370 |
| Ryerson Holding Corp. |
20 |
685 |
| Schnitzer Steel Industries, Inc., Class A |
17 |
516 |
| SunCoke Energy, Inc. |
33 |
352 |
| |
|
17,837 |
| Mortgage Real Estate Investment Trusts (REITs) — 0.6% | ||
| Brightspire Capital, Inc., Class A |
229 |
1,707 |
| KKR Real Estate Finance Trust, Inc. |
21 |
279 |
| Ladder Capital Corp. |
123 |
1,420 |
| MFA Financial, Inc. |
166 |
1,866 |
| |
|
5,272 |
| Multi-Utilities — 0.5% | ||
| Northwestern Energy Group, Inc. |
19 |
988 |
| Unitil Corp. |
71 |
3,719 |
| |
|
4,707 |
| Office REITs — 0.8% | ||
| Brandywine Realty Trust |
243 |
1,314 |
| City Office REIT, Inc. |
44 |
269 |
| COPT Defense Properties |
141 |
3,610 |
| Easterly Government Properties, Inc., Class A |
34 |
448 |
| Equity Commonwealth |
38 |
734 |
| SL Green Realty Corp. (b) |
34 |
1,545 |
| |
|
7,920 |
| Oil, Gas & Consumable Fuels — 4.0% | ||
| California Resources Corp. |
24 |
1,331 |
| Chord Energy Corp. |
28 |
4,616 |
| Civitas Resources, Inc. (b) |
15 |
1,026 |
| CNX Resources Corp. * (b) |
39 |
772 |
| CONSOL Energy, Inc. |
5 |
499 |
| CVR Energy, Inc. (b) |
32 |
974 |
| Delek US Holdings, Inc. |
54 |
1,392 |
| Dorian LPG Ltd. |
34 |
1,480 |
| Green Plains, Inc. * (b) |
36 |
914 |
| Gulfport Energy Corp. * |
4 |
518 |
| Magnolia Oil & Gas Corp., Class A (b) |
35 |
738 |
| Matador Resources Co. |
91 |
5,167 |
| Murphy Oil Corp. |
95 |
4,033 |
| Ovintiv, Inc. |
64 |
2,816 |
| PBF Energy, Inc., Class A (b) |
37 |
1,636 |
| Peabody Energy Corp. (b) |
14 |
346 |
| REX American Resources Corp. * |
18 |
854 |
| SM Energy Co. |
148 |
5,745 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Oil, Gas & Consumable Fuels — continued | ||
| Teekay Tankers Ltd., Class A (Canada) |
32 |
1,619 |
| Uranium Energy Corp. * (b) |
209 |
1,336 |
| |
|
37,812 |
| Passenger Airlines — 0.5% | ||
| Blade Air Mobility, Inc. * |
224 |
790 |
| Joby Aviation, Inc. * (b) |
161 |
1,073 |
| SkyWest, Inc. * |
61 |
3,159 |
| |
|
5,022 |
| Personal Care Products — 2.2% | ||
| BellRing Brands, Inc. * |
86 |
4,765 |
| Edgewell Personal Care Co. (b) |
53 |
1,943 |
| elf Beauty, Inc. * |
39 |
5,650 |
| Herbalife Ltd. * (b) |
100 |
1,528 |
| Inter Parfums, Inc. |
6 |
883 |
| Nature's Sunshine Products, Inc. * |
26 |
443 |
| Oddity Tech Ltd., Class A (Israel) * (b) |
75 |
3,510 |
| USANA Health Sciences, Inc. * |
34 |
1,826 |
| |
|
20,548 |
| Pharmaceuticals — 1.0% | ||
| ANI Pharmaceuticals, Inc. * |
12 |
667 |
| Axsome Therapeutics, Inc. * (b) |
47 |
3,700 |
| Esperion Therapeutics, Inc. * (b) |
634 |
1,896 |
| Longboard Pharmaceuticals, Inc. * |
202 |
1,219 |
| Prestige Consumer Healthcare, Inc. * |
33 |
2,012 |
| |
|
9,494 |
| Professional Services — 2.8% | ||
| ASGN, Inc. * |
30 |
2,889 |
| Barrett Business Services, Inc. |
16 |
1,846 |
| CACI International, Inc., Class A * |
11 |
3,647 |
| CBIZ, Inc. * |
52 |
3,258 |
| Heidrick & Struggles International, Inc. |
37 |
1,096 |
| Huron Consulting Group, Inc. * |
28 |
2,892 |
| KBR, Inc. |
47 |
2,571 |
| Kforce, Inc. (b) |
32 |
2,166 |
| TriNet Group, Inc. * |
51 |
6,028 |
| |
|
26,393 |
| Real Estate Management & Development — 0.3% | ||
| Forestar Group, Inc. * |
36 |
1,187 |
| Opendoor Technologies, Inc. * |
350 |
1,569 |
| |
|
2,756 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Residential REITs — 0.1% | ||
| UMH Properties, Inc. |
43 |
663 |
| Veris Residential, Inc. |
29 |
458 |
| |
|
1,121 |
| Retail REITs — 1.8% | ||
| Agree Realty Corp. |
77 |
4,828 |
| InvenTrust Properties Corp. |
58 |
1,470 |
| Kite Realty Group Trust |
94 |
2,137 |
| Phillips Edison & Co., Inc. (b) |
91 |
3,334 |
| Retail Opportunity Investments Corp. |
143 |
2,005 |
| RPT Realty |
29 |
374 |
| SITE Centers Corp. |
104 |
1,416 |
| Tanger, Inc. (b) |
37 |
1,030 |
| |
|
16,594 |
| Semiconductors & Semiconductor Equipment — 2.6% | ||
| ACM Research, Inc., Class A * (b) |
127 |
2,472 |
| Axcelis Technologies, Inc. * |
7 |
929 |
| Cirrus Logic, Inc. * |
11 |
897 |
| MACOM Technology Solutions Holdings, Inc. * |
48 |
4,469 |
| Onto Innovation, Inc. * |
11 |
1,711 |
| Rambus, Inc. * |
87 |
5,939 |
| Semtech Corp. * (b) |
99 |
2,171 |
| SMART Global Holdings, Inc. * (b) |
88 |
1,674 |
| Ultra Clean Holdings, Inc. * |
22 |
752 |
| Veeco Instruments, Inc. * (b) |
123 |
3,814 |
| |
|
24,828 |
| Software — 6.0% | ||
| Adeia, Inc. |
106 |
1,318 |
| Asana, Inc., Class A * (b) |
106 |
2,008 |
| AvePoint, Inc. * (b) |
511 |
4,197 |
| BlackLine, Inc. * |
38 |
2,364 |
| Box, Inc., Class A * |
165 |
4,217 |
| Braze, Inc., Class A * |
41 |
2,186 |
| C3.ai, Inc., Class A * (b) |
20 |
587 |
| CommVault Systems, Inc. * |
43 |
3,449 |
| Envestnet, Inc. * |
40 |
1,970 |
| LiveRamp Holdings, Inc. * |
103 |
3,901 |
| MicroStrategy, Inc., Class A * (b) |
9 |
5,606 |
| Olo, Inc., Class A * |
243 |
1,390 |
| Q2 Holdings, Inc. * |
29 |
1,246 |
| Qualys, Inc. * |
24 |
4,637 |
| Rapid7, Inc. * |
60 |
3,425 |
| Riot Platforms, Inc. * (b) |
151 |
2,338 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Software — continued | ||
| Sprout Social, Inc., Class A * (b) |
24 |
1,469 |
| SPS Commerce, Inc. * |
20 |
3,870 |
| Workiva, Inc., Class A * |
42 |
4,235 |
| Xperi, Inc. * |
144 |
1,588 |
| Zuora, Inc., Class A * |
65 |
614 |
| |
|
56,615 |
| Specialized REITs — 0.4% | ||
| National Storage Affiliates Trust (b) |
24 |
1,017 |
| PotlatchDeltic Corp. |
57 |
2,797 |
| |
|
3,814 |
| Specialty Retail — 3.4% | ||
| Abercrombie & Fitch Co., Class A * |
45 |
3,962 |
| Academy Sports & Outdoors, Inc. |
28 |
1,822 |
| Asbury Automotive Group, Inc. * |
20 |
4,498 |
| Boot Barn Holdings, Inc. * (b) |
23 |
1,748 |
| Buckle, Inc. (The) (b) |
46 |
2,180 |
| Carvana Co. * (b) |
19 |
1,028 |
| Group 1 Automotive, Inc. |
11 |
3,427 |
| ODP Corp. (The) * |
53 |
3,001 |
| Signet Jewelers Ltd. |
38 |
4,112 |
| Upbound Group, Inc. |
45 |
1,518 |
| Urban Outfitters, Inc. * |
68 |
2,436 |
| Valvoline, Inc. * |
51 |
1,895 |
| |
|
31,627 |
| Technology Hardware, Storage & Peripherals — 1.0% | ||
| Super Micro Computer, Inc. * |
33 |
9,310 |
| Textiles, Apparel & Luxury Goods — 0.8% | ||
| Crocs, Inc. * |
42 |
3,951 |
| G-III Apparel Group Ltd. * |
52 |
1,781 |
| Steven Madden Ltd. (b) |
46 |
1,910 |
| |
|
7,642 |
| Trading Companies & Distributors — 3.1% | ||
| Applied Industrial Technologies, Inc. |
4 |
612 |
| Beacon Roofing Supply, Inc. * |
56 |
4,897 |
| BlueLinx Holdings, Inc. * |
9 |
1,039 |
| Boise Cascade Co. |
20 |
2,547 |
| GMS, Inc. * |
51 |
4,210 |
| Herc Holdings, Inc. |
18 |
2,627 |
| Hudson Technologies, Inc. * |
13 |
177 |
| NOW, Inc. * |
310 |
3,508 |
| Rush Enterprises, Inc., Class A |
94 |
4,730 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
57 |
JPMorgan U.S. Small Company
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Trading Companies & Distributors — continued | ||
| Titan Machinery, Inc. * |
30 |
860 |
| WESCO International, Inc. |
24 |
4,237 |
| |
|
29,444 |
| Water Utilities — 0.2% | ||
| American States Water Co. |
28 |
2,242 |
| Wireless Telecommunication Services — 0.1% | ||
| Gogo, Inc. * |
43 |
434 |
| Telephone and Data Systems, Inc. |
17 |
322 |
| |
|
756 |
| Total Common Stocks (Cost $756,547) |
|
917,802 |
| Short-Term Investments — 10.9% | ||
| Investment Companies — 2.2% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (c) (d)
(Cost $20,802) |
20,796 |
20,812 |
| Investment of Cash Collateral from Securities Loaned — 8.7% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (c) (d) |
72,575 |
72,605 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (c) (d) |
8,907 |
8,906 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $81,502) |
|
81,511 |
| Total Short-Term Investments (Cost $102,304) |
|
102,323 |
| Total Investments — 108.4% (Cost $858,851) |
|
1,020,125 |
| Liabilities in Excess of Other Assets —
(8.4)% |
|
(78,900
) |
| NET ASSETS — 100.0% |
|
941,225 |
| Percentages indicated are based on net assets. | ||
| Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| ‡ |
Value
determined using significant unobservable inputs. |
| * |
Non-income producing security. |
| (a) |
Security exempt from registration pursuant to Regulation S under
the Securities Act of 1933, as amended. Regulation S applies to
securities offerings that are made outside of the United States and
do not involve direct selling efforts in the United States and as
such may have restrictions on resale. |
| (b) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $78,093. |
| (c) |
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc. |
| (d) |
The
rate shown is the current yield as of December 31, 2023. |
| |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
Futures contracts outstanding as of December 31, 2023 (amounts in thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| Russell 2000 E-Mini Index |
193 |
03/15/2024 |
USD |
19,761 |
1,358 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
59 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (Unaudited)
(Amounts in thousands, except per share amounts)
| |
JPMorgan
Small Cap
Blend Fund |
JPMorgan
Small Cap
Equity Fund |
JPMorgan Small Cap Growth Fund |
| ASSETS: |
|
|
|
| Investments in non-affiliates, at value |
$1,384,422 |
$5,238,103 |
$3,748,911
|
| Investments in affiliates, at value |
37,464 |
227,658 |
22,511 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C.) |
103,048 |
309,133 |
275,906 |
| Options purchased, at value |
1,983 |
— |
— |
| Cash |
189 |
736 |
164 |
| Receivables: |
|
|
|
| Investment securities sold |
638 |
— |
34,484 |
| Fund shares sold |
4,537 |
8,076 |
8,406 |
| Dividends from non-affiliates |
998 |
4,374 |
1,254 |
| Dividends from affiliates |
6 |
34 |
3 |
| Securities lending income (See Note 2.C.) |
47 |
56 |
138 |
| Other assets |
— |
50
|
— |
| Total Assets |
1,533,332 |
5,788,220 |
4,091,777 |
| LIABILITIES: |
|
|
|
| Payables: |
|
|
|
| Investment securities purchased |
1,359 |
— |
3,180 |
| Collateral received on securities loaned (See Note 2.C.) |
103,048 |
309,133 |
275,906 |
| Fund shares redeemed |
2,124 |
32,803 |
33,474 |
| Accrued liabilities: |
|
|
|
| Investment advisory fees |
735 |
2,925 |
2,001 |
| Administration fees |
75 |
339 |
222 |
| Distribution fees |
85 |
121 |
96 |
| Service fees |
163 |
576 |
220 |
| Custodian and accounting fees |
17 |
54 |
33 |
| Trustees’ and Chief Compliance Officer’s fees |
— (a) |
— (a) |
— (a) |
| Other |
49
|
144
|
312
|
| Total Liabilities |
107,655 |
346,095 |
315,444 |
| Net Assets |
$1,425,677 |
$5,442,125 |
$3,776,333 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap
Blend Fund |
JPMorgan
Small Cap
Equity Fund |
JPMorgan Small Cap Growth Fund |
| NET ASSETS: |
|
|
|
| Paid-in-Capital |
$1,280,940 |
$3,844,232 |
$3,662,131 |
| Total distributable earnings (loss) |
144,737 |
1,597,893 |
114,202 |
| Total Net Assets |
$1,425,677 |
$5,442,125 |
$3,776,333 |
| Net Assets: |
|
|
|
| Class A |
$366,185 |
$450,589 |
$336,120 |
| Class C |
16,180 |
31,811 |
30,383 |
| Class I |
433,505 |
2,179,621 |
501,678 |
| Class L |
— |
— |
531,120 |
| Class R2 |
— |
6,373 |
15,823 |
| Class R3 |
— |
14,978 |
4,707 |
| Class R4 |
— |
542 |
4,529 |
| Class R5 |
— |
675,874 |
14,489 |
| Class R6 |
609,807 |
2,082,337 |
2,337,484 |
| Total |
$1,425,677 |
$5,442,125 |
$3,776,333 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
|
| Class A |
15,015 |
10,636 |
21,192 |
| Class C |
1,136 |
1,388 |
3,332 |
| Class I |
14,338 |
40,335 |
26,963 |
| Class L |
— |
— |
27,165 |
| Class R2 |
— |
157 |
1,068 |
| Class R3 |
— |
360 |
297 |
| Class R4 |
— |
10 |
281 |
| Class R5 |
— |
12,457 |
739 |
| Class R6 |
20,091 |
38,404 |
117,346 |
| Net Asset Value (a): |
|
|
|
| Class A — Redemption price per share |
$24.39 |
$42.36 |
$15.86
|
| Class C — Offering price per share (b) |
14.23 |
22.93 |
9.12 |
| Class I — Offering and redemption price per share |
30.24 |
54.04 |
18.61 |
| Class L — Offering and redemption price per share |
— |
— |
19.55 |
| Class R2 — Offering and redemption price per share |
— |
40.61 |
14.82 |
| Class R3 — Offering and redemption price per share |
— |
41.72 |
15.81 |
| Class R4 — Offering and redemption price per share |
— |
53.87 |
16.12 |
| Class R5 — Offering and redemption price per share |
— |
54.26 |
19.57 |
| Class R6 — Offering and redemption price per share |
30.35 |
54.22 |
19.92 |
| Class A maximum sales charge |
5.25 % |
5.25 % |
5.25 % |
| Class A maximum public offering price per share [net asset value per share/(100% – maximum sales charge)] |
$25.74 |
$44.71 |
$16.74 |
| Cost of investments in non-affiliates |
$1,124,262 |
$3,656,256 |
$2,968,597 |
| Cost of investments in affiliates |
37,445 |
227,576 |
22,498 |
| Cost of options purchased |
323 |
— |
— |
| Investment securities on loan, at value (See Note 2.C.) |
98,903 |
297,559 |
263,521 |
| Cost of investment of cash collateral (See Note 2.C.) |
103,036 |
309,096 |
275,880 |
(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, 2023 |
J.P. Morgan Small Cap Funds |
61 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| |
JPMorgan
Small Cap
Sustainable Leaders
Fund |
JPMorgan
Small Cap
Value Fund |
JPMorgan
SMID Cap
Equity Fund |
JPMorgan U.S. Small Company Fund |
| ASSETS: |
|
|
|
|
| Investments in non-affiliates, at value |
$38,470 |
$1,426,595 |
$325,999 |
$917,802
|
| Investments in affiliates, at value |
345 |
43,689 |
11,806 |
20,812 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C.) |
— |
111,605 |
— |
81,511 |
| Cash |
2 |
195 |
62 |
123 |
| Deposits at broker for futures contracts |
— |
2,884 |
— |
1,311 |
| Receivables: |
|
|
|
|
| Investment securities sold |
— |
2,389 |
— |
923 |
| Fund shares sold |
13 |
906 |
139 |
2,454 |
| Dividends from non-affiliates |
49 |
2,168 |
246 |
811 |
| Dividends from affiliates |
— (a) |
6 |
2 |
3 |
| Securities lending income (See Note 2.C.) |
— |
23 |
— (a) |
51 |
| Due from adviser |
1 |
— |
— |
— |
| Other assets |
— |
— |
— |
34 |
| Total Assets |
38,880 |
1,590,460 |
338,254 |
1,025,835 |
| LIABILITIES: |
|
|
|
|
| Payables: |
|
|
|
|
| Investment securities purchased |
— |
1,435 |
— |
803 |
| Collateral received on securities loaned (See Note 2.C.) |
— |
111,605 |
— |
81,511 |
| Fund shares redeemed |
70 |
16,715 |
423 |
1,325 |
| Variation margin on futures contracts |
— |
656 |
— |
265 |
| Accrued liabilities: |
|
|
|
|
| Investment advisory fees |
— |
767 |
131 |
460 |
| Administration fees |
— |
80 |
6 |
58 |
| Distribution fees |
1 |
45 |
34 |
50 |
| Service fees |
2 |
71 |
47 |
86 |
| Custodian and accounting fees |
16 |
23 |
9 |
27 |
| Trustees’ and Chief Compliance Officer’s fees |
— (a) |
— (a) |
— (a) |
— |
| Other |
23
|
31
|
33
|
25
|
| Total Liabilities |
112
|
131,428 |
683
|
84,610 |
| Net Assets |
$38,768 |
$1,459,032 |
$337,571 |
$941,225 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap
Sustainable Leaders
Fund |
JPMorgan
Small Cap
Value Fund |
JPMorgan
SMID Cap
Equity Fund |
JPMorgan U.S. Small Company Fund |
| NET ASSETS: |
|
|
|
|
| Paid-in-Capital |
$98,456 |
$1,246,826 |
$293,679 |
$807,955 |
| Total distributable earnings (loss) |
(59,688 ) |
212,206 |
43,892 |
133,270 |
| Total Net Assets |
$38,768 |
$1,459,032 |
$337,571 |
$941,225 |
| Net Assets: |
|
|
|
|
| Class A |
$3,071 |
$137,561 |
$130,931 |
$110,784 |
| Class C |
749 |
4,079 |
9,867 |
6,379 |
| Class I |
4,964 |
189,659 |
98,780 |
172,579 |
| Class L |
— |
— |
— |
226,394 |
| Class R2 |
137 |
25,162 |
— |
39,077 |
| Class R3 |
716 |
17,418 |
890 |
36,601 |
| Class R4 |
452 |
24,301 |
331 |
5,584 |
| Class R5 |
16,245 |
121,747 |
— |
22,470 |
| Class R6 |
12,434 |
939,105 |
96,772 |
321,357 |
| Total |
$38,768 |
$1,459,032 |
$337,571 |
$941,225 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
|
|
| Class A |
80 |
5,652 |
8,693 |
6,630 |
| Class C |
20 |
237 |
976 |
422 |
| Class I |
128 |
7,061 |
5,879 |
9,917 |
| Class L |
— |
— |
— |
13,026 |
| Class R2 |
3 |
1,054 |
— |
2,435 |
| Class R3 |
19 |
718 |
59 |
2,215 |
| Class R4 |
12 |
906 |
20 |
324 |
| Class R5 |
417 |
4,525 |
— |
1,299 |
| Class R6 |
320 |
34,827 |
5,742 |
18,483 |
| Net Asset Value (a): |
|
|
|
|
| Class A — Redemption price per share |
$38.16 |
$24.33 |
$15.06 |
$16.71
|
| Class C — Offering price per share (b) |
36.81 |
17.23 |
10.10 |
15.10 |
| Class I — Offering and redemption price per share |
38.72 |
26.86 |
16.80 |
17.40 |
| Class L — Offering and redemption price per share |
— |
— |
— |
17.38 |
| Class R2 — Offering and redemption price per share |
37.87 |
23.87 |
— |
16.05 |
| Class R3 — Offering and redemption price per share |
38.42 |
24.27 |
15.04 |
16.53 |
| Class R4 — Offering and redemption price per share |
38.73 |
26.85 |
16.70 |
17.24 |
| Class R5 — Offering and redemption price per share |
38.97 |
26.91 |
— |
17.30 |
| Class R6 — Offering and redemption price per share |
38.88 |
26.96 |
16.85 |
17.39 |
| 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)] |
$40.27 |
$25.68 |
$15.89 |
$17.64 |
| Cost of investments in non-affiliates |
$39,212 |
$1,151,267 |
$269,270 |
$756,547 |
| Cost of investments in affiliates |
345 |
43,668 |
11,801 |
20,802 |
| Investment securities on loan, at value (See Note 2.C.) |
— |
107,113 |
— |
78,093 |
| Cost of investment of cash collateral (See Note 2.C.) |
— |
111,594 |
— |
81,502 |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b)
Redemption price for Class C Shares varies based upon length of time the shares are
held.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
63 |
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited)
(Amounts in thousands)
| |
JPMorgan
Small Cap
Blend Fund |
JPMorgan
Small Cap
Equity Fund |
JPMorgan Small Cap Growth Fund |
| INVESTMENT INCOME: |
|
|
|
| Interest income from affiliates |
$— (a) |
$— |
$—
|
| Dividend income from non-affiliates |
8,162 |
36,824 |
9,286 |
| Dividend income from affiliates |
908 |
4,155 |
1,053 |
| Income from securities lending (net) (See Note 2.C.) |
152
|
218
|
587
|
| Total investment income |
9,222
|
41,197 |
10,926 |
| EXPENSES: |
|
|
|
| Investment advisory fees |
4,255 |
17,570 |
12,024 |
| Administration fees |
491 |
2,027 |
1,387 |
| Distribution fees: |
|
|
|
| Class A |
418 |
568 |
418 |
| Class C |
55 |
137 |
117 |
| Class R2 |
— |
15 |
39 |
| Class R3 |
— |
8 |
7 |
| Service fees: |
|
|
|
| Class A |
418 |
568 |
418 |
| Class C |
19 |
46 |
39 |
| Class I |
502 |
2,703 |
554 |
| Class L |
— |
— |
285 |
| Class R2 |
— |
7 |
19 |
| Class R3 |
— |
8 |
7 |
| Class R4 |
— |
1 |
6 |
| Class R5 |
— |
386 |
9 |
| Custodian and accounting fees |
35 |
94 |
67 |
| Interest expense to affiliates |
— |
1 |
— (a) |
| Professional fees |
29 |
40 |
35 |
| Trustees’ and Chief Compliance Officer’s fees |
15 |
23 |
20 |
| Printing and mailing costs |
98 |
184 |
231 |
| Registration and filing fees |
74 |
123 |
33 |
| Transfer agency fees (See Note 2.H.) |
18 |
120 |
73 |
| Other |
8
|
24
|
23
|
| Total expenses |
6,435
|
24,653 |
15,811 |
| Less fees waived |
(197 ) |
(389 ) |
(188 ) |
| Less expense reimbursements |
(2
) |
(1
) |
(38 ) |
| Net expenses |
6,236
|
24,263 |
15,585 |
| Net investment income (loss) |
2,986
|
16,934 |
(4,659 ) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap
Blend Fund |
JPMorgan
Small Cap
Equity Fund |
JPMorgan Small Cap Growth Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
| Net realized gain (loss) on transactions from: |
|
|
|
| Investments in non-affiliates |
$(26,591 ) |
$13,446 |
$(268,885 ) |
| Investments in affiliates |
2 |
28 |
19 |
| Options purchased |
294
|
— |
— |
| Net realized gain (loss) |
(26,295 ) |
13,474 |
(268,866 ) |
| Change in net unrealized appreciation/depreciation on: |
|
|
|
| Investments in non-affiliates |
103,473 |
248,414 |
296,303 |
| Investments in affiliates |
32 |
106 |
51 |
| Options purchased |
1,660
|
— |
— |
| Change in net unrealized appreciation/depreciation |
105,165 |
248,520 |
296,354 |
| Net realized/unrealized gains (losses) |
78,870 |
261,994 |
27,488 |
| Change in net assets resulting from operations |
$81,856 |
$278,928 |
$22,829 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
65 |
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited) (continued)
(Amounts in thousands)
| |
JPMorgan
Small Cap
Sustainable Leaders
Fund |
JPMorgan
Small Cap
Value Fund |
JPMorgan
SMID Cap
Equity Fund |
JPMorgan U.S. Small Company Fund |
| INVESTMENT INCOME: |
|
|
|
|
| Interest income from non-affiliates |
$— |
$55 |
$— |
$36
|
| Dividend income from non-affiliates |
230 |
12,461 |
2,111 |
5,120 |
| Dividend income from affiliates |
16 |
883 |
224 |
556 |
| Income from securities lending (net) (See Note 2.C.) |
— (a) |
128
|
1
|
215
|
| Total investment income |
246
|
13,527 |
2,336
|
5,927 |
| EXPENSES: |
|
|
|
|
| Investment advisory fees |
145 |
4,464 |
891 |
2,675 |
| Administration fees |
17 |
515 |
121 |
334 |
| Distribution fees: |
|
|
|
|
| Class A |
4 |
165 |
160 |
131 |
| Class C |
3 |
15 |
40 |
26 |
| Class R2 |
— (a) |
62 |
— |
94 |
| Class R3 |
1 |
21 |
1 |
43 |
| Service fees: |
|
|
|
|
| Class A |
4 |
165 |
160 |
131 |
| Class C |
1 |
5 |
14 |
9 |
| Class I |
9 |
240 |
124 |
206 |
| Class L |
— |
— |
— |
105 |
| Class R2 |
— (a) |
31 |
— |
47 |
| Class R3 |
1 |
21 |
1 |
43 |
| Class R4 |
— (a) |
28 |
— (a) |
7 |
| Class R5 |
9 |
54 |
— |
8 |
| Custodian and accounting fees |
7 |
39 |
14 |
26 |
| Interest expense to affiliates |
— |
1 |
— |
1 |
| Professional fees |
23 |
29 |
26 |
28 |
| Trustees’ and Chief Compliance Officer’s fees |
13 |
15 |
13 |
14 |
| Printing and mailing costs |
10 |
53 |
26 |
29 |
| Registration and filing fees |
49 |
59 |
45 |
78 |
| Transfer agency fees (See Note 2.H.) |
5 |
48 |
21 |
25 |
| Other |
5
|
11
|
3
|
8
|
| Total expenses |
306
|
6,041
|
1,660
|
4,068 |
| Less fees waived |
(132 ) |
(242 ) |
(208 ) |
(57 ) |
| Less expense reimbursements |
(2
) |
(10
) |
(1
) |
(1 ) |
| Net expenses |
172
|
5,789
|
1,451
|
4,010
|
| Net investment income (loss) |
74
|
7,738
|
885
|
1,917 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap
Sustainable Leaders
Fund |
JPMorgan
Small Cap
Value Fund |
JPMorgan
SMID Cap
Equity Fund |
JPMorgan U.S. Small Company Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
| Net realized gain (loss) on transactions from: |
|
|
|
|
| Investments in non-affiliates |
$(6,164 ) |
$(47,167 ) |
$(4,106 ) |
$(5,757 ) |
| Investments in affiliates |
— (a) |
6 |
1 |
6 |
| Futures contracts |
— |
148
|
— |
2,550
|
| Net realized gain (loss) |
(6,164 ) |
(47,013 ) |
(4,105 ) |
(3,201 ) |
| Change in net unrealized appreciation/depreciation on: |
|
|
|
|
| Investments in non-affiliates |
7,491 |
173,159 |
18,106 |
54,889 |
| Investments in affiliates |
— (a) |
28 |
5 |
19 |
| Futures contracts |
— |
1,881
|
— |
1,235 |
| Change in net unrealized appreciation/depreciation |
7,491
|
175,068 |
18,111 |
56,143 |
| Net realized/unrealized gains (losses) |
1,327
|
128,055 |
14,006 |
52,942 |
| Change in net assets resulting from operations |
$1,401 |
$135,793 |
$14,891 |
$54,859 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
67 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| |
JPMorgan
Small Cap Blend Fund |
JPMorgan
Small Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$2,986 |
$5,173 |
$16,934 |
$41,196
|
| Net realized gain (loss) |
(26,295 ) |
(56,317 ) |
13,474 |
366,814 |
| Change in net unrealized appreciation/depreciation |
105,165 |
195,988 |
248,520 |
212,408 |
| Change in net assets resulting from operations |
81,856 |
144,844 |
278,928 |
620,418 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(994 ) |
(6,699 ) |
(21,095 ) |
(68,027 ) |
| Class C |
(50 ) |
(474 ) |
(2,718 ) |
(10,150 ) |
| Class I |
(1,515 ) |
(7,016 ) |
(83,034 ) |
(269,782 ) |
| Class R2 |
— |
— |
(297 ) |
(783 ) |
| Class R3 |
— |
— |
(773 ) |
(603 ) |
| Class R4 |
— |
— |
(20 ) |
(83 ) |
| Class R5 |
— |
— |
(27,134 ) |
(97,087 ) |
| Class R6 |
(3,477 ) |
(11,108 ) |
(85,075 ) |
(217,661 ) |
| Total distributions to shareholders |
(6,036 ) |
(25,297 ) |
(220,146 ) |
(664,176 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
48,647 |
129,892 |
(415,577 ) |
198,716 |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
124,467 |
249,439 |
(356,795 ) |
154,958 |
| Beginning of period |
1,301,210 |
1,051,771 |
5,798,920 |
5,643,962 |
| End of period |
$1,425,677 |
$1,301,210 |
$5,442,125 |
$5,798,920 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap Growth Fund |
JPMorgan
Small Cap Sustainable Leaders Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$(4,659 ) |
$(10,798 ) |
$74 |
$268
|
| Net realized gain (loss) |
(268,866 ) |
(298,463 ) |
(6,164 ) |
(22,127 ) |
| Change in net unrealized appreciation/depreciation |
296,354 |
832,896 |
7,491
|
34,458 |
| Change in net assets resulting from operations |
22,829 |
523,635 |
1,401
|
12,599 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
— |
(1,706 ) |
(7 ) |
— |
| Class C |
— |
(305 ) |
— |
— |
| Class I |
— |
(1,815 ) |
(14 ) |
(5 ) |
| Class L |
— |
(2,183 ) |
— |
— |
| Class R2 |
— |
(78 ) |
— |
— |
| Class R3 |
— |
(23 ) |
— |
— |
| Class R4 |
— |
(24 ) |
(2 ) |
— |
| Class R5 |
— |
(71 ) |
(98 ) |
(83 ) |
| Class R6 |
— |
(8,583 ) |
(82
) |
(103
) |
| Total distributions to shareholders |
— |
(14,788 ) |
(203
) |
(191 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
(254,860 ) |
(419,664 ) |
(18,038 ) |
(91,410 ) |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
(232,031 ) |
89,183 |
(16,840 ) |
(79,002 ) |
| Beginning of period |
4,008,364 |
3,919,181 |
55,608 |
134,610 |
| End of period |
$3,776,333 |
$4,008,364 |
$38,768 |
$55,608 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
69 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Small Cap Value Fund |
JPMorgan
SMID Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$7,738 |
$17,044 |
$885 |
$1,103
|
| Net realized gain (loss) |
(47,013 ) |
30,302 |
(4,105 ) |
781 |
| Change in net unrealized appreciation/depreciation |
175,068 |
54,343 |
18,111 |
29,381 |
| Change in net assets resulting from operations |
135,793 |
101,689 |
14,891 |
31,265 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(1,708 ) |
(14,371 ) |
(462 ) |
(15,586 ) |
| Class C |
(66 ) |
(688 ) |
(6 ) |
(2,508 ) |
| Class I |
(2,399 ) |
(19,363 ) |
(491 ) |
(11,951 ) |
| Class R2 |
(282 ) |
(2,401 ) |
— |
— |
| Class R3 |
(211 ) |
(1,466 ) |
(2 ) |
(155 ) |
| Class R4 |
(289 ) |
(1,991 ) |
(1 ) |
(24 ) |
| Class R5 |
(1,460 ) |
(3,397 ) |
— |
— |
| Class R6 |
(12,100 ) |
(74,358 ) |
(723
) |
(5,029 ) |
| Total distributions to shareholders |
(18,515 ) |
(118,035 ) |
(1,685 ) |
(35,253 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
(44,778 ) |
111,628 |
(12,776 ) |
30,046 |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
72,500 |
95,282 |
430 |
26,058 |
| Beginning of period |
1,386,532 |
1,291,250 |
337,141 |
311,083 |
| End of period |
$1,459,032 |
$1,386,532 |
$337,571 |
$337,141 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Small Company Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
| Net investment income (loss) |
$1,917 |
$4,966
|
| Net realized gain (loss) |
(3,201 ) |
5,991 |
| Change in net unrealized appreciation/depreciation |
56,143 |
111,576 |
| Change in net assets resulting from operations |
54,859 |
122,533 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
| Class A |
(206 ) |
(6,260 ) |
| Class C |
— |
(676 ) |
| Class I |
(666 ) |
(9,595 ) |
| Class L |
(1,157 ) |
(11,694 ) |
| Class R2 |
— |
(2,071 ) |
| Class R3 |
(69 ) |
(1,857 ) |
| Class R4 |
(20 ) |
(591 ) |
| Class R5 |
(124 ) |
(843 ) |
| Class R6 |
(1,929 ) |
(18,078 ) |
| Total distributions to shareholders |
(4,171 ) |
(51,665 ) |
| CAPITAL TRANSACTIONS: |
|
|
| Change in net assets resulting from capital transactions |
(42,755 ) |
(7,323 ) |
| NET ASSETS: |
|
|
| Change in net assets |
7,933 |
63,545 |
| Beginning of period |
933,292 |
869,747 |
| End of period |
$941,225 |
$933,292 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
71 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Small Cap Blend Fund |
JPMorgan
Small Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$41,152 |
$79,702 |
$36,110 |
$95,127 |
| Distributions reinvested |
941 |
6,271 |
19,816 |
63,887 |
| Cost of shares redeemed |
(29,050 ) |
(51,961 ) |
(114,215 ) |
(166,188 ) |
| Change in net assets resulting from Class A capital transactions |
13,043 |
34,012 |
(58,289 ) |
(7,174 ) |
| Class C |
|
|
|
|
| Proceeds from shares issued |
2,747 |
4,480 |
1,466 |
2,851 |
| Distributions reinvested |
50 |
474 |
2,714 |
10,107 |
| Cost of shares redeemed |
(1,942 ) |
(4,046 ) |
(12,107 ) |
(19,971 ) |
| Change in net assets resulting from Class C capital transactions |
855
|
908
|
(7,927 ) |
(7,013 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
73,131 |
191,489 |
212,971 |
590,687 |
| Distributions reinvested |
1,512 |
7,004 |
75,247 |
249,070 |
| Cost of shares redeemed |
(62,421 ) |
(144,690 ) |
(455,803 ) |
(991,626 ) |
| Change in net assets resulting from Class I capital transactions |
12,222 |
53,803 |
(167,585 ) |
(151,869 ) |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
— |
— |
618 |
840 |
| Distributions reinvested |
— |
— |
294 |
766 |
| Cost of shares redeemed |
— |
— |
(550
) |
(1,107 ) |
| Change in net assets resulting from Class R2 capital transactions |
— |
— |
362
|
499
|
| Class R3 |
|
|
|
|
| Proceeds from shares issued |
— |
— |
11,298 |
867 |
| Distributions reinvested |
— |
— |
209 |
479 |
| Cost of shares redeemed |
— |
— |
(1,176 ) |
(1,477 ) |
| Change in net assets resulting from Class R3 capital transactions |
— |
— |
10,331 |
(131 ) |
| Class R4 |
|
|
|
|
| Proceeds from shares issued |
— |
— |
26 |
60 |
| Distributions reinvested |
— |
— |
20 |
83 |
| Cost of shares redeemed |
— |
— |
(51
) |
(280 ) |
| Change in net assets resulting from Class R4 capital transactions |
— |
— |
(5
) |
(137
) |
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
— |
— |
86,633 |
165,939 |
| Distributions reinvested |
— |
— |
25,670 |
91,994 |
| Cost of shares redeemed |
— |
— |
(311,152 ) |
(151,348 ) |
| Change in net assets resulting from Class R5 capital transactions |
— |
— |
(198,849 ) |
106,585 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap Blend Fund |
JPMorgan
Small Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
$81,102 |
$175,882 |
$207,341 |
$510,468
|
| Distributions reinvested |
3,467 |
10,940 |
83,802 |
213,371 |
| Cost of shares redeemed |
(62,042 ) |
(145,653 ) |
(284,758 ) |
(465,883 ) |
| Change in net assets resulting from Class R6 capital transactions |
22,527 |
41,169 |
6,385
|
257,956 |
| Total change in net assets resulting from capital transactions |
$48,647 |
$129,892 |
$(415,577 ) |
$198,716 |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
1,818 |
3,589 |
892 |
2,253 |
| Reinvested |
39 |
285 |
479 |
1,553 |
| Redeemed |
(1,293 ) |
(2,349 ) |
(2,788 ) |
(3,866 ) |
| Change in Class A Shares |
564
|
1,525
|
(1,417
) |
(60 ) |
| Class C |
|
|
|
|
| Issued |
206 |
338 |
64 |
118 |
| Reinvested |
4 |
37 |
121 |
435 |
| Redeemed |
(148
) |
(312
) |
(531
) |
(788 ) |
| Change in Class C Shares |
62
|
63
|
(346
) |
(235
) |
| Class I |
|
|
|
|
| Issued |
2,603 |
6,985 |
4,063 |
11,055 |
| Reinvested |
51 |
258 |
1,427 |
4,799 |
| Redeemed |
(2,259 ) |
(5,332 ) |
(8,803 ) |
(18,658 ) |
| Change in Class I Shares |
395
|
1,911
|
(3,313
) |
(2,804 ) |
| Class R2 |
|
|
|
|
| Issued |
— |
— |
15 |
20 |
| Reinvested |
— |
— |
8 |
19 |
| Redeemed |
— |
— |
(14
) |
(25 ) |
| Change in Class R2 Shares |
—
|
—
|
9
|
14
|
| Class R3 |
|
|
|
|
| Issued |
— |
— |
287 |
20 |
| Reinvested |
— |
— |
5 |
12 |
| Redeemed |
— |
— |
(28
) |
(35
) |
| Change in Class R3 Shares |
—
|
—
|
264
|
(3 ) |
| Class R4 |
|
|
|
|
| Issued |
— |
— |
1 |
1 |
| Reinvested |
— |
— |
— (a) |
2 |
| Redeemed |
— |
— |
(1
) |
(6 ) |
| Change in Class R4 Shares |
—
|
—
|
—
(a) |
(3
) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
73 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Small Cap Blend Fund |
JPMorgan
Small Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R5 |
|
|
|
|
| Issued |
— |
— |
1,663 |
3,092 |
| Reinvested |
— |
— |
484 |
1,764 |
| Redeemed |
— |
— |
(6,220 ) |
(2,846 ) |
| Change in Class R5 Shares |
—
|
—
|
(4,073
) |
2,010 |
| Class R6 |
|
|
|
|
| Issued |
2,894 |
6,377 |
4,146 |
9,377 |
| Reinvested |
117 |
402 |
1,580 |
4,091 |
| Redeemed |
(2,218 ) |
(5,298 ) |
(5,454 ) |
(8,779 ) |
| Change in Class R6 Shares |
793
|
1,481
|
272
|
4,689
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap Growth Fund |
JPMorgan
Small Cap Sustainable Leaders Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$15,621 |
$39,028 |
$279 |
$440 |
| Distributions reinvested |
— |
1,581 |
6 |
— |
| Cost of shares redeemed |
(44,692 ) |
(105,591 ) |
(453
) |
(2,522 ) |
| Change in net assets resulting from Class A capital transactions |
(29,071 ) |
(64,982 ) |
(168
) |
(2,082 ) |
| Class C |
|
|
|
|
| Proceeds from shares issued |
350 |
977 |
8 |
80 |
| Distributions reinvested |
— |
283 |
— |
— |
| Cost of shares redeemed |
(5,488 ) |
(11,416 ) |
(102
) |
(336 ) |
| Change in net assets resulting from Class C capital transactions |
(5,138 ) |
(10,156 ) |
(94
) |
(256
) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
102,895 |
154,362 |
328 |
1,105 |
| Distributions reinvested |
— |
914 |
14 |
5 |
| Cost of shares redeemed |
(82,668 ) |
(313,423 ) |
(3,695 ) |
(7,035 ) |
| Change in net assets resulting from Class I capital transactions |
20,227 |
(158,147 ) |
(3,353 ) |
(5,925 ) |
| Class L |
|
|
|
|
| Proceeds from shares issued |
46,556 |
218,599 |
— |
— |
| Distributions reinvested |
— |
2,030 |
— |
— |
| Cost of shares redeemed |
(139,143 ) |
(163,526 ) |
— |
— |
| Change in net assets resulting from Class L capital transactions |
(92,587 ) |
57,103 |
— |
— |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
1,336 |
3,110 |
8 |
44 |
| Distributions reinvested |
— |
78 |
— |
— |
| Cost of shares redeemed |
(2,234 ) |
(5,243 ) |
(37
) |
(184
) |
| Change in net assets resulting from Class R2 capital transactions |
(898
) |
(2,055 ) |
(29
) |
(140 ) |
| Class R3 |
|
|
|
|
| Proceeds from shares issued |
558 |
1,196 |
46 |
351 |
| Distributions reinvested |
— |
23 |
— |
— |
| Cost of shares redeemed |
(1,585 ) |
(1,230 ) |
(399
) |
(2,236 ) |
| Change in net assets resulting from Class R3 capital transactions |
(1,027 ) |
(11
) |
(353
) |
(1,885 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
75 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Small Cap Growth Fund |
JPMorgan
Small Cap Sustainable Leaders Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
|
|
| Class R4 |
|
|
|
|
| Proceeds from shares issued |
$351 |
$1,303 |
$5 |
$42 |
| Distributions reinvested |
— |
24 |
2 |
— |
| Cost of shares redeemed |
(762
) |
(2,145 ) |
(237
) |
(185
) |
| Change in net assets resulting from Class R4 capital transactions |
(411
) |
(818
) |
(230
) |
(143 ) |
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
2,146 |
4,374 |
488 |
5,293 |
| Distributions reinvested |
— |
71 |
89 |
79 |
| Cost of shares redeemed |
(6,782 ) |
(8,621 ) |
(7,129 ) |
(33,320 ) |
| Change in net assets resulting from Class R5 capital transactions |
(4,636 ) |
(4,176 ) |
(6,552 ) |
(27,948 ) |
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
186,043 |
385,164 |
837 |
4,783 |
| Distributions reinvested |
— |
8,446 |
82 |
102 |
| Cost of shares redeemed |
(327,362 ) |
(630,032 ) |
(8,178 ) |
(57,916 ) |
| Change in net assets resulting from Class R6 capital transactions |
(141,319 ) |
(236,422 ) |
(7,259 ) |
(53,031 ) |
| Total change in net assets resulting from capital transactions |
$(254,860 ) |
$(419,664 ) |
$(18,038 ) |
$(91,410 ) |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
1,050 |
2,629 |
8 |
12 |
| Reinvested |
— |
108 |
— (a) |
— |
| Redeemed |
(3,034 ) |
(7,182 ) |
(14
) |
(70 ) |
| Change in Class A Shares |
(1,984
) |
(4,445
) |
(6
) |
(58
) |
| Class C |
|
|
|
|
| Issued |
41 |
115 |
— (a) |
3 |
| Reinvested |
— |
33 |
— |
— |
| Redeemed |
(643
) |
(1,334 ) |
(3
) |
(10
) |
| Change in Class C Shares |
(602
) |
(1,186
) |
(3
) |
(7 ) |
| Class I |
|
|
|
|
| Issued |
6,003 |
8,904 |
8 |
30 |
| Reinvested |
— |
53 |
1 |
— (a) |
| Redeemed |
(4,753 ) |
(18,236 ) |
(105
) |
(190 ) |
| Change in Class I Shares |
1,250
|
(9,279
) |
(96
) |
(160
) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap Growth Fund |
JPMorgan
Small Cap Sustainable Leaders Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class L |
|
|
|
|
| Issued |
2,544 |
12,067 |
— |
— |
| Reinvested |
— |
113 |
— |
— |
| Redeemed |
(7,663 ) |
(9,027 ) |
— |
— |
| Change in Class L Shares |
(5,119
) |
3,153
|
—
|
— |
| Class R2 |
|
|
|
|
| Issued |
96 |
226 |
— (a) |
1 |
| Reinvested |
— |
6 |
— |
— |
| Redeemed |
(162
) |
(377
) |
(1
) |
(6 ) |
| Change in Class R2 Shares |
(66
) |
(145
) |
(1
) |
(5
) |
| Class R3 |
|
|
|
|
| Issued |
36 |
80 |
2 |
10 |
| Reinvested |
— |
2 |
— |
— |
| Redeemed |
(108
) |
(83
) |
(11
) |
(63
) |
| Change in Class R3 Shares |
(72
) |
(1
) |
(9
) |
(53 ) |
| Class R4 |
|
|
|
|
| Issued |
23 |
88 |
— (a) |
1 |
| Reinvested |
— |
2 |
— (a) |
— |
| Redeemed |
(52
) |
(139
) |
(6
) |
(5 ) |
| Change in Class R4 Shares |
(29
) |
(49
) |
(6
) |
(4
) |
| Class R5 |
|
|
|
|
| Issued |
117 |
244 |
14 |
147 |
| Reinvested |
— |
4 |
2 |
2 |
| Redeemed |
(355
) |
(475
) |
(193
) |
(913
) |
| Change in Class R5 Shares |
(238
) |
(227
) |
(177
) |
(764 ) |
| Class R6 |
|
|
|
|
| Issued |
10,153 |
20,805 |
24 |
132 |
| Reinvested |
— |
463 |
2 |
3 |
| Redeemed |
(17,506 ) |
(33,851 ) |
(233
) |
(1,558 ) |
| Change in Class R6 Shares |
(7,353
) |
(12,583
) |
(207
) |
(1,423
) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
77 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Small Cap Value Fund |
JPMorgan
SMID Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$5,654 |
$13,805 |
$4,558 |
$9,387 |
| Distributions reinvested |
1,654 |
13,910 |
452 |
15,104 |
| Cost of shares redeemed |
(14,244 ) |
(40,432 ) |
(11,859 ) |
(23,838 ) |
| Change in net assets resulting from Class A capital transactions |
(6,936 ) |
(12,717 ) |
(6,849 ) |
653 |
| Class C |
|
|
|
|
| Proceeds from shares issued |
276 |
633 |
535 |
1,421 |
| Distributions reinvested |
66 |
688 |
6 |
2,485 |
| Cost of shares redeemed |
(1,055 ) |
(2,124 ) |
(3,461 ) |
(6,523 ) |
| Change in net assets resulting from Class C capital transactions |
(713
) |
(803
) |
(2,920 ) |
(2,617 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
24,612 |
45,800 |
5,554 |
37,789 |
| Distributions reinvested |
2,397 |
19,347 |
472 |
10,870 |
| Cost of shares redeemed |
(51,980 ) |
(96,568 ) |
(16,914 ) |
(61,314 ) |
| Change in net assets resulting from Class I capital transactions |
(24,971 ) |
(31,421 ) |
(10,888 ) |
(12,655 ) |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
2,622 |
6,406 |
— |
— |
| Distributions reinvested |
280 |
2,388 |
— |
— |
| Cost of shares redeemed |
(5,601 ) |
(7,126 ) |
— |
— |
| Change in net assets resulting from Class R2 capital transactions |
(2,699 ) |
1,668
|
— |
— |
| Class R3 |
|
|
|
|
| Proceeds from shares issued |
1,500 |
3,687 |
108 |
303 |
| Distributions reinvested |
210 |
1,466 |
2 |
136 |
| Cost of shares redeemed |
(1,998 ) |
(3,117 ) |
(628
) |
(535
) |
| Change in net assets resulting from Class R3 capital transactions |
(288
) |
2,036
|
(518
) |
(96 ) |
| Class R4 |
|
|
|
|
| Proceeds from shares issued |
1,759 |
4,854 |
74 |
37 |
| Distributions reinvested |
289 |
1,991 |
— (a) |
3 |
| Cost of shares redeemed |
(2,836 ) |
(5,578 ) |
(6
) |
(9 ) |
| Change in net assets resulting from Class R4 capital transactions |
(788
) |
1,267
|
68
|
31
|
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
15,742 |
89,092 |
— |
— |
| Distributions reinvested |
1,452 |
3,342 |
— |
— |
| Cost of shares redeemed |
(12,407 ) |
(23,683 ) |
— |
— |
| Change in net assets resulting from Class R5 capital transactions |
4,787
|
68,751 |
— |
— |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
Small Cap Value Fund |
JPMorgan
SMID Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
$64,334 |
$170,727 |
$23,312 |
$63,114
|
| Distributions reinvested |
12,100 |
74,357 |
669 |
4,154 |
| Cost of shares redeemed |
(89,604 ) |
(162,237 ) |
(15,650 ) |
(22,538 ) |
| Change in net assets resulting from Class R6 capital transactions |
(13,170 ) |
82,847 |
8,331
|
44,730 |
| Total change in net assets resulting from capital transactions |
$(44,778 ) |
$111,628 |
$(12,776 ) |
$30,046 |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
254 |
598 |
322 |
650 |
| Reinvested |
74 |
611 |
30 |
1,092 |
| Redeemed |
(636
) |
(1,775 ) |
(840
) |
(1,641 ) |
| Change in Class A Shares |
(308
) |
(566
) |
(488
) |
101 |
| Class C |
|
|
|
|
| Issued |
17 |
37 |
56 |
150 |
| Reinvested |
4 |
42 |
1 |
267 |
| Redeemed |
(67
) |
(128
) |
(367
) |
(671 ) |
| Change in Class C Shares |
(46
) |
(49
) |
(310
) |
(254
) |
| Class I |
|
|
|
|
| Issued |
998 |
1,788 |
350 |
2,363 |
| Reinvested |
97 |
773 |
29 |
704 |
| Redeemed |
(2,144 ) |
(3,757 ) |
(1,078 ) |
(3,811 ) |
| Change in Class I Shares |
(1,049
) |
(1,196
) |
(699
) |
(744 ) |
| Class R2 |
|
|
|
|
| Issued |
118 |
283 |
— |
— |
| Reinvested |
13 |
107 |
— |
— |
| Redeemed |
(254
) |
(314
) |
— |
— |
| Change in Class R2 Shares |
(123
) |
76
|
—
|
—
|
| Class R3 |
|
|
|
|
| Issued |
68 |
162 |
7 |
21 |
| Reinvested |
9 |
65 |
— (a) |
10 |
| Redeemed |
(90
) |
(135
) |
(44
) |
(35
) |
| Change in Class R3 Shares |
(13
) |
92
|
(37
) |
(4 ) |
| Class R4 |
|
|
|
|
| Issued |
72 |
195 |
4 |
3 |
| Reinvested |
12 |
79 |
— (a) |
— (a) |
| Redeemed |
(116
) |
(220
) |
— (a) |
(1 ) |
| Change in Class R4 Shares |
(32
) |
54
|
4
|
2
|
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
79 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Small Cap Value Fund |
JPMorgan
SMID Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R5 |
|
|
|
|
| Issued |
645 |
3,447 |
— |
— |
| Reinvested |
58 |
134 |
— |
— |
| Redeemed |
(505
) |
(944
) |
— |
— |
| Change in Class R5 Shares |
198
|
2,637
|
—
|
— |
| Class R6 |
|
|
|
|
| Issued |
2,632 |
6,737 |
1,486 |
4,108 |
| Reinvested |
486 |
2,960 |
40 |
268 |
| Redeemed |
(3,537 ) |
(6,222 ) |
(989
) |
(1,437 ) |
| Change in Class R6 Shares |
(419
) |
3,475
|
537
|
2,939
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Small Company Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
| Class A |
|
|
| Proceeds from shares issued |
$9,154 |
$19,916 |
| Distributions reinvested |
186 |
5,714 |
| Cost of shares redeemed |
(11,491 ) |
(30,410 ) |
| Change in net assets resulting from Class A capital transactions |
(2,151 ) |
(4,780 ) |
| Class C |
|
|
| Proceeds from shares issued |
228 |
1,098 |
| Distributions reinvested |
— |
648 |
| Cost of shares redeemed |
(2,388 ) |
(6,739 ) |
| Change in net assets resulting from Class C capital transactions |
(2,160 ) |
(4,993 ) |
| Class I |
|
|
| Proceeds from shares issued |
23,750 |
44,384 |
| Distributions reinvested |
641 |
9,233 |
| Cost of shares redeemed |
(41,610 ) |
(45,515 ) |
| Change in net assets resulting from Class I capital transactions |
(17,219 ) |
8,102 |
| Class L |
|
|
| Proceeds from shares issued |
16,331 |
54,324 |
| Distributions reinvested |
1,042 |
9,578 |
| Cost of shares redeemed |
(20,128 ) |
(92,068 ) |
| Change in net assets resulting from Class L capital transactions |
(2,755 ) |
(28,166 ) |
| Class R2 |
|
|
| Proceeds from shares issued |
2,590 |
6,602 |
| Distributions reinvested |
— |
2,038 |
| Cost of shares redeemed |
(5,131 ) |
(5,381 ) |
| Change in net assets resulting from Class R2 capital transactions |
(2,541 ) |
3,259 |
| Class R3 |
|
|
| Proceeds from shares issued |
2,523 |
6,028 |
| Distributions reinvested |
65 |
1,750 |
| Cost of shares redeemed |
(2,291 ) |
(5,615 ) |
| Change in net assets resulting from Class R3 capital transactions |
297
|
2,163
|
| Class R4 |
|
|
| Proceeds from shares issued |
170 |
1,624 |
| Distributions reinvested |
20 |
591 |
| Cost of shares redeemed |
(560
) |
(6,107 ) |
| Change in net assets resulting from Class R4 capital transactions |
(370
) |
(3,892 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
81 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. Small Company Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
| Class R5 |
|
|
| Proceeds from shares issued |
$8,137 |
$10,370
|
| Distributions reinvested |
9 |
570 |
| Cost of shares redeemed |
(333
) |
(3,549 ) |
| Change in net assets resulting from Class R5 capital transactions |
7,813
|
7,391
|
| Class R6 |
|
|
| Proceeds from shares issued |
23,187 |
73,167 |
| Distributions reinvested |
1,884 |
17,703 |
| Cost of shares redeemed |
(48,740 ) |
(77,277 ) |
| Change in net assets resulting from Class R6 capital transactions |
(23,669 ) |
13,593 |
| Total change in net assets resulting from capital transactions |
$(42,755 ) |
$(7,323 ) |
| SHARE TRANSACTIONS: |
|
|
| Class A |
|
|
| Issued |
587 |
1,291 |
| Reinvested |
11 |
379 |
| Redeemed |
(744
) |
(1,998 ) |
| Change in Class A Shares |
(146
) |
(328
) |
| Class C |
|
|
| Issued |
16 |
78 |
| Reinvested |
— |
48 |
| Redeemed |
(169
) |
(481
) |
| Change in Class C Shares |
(153
) |
(355 ) |
| Class I |
|
|
| Issued |
1,421 |
2,796 |
| Reinvested |
38 |
588 |
| Redeemed |
(2,548 ) |
(2,858 ) |
| Change in Class I Shares |
(1,089
) |
526
|
| Class L |
|
|
| Issued |
1,009 |
3,397 |
| Reinvested |
61 |
611 |
| Redeemed |
(1,247 ) |
(5,729 ) |
| Change in Class L Shares |
(177
) |
(1,721 ) |
| Class R2 |
|
|
| Issued |
173 |
447 |
| Reinvested |
— |
141 |
| Redeemed |
(343
) |
(365 ) |
| Change in Class R2 Shares |
(170
) |
223
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Small Company Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
| Class R3 |
|
|
| Issued |
165 |
397 |
| Reinvested |
4 |
117 |
| Redeemed |
(148
) |
(373
) |
| Change in Class R3 Shares |
21
|
141 |
| Class R4 |
|
|
| Issued |
11 |
102 |
| Reinvested |
1 |
38 |
| Redeemed |
(35
) |
(394 ) |
| Change in Class R4 Shares |
(23
) |
(254
) |
| Class R5 |
|
|
| Issued |
557 |
638 |
| Reinvested |
1 |
36 |
| Redeemed |
(21
) |
(218
) |
| Change in Class R5 Shares |
537
|
456 |
| Class R6 |
|
|
| Issued |
1,438 |
4,586 |
| Reinvested |
110 |
1,128 |
| Redeemed |
(3,041 ) |
(4,820 ) |
| Change in Class R6 Shares |
(1,493
) |
894
|
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
83 |
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, 2023 (Unaudited) |
$23.08 |
$0.02 |
$1.36 |
$1.38 |
$(0.07 ) |
$— |
$(0.07 ) |
| Year Ended June 30, 2023 |
20.86 |
0.03 |
2.68 |
2.71 |
(0.03 ) |
(0.46 ) |
(0.49 ) |
| Year Ended June 30, 2022 |
28.67 |
(0.02 ) |
(5.77 ) |
(5.79 ) |
— |
(2.02 ) |
(2.02 ) |
| Year Ended June 30, 2021 |
19.11 |
(0.03 ) |
10.08 |
10.05 |
(0.02 ) |
(0.47 ) |
(0.49 ) |
| Year Ended June 30, 2020 |
19.78 |
0.04 |
(0.04 ) |
— (f) |
(0.02 ) |
(0.65 ) |
(0.67 ) |
| Year Ended June 30, 2019 |
26.65 |
— (f) |
(0.63 ) |
(0.63 ) |
— |
(6.24 ) |
(6.24 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
13.51 |
(0.02 ) |
0.79 |
0.77 |
(0.05 ) |
— |
(0.05 ) |
| Year Ended June 30, 2023 |
12.44 |
(0.05 ) |
1.59 |
1.54 |
(0.01 ) |
(0.46 ) |
(0.47 ) |
| Year Ended June 30, 2022 |
18.01 |
(0.09 ) |
(3.46 ) |
(3.55 ) |
— |
(2.02 ) |
(2.02 ) |
| Year Ended June 30, 2021 |
12.19 |
(0.08 ) |
6.37 |
6.29 |
— |
(0.47 ) |
(0.47 ) |
| Year Ended June 30, 2020 |
12.90 |
(0.04 ) |
(0.02 ) |
(0.06 ) |
— |
(0.65 ) |
(0.65 ) |
| Year Ended June 30, 2019 |
19.89 |
(0.08 ) |
(0.67 ) |
(0.75 ) |
— |
(6.24 ) |
(6.24 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
28.60 |
0.06 |
1.69 |
1.75 |
(0.11 ) |
— |
(0.11 ) |
| Year Ended June 30, 2023 |
25.71 |
0.11 |
3.31 |
3.42 |
(0.07 ) |
(0.46 ) |
(0.53 ) |
| Year Ended June 30, 2022 |
34.81 |
0.05 |
(7.10 ) |
(7.05 ) |
(0.03 ) |
(2.02 ) |
(2.05 ) |
| Year Ended June 30, 2021 |
23.09 |
0.04 |
12.20 |
12.24 |
(0.05 ) |
(0.47 ) |
(0.52 ) |
| Year Ended June 30, 2020 |
23.75 |
0.10 |
(0.06 ) |
0.04 |
(0.05 ) |
(0.65 ) |
(0.70 ) |
| Year Ended June 30, 2019 |
30.53 |
0.05 |
(0.59 ) |
(0.54 ) |
— |
(6.24 ) |
(6.24 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
28.74 |
0.10 |
1.68 |
1.78 |
(0.17 ) |
— |
(0.17 ) |
| Year Ended June 30, 2023 |
25.83 |
0.18 |
3.33 |
3.51 |
(0.14 ) |
(0.46 ) |
(0.60 ) |
| Year Ended June 30, 2022 |
34.96 |
0.13 |
(7.13 ) |
(7.00 ) |
(0.11 ) |
(2.02 ) |
(2.13 ) |
| Year Ended June 30, 2021 |
23.17 |
0.11 |
12.25 |
12.36 |
(0.10 ) |
(0.47 ) |
(0.57 ) |
| Year Ended June 30, 2020 |
23.82 |
0.16 |
(0.06 ) |
0.10 |
(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 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 Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $24.39 |
5.97 % |
$366,185 |
1.24 % |
0.17 % |
1.27 % |
18 % |
| 23.08 |
13.11 |
333,434 |
1.24 |
0.15 |
1.28 |
37 |
| 20.86 |
(21.57 ) |
269,579 |
1.25 |
(0.09 ) |
1.28 |
45 |
| 28.67 |
52.98 |
279,114 |
1.24 |
(0.12 ) |
1.27 |
48 |
| 19.11 |
(0.24 ) |
132,674 |
1.24 |
0.19 |
1.32 |
48 |
| 19.78 |
0.70 |
116,751 |
1.24 |
(0.01 ) |
1.37 |
75 |
| |
|
|
|
|
|
|
| 14.23 |
5.67 |
16,180 |
1.74 |
(0.33 ) |
1.79 |
18 |
| 13.51 |
12.53 |
14,516 |
1.74 |
(0.35 ) |
1.79 |
37 |
| 12.44 |
(21.93 ) |
12,568 |
1.75 |
(0.59 ) |
1.79 |
45 |
| 18.01 |
52.22 |
13,468 |
1.73 |
(0.56 ) |
1.78 |
48 |
| 12.19 |
(0.83 ) |
24,323 |
1.74 |
(0.31 ) |
1.80 |
48 |
| 12.90 |
0.25 |
38,625 |
1.74 |
(0.53 ) |
1.85 |
75 |
| |
|
|
|
|
|
|
| 30.24 |
6.11 |
433,505 |
0.99 |
0.42 |
1.02 |
18 |
| 28.60 |
13.42 |
398,709 |
0.99 |
0.40 |
1.02 |
37 |
| 25.71 |
(21.39 ) |
309,359 |
0.99 |
0.16 |
1.02 |
45 |
| 34.81 |
53.39 |
344,974 |
0.99 |
0.13 |
1.02 |
48 |
| 23.09 |
(0.02 ) |
148,443 |
0.99 |
0.44 |
1.05 |
48 |
| 23.75 |
0.94 |
110,123 |
0.99 |
0.20 |
1.10 |
75 |
| |
|
|
|
|
|
|
| 30.35 |
6.22 |
609,807 |
0.74 |
0.67 |
0.77 |
18 |
| 28.74 |
13.72 |
554,551 |
0.74 |
0.65 |
0.77 |
37 |
| 25.83 |
(21.21 ) |
460,265 |
0.74 |
0.41 |
0.77 |
45 |
| 34.96 |
53.76 |
495,948 |
0.74 |
0.37 |
0.77 |
48 |
| 23.17 |
0.22 |
167,419 |
0.74 |
0.69 |
0.80 |
48 |
| 23.82 |
0.55 |
82,758 |
0.74 |
0.79 |
1.10 |
75 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
85 |
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 Equity Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$42.10 |
$0.06 |
$2.24 |
$2.30 |
$(0.33 ) |
$(1.71 ) |
$(2.04 ) |
| Year Ended June 30, 2023 |
43.52 |
0.15 |
4.60 |
4.75 |
— |
(6.17 ) |
(6.17 ) |
| Year Ended June 30, 2022 |
65.04 |
(0.08 ) |
(8.96 ) |
(9.04 ) |
— |
(12.48 ) |
(12.48 ) |
| Year Ended June 30, 2021 |
45.69 |
(0.02 ) |
21.07 |
21.05 |
(0.07 ) |
(1.63 ) |
(1.70 ) |
| Year Ended June 30, 2020 |
50.05 |
0.12 |
(1.95 ) |
(1.83 ) |
(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 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
23.71 |
(0.03 ) |
1.24 |
1.21 |
(0.28 ) |
(1.71 ) |
(1.99 ) |
| Year Ended June 30, 2023 |
27.11 |
(0.04 ) |
2.81 |
2.77 |
— |
(6.17 ) |
(6.17 ) |
| Year Ended June 30, 2022 |
45.39 |
(0.23 ) |
(5.57 ) |
(5.80 ) |
— |
(12.48 ) |
(12.48 ) |
| Year Ended June 30, 2021 |
32.42 |
(0.20 ) |
14.84 |
14.64 |
(0.04 ) |
(1.63 ) |
(1.67 ) |
| Year Ended June 30, 2020 |
36.25 |
(0.08 ) |
(1.35 ) |
(1.43 ) |
(0.02 ) |
(2.38 ) |
(2.40 ) |
| Year Ended June 30, 2019 |
39.12 |
(0.09 ) |
0.61 |
0.52 |
— |
(3.39 ) |
(3.39 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
53.16 |
0.14 |
2.86 |
3.00 |
(0.41 ) |
(1.71 ) |
(2.12 ) |
| Year Ended June 30, 2023 |
53.40 |
0.33 |
5.67 |
6.00 |
(0.07 ) |
(6.17 ) |
(6.24 ) |
| Year Ended June 30, 2022 |
76.84 |
0.09 |
(10.99 ) |
(10.90 ) |
(0.06 ) |
(12.48 ) |
(12.54 ) |
| Year Ended June 30, 2021 |
53.70 |
0.17 |
24.81 |
24.98 |
(0.21 ) |
(1.63 ) |
(1.84 ) |
| Year Ended June 30, 2020 |
58.34 |
0.30 |
(2.30 ) |
(2.00 ) |
(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 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
40.43 |
0.01 |
2.15 |
2.16 |
(0.27 ) |
(1.71 ) |
(1.98 ) |
| Year Ended June 30, 2023 |
42.12 |
0.05 |
4.43 |
4.48 |
— |
(6.17 ) |
(6.17 ) |
| Year Ended June 30, 2022 |
63.47 |
(0.20 ) |
(8.67 ) |
(8.87 ) |
— |
(12.48 ) |
(12.48 ) |
| Year Ended June 30, 2021 |
44.70 |
(0.15 ) |
20.59 |
20.44 |
(0.04 ) |
(1.63 ) |
(1.67 ) |
| Year Ended June 30, 2020 |
48.98 |
0.01 |
(1.91 ) |
(1.90 ) |
— |
(2.38 ) |
(2.38 ) |
| Year Ended June 30, 2019 |
51.44 |
— (f) |
0.93 |
0.93 |
— |
(3.39 ) |
(3.39 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
41.64 |
0.09 |
2.18 |
2.27 |
(0.48 ) |
(1.71 ) |
(2.19 ) |
| Year Ended June 30, 2023 |
43.11 |
0.14 |
4.57 |
4.71 |
(0.01 ) |
(6.17 ) |
(6.18 ) |
| Year Ended June 30, 2022 |
64.53 |
(0.06 ) |
(8.88 ) |
(8.94 ) |
— |
(12.48 ) |
(12.48 ) |
| Year Ended June 30, 2021 |
45.38 |
— (f) |
20.92 |
20.92 |
(0.14 ) |
(1.63 ) |
(1.77 ) |
| Year Ended June 30, 2020 |
49.73 |
0.13 |
(1.93 ) |
(1.80 ) |
(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 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
53.01 |
0.14 |
2.85 |
2.99 |
(0.42 ) |
(1.71 ) |
(2.13 ) |
| Year Ended June 30, 2023 |
53.28 |
0.31 |
5.68 |
5.99 |
(0.09 ) |
(6.17 ) |
(6.26 ) |
| Year Ended June 30, 2022 |
76.73 |
0.09 |
(10.98 ) |
(10.89 ) |
(0.08 ) |
(12.48 ) |
(12.56 ) |
| Year Ended June 30, 2021 |
53.63 |
0.17 |
24.78 |
24.95 |
(0.22 ) |
(1.63 ) |
(1.85 ) |
| Year Ended June 30, 2020 |
58.26 |
0.29 |
(2.29 ) |
(2.00 ) |
(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 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $42.36 |
5.61 % |
$450,589 |
1.25 % |
0.28 % |
1.25 % |
8 % |
| 42.10 |
11.25 |
507,387 |
1.25 |
0.34 |
1.26 |
22 |
| 43.52 |
(17.26 ) |
527,124 |
1.27 |
(0.13 ) |
1.27 |
16 |
| 65.04 |
46.60 |
846,460 |
1.26 |
(0.03 ) |
1.27 |
29 |
| 45.69 |
(4.11 ) |
653,887 |
1.26 |
0.25 |
1.27 |
23 |
| 50.05 |
2.82 |
791,846 |
1.23 |
0.24 |
1.25 |
23 |
| |
|
|
|
|
|
|
| 22.93 |
5.35 |
31,811 |
1.75 |
(0.23 ) |
1.76 |
8 |
| 23.71 |
10.70 |
41,111 |
1.74 |
(0.17 ) |
1.75 |
22 |
| 27.11 |
(17.65 ) |
53,369 |
1.75 |
(0.62 ) |
1.75 |
16 |
| 45.39 |
45.91 |
87,848 |
1.74 |
(0.50 ) |
1.74 |
29 |
| 32.42 |
(4.56 ) |
80,258 |
1.74 |
(0.24 ) |
1.75 |
23 |
| 36.25 |
2.31 |
111,453 |
1.73 |
(0.25 ) |
1.75 |
23 |
| |
|
|
|
|
|
|
| 54.04 |
5.77 |
2,179,621 |
0.99 |
0.54 |
1.00 |
8 |
| 53.16 |
11.53 |
2,320,448 |
0.99 |
0.61 |
1.00 |
22 |
| 53.40 |
(17.02 ) |
2,480,437 |
0.99 |
0.14 |
1.00 |
16 |
| 76.84 |
47.01 |
4,239,905 |
0.98 |
0.25 |
0.99 |
29 |
| 53.70 |
(3.83 ) |
3,240,725 |
0.98 |
0.54 |
0.99 |
23 |
| 58.34 |
3.05 |
2,720,056 |
0.98 |
0.51 |
1.00 |
23 |
| |
|
|
|
|
|
|
| 40.61 |
5.50 |
6,373 |
1.49 |
0.04 |
1.53 |
8 |
| 40.43 |
10.96 |
5,984 |
1.49 |
0.12 |
1.52 |
22 |
| 42.12 |
(17.44 ) |
5,646 |
1.49 |
(0.36 ) |
1.51 |
16 |
| 63.47 |
46.28 |
7,744 |
1.48 |
(0.26 ) |
1.51 |
29 |
| 44.70 |
(4.32 ) |
6,746 |
1.49 |
0.02 |
1.52 |
23 |
| 48.98 |
2.56 |
9,718 |
1.48 |
— (g) |
1.52 |
23 |
| |
|
|
|
|
|
|
| 41.72 |
5.61 |
14,978 |
1.25 |
0.45 |
1.25 |
8 |
| 41.64 |
11.26 |
4,013 |
1.24 |
0.34 |
1.24 |
22 |
| 43.11 |
(17.24 ) |
4,281 |
1.24 |
(0.11 ) |
1.24 |
16 |
| 64.53 |
46.66 |
5,829 |
1.23 |
— (g) |
1.24 |
29 |
| 45.38 |
(4.08 ) |
2,948 |
1.24 |
0.28 |
1.24 |
23 |
| 49.73 |
2.79 |
2,597 |
1.23 |
0.26 |
1.25 |
23 |
| |
|
|
|
|
|
|
| 53.87 |
5.76 |
542 |
0.99 |
0.55 |
1.04 |
8 |
| 53.01 |
11.54 |
538 |
0.99 |
0.57 |
1.01 |
22 |
| 53.28 |
(17.03 ) |
688 |
0.99 |
0.14 |
1.00 |
16 |
| 76.73 |
47.01 |
834 |
0.98 |
0.25 |
1.00 |
29 |
| 53.63 |
(3.83 ) |
449 |
0.98 |
0.53 |
1.01 |
23 |
| 58.26 |
3.05 |
475 |
0.98 |
0.50 |
1.03 |
23 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
87 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| |
Per
share operating performance | ||||||
| |
|
Investment
operations |
Distributions | ||||
| |
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(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 (continued)
|
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$53.42 |
$0.19 |
$2.88 |
$3.07 |
$(0.52 ) |
$(1.71 ) |
$(2.23 ) |
| Year Ended June 30, 2023 |
53.64 |
0.44 |
5.69 |
6.13 |
(0.18 ) |
(6.17 ) |
(6.35 ) |
| Year Ended June 30, 2022 |
77.14 |
0.23 |
(11.05 ) |
(10.82 ) |
(0.20 ) |
(12.48 ) |
(12.68 ) |
| Year Ended June 30, 2021 |
53.88 |
0.30 |
24.90 |
25.20 |
(0.31 ) |
(1.63 ) |
(1.94 ) |
| Year Ended June 30, 2020 |
58.51 |
0.40 |
(2.30 ) |
(1.90 ) |
(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 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
53.41 |
0.21 |
2.87 |
3.08 |
(0.56 ) |
(1.71 ) |
(2.27 ) |
| Year Ended June 30, 2023 |
53.63 |
0.48 |
5.68 |
6.16 |
(0.21 ) |
(6.17 ) |
(6.38 ) |
| Year Ended June 30, 2022 |
77.14 |
0.26 |
(11.05 ) |
(10.79 ) |
(0.24 ) |
(12.48 ) |
(12.72 ) |
| Year Ended June 30, 2021 |
53.87 |
0.34 |
24.90 |
25.24 |
(0.34 ) |
(1.63 ) |
(1.97 ) |
| Year Ended June 30, 2020 |
58.50 |
0.44 |
(2.30 ) |
(1.86 ) |
(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 ) |
| |
|
| (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 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%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $54.26 |
5.87 % |
$675,874 |
0.80 % |
0.72 % |
0.85 % |
8 % |
| 53.42 |
11.76 |
882,992 |
0.80 |
0.83 |
0.84 |
22 |
| 53.64 |
(16.87 ) |
778,819 |
0.80 |
0.34 |
0.84 |
16 |
| 77.14 |
47.29 |
1,309,013 |
0.79 |
0.44 |
0.84 |
29 |
| 53.88 |
(3.65 ) |
984,863 |
0.80 |
0.71 |
0.84 |
23 |
| 58.51 |
3.26 |
1,214,075 |
0.79 |
0.70 |
0.85 |
23 |
| |
|
|
|
|
|
|
| 54.22 |
5.88 |
2,082,337 |
0.74 |
0.79 |
0.75 |
8 |
| 53.41 |
11.83 |
2,036,447 |
0.74 |
0.88 |
0.74 |
22 |
| 53.63 |
(16.83 ) |
1,793,598 |
0.74 |
0.39 |
0.75 |
16 |
| 77.14 |
47.39 |
2,069,498 |
0.73 |
0.50 |
0.74 |
29 |
| 53.87 |
(3.60 ) |
1,625,610 |
0.74 |
0.78 |
0.74 |
23 |
| 58.50 |
3.33 |
1,425,704 |
0.73 |
0.76 |
0.75 |
23 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
89 |
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 Growth Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$15.75 |
$(0.05 ) |
$0.16 |
$0.11 |
$— |
$— |
$— |
| Year Ended June 30, 2023 |
13.92 |
(0.10 ) |
2.00 |
1.90 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
25.86 |
(0.20 ) |
(8.46 ) |
(8.66 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
18.70 |
(0.23 ) |
9.22 |
8.99 |
(0.01 ) |
(1.82 ) |
(1.83 ) |
| Year Ended June 30, 2020 |
17.00 |
(0.11 ) |
2.88 |
2.77 |
— |
(1.07 ) |
(1.07 ) |
| Year Ended June 30, 2019 |
18.45 |
(0.11 ) |
0.67 |
0.56 |
— |
(2.01 ) |
(2.01 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
9.08 |
(0.05 ) |
0.09 |
0.04 |
— |
— |
— |
| Year Ended June 30, 2023 |
8.09 |
(0.10 ) |
1.16 |
1.06 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
16.62 |
(0.18 ) |
(5.07 ) |
(5.25 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
12.53 |
(0.23 ) |
6.14 |
5.91 |
— |
(1.82 ) |
(1.82 ) |
| Year Ended June 30, 2020 |
11.78 |
(0.13 ) |
1.95 |
1.82 |
— |
(1.07 ) |
(1.07 ) |
| Year Ended June 30, 2019 |
13.55 |
(0.14 ) |
0.38 |
0.24 |
— |
(2.01 ) |
(2.01 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
18.46 |
(0.03 ) |
0.18 |
0.15 |
— |
— |
— |
| Year Ended June 30, 2023 |
16.26 |
(0.07 ) |
2.34 |
2.27 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
29.53 |
(0.16 ) |
(9.83 ) |
(9.99 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
21.14 |
(0.20 ) |
10.46 |
10.26 |
(0.05 ) |
(1.82 ) |
(1.87 ) |
| Year Ended June 30, 2020 |
19.05 |
(0.07 ) |
3.24 |
3.17 |
(0.01 ) |
(1.07 ) |
(1.08 ) |
| Year Ended June 30, 2019 |
20.35 |
(0.08 ) |
0.79 |
0.71 |
— |
(2.01 ) |
(2.01 ) |
| Class L |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.38 |
(0.02 ) |
0.19 |
0.17 |
— |
— |
— |
| Year Ended June 30, 2023 |
17.04 |
(0.05 ) |
2.46 |
2.41 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
30.73 |
(0.14 ) |
(10.27 ) |
(10.41 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
21.93 |
(0.16 ) |
10.85 |
10.69 |
(0.07 ) |
(1.82 ) |
(1.89 ) |
| Year Ended June 30, 2020 |
19.71 |
(0.04 ) |
3.36 |
3.32 |
(0.03 ) |
(1.07 ) |
(1.10 ) |
| Year Ended June 30, 2019 |
20.95 |
(0.05 ) |
0.82 |
0.77 |
— |
(2.01 ) |
(2.01 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
14.74 |
(0.06 ) |
0.14 |
0.08 |
— |
— |
— |
| Year Ended June 30, 2023 |
13.06 |
(0.13 ) |
1.88 |
1.75 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
24.55 |
(0.23 ) |
(7.98 ) |
(8.21 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
17.85 |
(0.27 ) |
8.79 |
8.52 |
— |
(1.82 ) |
(1.82 ) |
| Year Ended June 30, 2020 |
16.31 |
(0.14 ) |
2.75 |
2.61 |
— |
(1.07 ) |
(1.07 ) |
| Year Ended June 30, 2019 |
17.84 |
(0.15 ) |
0.63 |
0.48 |
— |
(2.01 ) |
(2.01 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.71 |
(0.05 ) |
0.15 |
0.10 |
— |
— |
— |
| Year Ended June 30, 2023 |
13.88 |
(0.10 ) |
2.00 |
1.90 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
25.79 |
(0.19 ) |
(8.44 ) |
(8.63 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
18.66 |
(0.23 ) |
9.21 |
8.98 |
(0.03 ) |
(1.82 ) |
(1.85 ) |
| Year Ended June 30, 2020 |
17.00 |
(0.11 ) |
2.87 |
2.76 |
(0.03 ) |
(1.07 ) |
(1.10 ) |
| Year Ended June 30, 2019 |
18.45 |
(0.10 ) |
0.66 |
0.56 |
— |
(2.01 ) |
(2.01 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 90 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $15.86 |
0.70 % |
$336,120 |
1.24 % |
(0.65 )% |
1.26 % |
15 % |
| 15.75 |
13.67 |
365,116 |
1.24 |
(0.67 ) |
1.26 |
33 |
| 13.92 |
(37.40 ) |
384,556 |
1.25 |
(0.95 ) |
1.26 |
35 |
| 25.86 |
48.64 |
760,153 |
1.23 |
(0.95 ) |
1.25 |
52 |
| 18.70 |
16.92 |
500,357 |
1.24 |
(0.63 ) |
1.27 |
51 |
| 17.00 |
5.08 |
400,127 |
1.24 |
(0.68 ) |
1.27 |
58 |
| |
|
|
|
|
|
|
| 9.12 |
0.44 |
30,383 |
1.74 |
(1.16 ) |
1.76 |
15 |
| 9.08 |
13.13 |
35,717 |
1.74 |
(1.17 ) |
1.76 |
33 |
| 8.09 |
(37.71 ) |
41,416 |
1.75 |
(1.45 ) |
1.76 |
35 |
| 16.62 |
47.95 |
90,880 |
1.73 |
(1.44 ) |
1.74 |
52 |
| 12.53 |
16.32 |
62,434 |
1.74 |
(1.13 ) |
1.77 |
51 |
| 11.78 |
4.51 |
58,288 |
1.74 |
(1.17 ) |
1.77 |
58 |
| |
|
|
|
|
|
|
| 18.61 |
0.81 |
501,678 |
0.99 |
(0.40 ) |
1.00 |
15 |
| 18.46 |
13.97 |
474,603 |
0.99 |
(0.41 ) |
1.01 |
33 |
| 16.26 |
(37.24 ) |
569,015 |
1.00 |
(0.69 ) |
1.01 |
35 |
| 29.53 |
49.03 |
1,013,916 |
0.98 |
(0.70 ) |
0.99 |
52 |
| 21.14 |
17.19 |
466,094 |
0.99 |
(0.37 ) |
1.01 |
51 |
| 19.05 |
5.36 |
289,094 |
0.99 |
(0.43 ) |
1.02 |
58 |
| |
|
|
|
|
|
|
| 19.55 |
0.88 |
531,120 |
0.84 |
(0.25 ) |
0.85 |
15 |
| 19.38 |
14.16 |
625,672 |
0.84 |
(0.27 ) |
0.85 |
33 |
| 17.04 |
(37.15 ) |
496,522 |
0.85 |
(0.55 ) |
0.86 |
35 |
| 30.73 |
49.21 |
1,096,814 |
0.84 |
(0.55 ) |
0.84 |
52 |
| 21.93 |
17.40 |
735,649 |
0.84 |
(0.23 ) |
0.86 |
51 |
| 19.71 |
5.51 |
568,539 |
0.84 |
(0.27 ) |
0.86 |
58 |
| |
|
|
|
|
|
|
| 14.82 |
0.54 |
15,823 |
1.49 |
(0.90 ) |
1.53 |
15 |
| 14.74 |
13.42 |
16,702 |
1.49 |
(0.92 ) |
1.53 |
33 |
| 13.06 |
(37.58 ) |
16,716 |
1.50 |
(1.20 ) |
1.52 |
35 |
| 24.55 |
48.29 |
31,503 |
1.49 |
(1.19 ) |
1.51 |
52 |
| 17.85 |
16.64 |
24,496 |
1.49 |
(0.88 ) |
1.52 |
51 |
| 16.31 |
4.79 |
26,011 |
1.49 |
(0.94 ) |
1.52 |
58 |
| |
|
|
|
|
|
|
| 15.81 |
0.64 |
4,707 |
1.24 |
(0.65 ) |
1.28 |
15 |
| 15.71 |
13.70 |
5,799 |
1.24 |
(0.66 ) |
1.29 |
33 |
| 13.88 |
(37.38 ) |
5,134 |
1.25 |
(0.95 ) |
1.28 |
35 |
| 25.79 |
48.67 |
9,313 |
1.24 |
(0.95 ) |
1.27 |
52 |
| 18.66 |
16.86 |
5,217 |
1.24 |
(0.63 ) |
1.29 |
51 |
| 17.00 |
5.08 |
1,072 |
1.24 |
(0.63 ) |
1.37 |
58 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
91 |
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 (continued)
|
|
|
|
|
|
|
|
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$15.99 |
$(0.03 ) |
$0.16 |
$0.13 |
$— |
$— |
$— |
| Year Ended June 30, 2023 |
14.10 |
(0.06 ) |
2.02 |
1.96 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
26.08 |
(0.14 ) |
(8.56 ) |
(8.70 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
18.83 |
(0.17 ) |
9.29 |
9.12 |
(0.05 ) |
(1.82 ) |
(1.87 ) |
| Year Ended June 30, 2020 |
17.09 |
(0.06 ) |
2.90 |
2.84 |
(0.03 ) |
(1.07 ) |
(1.10 ) |
| Year Ended June 30, 2019 |
18.50 |
(0.07 ) |
0.67 |
0.60 |
— |
(2.01 ) |
(2.01 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.40 |
(0.02 ) |
0.19 |
0.17 |
— |
— |
— |
| Year Ended June 30, 2023 |
17.06 |
(0.05 ) |
2.46 |
2.41 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
30.76 |
(0.14 ) |
(10.28 ) |
(10.42 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
21.95 |
(0.16 ) |
10.86 |
10.70 |
(0.07 ) |
(1.82 ) |
(1.89 ) |
| Year Ended June 30, 2020 |
19.72 |
(0.04 ) |
3.36 |
3.32 |
(0.02 ) |
(1.07 ) |
(1.09 ) |
| Year Ended June 30, 2019 |
20.96 |
(0.07 ) |
0.84 |
0.77 |
— |
(2.01 ) |
(2.01 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.73 |
(0.01 ) |
0.20 |
0.19 |
— |
— |
— |
| Year Ended June 30, 2023 |
17.34 |
(0.03 ) |
2.49 |
2.46 |
— |
(0.07 ) |
(0.07 ) |
| Year Ended June 30, 2022 |
31.17 |
(0.11 ) |
(10.44 ) |
(10.55 ) |
— |
(3.28 ) |
(3.28 ) |
| Year Ended June 30, 2021 |
22.21 |
(0.13 ) |
10.99 |
10.86 |
(0.08 ) |
(1.82 ) |
(1.90 ) |
| Year Ended June 30, 2020 |
19.95 |
(0.02 ) |
3.40 |
3.38 |
(0.05 ) |
(1.07 ) |
(1.12 ) |
| Year Ended June 30, 2019 |
21.16 |
(0.03 ) |
0.83 |
0.80 |
— |
(2.01 ) |
(2.01 ) |
| |
|
| (a) |
Annualized for periods less than one year, unless otherwise noted. |
| (b) |
Calculated based upon average shares outstanding. |
| (c) |
Not annualized for periods less than one year. |
| (d) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial
reporting purposes and the returns based upon those net asset values may differ from
the net asset values and returns for shareholder transactions. |
| (e) |
Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 92 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $16.12 |
0.81 % |
$4,529 |
0.99 % |
(0.41 )% |
1.01 % |
15 % |
| 15.99 |
13.92 |
4,955 |
0.99 |
(0.42 ) |
1.01 |
33 |
| 14.10 |
(37.22 ) |
5,073 |
1.00 |
(0.68 ) |
1.01 |
35 |
| 26.08 |
49.01 |
5,878 |
0.98 |
(0.69 ) |
0.99 |
52 |
| 18.83 |
17.25 |
2,821 |
0.99 |
(0.38 ) |
1.04 |
51 |
| 17.09 |
5.30 |
1,336 |
0.99 |
(0.39 ) |
1.01 |
58 |
| |
|
|
|
|
|
|
| 19.57 |
0.88 |
14,489 |
0.84 |
(0.25 ) |
0.86 |
15 |
| 19.40 |
14.14 |
18,939 |
0.84 |
(0.27 ) |
0.86 |
33 |
| 17.06 |
(37.15 ) |
20,537 |
0.84 |
(0.55 ) |
0.86 |
35 |
| 30.76 |
49.22 |
40,613 |
0.84 |
(0.55 ) |
0.85 |
52 |
| 21.95 |
17.37 |
22,261 |
0.84 |
(0.23 ) |
0.86 |
51 |
| 19.72 |
5.50 |
13,817 |
0.84 |
(0.34 ) |
0.86 |
58 |
| |
|
|
|
|
|
|
| 19.92 |
0.96 |
2,337,484 |
0.74 |
(0.15 ) |
0.75 |
15 |
| 19.73 |
14.20 |
2,460,861 |
0.74 |
(0.17 ) |
0.76 |
33 |
| 17.34 |
(37.07 ) |
2,380,212 |
0.74 |
(0.44 ) |
0.76 |
35 |
| 31.17 |
49.40 |
3,794,115 |
0.74 |
(0.45 ) |
0.74 |
52 |
| 22.21 |
17.49 |
2,140,824 |
0.74 |
(0.12 ) |
0.76 |
51 |
| 19.95 |
5.60 |
1,518,382 |
0.74 |
(0.16 ) |
0.76 |
58 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
93 |
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 Sustainable Leaders Fund
|
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$36.29 |
$— |
$1.95 |
$1.95 |
$(0.08 ) |
$— |
$(0.08 ) |
| Year Ended June 30, 2023 |
33.25 |
(0.02 ) |
3.06 |
3.04 |
— |
— |
— |
| Year Ended June 30, 2022 |
69.13 |
(0.16 ) |
(15.83 ) |
(15.99 ) |
— |
(19.89 ) |
(19.89 ) |
| Year Ended June 30, 2021 |
42.12 |
(0.01 ) |
27.38 |
27.37 |
(0.36 ) |
— |
(0.36 ) |
| Year Ended June 30, 2020 |
49.98 |
0.15 |
(6.00 ) |
(5.85 ) |
(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 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.02 |
(0.08 ) |
1.87 |
1.79 |
— |
— |
— |
| Year Ended June 30, 2023 |
32.24 |
(0.19 ) |
2.97 |
2.78 |
— |
— |
— |
| Year Ended June 30, 2022 |
67.97 |
(0.41 ) |
(15.43 ) |
(15.84 ) |
— |
(19.89 ) |
(19.89 ) |
| Year Ended June 30, 2021 |
41.41 |
(0.28 ) |
26.91 |
26.63 |
(0.07 ) |
— |
(0.07 ) |
| Year Ended June 30, 2020 |
49.27 |
(0.07 ) |
(5.93 ) |
(6.00 ) |
— |
(1.86 ) |
(1.86 ) |
| Year Ended June 30, 2019 |
56.67 |
(0.15 ) |
(3.50 ) |
(3.65 ) |
— |
(3.75 ) |
(3.75 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
36.81 |
0.04 |
1.98 |
2.02 |
(0.11 ) |
— |
(0.11 ) |
| Year Ended June 30, 2023 |
33.66 |
0.07 |
3.10 |
3.17 |
(0.02 ) |
— |
(0.02 ) |
| Year Ended June 30, 2022 |
69.56 |
(0.05 ) |
(15.96 ) |
(16.01 ) |
— |
(19.89 ) |
(19.89 ) |
| Year Ended June 30, 2021 |
42.35 |
0.10 |
27.58 |
27.68 |
(0.47 ) |
— |
(0.47 ) |
| Year Ended June 30, 2020 |
50.25 |
0.28 |
(6.03 ) |
(5.75 ) |
(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 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.98 |
(0.04 ) |
1.93 |
1.89 |
— |
— |
— |
| Year Ended June 30, 2023 |
33.05 |
(0.11 ) |
3.04 |
2.93 |
— |
— |
— |
| Year Ended June 30, 2022 |
68.98 |
(0.29 ) |
(15.75 ) |
(16.04 ) |
— |
(19.89 ) |
(19.89 ) |
| Year Ended June 30, 2021 |
42.07 |
(0.16 ) |
27.35 |
27.19 |
(0.28 ) |
— |
(0.28 ) |
| Year Ended June 30, 2020 |
50.01 |
0.05 |
(6.02 ) |
(5.97 ) |
(0.11 ) |
(1.86 ) |
(1.97 ) |
| Year Ended June 30, 2019 |
57.32 |
0.04 |
(3.60 ) |
(3.56 ) |
— |
(3.75 ) |
(3.75 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
36.46 |
(0.01 ) |
1.97 |
1.96 |
— |
— |
— |
| Year Ended June 30, 2023 |
33.40 |
(0.03 ) |
3.09 |
3.06 |
— |
— |
— |
| Year Ended June 30, 2022 |
69.34 |
(0.17 ) |
(15.88 ) |
(16.05 ) |
— |
(19.89 ) |
(19.89 ) |
| Year Ended June 30, 2021 |
42.23 |
— (f) |
27.45 |
27.45 |
(0.34 ) |
— |
(0.34 ) |
| Year Ended June 30, 2020 |
50.18 |
0.16 |
(6.02 ) |
(5.86 ) |
(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 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
36.85 |
0.04 |
1.99 |
2.03 |
(0.15 ) |
— |
(0.15 ) |
| Year Ended June 30, 2023 |
33.68 |
0.08 |
3.09 |
3.17 |
— |
— |
— |
| Year Ended June 30, 2022 |
69.59 |
(0.06 ) |
(15.96 ) |
(16.02 ) |
— |
(19.89 ) |
(19.89 ) |
| Year Ended June 30, 2021 |
42.37 |
0.14 |
27.55 |
27.69 |
(0.47 ) |
— |
(0.47 ) |
| Year Ended June 30, 2020 |
50.28 |
0.28 |
(6.03 ) |
(5.75 ) |
(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 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 94 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $38.16 |
5.38 % |
$3,071 |
1.14 % |
0.01 % |
1.79 % |
6 % |
| 36.29 |
9.14 |
3,122 |
1.14 |
(0.06 ) |
1.54 |
8 |
| 33.25 |
(29.87 ) |
4,789 |
1.14 |
(0.32 ) |
1.41 |
140 |
| 69.13 |
65.16 |
7,279 |
1.23 |
0.03 |
1.32 |
83 |
| 42.12 |
(12.40 ) |
4,127 |
1.24 |
0.33 |
1.38 |
102 |
| 49.98 |
(5.48 ) |
5,896 |
1.23 |
0.21 |
1.36 |
74 |
| |
|
|
|
|
|
|
| 36.81 |
5.11 |
749 |
1.64 |
(0.50 ) |
2.31 |
6 |
| 35.02 |
8.62 |
812 |
1.64 |
(0.54 ) |
2.05 |
8 |
| 32.24 |
(30.22 ) |
986 |
1.65 |
(0.84 ) |
1.91 |
140 |
| 67.97 |
64.35 |
1,944 |
1.73 |
(0.50 ) |
1.81 |
83 |
| 41.41 |
(12.84 ) |
1,690 |
1.74 |
(0.16 ) |
1.82 |
102 |
| 49.27 |
(5.97 ) |
2,307 |
1.73 |
(0.30 ) |
1.86 |
74 |
| |
|
|
|
|
|
|
| 38.72 |
5.50 |
4,964 |
0.89 |
0.21 |
1.46 |
6 |
| 36.81 |
9.41 |
8,239 |
0.89 |
0.19 |
1.25 |
8 |
| 33.66 |
(29.68 ) |
12,913 |
0.89 |
(0.10 ) |
1.11 |
140 |
| 69.56 |
65.58 |
34,171 |
0.99 |
0.17 |
1.03 |
83 |
| 42.35 |
(12.18 ) |
13,264 |
0.99 |
0.61 |
1.06 |
102 |
| 50.25 |
(5.24 ) |
13,211 |
0.98 |
0.45 |
1.09 |
74 |
| |
|
|
|
|
|
|
| 37.87 |
5.25 |
137 |
1.39 |
(0.24 ) |
2.32 |
6 |
| 35.98 |
8.87 |
159 |
1.39 |
(0.31 ) |
1.92 |
8 |
| 33.05 |
(30.03 ) |
277 |
1.39 |
(0.58 ) |
1.72 |
140 |
| 68.98 |
64.76 |
481 |
1.48 |
(0.28 ) |
1.68 |
83 |
| 42.07 |
(12.62 ) |
180 |
1.49 |
0.11 |
1.69 |
102 |
| 50.01 |
(5.73 ) |
166 |
1.48 |
0.08 |
2.08 |
74 |
| |
|
|
|
|
|
|
| 38.42 |
5.38 |
716 |
1.14 |
(0.04 ) |
1.72 |
6 |
| 36.46 |
9.16 |
1,042 |
1.14 |
(0.09 ) |
1.48 |
8 |
| 33.40 |
(29.86 ) |
2,711 |
1.14 |
(0.34 ) |
1.36 |
140 |
| 69.34 |
65.16 |
5,418 |
1.23 |
(0.01 ) |
1.28 |
83 |
| 42.23 |
(12.40 ) |
3,692 |
1.24 |
0.36 |
1.30 |
102 |
| 50.18 |
(5.51 ) |
3,768 |
1.23 |
0.53 |
1.59 |
74 |
| |
|
|
|
|
|
|
| 38.73 |
5.51 |
452 |
0.89 |
0.24 |
1.50 |
6 |
| 36.85 |
9.41 |
654 |
0.89 |
0.21 |
1.26 |
8 |
| 33.68 |
(29.68 ) |
735 |
0.89 |
(0.11 ) |
1.11 |
140 |
| 69.59 |
65.58 |
2,557 |
0.99 |
0.25 |
1.04 |
83 |
| 42.37 |
(12.17 ) |
2,125 |
0.99 |
0.61 |
1.06 |
102 |
| 50.28 |
(5.26 ) |
1,941 |
0.98 |
0.45 |
1.10 |
74 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
95 |
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 Sustainable Leaders Fund
(continued)
|
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$37.12 |
$0.07 |
$2.01 |
$2.08 |
$(0.23 ) |
$— |
$(0.23 ) |
| Year Ended June 30, 2023 |
33.94 |
0.13 |
3.13 |
3.26 |
(0.08 ) |
— |
(0.08 ) |
| Year Ended June 30, 2022 |
69.85 |
0.03 |
(16.05 ) |
(16.02 ) |
— |
(19.89 ) |
(19.89 ) |
| Year Ended June 30, 2021 |
42.51 |
0.25 |
27.65 |
27.90 |
(0.56 ) |
— |
(0.56 ) |
| Year Ended June 30, 2020 |
50.42 |
0.36 |
(6.04 ) |
(5.68 ) |
(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 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
37.05 |
0.08 |
2.01 |
2.09 |
(0.26 ) |
— |
(0.26 ) |
| Year Ended June 30, 2023 |
33.89 |
0.14 |
3.13 |
3.27 |
(0.11 ) |
— |
(0.11 ) |
| Year Ended June 30, 2022 |
69.75 |
0.07 |
(16.04 ) |
(15.97 ) |
— |
(19.89 ) |
(19.89 ) |
| Year Ended June 30, 2021 |
42.45 |
0.28 |
27.61 |
27.89 |
(0.59 ) |
— |
(0.59 ) |
| Year Ended June 30, 2020 |
50.34 |
0.39 |
(6.02 ) |
(5.63 ) |
(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 ) |
| |
|
| (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 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.
| 96 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $38.97 |
5.62 % |
$16,245 |
0.70 % |
0.41 % |
1.33 % |
6 % |
| 37.12 |
9.62 |
22,045 |
0.70 |
0.36 |
1.09 |
8 |
| 33.94 |
(29.55 ) |
46,112 |
0.70 |
0.07 |
0.96 |
140 |
| 69.85 |
65.89 |
165,829 |
0.80 |
0.44 |
0.89 |
83 |
| 42.51 |
(12.02 ) |
148,185 |
0.80 |
0.78 |
0.90 |
102 |
| 50.42 |
(5.07 ) |
215,630 |
0.79 |
0.63 |
0.93 |
74 |
| |
|
|
|
|
|
|
| 38.88 |
5.65 |
12,434 |
0.65 |
0.44 |
1.22 |
6 |
| 37.05 |
9.67 |
19,535 |
0.65 |
0.38 |
0.98 |
8 |
| 33.89 |
(29.52 ) |
66,087 |
0.65 |
0.14 |
0.86 |
140 |
| 69.75 |
65.98 |
148,507 |
0.74 |
0.49 |
0.78 |
83 |
| 42.45 |
(11.95 ) |
176,598 |
0.74 |
0.84 |
0.80 |
102 |
| 50.34 |
(5.02 ) |
206,625 |
0.73 |
0.75 |
0.83 |
74 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
97 |
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 Value Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$22.44 |
$0.09 |
$2.10 |
$2.19 |
$(0.26 ) |
$(0.04 ) |
$(0.30 ) |
| Year Ended June 30, 2023 |
22.93 |
0.21 |
1.58 |
1.79 |
(0.25 ) |
(2.03 ) |
(2.28 ) |
| Year Ended June 30, 2022 |
32.06 |
0.12 |
(4.25 ) |
(4.13 ) |
(0.13 ) |
(4.87 ) |
(5.00 ) |
| Year Ended June 30, 2021 |
18.48 |
0.12 |
13.59 |
13.71 |
(0.13 ) |
— |
(0.13 ) |
| Year Ended June 30, 2020 |
23.65 |
0.16 |
(3.82 ) |
(3.66 ) |
(0.18 ) |
(1.33 ) |
(1.51 ) |
| Year Ended June 30, 2019 |
30.42 |
0.21 |
(3.28 ) |
(3.07 ) |
(0.24 ) |
(3.46 ) |
(3.70 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.99 |
0.02 |
1.49 |
1.51 |
(0.23 ) |
(0.04 ) |
(0.27 ) |
| Year Ended June 30, 2023 |
16.97 |
0.07 |
1.17 |
1.24 |
(0.19 ) |
(2.03 ) |
(2.22 ) |
| Year Ended June 30, 2022 |
25.08 |
(0.02 ) |
(3.14 ) |
(3.16 ) |
(0.08 ) |
(4.87 ) |
(4.95 ) |
| Year Ended June 30, 2021 |
14.52 |
0.01 |
10.64 |
10.65 |
(0.09 ) |
— |
(0.09 ) |
| Year Ended June 30, 2020 |
18.90 |
0.04 |
(2.97 ) |
(2.93 ) |
(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 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
24.73 |
0.12 |
2.34 |
2.46 |
(0.29 ) |
(0.04 ) |
(0.33 ) |
| Year Ended June 30, 2023 |
25.05 |
0.30 |
1.71 |
2.01 |
(0.30 ) |
(2.03 ) |
(2.33 ) |
| Year Ended June 30, 2022 |
34.53 |
0.23 |
(4.65 ) |
(4.42 ) |
(0.19 ) |
(4.87 ) |
(5.06 ) |
| Year Ended June 30, 2021 |
19.88 |
0.21 |
14.62 |
14.83 |
(0.18 ) |
— |
(0.18 ) |
| Year Ended June 30, 2020 |
25.32 |
0.23 |
(4.11 ) |
(3.88 ) |
(0.23 ) |
(1.33 ) |
(1.56 ) |
| Year Ended June 30, 2019 |
32.25 |
0.31 |
(3.48 ) |
(3.17 ) |
(0.30 ) |
(3.46 ) |
(3.76 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
22.02 |
0.05 |
2.07 |
2.12 |
(0.23 ) |
(0.04 ) |
(0.27 ) |
| Year Ended June 30, 2023 |
22.54 |
0.15 |
1.55 |
1.70 |
(0.19 ) |
(2.03 ) |
(2.22 ) |
| Year Ended June 30, 2022 |
31.62 |
0.05 |
(4.17 ) |
(4.12 ) |
(0.09 ) |
(4.87 ) |
(4.96 ) |
| Year Ended June 30, 2021 |
18.25 |
0.06 |
13.41 |
13.47 |
(0.10 ) |
— |
(0.10 ) |
| Year Ended June 30, 2020 |
23.37 |
0.11 |
(3.77 ) |
(3.66 ) |
(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 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
22.38 |
0.08 |
2.10 |
2.18 |
(0.25 ) |
(0.04 ) |
(0.29 ) |
| Year Ended June 30, 2023 |
22.88 |
0.21 |
1.57 |
1.78 |
(0.25 ) |
(2.03 ) |
(2.28 ) |
| Year Ended June 30, 2022 |
32.00 |
0.13 |
(4.24 ) |
(4.11 ) |
(0.14 ) |
(4.87 ) |
(5.01 ) |
| Year Ended June 30, 2021 |
18.45 |
0.13 |
13.56 |
13.69 |
(0.14 ) |
— |
(0.14 ) |
| Year Ended June 30, 2020 |
23.61 |
0.16 |
(3.81 ) |
(3.65 ) |
(0.18 ) |
(1.33 ) |
(1.51 ) |
| Year Ended June 30, 2019 |
30.38 |
0.23 |
(3.29 ) |
(3.06 ) |
(0.25 ) |
(3.46 ) |
(3.71 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
24.73 |
0.12 |
2.32 |
2.44 |
(0.28 ) |
(0.04 ) |
(0.32 ) |
| Year Ended June 30, 2023 |
25.05 |
0.29 |
1.72 |
2.01 |
(0.30 ) |
(2.03 ) |
(2.33 ) |
| Year Ended June 30, 2022 |
34.52 |
0.22 |
(4.63 ) |
(4.41 ) |
(0.19 ) |
(4.87 ) |
(5.06 ) |
| Year Ended June 30, 2021 |
19.88 |
0.22 |
14.61 |
14.83 |
(0.19 ) |
— |
(0.19 ) |
| Year Ended June 30, 2020 |
25.28 |
0.19 |
(4.06 ) |
(3.87 ) |
(0.20 ) |
(1.33 ) |
(1.53 ) |
| Year Ended June 30, 2019 |
32.21 |
0.30 |
(3.47 ) |
(3.17 ) |
(0.30 ) |
(3.46 ) |
(3.76 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 98 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $24.33 |
9.85 % |
$137,561 |
1.19 % |
0.78 % |
1.28 % |
25 % |
| 22.44 |
7.77 |
133,755 |
1.22 |
0.91 |
1.28 |
79 |
| 22.93 |
(15.16 ) |
149,658 |
1.27 |
0.41 |
1.27 |
56 |
| 32.06 |
74.48 |
200,857 |
1.26 |
0.48 |
1.26 |
78 |
| 18.48 |
(16.78 ) |
123,496 |
1.25 |
0.74 |
1.27 |
42 |
| 23.65 |
(9.73 ) |
193,505 |
1.24 |
0.80 |
1.26 |
60 |
| |
|
|
|
|
|
|
| 17.23 |
9.58 |
4,079 |
1.69 |
0.25 |
1.79 |
25 |
| 15.99 |
7.24 |
4,518 |
1.71 |
0.41 |
1.78 |
79 |
| 16.97 |
(15.55 ) |
5,633 |
1.74 |
(0.07 ) |
1.78 |
56 |
| 25.08 |
73.59 |
8,518 |
1.73 |
0.04 |
1.78 |
78 |
| 14.52 |
(17.14 ) |
9,340 |
1.74 |
0.23 |
1.78 |
42 |
| 18.90 |
(10.18 ) |
18,088 |
1.74 |
0.33 |
1.77 |
60 |
| |
|
|
|
|
|
|
| 26.86 |
10.02 |
189,659 |
0.94 |
1.01 |
1.01 |
25 |
| 24.73 |
8.03 |
200,551 |
0.96 |
1.17 |
1.01 |
79 |
| 25.05 |
(14.92 ) |
233,127 |
0.99 |
0.74 |
1.01 |
56 |
| 34.53 |
74.94 |
232,544 |
0.99 |
0.76 |
1.01 |
78 |
| 19.88 |
(16.55 ) |
131,992 |
0.99 |
0.98 |
1.01 |
42 |
| 25.32 |
(9.49 ) |
287,014 |
0.99 |
1.10 |
1.01 |
60 |
| |
|
|
|
|
|
|
| 23.87 |
9.69 |
25,162 |
1.49 |
0.47 |
1.59 |
25 |
| 22.02 |
7.49 |
25,900 |
1.49 |
0.65 |
1.59 |
79 |
| 22.54 |
(15.36 ) |
24,815 |
1.49 |
0.19 |
1.57 |
56 |
| 31.62 |
74.05 |
34,800 |
1.48 |
0.26 |
1.58 |
78 |
| 18.25 |
(16.96 ) |
25,034 |
1.49 |
0.51 |
1.57 |
42 |
| 23.37 |
(9.94 ) |
36,276 |
1.49 |
0.60 |
1.58 |
60 |
| |
|
|
|
|
|
|
| 24.27 |
9.86 |
17,418 |
1.24 |
0.74 |
1.29 |
25 |
| 22.38 |
7.73 |
16,360 |
1.24 |
0.90 |
1.29 |
79 |
| 22.88 |
(15.14 ) |
14,635 |
1.24 |
0.45 |
1.28 |
56 |
| 32.00 |
74.49 |
17,272 |
1.23 |
0.50 |
1.28 |
78 |
| 18.45 |
(16.77 ) |
10,384 |
1.24 |
0.76 |
1.29 |
42 |
| 23.61 |
(9.72 ) |
14,854 |
1.24 |
0.89 |
1.28 |
60 |
| |
|
|
|
|
|
|
| 26.85 |
9.96 |
24,301 |
0.99 |
0.98 |
1.01 |
25 |
| 24.73 |
8.00 |
23,193 |
0.99 |
1.15 |
1.01 |
79 |
| 25.05 |
(14.90 ) |
22,156 |
0.99 |
0.70 |
1.01 |
56 |
| 34.52 |
74.92 |
28,524 |
0.98 |
0.69 |
1.00 |
78 |
| 19.88 |
(16.52 ) |
464 |
0.99 |
0.92 |
1.16 |
42 |
| 25.28 |
(9.51 ) |
436 |
0.99 |
1.10 |
1.04 |
60 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
99 |
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 (continued) |
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$24.77 |
$0.14 |
$2.34 |
$2.48 |
$(0.30 ) |
$(0.04 ) |
$(0.34 ) |
| Year Ended June 30, 2023 |
25.09 |
0.35 |
1.70 |
2.05 |
(0.34 ) |
(2.03 ) |
(2.37 ) |
| Year Ended June 30, 2022 |
34.56 |
0.25 |
(4.63 ) |
(4.38 ) |
(0.22 ) |
(4.87 ) |
(5.09 ) |
| Year Ended June 30, 2021 |
19.89 |
0.24 |
14.64 |
14.88 |
(0.21 ) |
— |
(0.21 ) |
| Year Ended June 30, 2020 |
25.34 |
0.26 |
(4.11 ) |
(3.85 ) |
(0.27 ) |
(1.33 ) |
(1.60 ) |
| Year Ended June 30, 2019 |
32.26 |
0.34 |
(3.47 ) |
(3.13 ) |
(0.33 ) |
(3.46 ) |
(3.79 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
24.83 |
0.15 |
2.33 |
2.48 |
(0.31 ) |
(0.04 ) |
(0.35 ) |
| Year Ended June 30, 2023 |
25.14 |
0.36 |
1.72 |
2.08 |
(0.36 ) |
(2.03 ) |
(2.39 ) |
| Year Ended June 30, 2022 |
34.62 |
0.29 |
(4.66 ) |
(4.37 ) |
(0.24 ) |
(4.87 ) |
(5.11 ) |
| Year Ended June 30, 2021 |
19.92 |
0.27 |
14.66 |
14.93 |
(0.23 ) |
— |
(0.23 ) |
| Year Ended June 30, 2020 |
25.38 |
0.29 |
(4.13 ) |
(3.84 ) |
(0.29 ) |
(1.33 ) |
(1.62 ) |
| Year Ended June 30, 2019 |
32.30 |
0.38 |
(3.49 ) |
(3.11 ) |
(0.35 ) |
(3.46 ) |
(3.81 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 100 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $26.91 |
10.11 % |
$121,747 |
0.84 % |
1.15 % |
0.86 % |
25 % |
| 24.77 |
8.16 |
107,200 |
0.84 |
1.40 |
0.86 |
79 |
| 25.09 |
(14.80 ) |
42,404 |
0.86 |
0.81 |
0.86 |
56 |
| 34.56 |
75.16 |
58,262 |
0.86 |
0.87 |
0.86 |
78 |
| 19.89 |
(16.44 ) |
30,637 |
0.85 |
1.11 |
0.87 |
42 |
| 25.34 |
(9.35 ) |
69,857 |
0.84 |
1.21 |
0.86 |
60 |
| |
|
|
|
|
|
|
| 26.96 |
10.10 |
939,105 |
0.74 |
1.24 |
0.76 |
25 |
| 24.83 |
8.28 |
875,055 |
0.74 |
1.39 |
0.76 |
79 |
| 25.14 |
(14.73 ) |
798,822 |
0.76 |
0.94 |
0.76 |
56 |
| 34.62 |
75.36 |
929,661 |
0.76 |
0.98 |
0.76 |
78 |
| 19.92 |
(16.37 ) |
624,226 |
0.75 |
1.24 |
0.76 |
42 |
| 25.38 |
(9.25 ) |
933,252 |
0.74 |
1.36 |
0.76 |
60 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
101 |
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 SMID Cap Equity Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$14.45 |
$0.03 |
$0.63 |
$0.66 |
$(0.05 ) |
$— |
$(0.05 ) |
| Year Ended June 30, 2023 |
14.91 |
0.03 |
1.31 |
1.34 |
— |
(1.80 ) |
(1.80 ) |
| Year Ended June 30, 2022 |
21.12 |
(0.04 ) |
(1.97 ) |
(2.01 ) |
— |
(4.20 ) |
(4.20 ) |
| Year Ended June 30, 2021 |
15.52 |
0.01 |
6.32 |
6.33 |
(0.10 ) |
(0.63 ) |
(0.73 ) |
| Year Ended June 30, 2020 |
18.24 |
0.11 |
(0.71 ) |
(0.60 ) |
(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 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
9.69 |
(0.01 ) |
0.43 |
0.42 |
(0.01 ) |
— |
(0.01 ) |
| Year Ended June 30, 2023 |
10.61 |
(0.03 ) |
0.91 |
0.88 |
— |
(1.80 ) |
(1.80 ) |
| Year Ended June 30, 2022 |
16.25 |
(0.10 ) |
(1.34 ) |
(1.44 ) |
— |
(4.20 ) |
(4.20 ) |
| Year Ended June 30, 2021 |
12.08 |
(0.06 ) |
4.89 |
4.83 |
(0.03 ) |
(0.63 ) |
(0.66 ) |
| Year Ended June 30, 2020 |
14.64 |
0.01 |
(0.52 ) |
(0.51 ) |
(0.02 ) |
(2.03 ) |
(2.05 ) |
| Year Ended June 30, 2019 |
19.23 |
— (f) |
(0.30 ) |
(0.30 ) |
(0.03 ) |
(4.26 ) |
(4.29 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.13 |
0.05 |
0.70 |
0.75 |
(0.08 ) |
— |
(0.08 ) |
| Year Ended June 30, 2023 |
16.43 |
0.07 |
1.46 |
1.53 |
(0.03 ) |
(1.80 ) |
(1.83 ) |
| Year Ended June 30, 2022 |
22.81 |
0.01 |
(2.19 ) |
(2.18 ) |
— |
(4.20 ) |
(4.20 ) |
| Year Ended June 30, 2021 |
16.71 |
0.06 |
6.82 |
6.88 |
(0.15 ) |
(0.63 ) |
(0.78 ) |
| Year Ended June 30, 2020 |
19.48 |
0.16 |
(0.78 ) |
(0.62 ) |
(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 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
14.41 |
0.03 |
0.63 |
0.66 |
(0.03 ) |
— |
(0.03 ) |
| Year Ended June 30, 2023 |
14.88 |
0.03 |
1.30 |
1.33 |
— |
(1.80 ) |
(1.80 ) |
| Year Ended June 30, 2022 |
21.08 |
(0.04 ) |
(1.96 ) |
(2.00 ) |
— |
(4.20 ) |
(4.20 ) |
| Year Ended June 30, 2021 |
15.41 |
0.03 |
6.27 |
6.30 |
— |
(0.63 ) |
(0.63 ) |
| Year Ended June 30, 2020 |
18.12 |
0.11 |
(0.70 ) |
(0.59 ) |
(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 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.04 |
0.05 |
0.70 |
0.75 |
(0.09 ) |
— |
(0.09 ) |
| Year Ended June 30, 2023 |
16.33 |
0.07 |
1.46 |
1.53 |
(0.02 ) |
(1.80 ) |
(1.82 ) |
| Year Ended June 30, 2022 |
22.70 |
— |
(2.17 ) |
(2.17 ) |
— |
(4.20 ) |
(4.20 ) |
| Year Ended June 30, 2021 |
16.64 |
0.05 |
6.79 |
6.84 |
(0.15 ) |
(0.63 ) |
(0.78 ) |
| Year Ended June 30, 2020 |
19.41 |
0.15 |
(0.76 ) |
(0.61 ) |
(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 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 102 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $15.06 |
4.60 % |
$130,931 |
1.09 % |
0.36 % |
1.23 % |
13 % |
| 14.45 |
9.53 |
132,676 |
1.10 |
0.19 |
1.23 |
32 |
| 14.91 |
(13.00 ) |
135,382 |
1.14 |
(0.22 ) |
1.21 |
24 |
| 21.12 |
41.59 |
171,962 |
1.11 |
0.06 |
1.20 |
122 |
| 15.52 |
(4.62 ) |
154,019 |
1.14 |
0.62 |
1.22 |
92 |
| 18.24 |
0.81 |
204,131 |
1.14 |
0.49 |
1.31 |
82 |
| |
|
|
|
|
|
|
| 10.10 |
4.29 |
9,867 |
1.59 |
(0.16 ) |
1.72 |
13 |
| 9.69 |
9.02 |
12,464 |
1.61 |
(0.32 ) |
1.72 |
32 |
| 10.61 |
(13.45 ) |
16,342 |
1.64 |
(0.72 ) |
1.71 |
24 |
| 16.25 |
40.87 |
22,348 |
1.60 |
(0.42 ) |
1.69 |
122 |
| 12.08 |
(5.06 ) |
27,417 |
1.64 |
0.10 |
1.73 |
92 |
| 14.64 |
0.24 |
42,429 |
1.64 |
— (g) |
1.79 |
82 |
| |
|
|
|
|
|
|
| 16.80 |
4.68 |
98,780 |
0.84 |
0.60 |
0.97 |
13 |
| 16.13 |
9.83 |
106,068 |
0.86 |
0.44 |
0.97 |
32 |
| 16.43 |
(12.76 ) |
120,273 |
0.89 |
0.03 |
0.95 |
24 |
| 22.81 |
41.95 |
148,567 |
0.86 |
0.29 |
0.94 |
122 |
| 16.71 |
(4.40 ) |
119,926 |
0.89 |
0.85 |
0.96 |
92 |
| 19.48 |
1.05 |
188,694 |
0.89 |
0.75 |
1.04 |
82 |
| |
|
|
|
|
|
|
| 15.04 |
4.58 |
890 |
1.09 |
0.41 |
1.24 |
13 |
| 14.41 |
9.49 |
1,369 |
1.11 |
0.19 |
1.21 |
32 |
| 14.88 |
(12.98 ) |
1,489 |
1.14 |
(0.23 ) |
1.20 |
24 |
| 21.08 |
41.57 |
2,223 |
1.08 |
0.20 |
1.18 |
122 |
| 15.41 |
(4.58 ) |
12,615 |
1.14 |
0.63 |
1.20 |
92 |
| 18.12 |
0.76 |
15,456 |
1.14 |
0.55 |
1.29 |
82 |
| |
|
|
|
|
|
|
| 16.70 |
4.67 |
331 |
0.84 |
0.62 |
1.02 |
13 |
| 16.04 |
9.87 |
251 |
0.85 |
0.45 |
0.96 |
32 |
| 16.33 |
(12.79 ) |
222 |
0.89 |
(0.02 ) |
0.94 |
24 |
| 22.70 |
41.87 |
1,146 |
0.86 |
0.26 |
0.93 |
122 |
| 16.64 |
(4.38 ) |
562 |
0.89 |
0.82 |
0.98 |
92 |
| 19.41 |
1.06 |
1,202 |
0.89 |
0.76 |
1.04 |
82 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
103 |
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 SMID Cap Equity Fund (continued) |
|
|
|
|
|
|
|
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$16.20 |
$0.07 |
$0.71 |
$0.78 |
$(0.13 ) |
$— |
$(0.13 ) |
| Year Ended June 30, 2023 |
16.49 |
0.13 |
1.45 |
1.58 |
(0.07 ) |
(1.80 ) |
(1.87 ) |
| Year Ended June 30, 2022 |
22.83 |
0.06 |
(2.20 ) |
(2.14 ) |
— |
(4.20 ) |
(4.20 ) |
| Year Ended June 30, 2021 |
16.73 |
0.11 |
6.82 |
6.93 |
(0.20 ) |
(0.63 ) |
(0.83 ) |
| Year Ended June 30, 2020 |
19.49 |
0.21 |
(0.76 ) |
(0.55 ) |
(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 ) |
| |
|
| (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 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%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 104 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $16.85 |
4.81 % |
$96,772 |
0.59 % |
0.86 % |
0.71 % |
13 % |
| 16.20 |
10.15 |
84,313 |
0.60 |
0.78 |
0.71 |
32 |
| 16.49 |
(12.56 ) |
37,375 |
0.64 |
0.27 |
0.70 |
24 |
| 22.83 |
42.21 |
73,530 |
0.60 |
0.57 |
0.68 |
122 |
| 16.73 |
(4.08 ) |
76,126 |
0.64 |
1.16 |
0.70 |
92 |
| 19.49 |
1.28 |
77,321 |
0.64 |
0.98 |
0.80 |
82 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
105 |
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 U.S. Small Company Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$15.77 |
$0.01 |
$0.96 |
$0.97 |
$(0.03 ) |
$— |
$(0.03 ) |
| Year Ended June 30, 2023 |
14.62 |
0.04 |
1.99 |
2.03 |
(0.03 ) |
(0.85 ) |
(0.88 ) |
| Year Ended June 30, 2022 |
23.54 |
(0.01 ) |
(3.59 ) |
(3.60 ) |
— |
(5.32 ) |
(5.32 ) |
| Year Ended June 30, 2021 |
14.84 |
(0.01 ) |
9.26 |
9.25 |
(0.04 ) |
(0.51 ) |
(0.55 ) |
| Year Ended June 30, 2020 |
15.96 |
0.03 |
(1.10 ) |
(1.07 ) |
(0.04 ) |
(0.01 ) |
(0.05 ) |
| Year Ended June 30, 2019 |
19.60 |
0.03 |
(1.81 ) |
(1.78 ) |
— |
(1.86 ) |
(1.86 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
14.27 |
(0.03 ) |
0.86 |
0.83 |
— |
— |
— |
| Year Ended June 30, 2023 |
13.34 |
(0.04 ) |
1.82 |
1.78 |
— |
(0.85 ) |
(0.85 ) |
| Year Ended June 30, 2022 |
22.04 |
(0.11 ) |
(3.27 ) |
(3.38 ) |
— |
(5.32 ) |
(5.32 ) |
| Year Ended June 30, 2021 |
13.96 |
(0.10 ) |
8.69 |
8.59 |
— |
(0.51 ) |
(0.51 ) |
| Year Ended June 30, 2020 |
15.06 |
(0.05 ) |
(1.04 ) |
(1.09 ) |
— |
(0.01 ) |
(0.01 ) |
| Year Ended June 30, 2019 |
18.70 |
(0.06 ) |
(1.72 ) |
(1.78 ) |
— |
(1.86 ) |
(1.86 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.44 |
0.03 |
1.00 |
1.03 |
(0.07 ) |
— |
(0.07 ) |
| Year Ended June 30, 2023 |
15.21 |
0.08 |
2.07 |
2.15 |
(0.07 ) |
(0.85 ) |
(0.92 ) |
| Year Ended June 30, 2022 |
24.21 |
0.04 |
(3.72 ) |
(3.68 ) |
— |
(5.32 ) |
(5.32 ) |
| Year Ended June 30, 2021 |
15.25 |
0.04 |
9.51 |
9.55 |
(0.08 ) |
(0.51 ) |
(0.59 ) |
| Year Ended June 30, 2020 |
16.40 |
0.07 |
(1.12 ) |
(1.05 ) |
(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 ) |
| Class L |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.43 |
0.04 |
1.00 |
1.04 |
(0.09 ) |
— |
(0.09 ) |
| Year Ended June 30, 2023 |
15.20 |
0.10 |
2.07 |
2.17 |
(0.09 ) |
(0.85 ) |
(0.94 ) |
| Year Ended June 30, 2022 |
24.18 |
0.07 |
(3.71 ) |
(3.64 ) |
(0.02 ) |
(5.32 ) |
(5.34 ) |
| Year Ended June 30, 2021 |
15.23 |
0.07 |
9.51 |
9.58 |
(0.12 ) |
(0.51 ) |
(0.63 ) |
| Year Ended June 30, 2020 |
16.38 |
0.10 |
(1.12 ) |
(1.02 ) |
(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 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.15 |
(0.01 ) |
0.91 |
0.90 |
— |
— |
— |
| Year Ended June 30, 2023 |
14.08 |
— |
1.92 |
1.92 |
— |
(0.85 ) |
(0.85 ) |
| Year Ended June 30, 2022 |
22.92 |
(0.06 ) |
(3.46 ) |
(3.52 ) |
— |
(5.32 ) |
(5.32 ) |
| Year Ended June 30, 2021 |
14.48 |
(0.06 ) |
9.02 |
8.96 |
(0.01 ) |
(0.51 ) |
(0.52 ) |
| Year Ended June 30, 2020 |
15.58 |
(0.01 ) |
(1.08 ) |
(1.09 ) |
— |
(0.01 ) |
(0.01 ) |
| Year Ended June 30, 2019 |
19.22 |
(0.01 ) |
(1.77 ) |
(1.78 ) |
— |
(1.86 ) |
(1.86 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.60 |
0.01 |
0.95 |
0.96 |
(0.03 ) |
— |
(0.03 ) |
| Year Ended June 30, 2023 |
14.48 |
0.04 |
1.96 |
2.00 |
(0.03 ) |
(0.85 ) |
(0.88 ) |
| Year Ended June 30, 2022 |
23.36 |
(0.01 ) |
(3.55 ) |
(3.56 ) |
— |
(5.32 ) |
(5.32 ) |
| Year Ended June 30, 2021 |
14.74 |
(0.01 ) |
9.20 |
9.19 |
(0.06 ) |
(0.51 ) |
(0.57 ) |
| Year Ended June 30, 2020 |
15.87 |
0.03 |
(1.10 ) |
(1.07 ) |
(0.05 ) |
(0.01 ) |
(0.06 ) |
| Year Ended June 30, 2019 |
19.50 |
0.04 |
(1.81 ) |
(1.77 ) |
— (f) |
(1.86 ) |
(1.86 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 106 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $16.71 |
6.16 % |
$110,784 |
1.19 % |
0.15 % |
1.23 % |
26 % |
| 15.77 |
14.22 |
106,876 |
1.20 |
0.26 |
1.23 |
83 |
| 14.62 |
(19.61 ) |
103,884 |
1.22 |
(0.06 ) |
1.22 |
66 |
| 23.54 |
63.19 |
135,165 |
1.22 |
(0.03 ) |
1.22 |
94 |
| 14.84 |
(6.76 ) |
94,883 |
1.22 |
0.18 |
1.23 |
52 |
| 15.96 |
(8.77 ) |
136,432 |
1.22 |
0.16 |
1.22 |
64 |
| |
|
|
|
|
|
|
| 15.10 |
5.82 |
6,379 |
1.69 |
(0.38 ) |
1.76 |
26 |
| 14.27 |
13.66 |
8,203 |
1.71 |
(0.27 ) |
1.75 |
83 |
| 13.34 |
(20.00 ) |
12,408 |
1.73 |
(0.59 ) |
1.73 |
66 |
| 22.04 |
62.34 |
22,386 |
1.73 |
(0.56 ) |
1.73 |
94 |
| 13.96 |
(7.25 ) |
18,297 |
1.74 |
(0.34 ) |
1.74 |
52 |
| 15.06 |
(9.22 ) |
28,451 |
1.72 |
(0.35 ) |
1.73 |
64 |
| |
|
|
|
|
|
|
| 17.40 |
6.26 |
172,579 |
0.94 |
0.38 |
0.97 |
26 |
| 16.44 |
14.47 |
180,955 |
0.95 |
0.51 |
0.97 |
83 |
| 15.21 |
(19.36 ) |
159,356 |
0.97 |
0.19 |
0.97 |
66 |
| 24.21 |
63.52 |
216,248 |
0.96 |
0.21 |
0.97 |
94 |
| 15.25 |
(6.51 ) |
160,892 |
0.96 |
0.44 |
0.96 |
52 |
| 16.40 |
(8.49 ) |
273,370 |
0.96 |
0.41 |
0.96 |
64 |
| |
|
|
|
|
|
|
| 17.38 |
6.34 |
226,394 |
0.82 |
0.52 |
0.82 |
26 |
| 16.43 |
14.63 |
216,963 |
0.82 |
0.63 |
0.82 |
83 |
| 15.20 |
(19.22 ) |
226,823 |
0.81 |
0.34 |
0.81 |
66 |
| 24.18 |
63.78 |
317,162 |
0.81 |
0.37 |
0.81 |
94 |
| 15.23 |
(6.37 ) |
302,427 |
0.81 |
0.60 |
0.81 |
52 |
| 16.38 |
(8.42 ) |
433,521 |
0.81 |
0.58 |
0.81 |
64 |
| |
|
|
|
|
|
|
| 16.05 |
5.94 |
39,077 |
1.49 |
(0.16 ) |
1.49 |
26 |
| 15.15 |
13.95 |
39,461 |
1.49 |
(0.03 ) |
1.49 |
83 |
| 14.08 |
(19.82 ) |
33,542 |
1.48 |
(0.32 ) |
1.48 |
66 |
| 22.92 |
62.71 |
43,496 |
1.48 |
(0.31 ) |
1.48 |
94 |
| 14.48 |
(7.01 ) |
30,330 |
1.48 |
(0.09 ) |
1.49 |
52 |
| 15.58 |
(8.95 ) |
44,064 |
1.47 |
(0.07 ) |
1.49 |
64 |
| |
|
|
|
|
|
|
| 16.53 |
6.16 |
36,601 |
1.22 |
0.12 |
1.22 |
26 |
| 15.60 |
14.16 |
34,230 |
1.22 |
0.24 |
1.22 |
83 |
| 14.48 |
(19.58 ) |
29,731 |
1.22 |
(0.05 ) |
1.22 |
66 |
| 23.36 |
63.20 |
36,745 |
1.21 |
(0.04 ) |
1.21 |
94 |
| 14.74 |
(6.78 ) |
22,953 |
1.21 |
0.20 |
1.21 |
52 |
| 15.87 |
(8.75 ) |
23,887 |
1.21 |
0.23 |
1.21 |
64 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
107 |
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 (continued)
|
|
|
|
|
|
|
|
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$16.29 |
$0.03 |
$0.98 |
$1.01 |
$(0.06 ) |
$— |
$(0.06 ) |
| Year Ended June 30, 2023 |
15.08 |
0.08 |
2.05 |
2.13 |
(0.07 ) |
(0.85 ) |
(0.92 ) |
| Year Ended June 30, 2022 |
24.05 |
0.04 |
(3.69 ) |
(3.65 ) |
— |
(5.32 ) |
(5.32 ) |
| Year Ended June 30, 2021 |
15.16 |
0.04 |
9.46 |
9.50 |
(0.10 ) |
(0.51 ) |
(0.61 ) |
| Year Ended June 30, 2020 |
16.32 |
0.07 |
(1.12 ) |
(1.05 ) |
(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 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.36 |
0.05 |
0.99 |
1.04 |
(0.10 ) |
— |
(0.10 ) |
| Year Ended June 30, 2023 |
15.15 |
0.11 |
2.05 |
2.16 |
(0.10 ) |
(0.85 ) |
(0.95 ) |
| Year Ended June 30, 2022 |
24.13 |
0.07 |
(3.71 ) |
(3.64 ) |
(0.02 ) |
(5.32 ) |
(5.34 ) |
| Year Ended June 30, 2021 |
15.20 |
0.07 |
9.49 |
9.56 |
(0.12 ) |
(0.51 ) |
(0.63 ) |
| Year Ended June 30, 2020 |
16.34 |
0.09 |
(1.11 ) |
(1.02 ) |
(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 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.44 |
0.05 |
1.01 |
1.06 |
(0.11 ) |
— |
(0.11 ) |
| Year Ended June 30, 2023 |
15.21 |
0.12 |
2.07 |
2.19 |
(0.11 ) |
(0.85 ) |
(0.96 ) |
| Year Ended June 30, 2022 |
24.20 |
0.09 |
(3.72 ) |
(3.63 ) |
(0.04 ) |
(5.32 ) |
(5.36 ) |
| Year Ended June 30, 2021 |
15.25 |
0.09 |
9.51 |
9.60 |
(0.14 ) |
(0.51 ) |
(0.65 ) |
| Year Ended June 30, 2020 |
16.40 |
0.11 |
(1.12 ) |
(1.01 ) |
(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 ) |
| |
|
| (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 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.
| 108 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $17.24 |
6.23 % |
$5,584 |
0.97 % |
0.36 % |
0.97 % |
26 % |
| 16.29 |
14.49 |
5,662 |
0.96 |
0.50 |
0.97 |
83 |
| 15.08 |
(19.37 ) |
9,072 |
0.96 |
0.20 |
0.97 |
66 |
| 24.05 |
63.52 |
11,590 |
0.97 |
0.20 |
0.98 |
94 |
| 15.16 |
(6.55 ) |
8,042 |
0.97 |
0.45 |
0.98 |
52 |
| 16.32 |
(8.52 ) |
6,313 |
0.97 |
0.45 |
0.98 |
64 |
| |
|
|
|
|
|
|
| 17.30 |
6.34 |
22,470 |
0.82 |
0.63 |
0.82 |
26 |
| 16.36 |
14.63 |
12,461 |
0.82 |
0.68 |
0.82 |
83 |
| 15.15 |
(19.25 ) |
4,634 |
0.81 |
0.33 |
0.81 |
66 |
| 24.13 |
63.83 |
9,804 |
0.81 |
0.35 |
0.81 |
94 |
| 15.20 |
(6.36 ) |
6,496 |
0.81 |
0.56 |
0.81 |
52 |
| 16.34 |
(8.39 ) |
11,770 |
0.81 |
0.64 |
0.81 |
64 |
| |
|
|
|
|
|
|
| 17.39 |
6.43 |
321,357 |
0.72 |
0.61 |
0.72 |
26 |
| 16.44 |
14.76 |
328,481 |
0.72 |
0.73 |
0.72 |
83 |
| 15.21 |
(19.18 ) |
290,297 |
0.72 |
0.45 |
0.72 |
66 |
| 24.20 |
63.87 |
349,316 |
0.71 |
0.46 |
0.72 |
94 |
| 15.25 |
(6.27 ) |
255,716 |
0.71 |
0.68 |
0.71 |
52 |
| 16.40 |
(8.30 ) |
435,139 |
0.71 |
0.70 |
0.72 |
64 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
109 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited)
(Dollar values in thousands)
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 7 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 |
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 Sustainable Leaders Fund
|
Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 |
JPM I |
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 SMID Cap Equity Fund |
Class A, Class C, Class I, Class R3, Class R4 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 |
The investment objective of JPMorgan Small Cap Blend Fund (“Small Cap Blend Fund”), JPMorgan Small Cap Equity Fund (“Small Cap Equity Fund”) and JPMorgan Small Cap Sustainable Leaders Fund (“Small Cap Sustainable Leaders Fund”) is 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 SMID Cap Equity Fund (“SMID Cap Equity Fund”) is to seek long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.
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.
All share
classes of Small Cap Growth Fund and Class L Shares of U.S. Small Company Fund are publicly offered on a limited basis. Investors are not eligible to purchase shares of Small
Cap Growth Fund and Class L Shares of the U.S. Small Company Fund unless they meet certain requirements as described in the Small Cap Growth Fund's and U.S. Small Company
Fund's prospectuses.
Prior to October, 28, 2022, share classes of Small Cap Equity Fund were publicly
offered on a limited basis. Investors were not eligible to purchase shares of the Small Cap Equity Fund unless they met certain requirements as described in the Small Cap
Equity Fund's prospectus.
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 eight years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may
bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan
Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the
“Adviser”) and administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their
financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial
Accounting Standards Board (“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.
| 110 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
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.
Under Section 2(a)(41) of the 1940 Act, the Boards are required to determine fair value for securities that do
not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Boards may designate the performance of these fair
valuation determinations to a valuation designee. The Boards have designated the Adviser as the “Valuation Designee” to perform fair valuation
determinations for the Funds on behalf of the Boards subject to appropriate oversight by the Boards. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.
A market-based approach is
primarily used to value the Funds' investments. Investments for which market quotations are not readily available are fair valued using prices supplied 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.
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"):
| 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) |
$1,526,917 |
$— |
$— |
$1,526,917 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
111 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Small Cap Equity Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$5,774,894 |
$— |
$— |
$5,774,894 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 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) |
$4,047,328 |
$— |
$— |
$4,047,328 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| Small Cap Sustainable Leaders
Fund |
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Investments in Securities |
|
|
|
|
| Common Stocks |
$38,470 |
$— |
$— |
$38,470
|
| Rights |
— |
— |
— (a) |
— (a) |
| Short-Term Investments |
|
|
|
|
| Investment Companies |
345
|
— |
— |
345
|
| Total Investments in Securities |
$38,815 |
$— |
$— (a) |
$38,815 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
| Small Cap Value Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$1,581,889 |
$— |
$— |
$1,581,889 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$2,255 |
$— |
$— |
$2,255 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| SMID Cap Equity Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$337,805 |
$— |
$— |
$337,805 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 112 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| U.S. Small Company
Fund |
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Investments in Securities |
|
|
|
|
| Common Stocks |
|
|
|
|
| Aerospace & Defense |
$2,697 |
$— |
$— |
$2,697 |
| Air Freight & Logistics |
6,061 |
— |
— |
6,061 |
| Automobile Components |
6,944 |
— |
— |
6,944 |
| Banks |
90,924 |
— |
— |
90,924 |
| Beverages |
6,802 |
— |
— |
6,802 |
| Biotechnology |
60,719 |
— |
— (a) |
60,719 |
| Broadline Retail |
1,416 |
— |
— |
1,416 |
| Building Products |
14,419 |
— |
— |
14,419 |
| Capital Markets |
19,023 |
— |
— |
19,023 |
| Chemicals |
15,370 |
— |
— |
15,370 |
| Commercial Services & Supplies |
16,970 |
— |
— |
16,970 |
| Communications Equipment |
4,644 |
— |
— |
4,644 |
| Construction & Engineering |
33,175 |
— |
— |
33,175 |
| Construction Materials |
886 |
— |
— |
886 |
| Consumer Finance |
3,755 |
— |
— |
3,755 |
| Consumer Staples Distribution & Retail |
6,736 |
— |
— |
6,736 |
| Containers & Packaging |
1,990 |
— |
— |
1,990 |
| Diversified Consumer Services |
9,163 |
— |
— |
9,163 |
| Diversified REITs |
2,661 |
— |
— |
2,661 |
| Diversified Telecommunication Services |
4,321 |
— |
— |
4,321 |
| Electric Utilities |
8,258 |
— |
— |
8,258 |
| Electrical Equipment |
13,681 |
— |
— |
13,681 |
| Electronic Equipment, Instruments & Components |
17,581 |
— |
— |
17,581 |
| Energy Equipment & Services |
21,293 |
— |
— |
21,293 |
| Entertainment |
1,274 |
— |
— |
1,274 |
| Financial Services |
34,581 |
— |
— |
34,581 |
| Food Products |
11,003 |
— |
— |
11,003 |
| Gas Utilities |
8,774 |
— |
— |
8,774 |
| Ground Transportation |
4,176 |
— |
— |
4,176 |
| Health Care Equipment & Supplies |
18,306 |
— |
— |
18,306 |
| Health Care Providers & Services |
22,856 |
— |
— |
22,856 |
| Health Care REITs |
3,957 |
— |
— |
3,957 |
| Health Care Technology |
5,066 |
— |
— |
5,066 |
| Hotel & Resort REITs |
8,475 |
— |
— |
8,475 |
| Hotels, Restaurants & Leisure |
18,593 |
— |
— |
18,593 |
| Household Durables |
19,040 |
— |
— |
19,040 |
| Household Products |
2,571 |
— |
— |
2,571 |
| Independent Power and Renewable Electricity Producers |
3,404 |
— |
— |
3,404 |
| Industrial REITs |
7,754 |
— |
— |
7,754 |
| Insurance |
8,153 |
— |
— |
8,153 |
| Interactive Media & Services |
7,227 |
— |
— |
7,227 |
| IT Services |
7,726 |
— |
— |
7,726 |
| Leisure Products |
4,266 |
— |
— |
4,266 |
| Life Sciences Tools & Services |
6,834 |
— |
— (a) |
6,834 |
| Machinery |
14,566 |
— |
— |
14,566 |
| Marine Transportation |
3,619 |
— |
— |
3,619 |
| Media |
4,338 |
— |
— |
4,338 |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
113 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| U.S. Small Company Fund (continued)
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Metals & Mining |
$17,837 |
$— |
$— |
$17,837
|
| Mortgage Real Estate Investment Trusts (REITs) |
5,272 |
— |
— |
5,272 |
| Multi-Utilities |
4,707 |
— |
— |
4,707 |
| Office REITs |
7,920 |
— |
— |
7,920 |
| Oil, Gas & Consumable Fuels |
37,812 |
— |
— |
37,812 |
| Passenger Airlines |
5,022 |
— |
— |
5,022 |
| Personal Care Products |
20,548 |
— |
— |
20,548 |
| Pharmaceuticals |
9,494 |
— |
— |
9,494 |
| Professional Services |
26,393 |
— |
— |
26,393 |
| Real Estate Management & Development |
2,756 |
— |
— |
2,756 |
| Residential REITs |
1,121 |
— |
— |
1,121 |
| Retail REITs |
16,594 |
— |
— |
16,594 |
| Semiconductors & Semiconductor Equipment |
24,828 |
— |
— |
24,828 |
| Software |
56,615 |
— |
— |
56,615 |
| Specialized REITs |
3,814 |
— |
— |
3,814 |
| Specialty Retail |
31,627 |
— |
— |
31,627 |
| Technology Hardware, Storage & Peripherals |
9,310 |
— |
— |
9,310 |
| Textiles, Apparel & Luxury Goods |
7,642 |
— |
— |
7,642 |
| Trading Companies & Distributors |
29,444 |
— |
— |
29,444 |
| Water Utilities |
2,242 |
— |
— |
2,242 |
| Wireless Telecommunication Services |
756
|
— |
— |
756 |
| Total Common Stocks |
917,802 |
— |
— (a) |
917,802 |
| Short-Term Investments |
|
|
|
|
| Investment Companies |
20,812 |
— |
— |
20,812 |
| Investment of Cash Collateral from Securities Loaned |
81,511 |
— |
— |
81,511 |
| Total Short-Term Investments |
102,323 |
— |
— |
102,323 |
| Total Investments in Securities |
$1,020,125 |
$— |
$— (a) |
$1,020,125 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts |
$1,358 |
$— |
$— |
$1,358 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of December 31, 2023, the Funds had no investments in restricted securities other than securities sold to the
Funds under Rule 144A and/or Regulation S under the Securities Act.
| 114 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
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 the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the 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. Securities lending activity is subject to master netting arrangements.
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,
2023.
| |
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 |
$98,903 |
$(98,903 ) |
$— |
| Small Cap Equity Fund |
297,559 |
(297,559 ) |
— |
| Small Cap Growth Fund |
263,521 |
(263,521 ) |
— |
| Small Cap Value Fund |
107,113 |
(107,113 ) |
— |
| U.S. Small Company Fund |
78,093 |
(78,093 ) |
— |
| |
|
| * |
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 0.13% to 0.06%. For the six months ended December 31,
2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
| Small Cap Blend Fund |
$2 |
| Small Cap Equity Fund |
9 |
| Small Cap Growth Fund |
9 |
| Small Cap Value Fund |
2 |
| SMID Cap Equity Fund |
— (a) |
| U.S. Small Company Fund |
2 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
115 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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).
Small Cap Sustainable Leaders Fund did not lend out any securities during the six months
ended December 31, 2023.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds 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. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| Small Cap Blend
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$29,696 |
$137,547 |
$129,800 |
$2 |
$19 |
$37,464 |
37,435 |
$908 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
45,257 |
182,001 |
138,000 |
7 * |
13 |
89,278 |
89,242 |
1,525 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
5,475
|
73,993 |
65,698 |
— |
— |
13,770 |
13,770 |
203
* |
— |
| Total |
$80,428 |
$393,541 |
$333,498 |
$9 |
$32 |
$140,512 |
|
$2,636 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| Small Cap Equity
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$162,027 |
$818,154 |
$752,616 |
$28 |
$65 |
$227,658 |
227,476 |
$4,155 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
247,060 |
613,797 |
583,900 |
39 * |
41 |
277,037 |
276,926 |
6,273 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
61,967 |
298,317 |
328,188 |
— |
— |
32,096 |
32,096 |
823
* |
— |
| Total |
$471,054 |
$1,730,268 |
$1,664,704 |
$67 |
$106 |
$536,791 |
|
$11,251 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| Small Cap Growth
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$62,312 |
$415,404 |
$455,236 |
$19 |
$12 |
$22,511 |
22,493 |
$1,053 |
$— |
| 116 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| Small Cap Growth Fund (continued)
| |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
$236,014 |
$511,000 |
$504,000 |
$31 * |
$39 |
$243,084 |
242,987 |
$5,693 * |
$—
|
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
50,951 |
263,320 |
281,449 |
— |
— |
32,822 |
32,822 |
745
* |
— |
| Total |
$349,277 |
$1,189,724 |
$1,240,685 |
$50 |
$51 |
$298,417 |
|
$7,491 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| Small Cap Sustainable Leaders Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$906 |
$10,069 |
$10,630 |
$— (c) |
$— (c) |
$345 |
345 |
$16 |
$— |
| |
|
| (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, 2023. |
| (c) |
Amount rounds to less than one thousand. |
| Small Cap Value
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$28,802 |
$196,264 |
$181,401 |
$6 |
$18 |
$43,689 |
43,654 |
$883 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
28,586 |
238,005 |
167,000 |
12 * |
10 |
99,613 |
99,573 |
1,553 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
5,498
|
88,909 |
82,415 |
— |
— |
11,992 |
11,992 |
211
* |
— |
| Total |
$62,886 |
$523,178 |
$430,816 |
$18 |
$28 |
$155,294 |
|
$2,647 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
117 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| SMID Cap Equity
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$8,885 |
$37,302 |
$34,387 |
$1 |
$5 |
$11,806 |
11,797 |
$224 |
$— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
3,028
|
3,306
|
6,334
|
— |
— |
— |
— |
16
* |
— |
| Total |
$11,913 |
$40,608 |
$40,721 |
$1 |
$5 |
$11,806 |
|
$240 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| U.S. Small Company
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$14,703 |
$145,098 |
$139,005 |
$6 |
$10 |
$20,812 |
20,796 |
$556 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
26,588 |
145,001 |
99,000 |
7 * |
9 |
72,605 |
72,575 |
1,184 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
6,219
|
85,389 |
82,702 |
— |
— |
8,906
|
8,907 |
173
* |
— |
| Total |
$47,510 |
$375,488 |
$320,707 |
$13 |
$19 |
$102,323 |
|
$1,913 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
E. Options— Small Cap Blend Fund purchased and sold (“wrote”) put and call options on various instruments including options on indices to manage and hedge interest rate risks within their portfolios and also to gain long or short exposure to the underlying instrument, index, currency or rate. 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 realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are
added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
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).
F. Futures Contracts — Small Cap Value Fund and U.S. Small Company Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Funds also purchased 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
| 118 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
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 futures contracts 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 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).
Derivatives Volume
The table below discloses the volume of the Funds' options and futures contracts activity during the six months ended December 31, 2023 (amounts in thousands, except number of contracts):
| |
Small Cap
Blend Fund |
Small Cap
Value Fund |
U.S. Small Company Fund |
| Futures Contracts: |
|
|
|
| Average Notional Balance Long |
$— |
$29,510 |
$20,823
|
| Ending Notional Balance Long |
— |
29,181 |
19,761 |
| Exchange-Traded Options: |
|
|
|
| Average Number of Contracts Purchased |
543 |
— |
— |
| Ending Number of Contracts Purchased |
1,500 |
— |
— |
G. 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 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.
H. 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, 2023 are as
follows:
| |
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 |
$11 |
$1 |
$3 |
n/a |
n/a |
n/a |
n/a |
n/a |
$3 |
$18
|
| Small Cap Equity Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
5 |
1 |
93 |
n/a |
$1 |
$— (a) |
$— (a) |
$5 |
15 |
120 |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
119 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| |
Class A |
Class C |
Class I |
Class L |
Class R2 |
Class R3 |
Class R4 |
Class R5 |
Class R6 |
Total |
| Small Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
$19 |
$1 |
$9 |
$3 |
$2 |
$1 |
$— (a) |
$1 |
$37 |
$73
|
| Small Cap Sustainable Leaders Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
1 |
— (a) |
1 |
n/a |
— (a) |
— (a) |
— (a) |
2 |
1 |
5 |
| Small Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
13 |
1 |
5 |
n/a |
11 |
3 |
— (a) |
1 |
14 |
48 |
| SMID Cap Equity Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
14 |
1 |
5 |
n/a |
n/a |
— (a) |
— (a) |
n/a |
1 |
21 |
| U.S. Small Company Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
5 |
1 |
4 |
2 |
4 |
1 |
— (a) |
— (a) |
8 |
25 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
I. 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, 2023, 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 Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
J. Distributions to Shareholders — Distributions from net investment income, if any, are generally
declared and paid at least annually, except for Small Cap 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 at an annual rate 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 Equity Fund |
0.65 |
| Small Cap Growth Fund |
0.65 |
| Small Cap Sustainable Leaders Fund |
0.65 |
| Small Cap Value Fund |
0.65 |
| SMID Cap Equity Fund |
0.55 |
| U.S. Small Company Fund |
0.60 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note
3.F.
B. Administration
Fee— Pursuant to an Administration Agreement, the
Administrator provides certain administration services to each Fund. 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 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2023, the effective annualized rate was 0.075% 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.
| 120 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution
Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's 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 |
| Small Cap Blend Fund |
0.25 % |
0.75 % |
n/a |
n/a |
| 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 Sustainable Leaders Fund |
0.25 |
0.75 |
0.50 |
0.25 |
| Small Cap Value Fund |
0.25 |
0.75 |
0.50 |
0.25 |
| SMID Cap Equity Fund |
0.25 |
0.75 |
n/a |
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, 2023, JPMDS
retained the following:
| |
Front-End Sales Charge |
CDSC |
| Small Cap Blend Fund |
$24 |
$1 |
| Small Cap Equity Fund |
13 |
— |
| Small Cap Growth Fund |
4 |
— |
| Small Cap Sustainable Leaders Fund |
— (a) |
— (a) |
| Small Cap Value Fund |
1 |
— |
| SMID Cap Equity Fund |
1 |
— |
| U.S. Small Company Fund |
2 |
— |
| |
|
| (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 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 Sustainable Leaders Fund |
0.25 |
0.25 |
0.25 |
n/a |
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 |
| SMID Cap Equity Fund |
0.25 |
0.25 |
0.25 |
n/a |
n/a |
0.25 |
0.25 |
n/a |
| 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.
JPMDS waived service fees as outlined in Note 3.F.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
121 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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 Equity Fund |
n/a |
n/a |
0.99 |
n/a |
1.49 % |
n/a |
0.99 % |
0.80 % |
n/a |
| Small Cap Growth Fund |
1.24 |
1.74 |
0.99 |
n/a |
1.49 |
1.24 % |
0.99 |
0.84 |
0.74 |
| Small Cap Sustainable Leaders Fund |
1.14 |
1.64 |
0.89 |
n/a |
1.39 |
1.14 |
0.89 |
0.70 |
0.65 |
| Small Cap Value Fund |
1.19 |
1.69 |
0.94 |
n/a |
1.49 |
1.24 |
0.99 |
0.84 |
0.74 |
| SMID Cap Equity Fund |
1.09 |
1.59 |
0.84 |
n/a |
n/a |
1.09 |
0.84 |
n/a |
0.59 |
| U.S. Small Company Fund |
1.19 |
1.69 |
0.94 |
n/a |
n/a |
n/a |
n/a |
n/a |
n/a |
Except as noted above, the expense limitation agreements were in effect for the six months ended December
31, 2023 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2024.
For the six months ended December 31, 2023, the Funds' service providers waived fees and/or reimbursed expenses
for each of the Funds as follows. 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 |
| Small Cap Blend Fund |
$98 |
$65 |
$14 |
$177 |
$1 |
| Small Cap Equity Fund |
— |
— |
296 |
296 |
— |
| Small Cap Growth Fund |
80 |
52 |
32 |
164 |
37 |
| Small Cap Sustainable Leaders Fund |
107 |
17 |
8 |
132 |
1 |
| Small Cap Value Fund |
67 |
44 |
113 |
224 |
9 |
| SMID Cap Equity Fund |
113 |
75 |
16 |
204 |
— (a) |
| U.S. Small Company Fund |
— |
— |
46 |
46 |
— |
| |
|
| (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. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended December 31, 2023 were as follows:
| |
|
| Small Cap Blend Fund |
$20 |
| Small Cap Equity Fund |
93 |
| Small Cap Growth Fund |
24 |
| Small Cap Sustainable Leaders Fund |
— (a) |
| Small Cap Value Fund |
18 |
| SMID Cap Equity Fund |
4 |
| 122 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
|
| U.S. Small Company Fund |
$11 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the six months ended December 31, 2023 the amount of these reimbursements were as follows:
| |
|
| Small Cap Blend Fund |
$1 |
| Small Cap Equity Fund |
1 |
| Small Cap Growth Fund |
1 |
| Small Cap Sustainable Leaders Fund |
1 |
| Small Cap Value Fund |
1 |
| SMID Cap Equity Fund |
1 |
| U.S. Small Company Fund |
1 |
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.
The below Funds used related party broker-dealers during the six months ended December 31, 2023, and incurred
brokerage commissions with broker-dealers affiliated with the Adviser as
follows:
| |
Brokerage Commissions |
| Small Cap Blend Fund |
$8 |
| Small Cap Growth Fund |
19 |
| Small Cap Sustainable Leaders Fund |
1 |
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage
in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment
Transactions
During the six months ended December 31, 2023, purchases and sales of investments (excluding short-term investments and transfers in-kind) were as follows:
| |
Purchases
(excluding
U.S. Government) |
Sales (excluding U.S. Government) |
| Small Cap Blend Fund |
$270,180 |
$234,096 |
| Small Cap Equity Fund |
431,925 |
1,077,466 |
| Small Cap Growth Fund |
557,125 |
817,395 |
| Small Cap Sustainable Leaders Fund |
2,542 |
20,384 |
| Small Cap Value Fund |
328,378 |
387,524 |
| SMID Cap Equity Fund |
41,098 |
56,529 |
| U.S. Small Company Fund |
223,166 |
276,032 |
During the six months ended December 31, 2023, there were no purchases or sales of U.S.
Government securities.
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
123 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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, 2023 were as follows:
| |
Aggregate
Cost |
Gross
Unrealized
Appreciation |
Gross
Unrealized
Depreciation |
Net Unrealized Appreciation (Depreciation) |
| Small Cap Blend Fund |
$1,265,066 |
$328,372 |
$66,521 |
$261,851 |
| Small Cap Equity Fund |
4,192,928 |
1,854,406 |
272,440 |
1,581,966 |
| Small Cap Growth Fund |
3,266,975 |
1,117,064 |
336,711 |
780,353 |
| Small Cap Sustainable Leaders Fund |
39,557 |
8,153 |
8,895 |
(742 ) |
| Small Cap Value Fund |
1,306,529 |
328,649 |
51,034 |
277,615 |
| SMID Cap Equity Fund |
281,071 |
68,259 |
11,525 |
56,734 |
| U.S. Small Company Fund |
858,851 |
213,123 |
50,491 |
162,632 |
At June 30, 2023, the following Funds had net capital loss carryforwards which are available to
offset future realized gains:
| |
Capital
Loss Carryforward Character | |
| |
Short-Term |
Long-Term |
| Small Cap Blend Fund |
$21,746 |
$9,340 |
| Small Cap Growth Fund |
29,849 |
133,179 |
| Small Cap Sustainable Leaders Fund |
30,790 |
11,381 |
| U.S. Small Company Fund |
15,080 |
— |
Net capital losses (gains) and specified ordinary losses incurred after October 31 and late year ordinary losses
incurred after December 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, 2023, the
following Funds deferred to July 1, 2023 the following net capital losses (gains), specified ordinary losses and late year ordinary losses of:
| |
Net
Capital Losses (Gains) |
Late Year Ordinary Loss Deferral | |
| |
Short-Term |
Long-Term | |
| Small Cap Blend Fund |
$(561 ) |
$22,387 |
$— |
| Small Cap Equity Fund |
28,843 |
— |
— |
| Small Cap Growth Fund |
9,781 |
106,925 |
4,938 |
| Small Cap Sustainable Leaders Fund |
406 |
7,524 |
— |
| Small Cap Value Fund |
22,224 |
— |
— |
| SMID Cap Equity Fund |
2,398 |
4,781 |
— |
| U.S. Small Company Fund |
8,909 |
(7,007 ) |
— |
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, or loans outstanding to another fund, during the six
months ended December 31, 2023.
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 October 29, 2024.
| 124 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
The Funds had no borrowings outstanding from
the unsecured, uncommitted credit facility during the six months ended December 31, 2023.
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 million 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 million 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% (the "Applicable Margin"), plus the greater on the day of the borrowing, of the federal funds effective rate, or the Adjusted Secured Overnight Financing Rate ("SOFR"). Effective August 8, 2023, the Credit Facility was 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, 2023.
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, 2023, the Funds had individual shareholder and/or affiliated omnibus accounts each owning 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 |
| Small Cap Blend Fund |
— |
— % |
1 |
57.5 % |
| Small Cap Equity Fund |
— |
— |
2 |
29.8 |
| Small Cap Growth Fund |
— |
— |
3 |
36.0 |
| Small Cap Sustainable Leaders Fund |
1 |
11.7 |
2 |
37.3 |
| Small Cap Value Fund |
— |
— |
2 |
24.8 |
| SMID Cap Equity Fund |
1 |
29.8 |
1 |
17.1 |
| U.S. Small Company Fund |
— |
— |
3 |
44.4 |
As of December 31, 2023, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated
fund of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| |
J.P. Morgan
Investor
Funds |
JPMorgan SmartRetirement Funds |
| Small Cap Value Fund |
17.0 % |
11.9 % |
Significant shareholder transactions by these shareholders may impact the Funds' performance and liquidity.
Because the Funds invest 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.
The Funds invest in companies with relatively small market capitalizations. Investments in companies with relatively small market capitalizations may involve greater risk than is usually associated with stocks of larger companies. These securities may have limited marketability and may be subject to more abrupt or erratic movements in price than securities of companies with larger capitalizations.
London Interbank Offered Rate ("LIBOR") was a leading floating rate benchmark used in loans,
notes, derivatives and other instruments or investments. As a result of benchmark reforms, publication of most LIBOR settings has ceased. Some LIBOR settings continue to be
published but only on a temporary, synthetic and non-representative basis. Regulated entities have generally ceased entering into new LIBOR contracts in connection with
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
125 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
regulatory guidance or prohibitions. Public and private
sector actors have worked to establish alternative reference rates to be used in place of LIBOR. There is no assurance that 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 which may affect the value, volatility,
liquidity or return on certain of the Funds' loans, notes, derivatives and other instruments or investments comprising some or all of the Funds' investments and result in
costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of the Funds' investments may have
transitioned from LIBOR or will transition from LIBOR in the future. The transition from LIBOR to alternative reference rates may result in operational issues for the Funds or their investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on the Funds and their investments.
The
Funds are subject to infectious disease epidemics/pandemics risk. For example, the outbreak of COVID-19 negatively affected economies, markets and individual companies
throughout the world, including those in which the Funds invest. The effects of any future pandemic or other global event to business and market conditions may have a
significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, exacerbate other pre-existing political, social and economic risks to
the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken
or may take actions in response to a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that
could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
8. Subsequent Events
Subsequent to December 31, 2023, Small Cap Sustainable Leaders Fund had net redemptions of $8,431, which
represented 22% of the Fund's net assets as of December 31, 2023.
On February 8, 2024, the Board approved the liquidation of Small Cap Sustainable Leaders Fund, which is expected to occur on or about May 21, 2024.
| 126 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
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, 2023, and continued to hold your shares at the end of the reporting period, December 31, 2023.
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, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Small Cap Blend Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
$1,000.00 |
$1,059.70 |
$6.42 |
1.24 % |
| Hypothetical |
1,000.00 |
1,018.90 |
6.29 |
1.24 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,056.70 |
9.00 |
1.74 |
| Hypothetical |
1,000.00 |
1,016.39 |
8.82 |
1.74 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,061.10 |
5.13 |
0.99 |
| Hypothetical |
1,000.00 |
1,020.16 |
5.03 |
0.99 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,062.20 |
3.84 |
0.74 |
| Hypothetical |
1,000.00 |
1,021.42 |
3.76 |
0.74 |
| JPMorgan Small Cap Equity Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,056.10 |
6.46 |
1.25 |
| Hypothetical |
1,000.00 |
1,018.85 |
6.34 |
1.25 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,053.50 |
9.03 |
1.75 |
| Hypothetical |
1,000.00 |
1,016.34 |
8.87 |
1.75 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,057.70 |
5.12 |
0.99 |
| Hypothetical |
1,000.00 |
1,020.16 |
5.03 |
0.99 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,055.00 |
7.70 |
1.49 |
| Hypothetical |
1,000.00 |
1,017.65 |
7.56 |
1.49 |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
127 |
SCHEDULE
OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Small Cap Equity Fund (continued) |
|
|
|
|
| Class R3 |
|
|
|
|
| Actual |
$1,000.00 |
$1,056.10 |
$6.46 |
1.25 % |
| Hypothetical |
1,000.00 |
1,018.85 |
6.34 |
1.25 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,057.60 |
5.12 |
0.99 |
| Hypothetical |
1,000.00 |
1,020.16 |
5.03 |
0.99 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,058.70 |
4.14 |
0.80 |
| Hypothetical |
1,000.00 |
1,021.12 |
4.06 |
0.80 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,058.80 |
3.83 |
0.74 |
| Hypothetical |
1,000.00 |
1,021.42 |
3.76 |
0.74 |
| JPMorgan Small Cap Growth Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,007.00 |
6.26 |
1.24 |
| Hypothetical |
1,000.00 |
1,018.90 |
6.29 |
1.24 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,004.40 |
8.77 |
1.74 |
| Hypothetical |
1,000.00 |
1,016.39 |
8.82 |
1.74 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,008.10 |
5.00 |
0.99 |
| Hypothetical |
1,000.00 |
1,020.16 |
5.03 |
0.99 |
| Class L |
|
|
|
|
| Actual |
1,000.00 |
1,008.80 |
4.24 |
0.84 |
| Hypothetical |
1,000.00 |
1,020.91 |
4.27 |
0.84 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,005.40 |
7.51 |
1.49 |
| Hypothetical |
1,000.00 |
1,017.65 |
7.56 |
1.49 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,006.40 |
6.25 |
1.24 |
| Hypothetical |
1,000.00 |
1,018.90 |
6.29 |
1.24 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,008.10 |
5.00 |
0.99 |
| Hypothetical |
1,000.00 |
1,020.16 |
5.03 |
0.99 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,008.80 |
4.24 |
0.84 |
| Hypothetical |
1,000.00 |
1,020.91 |
4.27 |
0.84 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,009.60 |
3.74 |
0.74 |
| Hypothetical |
1,000.00 |
1,021.42 |
3.76 |
0.74 |
| JPMorgan Small Cap Sustainable Leaders Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,053.80 |
5.89 |
1.14 |
| Hypothetical |
1,000.00 |
1,019.41 |
5.79 |
1.14 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,051.10 |
8.46 |
1.64 |
| Hypothetical |
1,000.00 |
1,016.89 |
8.31 |
1.64 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,055.00 |
4.60 |
0.89 |
| Hypothetical |
1,000.00 |
1,020.66 |
4.52 |
0.89 |
| 128 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Small Cap Sustainable Leaders Fund (continued) |
|
|
|
|
| Class R2 |
|
|
|
|
| Actual |
$1,000.00 |
$1,052.50 |
$7.17 |
1.39 % |
| Hypothetical |
1,000.00 |
1,018.15 |
7.05 |
1.39 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,053.80 |
5.89 |
1.14 |
| Hypothetical |
1,000.00 |
1,019.41 |
5.79 |
1.14 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,055.10 |
4.60 |
0.89 |
| Hypothetical |
1,000.00 |
1,020.66 |
4.52 |
0.89 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,056.20 |
3.62 |
0.70 |
| Hypothetical |
1,000.00 |
1,021.62 |
3.56 |
0.70 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,056.50 |
3.36 |
0.65 |
| Hypothetical |
1,000.00 |
1,021.87 |
3.30 |
0.65 |
| JPMorgan Small Cap Value Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,098.50 |
6.28 |
1.19 |
| Hypothetical |
1,000.00 |
1,019.15 |
6.04 |
1.19 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,095.80 |
8.90 |
1.69 |
| Hypothetical |
1,000.00 |
1,016.64 |
8.57 |
1.69 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,100.20 |
4.96 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,096.90 |
7.85 |
1.49 |
| Hypothetical |
1,000.00 |
1,017.65 |
7.56 |
1.49 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,098.60 |
6.54 |
1.24 |
| Hypothetical |
1,000.00 |
1,018.90 |
6.29 |
1.24 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,099.60 |
5.22 |
0.99 |
| Hypothetical |
1,000.00 |
1,020.16 |
5.03 |
0.99 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,101.10 |
4.44 |
0.84 |
| Hypothetical |
1,000.00 |
1,020.91 |
4.27 |
0.84 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,101.00 |
3.91 |
0.74 |
| Hypothetical |
1,000.00 |
1,021.42 |
3.76 |
0.74 |
| JPMorgan SMID Cap Equity Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,046.00 |
5.61 |
1.09 |
| Hypothetical |
1,000.00 |
1,019.66 |
5.53 |
1.09 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,042.90 |
8.16 |
1.59 |
| Hypothetical |
1,000.00 |
1,017.14 |
8.06 |
1.59 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,046.80 |
4.32 |
0.84 |
| Hypothetical |
1,000.00 |
1,020.91 |
4.27 |
0.84 |
| December 31, 2023 |
J.P. Morgan Small Cap Funds |
129 |
SCHEDULE
OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan SMID Cap Equity Fund (continued) |
|
|
|
|
| Class R3 |
|
|
|
|
| Actual |
$1,000.00 |
$1,045.80 |
$5.61 |
1.09 % |
| Hypothetical |
1,000.00 |
1,019.66 |
5.53 |
1.09 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,046.70 |
4.32 |
0.84 |
| Hypothetical |
1,000.00 |
1,020.91 |
4.27 |
0.84 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,048.10 |
3.04 |
0.59 |
| Hypothetical |
1,000.00 |
1,022.17 |
3.00 |
0.59 |
| JPMorgan U.S. Small Company Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,061.60 |
6.17 |
1.19 |
| Hypothetical |
1,000.00 |
1,019.15 |
6.04 |
1.19 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,058.20 |
8.74 |
1.69 |
| Hypothetical |
1,000.00 |
1,016.64 |
8.57 |
1.69 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,062.60 |
4.87 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class L |
|
|
|
|
| Actual |
1,000.00 |
1,063.40 |
4.25 |
0.82 |
| Hypothetical |
1,000.00 |
1,021.01 |
4.17 |
0.82 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,059.40 |
7.71 |
1.49 |
| Hypothetical |
1,000.00 |
1,017.65 |
7.56 |
1.49 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,061.60 |
6.32 |
1.22 |
| Hypothetical |
1,000.00 |
1,019.00 |
6.19 |
1.22 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,062.30 |
5.03 |
0.97 |
| Hypothetical |
1,000.00 |
1,020.26 |
4.93 |
0.97 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,063.40 |
4.25 |
0.82 |
| Hypothetical |
1,000.00 |
1,021.01 |
4.17 |
0.82 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,064.30 |
3.74 |
0.72 |
| Hypothetical |
1,000.00 |
1,021.52 |
3.66 |
0.72 |
| |
|
| * |
Expenses are equal to each Class’ respective annualized net expense ratio, multiplied by the average account value over the period, multiplied
by 184/366 (to reflect the one-half year period). |
| 130 |
J.P. Morgan Small Cap Funds |
December 31, 2023
|
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board
of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further
enhance the effectiveness of the Board’s oversight and decision making. The Board and
its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant
to their annual consideration of the continuation of the investment advisory agreements.
The Board also met for the specific purpose of considering the continuation of the investment
advisory agreement annual renewals. The Board held meetings June 20-21, 2023 and August
8-10, 2023, 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 each 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
parties to an Advisory Agreement or “interested persons” (as defined in the
Investment Company Act of 1940) of any party to an Advisory Agreement or any of their affiliates,
approved the continuation of each Advisory Agreement on August 10, 2023.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other
information about the Funds received from J.P. Morgan Investment Management Inc. (the
“Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In
addition, at each of their regular meetings throughout the year, the Trustees considered reports
on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (“independent consultant”). 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. and/or
Morningstar Inc., independent providers of investment company data (together,
“Broadridge”). The Trustees’ independent consultant also provided
additional quantitative and statistical analyses of the Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory
Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser,
counsel to the Funds, and independent legal counsel to the Trustees, 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. Among other things, the Trustees
considered:
• The background and experience of the Adviser’s senior management and investment personnel, including
personnel changes, if any;
• The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including
personnel changes, if any;
• The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
• Information about the structure and distribution strategy for each Fund and how it fits within the
Adviser’s other fund offerings within the J.P. Morgan Funds complex;
• The administration services provided by the Adviser in its role as Administrator;
| |
|
131 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
• Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the
financial industry generally;
• 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 requests for additional information, 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.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the 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
from 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 and reviewed with the Board. 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 JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds
for providing shareholder and administration 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 (although they are retained by JPMDS in certain
instances). The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A.
(“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other
related services for each Fund, and the profitability of the arrangements to JPMCB.
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 benefits that may be received by the Adviser and its affiliates in connection with the
Funds’ potential investments in other funds advised by the Adviser. 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, as well as the Adviser’s use of affiliates to
provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential 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 certain Funds with contractual
expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s
shareholders to share potential economies of scale from a Fund’s inception, prior to
reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased no longer had Fee Caps in place for some or all of their share classes, but shared
economies of scale through lower average expenses. The Trustees noted that the fees remain
fair and reasonable relative to 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
| 132 |
|
|
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 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, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale
and no longer had Fee Caps in place for some or all of their share classes, the relevant
Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds
and their shareholders. The Trustees noted that the Adviser’s reinvestment 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 Small Cap Growth Fund, Small Cap
Value Fund, and SMID Cap 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.
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, to the extent applicable, institutional separate accounts, collective investment
trusts, other registered investment companies and/or private 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 investment companies relative to the Adviser’s other
clients and noted differences, as applicable, in the fee structure and 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 investment company 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 applicable registered investment
company, typically bears the sub-advisory fee and that many responsibilities related to the
advisory function are typically 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 receive and consider information about each Fund’s performance throughout the year. In
addition, the Trustees received and considered absolute and/or relative performance information
for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds’
selected share classes with the same Broadridge investment classification and objective (the
“Universe”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in each Fund’s
Universe, and noted that Universe quintile rankings were not calculated if the number of funds in
the Universe did not meet a predetermined minimum. The Broadridge 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 for the Funds 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 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 fourth, third and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively.
The Trustees noted that the performance for Class I shares was in the fifth, third and
first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth and third quintiles of the Universe
for the one- and three-year periods ended December 31, 2022, 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 Small Cap Equity Fund’s performance for Class A shares was in the third, third and second quintiles of the Universe for the one-, three- and
five-year periods ended December 31, 2022, respectively. The Trustees noted that the
performance for Class I and Class R6 shares was in the second, third and first quintiles of the Universe for the
| |
|
133 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
one-,
three- and five-year periods ended December 31, 2022, 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 Growth Fund’s performance for Class A and Class R6 shares was in
the fourth, fourth and third quintiles of the Universe for the one-, three- and five-year periods
ended December 31, 2022, respectively. The Trustees noted that the performance for Class I shares was in the fourth, fifth and third quintiles of the Universe for the one-, three- and five-year periods ended
December 31, 2022, 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 Small Cap Sustainable Leaders Fund’s performance for Class A, Class R5 and
Class R6 shares was in the fifth quintiles of the Universe for each of the one-, three- and
five-year periods ended December 31, 2022. 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 Small Cap Value Fund’s
performance for Class A and Class I shares was in the fourth, third and fourth quintiles of the
Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that the performance for Class R6 shares was in the fourth, third and third quintiles of the
Universe for the one-, three-, and five-year periods ended December 31, 2022, 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 SMID Cap Equity Fund’s
performance for Class A, Class I and Class R6 shares was in the fourth, fifth and fifth quintiles
of the Universe for the one-, three- and five-year periods ended December 31, 2022,
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 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. Small Company Fund’s performance for Class A, Class I and Class R6
shares was in the third, second and third quintiles of the Universe for the one-, three- and
five-year periods ended December 31, 2022, 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 concerning
management fee rates paid by other funds’ selected share classes in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that
Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee
and administration fee rates. The Trustees also reviewed information about other expenses
and the expense ratios for each Fund and noted that Universe and Peer Group quintile 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 for each share class, as applicable, 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
can be 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 shares was in the second quintile of both the Peer Group and Universe, and that the
actual total expenses for Class A shares were in the fourth and third quintiles of the Peer Group
and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was
| 134 |
|
|
in the second quintile of both the Peer
Group and Universe, and that the actual total expenses for Class I shares were in the second and
third quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintile of the Peer Group and Universe, respectively, and that
the actual total expenses for Class R6 shares were in the first quintile of 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 fair and reasonable in light of the services provided to the
Fund.
The Trustees noted that the Small Cap Equity Fund’s net advisory fee for Class A shares was in the third and second quintiles of the Peer Group and Universe,
respectively, and that the actual total expenses for Class A shares were in the fifth and fourth
quintiles of 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 of the Peer Group and Universe, respectively, and that the actual
total expenses for Class I shares were in the second and fourth quintiles of the Peer Group and
Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in
the second and first quintiles of 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 fair and reasonable 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 of both the Peer Group and Universe, and that the
actual total expenses were in the fourth and third quintiles of the Peer Group and Universe,
respectively. The Trustees noted that the net advisory fee for Class I shares was in the second quintiles of both the Peer Group and Universe, and that the actual total expenses were in the first and third quintiles of
the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for
Class R6 shares was in the second quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second and first quintiles of the Peer Group and Universe,
respectively. After considering the factors identified above, in light of this information,
in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The
Trustees noted that the Small Cap Sustainable Leaders Fund’s net advisory fee and actual total expenses for Class A shares was in the first quintile of the Universe. Broadridge did not calculate quintile rankings for the
Peer Group for Class A shares of this Fund due to the limited number of funds in the Peer Groups.
The Trustees noted that the net advisory fee for
Class R5 and Class R6 shares was in the first quintile of both the Peer Group and Universe, and that the
actual total expenses for Class R5 and Class R6 shares were also in the first quintile of 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 fair and reasonable 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 of both the Peer Group and Universe, and that the
actual total expenses for Class A shares were in the third and second quintiles of 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 of the Peer Group and Universe, respectively, and that the actual total
expenses for Class I shares were in the first and third quintiles of 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 of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares
were in the second and first quintiles of 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 fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the SMID Cap Equity Fund’s net advisory fee for Class A shares was in the first quintile of both the Peer Group and Universe, and that the
actual total expenses for Class A shares were in the first and second quintiles of the Peer Group
and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the second and first quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class I
shares were in the first and second quintiles of the Peer Group and Universe, respectively.
The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were both in the first quintile of 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 fair and reasonable 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 of the Peer Group and Universe,
respectively, and that the actual total expenses for Class A shares were in the third and second
quintiles of 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 of the Peer Group and Universe, respectively, and that the actual
total expenses for Class I shares were in the second and third quintiles of 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 of the Peer Group and Universe, respectively,
| |
|
135 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
and that
the actual total expenses for Class R6 shares were in the first quintile of 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 fair and reasonable in light of the services provided to the Fund.
| 136 |
|
|
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 as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports 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.
Effective January 24, 2023, the SEC adopted rule and form amendments that will result in changes to the design and
delivery of shareholder reports of mutual funds and ETFs, requiring them to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.
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.
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., 2023. All rights reserved. December
2023.
SAN-SC-1223
Semi-Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
December 31, 2023 (Unaudited)
| JPMorgan Growth
Advantage Fund |
| JPMorgan Mid Cap
Equity Fund |
| JPMorgan Mid Cap
Growth Fund |
| JPMorgan Mid Cap
Value Fund |
| JPMorgan Value
Advantage Fund |
CONTENTS
| |
|
| 1 | |
| 2 | |
| | |
| 3 | |
| 5 | |
| 8 | |
| 11 | |
| 14 | |
| 18 | |
| 34 | |
| 54 | |
| 74 | |
| 88 | |
| 91 |
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.
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.
Letter to Shareholders
February 7, 2024 (Unaudited)
Dear Shareholder,
U.S.
equity markets surged through the end of 2023 and into early 2024 as the risk of economic recession receded and the prospect of lower interest rates drove investor optimism. Globally, financial markets largely generated
positive returns, despite heightened geopolitical tensions and signs of economic weakness across
Europe and China.
 |
“Investors appear to have begun 2024 with a positive outlook, with the U.S. economy and its financial markets leading global growth.” — Brian S. Shlissel |
Inflation pressures eased sufficiently during the second half of 2023 to allow the U.S. Federal Reserve (the
“Fed”) to hold the benchmark discount interest rate at 5.25% at its June 2023
meeting, ending a string of 10 consecutive interest rate increases. The Fed raised rates once
more in July 2023, then held the benchmark rate at 5.50% for the remainder of the
2023.
In the face of
elevated interest rates, the U.S. economy proved surprisingly resilient and largely led developed markets in growth through the end of 2023. Gross domestic product outpaced economists’ consensus expectations with
a 4.9% jump in the third quarter and estimated growth of 3.3% in the fourth quarter. Though the
U.S. economy continued to expand, inflation data indicated that the Fed’s efforts to cool the
domestic economy appeared to be effective.
Certain other measures of the U.S. economy showed little sign of weakness. Consumer spending remained elevated
in the second half of 2023 and rose month-to-month to reach approximately $709.9 billion in
retail sales in December 2023. The unemployment rate settled at 3.7% in the final two months of
2023 as approximately 333,000 jobs were added in December alone. Further, an estimated 353,000 jobs were added in January 2024, approximately double the increase anticipated by certain economists.
Both equity and bond markets in the U.S. performed
well, buoyed by the overall strength shown by the U.S. economy and the apparent turn in Fed
policy. Stronger-than-expected consumer spending and corporate earnings, as well as investor
expectations for artificial-intelligence-driven productivity gains bolstered demand for equities
in recent months. Certain leading U.S. equity indexes returned more than 9% in November and in
excess of 5% in December 2023. In January 2024, the S&P 500 Index reached six new closing highs and surpassed 4,800 points for the first time. However, equity market gains were not broadly spread: The largest
10 stocks in the S&P 500 Index comprised approximately 90% of the index’s price gains
for all of 2023.
While U.S. financial markets largely appeared to withstand increased geopolitical tensions in 2023, the potential for the conflicts in Ukraine and Israel to expand in
intensity and geography may threaten global economic growth and increase market volatility.
Additionally, the Fed may be forced to change policy should the strength of U.S. economy recede or the downward trend in inflation were to reverse.
Investors appear to have begun 2024 with a positive outlook, with the U.S. economy and its financial markets
leading global growth. While risks to the growth outlook remain, we believe investors who hold a
well-diversified portfolio over the long term should be positioned to benefit from positive economic trends.
Our suite of investment
solutions seeks to provide investors with the ability to build durable portfolios that meet their
financial goals, regardless of macroeconomic and geopolitical uncertainties.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
1 |
J.P. Morgan Mid
Cap/Multi-Cap Funds
MARKET OVERVIEW
SIX MONTHS ENDED December 31,
2023 (Unaudited)
U.S. equity markets largely rallied in the final two months
of 2023, rebounding from three months of declines to generate positive returns for the six month period. Investor demand for large cap stocks in the technology and
communications sectors was a leading driver of equity market returns. Bond markets generally provided positive returns but underperformed equity markets.
After raising its policy benchmark interest rates by 0.25% in July 2023, the U.S. Federal Reserve (the
“Fed”) declined to raise rates further at its next three meetings for the year. More importantly for investors, the central bank stated in December 2023 that it
could begin to lower interest rates in the first half of 2024, if inflationary pressures continued to recede.
While the U.S. economic growth showed signs of slowing in mid-2023, third-quarter gross domestic product exceeded
economists’ consensus expectations with a 4.9% increase. Growth was largely driven by resilient consumer spending and inventory building by businesses. The unemployment rate in the U.S. remained historically low at 3.8% for most of the six-month period before settling at 3.7% in December 2023. The data and the outlook for interest rates fed investor expectations that the U.S. could avoid an economic recession in 2024.
U.S. equities
generally outperformed both international developed markets and emerging markets equities for the period. Overall, gains in U.S. markets were led by large capitalization
stocks in the technology and communications sectors, particularly the so-called Magnificent Seven: Apple Inc., Amazon.com Inc., Alphabet Inc., Meta Platforms Inc., Microsoft
Corp., Nvidia Corp. and Tesla Inc. At the end of 2023, the 10 largest companies in the S&P 500 Index accounted for 31.2% of the index’s total market
capitalization. Notably, only within small cap stocks did value outperform growth for the period.
Investor expectations that the Fed and private sector banks could begin to lower their interest rates sparked a
broad rally in U.S. fixed income markets in the final two months of 2023. Overall, lower quality bonds, high yield bonds (also known a junk bonds) and emerging markets debt outperformed U.S. Treasury bonds and higher quality U.S. corporate debt.
| 2 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
JPMorgan Growth Advantage
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class A Shares, without a sales charge) * |
9.59% |
| Russell 3000 Growth Index |
10.28% |
| Net Assets as of 12/31/2023 (In Thousands) |
$17,238,521 |
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, 2023.
The Fund’s security selection in the health care and industrials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security
selection in the technology and consumer discretionary sectors was a leading contributor to
relative performance.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark position in SolarEdge Technologies Inc. and its overweight
positions in Confluent Inc. and Exact Sciences Inc. Shares of SolarEdge Technologies, a
manufacturer of semiconductor materials and equipment for the solar energy industry, fell amid
lower-than-expected reported sales during the period and weakness in the broader solar energy
sector. Shares of Confluent, a software developer, fell sharply after the company issued a weaker than expected earnings forecast. Shares of Exact Sciences, a provider of cancer screening and medical diagnostic tests, fell
following a rally in the shares in the first half of 2023.
Leading individual contributors to relative performance included the Fund’s underweight position in
Apple Inc. and its overweight positions in Intuit Inc. and Uber Technologies Inc. Shares of
Apple, a diversified information technology provider, fell late in the period following a rally that pushed the company’s share price to a record high on December 14, 2023. Shares of Intuit, a financial software
developer, rose after the company reported better-than-expected earnings and revenue for its
fiscal first quarter. Shares of Uber Technologies, a ride-hailing service, rose amid increased bookings and after the company was included in the S&P 500 Index.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
10.0 % |
| 2.
|
Apple, Inc. |
6.9 |
| 3. |
Amazon.com, Inc. |
6.0 |
| 4.
|
NVIDIA Corp. |
4.8 |
| 5. |
Meta Platforms, Inc., Class A |
4.6 |
| 6.
|
Alphabet, Inc., Class C |
4.1 |
| 7. |
Mastercard, Inc., Class A |
3.3 |
| 8.
|
Broadcom, Inc. |
2.3 |
| 9. |
Tesla, Inc. |
2.2 |
| 10.
|
Eli Lilly & Co. |
2.1 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
38.3% |
| Consumer Discretionary |
14.9 |
| Health Care |
12.1 |
| Communication Services |
11.6 |
| Industrials |
10.3 |
| Financials |
8.1 |
| Energy |
2.2 |
| Others (each less than 1.0%) |
0.9 |
| Short-Term Investments |
1.6 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset values in accordance with accounting principles generally
accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
3 |
JPMorgan Growth Advantage
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
October 29, 1999 |
|
|
|
|
| With Sales Charge ** |
|
3.84 % |
32.47 % |
18.58 % |
14.12 % |
| Without Sales Charge |
|
9.59 |
39.80 |
19.86 |
14.74 |
| CLASS C SHARES |
May 1, 2006 |
|
|
|
|
| With CDSC *** |
|
8.35 |
38.05 |
19.26 |
14.28 |
| Without CDSC |
|
9.35 |
39.05 |
19.26 |
14.28 |
| CLASS I SHARES |
May 1, 2006 |
9.77 |
40.16 |
20.16 |
14.99 |
| CLASS R2 SHARES |
July 31, 2017 |
9.46 |
39.38 |
19.55 |
14.44 |
| CLASS R3 SHARES |
May 31, 2017 |
9.61 |
39.78 |
19.85 |
14.73 |
| CLASS R4 SHARES |
May 31, 2017 |
9.76 |
40.14 |
20.16 |
15.01 |
| CLASS R5 SHARES |
January 8, 2009 |
9.82 |
40.35 |
20.33 |
15.18 |
| CLASS R6 SHARES |
December 23, 2013 |
9.89 |
40.47 |
20.46 |
15.30 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 than those shown because Class R4 Shares have different expenses to Class I Shares.
The graph illustrates
comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund and the Russell 3000 Growth Index from December 31, 2013 to December 31, 2023. 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total
return shown above for Class C Shares reflects Class A Share's performance for the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| 4 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
JPMorgan Mid Cap Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
6.99% |
| Russell Midcap Index |
7.54% |
| Net Assets as of 12/31/2023 (In Thousands) |
$3,953,727 |
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, 2023.
The Fund’s security selection in the industrials and energy sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security
selection in the consumer discretionary and consumer staples sectors was a leading contributor to
relative performance.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark position in SolarEdge Technologies Inc. and its overweight
positions in LKQ Corp. and Confluent Inc. Shares of SolarEdge Technologies, a manufacturer of
semiconductor materials and equipment for the solar energy industry, fell amid lower-than-expected
reported sales during the period and weakness in the broader solar energy sector. Shares of LKQ,
an automotive parts distributor, fell after the company reported lower-than-expected earnings for
the third quarter of 2023. Shares of Confluent, a software developer, fell sharply after the company issued a weaker than expected earnings forecast.
Leading individual contributors to relative performance included the Fund’s overweight positions in ITT
Inc., CrowdStrike Holdings Inc., and Jabil Inc. Shares of ITT, a manufacturer of industrial
machinery and components, rose amid consecutive quarters of better-than-expected earnings during
the period. Shares of CrowdStrike Holdings, a data security software provider, rose amid surging corporate demand for cybersecurity and artificial intelligence technologies. Shares of Jabil, an electronics
manufacturer, rose after the company reported better-than-expected earnings and revenue for its
fiscal first quarter.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
ITT, Inc. |
1.4 % |
| 2.
|
AMETEK, Inc. |
1.3 |
| 3. |
Hubbell, Inc., Class B |
1.3 |
| 4.
|
Ameriprise Financial, Inc. |
1.2 |
| 5. |
Loews Corp. |
1.2 |
| 6.
|
Raymond James Financial, Inc. |
1.2 |
| 7. |
Teledyne Technologies, Inc. |
1.1 |
| 8.
|
Amphenol Corp., Class A |
1.1 |
| 9. |
Cencora, Inc. |
1.1 |
| 10.
|
Snap-on, Inc. |
1.0 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
17.0% |
| Industrials |
16.6 |
| Information Technology |
13.1 |
| Health Care |
11.7 |
| Consumer Discretionary |
11.6 |
| Real Estate |
7.2 |
| Utilities |
4.7 |
| Materials |
4.4 |
| Energy |
3.6 |
| Consumer Staples |
3.2 |
| Communication Services |
2.8 |
| 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
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
5 |
JPMorgan Mid Cap Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
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.
| 6 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
November 2, 2009 |
|
|
|
|
| With Sales Charge ** |
|
1.24 % |
9.79 % |
12.29 % |
9.03 % |
| Without Sales Charge |
|
6.85 |
15.87 |
13.51 |
9.61 |
| CLASS C SHARES |
November 2, 2009 |
|
|
|
|
| With CDSC *** |
|
5.60 |
14.30 |
12.95 |
9.18 |
| Without CDSC |
|
6.60 |
15.30 |
12.95 |
9.18 |
| CLASS I SHARES |
January 1, 1997 |
6.99 |
16.16 |
13.80 |
9.93 |
| CLASS R2 SHARES |
March 14, 2014 |
6.71 |
15.58 |
13.23 |
9.35 |
| CLASS R5 SHARES |
March 14, 2014 |
7.06 |
16.34 |
13.97 |
10.07 |
| CLASS R6 SHARES |
March 14, 2014 |
7.13 |
16.48 |
14.08 |
10.16 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
Returns for Class R2
Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of 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 $1,000,000 invested in the Class I Shares of JPMorgan Mid Cap Equity Fund and the Russell Midcap Index from December 31, 2013 to December
31, 2023. 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 Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total
return shown above for Class C Shares reflects Class A Share's performance for the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
7 |
JPMorgan Mid Cap Growth
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
7.02% |
| Russell Midcap Growth Index |
8.56% |
| Net Assets as of 12/31/2023 (In Thousands) |
$10,349,519 |
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 underperformed the Russell Midcap Growth Index (the “Benchmark”)
for the six months ended December 31, 2023.
The Fund’s security selection in the technology and industrials sectors was a leading detractor from
performance relative to the Benchmark, while the Fund’s security selection in the consumer
discretionary sector and its underweight position in the consumer staples sectors were leading contributors to relative performance.
Leading individual
detractors from relative performance included the Fund’s out-of-Benchmark position in SolarEdge Technologies Inc. and its overweight positions in Confluent Inc. and Exact Sciences Inc. Shares of SolarEdge
Technologies, a manufacturer of semiconductor materials and equipment for the solar energy
industry, fell amid lower-than-expected reported sales during the period and weakness in the broader solar energy sector. Shares of Confluent, a software developer, fell sharply after the company issued a
weaker-than-expected earnings forecast. Shares of Exact Sciences, a provider of cancer screening
and medical diagnostic tests, fell following a rally in the shares in the first half of 2023.
Leading individual contributors to relative performance included the Fund’s overweight position in
CrowdStrike Holdings Inc., its out-of-Benchmark position in Uber Technologies Inc. and its
underweight position in Paycom Software Inc. Shares of CrowdStrike Holdings, a data security
software provider, rose amid surging corporate demand for cybersecurity and artificial
intelligence technologies. Shares of Uber Technologies, a ride-hailing service, rose amid increased
bookings and after the company was included in the S&P 500 Index. Shares of Paycom Software,
a provider of business management software, fell after the company reported lower-than-expected
revenue for the third quarter of 2023 and issued a weaker-than-expected revenue forecast for the fourth quarter of 2023.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual
companies in an effort to construct a portfolio of stocks that have strong fundamentals. The
Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings
growth.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Crowdstrike Holdings, Inc., Class A |
2.4 % |
| 2.
|
Ross Stores, Inc. |
2.3 |
| 3. |
Cheniere Energy, Inc. |
2.0 |
| 4.
|
Trane Technologies plc |
1.9 |
| 5. |
Copart, Inc. |
1.9 |
| 6.
|
Agilent Technologies, Inc. |
1.8 |
| 7. |
Dexcom, Inc. |
1.7 |
| 8.
|
Trade Desk, Inc. (The), Class A |
1.6 |
| 9. |
MongoDB, Inc. |
1.5 |
| 10.
|
DoorDash, Inc., Class A |
1.4 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
24.0% |
| Health Care |
19.7 |
| Industrials |
19.0 |
| Consumer Discretionary |
14.6 |
| Financials |
10.6 |
| Energy |
3.7 |
| Communication Services |
2.8 |
| Consumer Staples |
1.1 |
| Others (each less than 1.0%) |
0.3 |
| 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
| 8 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
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.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
9 |
JPMorgan Mid Cap Growth
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 18, 1992 |
|
|
|
|
| With Sales Charge ** |
|
1.30 % |
16.38 % |
13.98 % |
10.28 % |
| Without Sales Charge |
|
6.91 |
22.83 |
15.21 |
10.87 |
| CLASS C SHARES |
November 4, 1997 |
|
|
|
|
| With CDSC *** |
|
5.61 |
21.19 |
14.63 |
10.43 |
| Without CDSC |
|
6.61 |
22.19 |
14.63 |
10.43 |
| CLASS I SHARES |
March 2, 1989 |
7.02 |
23.11 |
15.54 |
11.20 |
| CLASS R2 SHARES |
June 19, 2009 |
6.73 |
22.44 |
14.89 |
10.61 |
| CLASS R3 SHARES |
September 9, 2016 |
6.88 |
22.73 |
15.18 |
10.86 |
| CLASS R4 SHARES |
September 9, 2016 |
7.01 |
23.06 |
15.47 |
11.13 |
| CLASS R5 SHARES |
November 1, 2011 |
7.09 |
23.24 |
15.68 |
11.35 |
| CLASS R6 SHARES |
November 1, 2011 |
7.14 |
23.35 |
15.76 |
11.41 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
Returns for the Class
R3 and Class R4 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 graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Mid Cap Growth Fund and the Russell Midcap Growth Index from December 31, 2013 to
December 31, 2023. 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for
the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| 10 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
JPMorgan Mid Cap Value
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class L
Shares) * |
7.05% |
| Russell Midcap Value Index |
7.11% |
| Net Assets as of 12/31/2023 (In Thousands) |
$13,174,819 |
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, 2023.
The Fund’s security selection in the consumer discretionary and financials sector was a leading detractor from performance relative to the Benchmark, while the Fund’s
security selection in the information technology and materials sectors was a leading contributor
to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in LKQ Corp. and IAC Inc., and its underweight position in
Coinbase Global Inc.
Shares of LKQ, an automotive parts distributor, fell after the company reported lower-than-expected earnings for the third quarter of 2023. Shares of IAC, a provider of
interactive media and services, fell amid consecutive quarters of lower-than-expected earnings.
Shares of Coinbase Global, a cryptocurrency exchange provider, rose amid a broad rally among stocks in the cryptocurrency subsector late in the period.
Leading individual contributors to relative performance included the Fund’s overweight positions in
GoDaddy Inc., ITT Inc. and Expedia Group Inc. Shares of GoDaddy, an e-commerce platform provider,
rose after the company reported better-than-expected earnings and revenue for the third quarter
of 2023 and investor expectations for the company’s artificial intelligence technology. Shares of ITT, a manufacturer of industrial machinery and components, rose amid consecutive quarters of better-than-expected
earnings during the period. Shares of Expedia Group, an online travel and vacation booking
service, rose after the company reported better-than-expected earnings and revenue for the third
quarter and unveiled a $5 billion share repurchase plan.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Ameriprise Financial, Inc. |
2.0 % |
| 2.
|
Loews Corp. |
1.9 |
| 3. |
Cencora, Inc. |
1.7 |
| 4.
|
Snap-on, Inc. |
1.7 |
| 5. |
Hubbell, Inc., Class B |
1.6 |
| 6.
|
ITT, Inc. |
1.6 |
| 7. |
Martin Marietta Materials, Inc. |
1.6 |
| 8.
|
CMS Energy Corp. |
1.6 |
| 9. |
M&T Bank Corp. |
1.5 |
| 10.
|
Lincoln Electric Holdings, Inc. |
1.5 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
20.9% |
| Industrials |
15.6 |
| Real Estate |
11.3 |
| Consumer Discretionary |
10.1 |
| Health Care |
7.5 |
| Utilities |
7.4 |
| Information Technology |
7.4 |
| Materials |
6.8 |
| Consumer Staples |
4.5 |
| Energy |
3.6 |
| Communication Services |
2.9 |
| Short-Term Investments |
2.0 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset values in accordance with accounting principles generally
accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
11 |
JPMorgan Mid Cap Value
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
April 30, 2001 |
|
|
|
|
| With Sales Charge ** |
|
1.26 % |
5.03 % |
9.40 % |
7.07 % |
| Without Sales Charge |
|
6.86 |
10.86 |
10.59 |
7.65 |
| CLASS C SHARES |
April 30, 2001 |
|
|
|
|
| With CDSC *** |
|
5.58 |
9.29 |
10.03 |
7.21 |
| Without CDSC |
|
6.58 |
10.29 |
10.03 |
7.21 |
| CLASS I SHARES |
October 31, 2001 |
7.00 |
11.13 |
10.86 |
7.91 |
| CLASS L SHARES |
November 13, 1997 |
7.05 |
11.29 |
11.08 |
8.15 |
| CLASS R2 SHARES |
November 3, 2008 |
6.74 |
10.56 |
10.30 |
7.37 |
| CLASS R3 SHARES |
September 9, 2016 |
6.85 |
10.84 |
10.58 |
7.65 |
| CLASS R4 SHARES |
September 9, 2016 |
6.99 |
11.11 |
10.86 |
7.91 |
| CLASS R5 SHARES |
September 9, 2016 |
7.07 |
11.29 |
11.03 |
8.10 |
| CLASS R6 SHARES |
September 9, 2016 |
7.10 |
11.38 |
11.14 |
8.18 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 date 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 different than those shown
because 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 Mid Cap Value Fund and the Russell Midcap Value Index from December 31, 2013 to
December 31, 2023. 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 Mid-cap 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total
return shown above for Class C Shares reflects Class A Share's performance for the period after conversion.
| 12 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
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.
Frank Russell Company is the source and
owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related
thereto. Frank Russell
Company is not responsible for the formatting or configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
13 |
JPMorgan Value Advantage
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class L
Shares) * |
8.03% |
| Russell 3000 Value Index |
6.36% |
| Net Assets as of 12/31/2023 (In Thousands) |
$8,856,218 |
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, 2023.
The Fund’s security
selection in the health care and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s underweight positions in the information technology and
industrials sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight position in
Capital One Financial Corp. and its underweight positions in Pfizer Inc. and Exxon Mobil Corp.
Shares of Capital One Financial, a credit card and consumer banking provider, rose after the company reported consecutive quarters of better-than-expected earnings and amid investor expectations that banks would
generally benefit from lower interest rates in 2024. Shares of Pfizer, a pharmaceuticals
developer and health care products manufacturer not held in the Fund, fell after the company
issued a weaker-than-expected earnings forecast. Shares of Exxon Mobil, an integrated petroleum
and natural gas producer, fell after the company reported lower-than-expected earnings and
revenue for the third quarter of 2023, and amid investor concerns over increased regulatory scrutiny of the company’s proposed $60 billion takeover of Pioneer Natural Resources Co.
Leading individual detractors from relative performance included the Fund’s underweight positions in
Intel Inc. and JPMorgan Chase & Co., and its overweight position in Bristol-Myers Squibb Co.
Shares of Intel, a semiconductor manufacturer not held in the Fund, rose amid broad demand for
artificial intelligence technologies and after the company obtained a $3.2 billion grant from Israel to build a factory there. Shares of JPMorgan Chase, a banking and financial services company that the Fund is prohibited from holding
because it is an affiliate, rose amid consecutive quarters of better-than-expected earnings and
investor expectations that the company
would benefit from lower interest rates in 2024. Shares of Bristol-Myers Squibb, a developer and manufacturer
of pharmaceuticals, fell after the company reported a decline in sales for the third quarter of
2023, amid increased competition from generic versions of the company’s leading anti-cancer
drug.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Berkshire Hathaway, Inc., Class B |
3.0 % |
| 2.
|
Capital One Financial Corp. |
2.6 |
| 3. |
Wells Fargo & Co. |
2.4 |
| 4.
|
Bank of America Corp. |
2.0 |
| 5. |
M&T Bank Corp. |
1.9 |
| 6.
|
ConocoPhillips |
1.9 |
| 7. |
AbbVie, Inc. |
1.8 |
| 8.
|
Loews Corp. |
1.7 |
| 9. |
Chevron Corp. |
1.6 |
| 10.
|
Martin Marietta Materials, Inc. |
1.4 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
26.5% |
| Health Care |
13.4 |
| Real Estate |
9.7 |
| Industrials |
8.8 |
| Consumer Discretionary |
8.6 |
| Energy |
8.2 |
| Consumer Staples |
6.0 |
| Communication Services |
4.6 |
| Materials |
4.5 |
| Information Technology |
4.3 |
| Utilities |
3.7 |
| Short-Term Investments |
1.7 |
| 14 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
*
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.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
15 |
JPMorgan Value Advantage
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 28, 2005 |
|
|
|
|
| With Sales Charge ** |
|
2.16 % |
3.73 % |
9.64 % |
7.45 % |
| Without Sales Charge |
|
7.82 |
9.48 |
10.83 |
8.03 |
| CLASS C SHARES |
February 28, 2005 |
|
|
|
|
| With CDSC *** |
|
6.57 |
7.94 |
10.28 |
7.60 |
| Without CDSC |
|
7.57 |
8.94 |
10.28 |
7.60 |
| CLASS I SHARES |
February 28, 2005 |
7.98 |
9.78 |
11.11 |
8.30 |
| CLASS L SHARES |
February 28, 2005 |
8.03 |
9.90 |
11.27 |
8.50 |
| CLASS R2 SHARES |
July 31, 2017 |
7.68 |
9.20 |
10.55 |
7.76 |
| CLASS R3 SHARES |
September 9, 2016 |
7.82 |
9.47 |
10.83 |
8.03 |
| CLASS R4 SHARES |
September 9, 2016 |
7.97 |
9.76 |
11.11 |
8.30 |
| CLASS R5 SHARES |
September 9, 2016 |
8.04 |
9.91 |
11.27 |
8.49 |
| CLASS R6 SHARES |
September 9, 2016 |
8.10 |
10.00 |
11.38 |
8.57 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 date are based on the performance of Class L Shares. The actual returns for Class R5 and Class R6 Shares would have been
different than those shown because Class R5 and Class R6 Shares have different expenses to Class L Shares.
The graph illustrates comparative performance
for $3,000,000 invested in Class L Shares of the JPMorgan Value Advantage Fund and the Russell 3000
Value Index from December 31, 2013 to December 31, 2023. 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 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. 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 on gains resulting
from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8
years, the 10 year average annual total return shown above for Class C Shares reflects Class A
Share's performance for the period after conversion.
| 16 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
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.
Frank Russell Company is the source and
owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related
thereto. Frank Russell
Company is not responsible for the formatting or configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
17 |
JPMorgan Growth Advantage
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 98.5% | ||
| Automobiles — 2.2% | ||
| Tesla, Inc. * |
1,551 |
385,464 |
| Beverages — 0.5% | ||
| Constellation Brands, Inc., Class A |
364 |
88,081 |
| Biotechnology — 3.8% | ||
| Alnylam Pharmaceuticals, Inc. * |
523 |
100,197 |
| Exact Sciences Corp. * |
1,855 |
137,255 |
| Natera, Inc. * (a) |
1,340 |
83,944 |
| Regeneron Pharmaceuticals, Inc. * |
389 |
341,203 |
| |
|
662,599 |
| Broadline Retail — 6.0% | ||
| Amazon.com, Inc. * |
6,786 |
1,031,036 |
| Building Products — 1.4% | ||
| Trane Technologies plc |
970 |
236,623 |
| Capital Markets — 3.9% | ||
| Blackstone, Inc. |
1,878 |
245,807 |
| Morgan Stanley |
2,294 |
213,942 |
| S&P Global, Inc. |
491 |
216,445 |
| |
|
676,194 |
| Commercial Services & Supplies — 1.0% | ||
| Copart, Inc. * |
3,612 |
176,973 |
| Communications Equipment — 0.6% | ||
| Arista Networks, Inc. * |
446 |
105,150 |
| Construction & Engineering — 1.7% | ||
| AECOM |
894 |
82,573 |
| Quanta Services, Inc. |
946 |
204,185 |
| |
|
286,758 |
| Distributors — 0.4% | ||
| Pool Corp. |
168 |
67,018 |
| Electrical Equipment — 1.5% | ||
| AMETEK, Inc. |
1,045 |
172,246 |
| Hubbell, Inc., Class B |
246 |
81,072 |
| |
|
253,318 |
| Electronic Equipment, Instruments & Components — 0.8% | ||
| Jabil, Inc. (a) |
1,027 |
130,773 |
| Energy Equipment & Services — 0.9% | ||
| TechnipFMC plc (United Kingdom) |
7,520 |
151,462 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Entertainment — 2.1% | ||
| Netflix, Inc. * |
376 |
183,140 |
| Take-Two Interactive Software, Inc. * |
1,109 |
178,487 |
| |
|
361,627 |
| Financial Services — 3.3% | ||
| Mastercard, Inc., Class A |
1,323 |
564,367 |
| Ground Transportation — 2.8% | ||
| JB Hunt Transport Services, Inc. |
556 |
110,959 |
| Old Dominion Freight Line, Inc. |
282 |
114,406 |
| Uber Technologies, Inc. * |
4,249 |
261,641 |
| |
|
487,006 |
| Health Care Equipment & Supplies — 2.0% | ||
| Align Technology, Inc. * |
217 |
59,603 |
| Cooper Cos., Inc. (The) |
305 |
115,290 |
| Intuitive Surgical, Inc. * |
514 |
173,424 |
| |
|
348,317 |
| Health Care Providers & Services — 2.6% | ||
| McKesson Corp. |
209 |
96,611 |
| UnitedHealth Group, Inc. |
658 |
346,498 |
| |
|
443,109 |
| Hotels, Restaurants & Leisure — 1.9% | ||
| Booking Holdings, Inc. * |
57 |
202,333 |
| Hilton Worldwide Holdings, Inc. |
648 |
118,031 |
| |
|
320,364 |
| Household Durables — 0.5% | ||
| Garmin Ltd. |
746 |
95,860 |
| Insurance — 0.9% | ||
| Progressive Corp. (The) |
980 |
156,142 |
| Interactive Media & Services — 8.7% | ||
| Alphabet, Inc., Class C * |
5,049 |
711,530 |
| Meta Platforms, Inc., Class A * |
2,249 |
795,993 |
| |
|
1,507,523 |
| IT Services — 1.6% | ||
| MongoDB, Inc. * (a) |
330 |
134,976 |
| Snowflake, Inc., Class A * |
685 |
136,286 |
| |
|
271,262 |
| Life Sciences Tools & Services — 1.3% | ||
| Mettler-Toledo International, Inc. * |
38 |
46,773 |
| Thermo Fisher Scientific, Inc. |
325 |
172,427 |
| |
|
219,200 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Machinery — 0.9% | ||
| Ingersoll Rand, Inc. |
2,045 |
158,126 |
| Media — 0.8% | ||
| Trade Desk, Inc. (The), Class A * |
1,819 |
130,913 |
| Metals & Mining — 0.4% | ||
| Freeport-McMoRan, Inc. |
1,486 |
63,250 |
| Oil, Gas & Consumable Fuels — 1.3% | ||
| Cheniere Energy, Inc. |
741 |
126,452 |
| EOG Resources, Inc. |
826 |
99,894 |
| |
|
226,346 |
| Pharmaceuticals — 2.5% | ||
| Eli Lilly & Co. |
603 |
351,557 |
| Royalty Pharma plc, Class A |
2,578 |
72,407 |
| |
|
423,964 |
| Professional Services — 0.7% | ||
| Booz Allen Hamilton Holding Corp. |
1,011 |
129,274 |
| Semiconductors & Semiconductor Equipment — 10.3% | ||
| Advanced Micro Devices, Inc. * |
1,465 |
215,976 |
| Broadcom, Inc. |
363 |
405,752 |
| Entegris, Inc. |
971 |
116,336 |
| Lam Research Corp. |
270 |
211,228 |
| NVIDIA Corp. |
1,663 |
823,411 |
| |
|
1,772,703 |
| Software — 18.2% | ||
| Cadence Design Systems, Inc. * |
385 |
104,880 |
| Confluent, Inc., Class A * |
3,453 |
80,803 |
| Coreweave, Inc. ‡ * (b) |
49 |
15,096 |
| Crowdstrike Holdings, Inc., Class A * |
536 |
136,835 |
| HubSpot, Inc. * |
214 |
124,243 |
| Intuit, Inc. |
505 |
315,312 |
| Microsoft Corp. |
4,589 |
1,725,541 |
| Oracle Corp. |
963 |
101,570 |
| Palo Alto Networks, Inc. * |
831 |
245,143 |
| Synopsys, Inc. * |
253 |
130,309 |
| Workday, Inc., Class A * |
551 |
152,028 |
| |
|
3,131,760 |
| Specialty Retail — 3.1% | ||
| Lowe's Cos., Inc. |
845 |
188,072 |
| Ross Stores, Inc. |
1,075 |
148,736 |
| TJX Cos., Inc. (The) |
2,202 |
206,583 |
| |
|
543,391 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Technology Hardware, Storage & Peripherals — 6.9% | ||
| Apple, Inc. |
6,216 |
1,196,733 |
| Textiles, Apparel & Luxury Goods — 0.7% | ||
| Lululemon Athletica, Inc. * |
240 |
122,919 |
| Trading Companies & Distributors — 0.3% | ||
| Air Lease Corp., Class A |
1,394 |
58,479 |
| Total Common Stocks (Cost $8,782,642) |
|
16,984,084 |
| Short-Term Investments — 1.7% | ||
| Investment Companies — 1.5% | ||
| JPMorgan Prime Money Market Fund Class IM
Shares, 5.51% (c) (d)
(Cost $257,039) |
256,963 |
257,169 |
| Investment of Cash Collateral from Securities Loaned — 0.2% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (c) (d) |
21,996 |
22,004 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (c) (d) |
4,320 |
4,320 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $26,324) |
|
26,324 |
| Total Short-Term Investments (Cost $283,363) |
|
283,493 |
| Total Investments — 100.2% (Cost $9,066,005) |
|
17,267,577 |
| Liabilities in Excess of Other Assets —
(0.2)% |
|
(29,056
) |
| NET ASSETS — 100.0% |
|
17,238,521 |
| Percentages indicated are based on net assets. |
| ‡ |
Value
determined using significant unobservable inputs. |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $25,418. |
| (b) |
Restricted security. See Note 2.B. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
19 |
JPMorgan Mid Cap Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 97.5% | ||
| Aerospace & Defense — 0.4% | ||
| HEICO Corp., Class A |
120 |
17,159 |
| Automobiles — 0.2% | ||
| Thor Industries, Inc. (a) |
59 |
7,030 |
| Banks — 4.3% | ||
| Fifth Third Bancorp |
927 |
31,975 |
| First Citizens BancShares, Inc., Class A |
20 |
28,595 |
| Huntington Bancshares, Inc. |
2,664 |
33,881 |
| M&T Bank Corp. |
285 |
39,135 |
| Regions Financial Corp. |
1,812 |
35,116 |
| |
|
168,702 |
| Beverages — 1.2% | ||
| Constellation Brands, Inc., Class A |
105 |
25,432 |
| Keurig Dr Pepper, Inc. |
642 |
21,388 |
| |
|
46,820 |
| Biotechnology — 1.8% | ||
| Alnylam Pharmaceuticals, Inc. * |
67 |
12,762 |
| Amicus Therapeutics, Inc. * |
403 |
5,710 |
| Apellis Pharmaceuticals, Inc. * (a) |
92 |
5,520 |
| Exact Sciences Corp. * (a) |
187 |
13,852 |
| Exelixis, Inc. * |
419 |
10,058 |
| Natera, Inc. * |
214 |
13,398 |
| Neurocrine Biosciences, Inc. * |
87 |
11,503 |
| |
|
72,803 |
| Building Products — 2.5% | ||
| Carlisle Cos., Inc. |
95 |
29,763 |
| Fortune Brands Innovations, Inc. |
456 |
34,714 |
| Simpson Manufacturing Co., Inc. |
40 |
7,895 |
| Trane Technologies plc |
113 |
27,443 |
| |
|
99,815 |
| Capital Markets — 6.5% | ||
| Ameriprise Financial, Inc. |
131 |
49,641 |
| Ares Management Corp., Class A |
151 |
17,983 |
| FactSet Research Systems, Inc. |
32 |
15,473 |
| Interactive Brokers Group, Inc., Class A |
82 |
6,806 |
| KKR & Co., Inc. |
215 |
17,835 |
| LPL Financial Holdings, Inc. |
48 |
10,859 |
| Moody's Corp. |
30 |
11,578 |
| MSCI, Inc. |
30 |
16,674 |
| Northern Trust Corp. |
223 |
18,856 |
| Raymond James Financial, Inc. |
418 |
46,617 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Capital Markets — continued | ||
| State Street Corp. |
419 |
32,474 |
| Tradeweb Markets, Inc., Class A |
131 |
11,910 |
| |
|
256,706 |
| Chemicals — 1.2% | ||
| Celanese Corp. |
68 |
10,586 |
| RPM International, Inc. |
313 |
34,869 |
| |
|
45,455 |
| Commercial Services & Supplies — 1.3% | ||
| Cintas Corp. |
27 |
16,142 |
| Copart, Inc. * |
549 |
26,902 |
| MSA Safety, Inc. |
49 |
8,380 |
| |
|
51,424 |
| Communications Equipment — 0.7% | ||
| Arista Networks, Inc. * |
34 |
8,059 |
| Motorola Solutions, Inc. |
62 |
19,267 |
| |
|
27,326 |
| Construction & Engineering — 0.8% | ||
| AECOM |
115 |
10,675 |
| Quanta Services, Inc. (a) |
93 |
19,975 |
| |
|
30,650 |
| Construction Materials — 1.0% | ||
| Martin Marietta Materials, Inc. |
81 |
40,560 |
| Consumer Finance — 0.5% | ||
| Discover Financial Services |
173 |
19,489 |
| Consumer Staples Distribution & Retail — 1.2% | ||
| Kroger Co. (The) |
398 |
18,213 |
| US Foods Holding Corp. * |
607 |
27,545 |
| |
|
45,758 |
| Containers & Packaging — 1.9% | ||
| Ball Corp. |
305 |
17,554 |
| Packaging Corp. of America |
193 |
31,393 |
| Silgan Holdings, Inc. |
584 |
26,446 |
| |
|
75,393 |
| Distributors — 1.5% | ||
| Genuine Parts Co. |
123 |
16,981 |
| LKQ Corp. |
632 |
30,210 |
| Pool Corp. (a) |
34 |
13,588 |
| |
|
60,779 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Diversified Consumer Services — 0.3% | ||
| Bright Horizons Family Solutions, Inc. * (a) |
110 |
10,397 |
| Diversified REITs — 0.4% | ||
| WP Carey, Inc. (a) |
273 |
17,683 |
| Electric Utilities — 2.3% | ||
| Edison International |
296 |
21,147 |
| PG&E Corp. |
2,084 |
37,580 |
| Xcel Energy, Inc. |
490 |
30,327 |
| |
|
89,054 |
| Electrical Equipment — 3.3% | ||
| Acuity Brands, Inc. |
136 |
27,977 |
| AMETEK, Inc. |
317 |
52,271 |
| Hubbell, Inc., Class B |
155 |
50,890 |
| |
|
131,138 |
| Electronic Equipment, Instruments & Components — 4.2% | ||
| Amphenol Corp., Class A |
448 |
44,344 |
| CDW Corp. |
108 |
24,573 |
| Jabil, Inc. |
175 |
22,316 |
| Keysight Technologies, Inc. * |
52 |
8,302 |
| Teledyne Technologies, Inc. * |
100 |
44,712 |
| Zebra Technologies Corp., Class A * |
81 |
22,089 |
| |
|
166,336 |
| Energy Equipment & Services — 0.3% | ||
| TechnipFMC plc (United Kingdom) |
595 |
11,982 |
| Entertainment — 1.1% | ||
| Liberty Media Corp-Liberty Live, Class C * |
234 |
8,758 |
| Take-Two Interactive Software, Inc. * |
226 |
36,335 |
| |
|
45,093 |
| Financial Services — 1.8% | ||
| Fidelity National Information Services, Inc. |
164 |
9,842 |
| Global Payments, Inc. |
45 |
5,640 |
| MGIC Investment Corp. |
1,286 |
24,815 |
| Remitly Global, Inc. * |
420 |
8,161 |
| Rocket Cos., Inc., Class A * (a) |
504 |
7,295 |
| Voya Financial, Inc. |
232 |
16,945 |
| |
|
72,698 |
| Food Products — 0.4% | ||
| Post Holdings, Inc. * |
189 |
16,642 |
| Gas Utilities — 0.5% | ||
| National Fuel Gas Co. |
419 |
20,996 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Ground Transportation — 1.1% | ||
| JB Hunt Transport Services, Inc. |
60 |
12,063 |
| Old Dominion Freight Line, Inc. |
49 |
19,878 |
| Uber Technologies, Inc. * |
216 |
13,294 |
| |
|
45,235 |
| Health Care Equipment & Supplies — 3.1% | ||
| Align Technology, Inc. * |
47 |
13,020 |
| Cooper Cos., Inc. (The) |
24 |
9,204 |
| Dexcom, Inc. * |
198 |
24,610 |
| Globus Medical, Inc., Class A * |
249 |
13,260 |
| IDEXX Laboratories, Inc. * |
31 |
16,984 |
| Inspire Medical Systems, Inc. * (a) |
34 |
6,918 |
| ResMed, Inc. |
33 |
5,595 |
| Shockwave Medical, Inc. * |
47 |
8,992 |
| Zimmer Biomet Holdings, Inc. |
208 |
25,264 |
| |
|
123,847 |
| Health Care Providers & Services — 4.3% | ||
| Acadia Healthcare Co., Inc. * |
138 |
10,705 |
| Cencora, Inc. |
206 |
42,279 |
| Centene Corp. * |
171 |
12,706 |
| Henry Schein, Inc. * |
449 |
34,007 |
| Laboratory Corp. of America Holdings (a) |
109 |
24,699 |
| McKesson Corp. |
28 |
12,792 |
| Quest Diagnostics, Inc. |
139 |
19,225 |
| Universal Health Services, Inc., Class B |
76 |
11,565 |
| |
|
167,978 |
| Health Care REITs — 0.3% | ||
| Ventas, Inc. |
230 |
11,470 |
| Hotel & Resort REITs — 0.3% | ||
| Host Hotels & Resorts, Inc. |
584 |
11,367 |
| Hotels, Restaurants & Leisure — 3.3% | ||
| Chipotle Mexican Grill, Inc. * |
4 |
9,228 |
| Darden Restaurants, Inc. |
132 |
21,632 |
| Domino's Pizza, Inc. |
44 |
18,273 |
| DoorDash, Inc., Class A * |
205 |
20,286 |
| Expedia Group, Inc. * |
183 |
27,813 |
| Hilton Worldwide Holdings, Inc. |
94 |
17,022 |
| Las Vegas Sands Corp. |
136 |
6,698 |
| Royal Caribbean Cruises Ltd. * |
61 |
7,906 |
| |
|
128,858 |
| Household Durables — 1.1% | ||
| Garmin Ltd. |
68 |
8,696 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
21 |
JPMorgan Mid Cap Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Household Durables — continued | ||
| Helen of Troy Ltd. * (a) |
39 |
4,699 |
| Mohawk Industries, Inc. * |
201 |
20,840 |
| Newell Brands, Inc. |
1,249 |
10,842 |
| |
|
45,077 |
| Household Products — 0.3% | ||
| Energizer Holdings, Inc. |
405 |
12,843 |
| Industrial REITs — 0.4% | ||
| Rexford Industrial Realty, Inc. |
259 |
14,549 |
| Insurance — 4.2% | ||
| Arch Capital Group Ltd. * |
476 |
35,356 |
| Arthur J Gallagher & Co. (a) |
48 |
10,616 |
| Globe Life, Inc. |
149 |
18,141 |
| Hartford Financial Services Group, Inc. (The) |
364 |
29,275 |
| Loews Corp. |
692 |
48,151 |
| WR Berkley Corp. |
340 |
24,054 |
| |
|
165,593 |
| Interactive Media & Services — 0.6% | ||
| IAC, Inc. * |
441 |
23,110 |
| IT Services — 2.3% | ||
| Gartner, Inc. * |
42 |
18,730 |
| Globant SA * |
57 |
13,635 |
| GoDaddy, Inc., Class A * |
270 |
28,667 |
| MongoDB, Inc. * (a) |
52 |
21,293 |
| Snowflake, Inc., Class A * |
49 |
9,719 |
| |
|
92,044 |
| Life Sciences Tools & Services — 2.0% | ||
| 10X Genomics, Inc., Class A * |
89 |
4,965 |
| Agilent Technologies, Inc. |
186 |
25,931 |
| IQVIA Holdings, Inc. * |
85 |
19,718 |
| Mettler-Toledo International, Inc. * |
10 |
11,949 |
| West Pharmaceutical Services, Inc. |
45 |
15,719 |
| |
|
78,282 |
| Machinery — 6.5% | ||
| Dover Corp. |
189 |
29,012 |
| IDEX Corp. |
110 |
23,818 |
| Ingersoll Rand, Inc. |
179 |
13,862 |
| ITT, Inc. |
484 |
57,760 |
| Lincoln Electric Holdings, Inc. (a) |
178 |
38,742 |
| Middleby Corp. (The) * |
209 |
30,779 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Machinery — continued | ||
| Snap-on, Inc. |
145 |
41,831 |
| Timken Co. (The) |
274 |
21,993 |
| |
|
257,797 |
| Media — 1.2% | ||
| Liberty Media Corp-Liberty SiriusXM * |
800 |
23,008 |
| Trade Desk, Inc. (The), Class A * |
315 |
22,697 |
| |
|
45,705 |
| Metals & Mining — 0.4% | ||
| Freeport-McMoRan, Inc. |
359 |
15,278 |
| Multi-Utilities — 2.0% | ||
| CMS Energy Corp. |
689 |
40,039 |
| WEC Energy Group, Inc. |
457 |
38,424 |
| |
|
78,463 |
| Office REITs — 0.4% | ||
| Boston Properties, Inc. |
246 |
17,244 |
| Oil, Gas & Consumable Fuels — 3.3% | ||
| Cheniere Energy, Inc. |
170 |
29,031 |
| Coterra Energy, Inc. |
870 |
22,203 |
| Diamondback Energy, Inc. |
205 |
31,806 |
| EOG Resources, Inc. |
92 |
11,070 |
| Williams Cos., Inc. (The) |
1,078 |
37,551 |
| |
|
131,661 |
| Personal Care Products — 0.2% | ||
| elf Beauty, Inc. * |
58 |
8,335 |
| Pharmaceuticals — 0.7% | ||
| Jazz Pharmaceuticals plc * |
167 |
20,591 |
| Royalty Pharma plc, Class A |
245 |
6,871 |
| |
|
27,462 |
| Professional Services — 0.7% | ||
| Booz Allen Hamilton Holding Corp. |
144 |
18,418 |
| Verisk Analytics, Inc. |
32 |
7,585 |
| |
|
26,003 |
| Real Estate Management & Development — 0.5% | ||
| CBRE Group, Inc., Class A * |
232 |
21,599 |
| Residential REITs — 2.1% | ||
| American Homes 4 Rent, Class A |
616 |
22,135 |
| AvalonBay Communities, Inc. |
101 |
18,883 |
| Essex Property Trust, Inc. |
51 |
12,561 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Residential REITs — continued | ||
| Mid-America Apartment Communities, Inc. |
104 |
14,028 |
| Sun Communities, Inc. |
107 |
14,335 |
| |
|
81,942 |
| Retail REITs — 1.6% | ||
| Brixmor Property Group, Inc. |
431 |
10,028 |
| Federal Realty Investment Trust |
116 |
11,942 |
| Kimco Realty Corp. |
943 |
20,101 |
| Regency Centers Corp. |
286 |
19,152 |
| |
|
61,223 |
| Semiconductors & Semiconductor Equipment — 2.4% | ||
| Allegro MicroSystems, Inc. (Japan) * |
75 |
2,279 |
| Entegris, Inc. |
112 |
13,462 |
| Lam Research Corp. |
16 |
12,377 |
| Marvell Technology, Inc. |
151 |
9,077 |
| Microchip Technology, Inc. |
253 |
22,859 |
| Monolithic Power Systems, Inc. |
28 |
17,796 |
| ON Semiconductor Corp. * |
95 |
7,909 |
| Rambus, Inc. * |
143 |
9,760 |
| |
|
95,519 |
| Software — 3.7% | ||
| Cadence Design Systems, Inc. * |
16 |
4,355 |
| Confluent, Inc., Class A * |
426 |
9,975 |
| Crowdstrike Holdings, Inc., Class A * |
131 |
33,340 |
| Datadog, Inc., Class A * |
85 |
10,285 |
| DocuSign, Inc. * |
136 |
8,106 |
| Elastic NV * |
56 |
6,310 |
| HubSpot, Inc. * |
33 |
18,829 |
| Palo Alto Networks, Inc. * |
49 |
14,345 |
| Procore Technologies, Inc. * |
162 |
11,187 |
| Synopsys, Inc. * |
18 |
9,482 |
| Workday, Inc., Class A * |
46 |
12,786 |
| Zoom Video Communications, Inc., Class A * |
97 |
6,994 |
| |
|
145,994 |
| Specialized REITs — 1.3% | ||
| Rayonier, Inc. |
702 |
23,476 |
| Weyerhaeuser Co. |
786 |
27,321 |
| |
|
50,797 |
| Specialty Retail — 3.5% | ||
| AutoZone, Inc. * |
14 |
35,943 |
| Bath & Body Works, Inc. |
496 |
21,407 |
| Best Buy Co., Inc. |
225 |
17,601 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Specialty Retail — continued | ||
| Burlington Stores, Inc. * |
39 |
7,483 |
| Floor & Decor Holdings, Inc., Class A * (a) |
106 |
11,842 |
| Ross Stores, Inc. |
234 |
32,440 |
| Tractor Supply Co. (a) |
56 |
12,031 |
| |
|
138,747 |
| Textiles, Apparel & Luxury Goods — 1.9% | ||
| Carter's, Inc. (a) |
311 |
23,286 |
| Lululemon Athletica, Inc. * |
24 |
12,315 |
| Ralph Lauren Corp. |
145 |
20,911 |
| Tapestry, Inc. |
456 |
16,766 |
| |
|
73,278 |
| Trading Companies & Distributors — 0.2% | ||
| Air Lease Corp., Class A |
217 |
9,121 |
| Total Common Stocks (Cost $2,791,292) |
|
3,854,309 |
| Short-Term Investments — 4.1% | ||
| Investment Companies — 2.3% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (b) (c)
(Cost $93,016) |
92,994 |
93,068 |
| Investment of Cash Collateral from Securities Loaned — 1.8% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (b) (c) |
62,772 |
62,797 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (b) (c) |
8,441 |
8,441 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $71,238) |
|
71,238 |
| Total Short-Term Investments (Cost $164,254) |
|
164,306 |
| Total Investments — 101.6% (Cost $2,955,546) |
|
4,018,615 |
| Liabilities in Excess of Other Assets —
(1.6)% |
|
(64,888
) |
| NET ASSETS — 100.0% |
|
3,953,727 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
23 |
JPMorgan Mid Cap Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $69,077. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
JPMorgan Mid Cap Growth
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 98.8% | ||
| Aerospace & Defense — 1.2% | ||
| HEICO Corp., Class A |
906 |
129,034 |
| Automobiles — 0.5% | ||
| Thor Industries, Inc. (a) |
447 |
52,845 |
| Beverages — 0.5% | ||
| Constellation Brands, Inc., Class A |
219 |
52,850 |
| Biotechnology — 5.3% | ||
| Alnylam Pharmaceuticals, Inc. * |
501 |
95,929 |
| Amicus Therapeutics, Inc. * (a) |
3,025 |
42,921 |
| Apellis Pharmaceuticals, Inc. * (a) |
693 |
41,494 |
| Exact Sciences Corp. * |
1,407 |
104,126 |
| Exelixis, Inc. * |
3,152 |
75,606 |
| Natera, Inc. * (a) |
1,608 |
100,716 |
| Neurocrine Biosciences, Inc. * |
656 |
86,464 |
| |
|
547,256 |
| Building Products — 2.6% | ||
| Simpson Manufacturing Co., Inc. |
300 |
59,345 |
| Trane Technologies plc |
846 |
206,293 |
| |
|
265,638 |
| Capital Markets — 8.6% | ||
| Ares Management Corp., Class A |
1,137 |
135,176 |
| FactSet Research Systems, Inc. (a) |
244 |
116,307 |
| Interactive Brokers Group, Inc., Class A |
617 |
51,161 |
| KKR & Co., Inc. |
1,618 |
134,063 |
| LPL Financial Holdings, Inc. |
359 |
81,627 |
| Moody's Corp. |
223 |
87,028 |
| MSCI, Inc. |
221 |
125,341 |
| Raymond James Financial, Inc. |
667 |
74,422 |
| Tradeweb Markets, Inc., Class A |
985 |
89,528 |
| |
|
894,653 |
| Commercial Services & Supplies — 3.7% | ||
| Cintas Corp. |
201 |
121,337 |
| Copart, Inc. * |
4,127 |
202,224 |
| MSA Safety, Inc. |
373 |
62,991 |
| |
|
386,552 |
| Communications Equipment — 0.6% | ||
| Arista Networks, Inc. * |
257 |
60,580 |
| Construction & Engineering — 2.2% | ||
| AECOM |
868 |
80,246 |
| Quanta Services, Inc. |
696 |
150,146 |
| |
|
230,392 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Distributors — 1.0% | ||
| Pool Corp. (a) |
256 |
102,141 |
| Diversified Consumer Services — 0.7% | ||
| Bright Horizons Family Solutions, Inc. * (a) |
829 |
78,153 |
| Electrical Equipment — 1.8% | ||
| AMETEK, Inc. |
674 |
111,145 |
| Hubbell, Inc., Class B |
218 |
71,705 |
| |
|
182,850 |
| Electronic Equipment, Instruments & Components — 3.6% | ||
| Amphenol Corp., Class A |
1,326 |
131,393 |
| Jabil, Inc. (a) |
843 |
107,435 |
| Keysight Technologies, Inc. * |
392 |
62,405 |
| Teledyne Technologies, Inc. * |
156 |
69,457 |
| |
|
370,690 |
| Energy Equipment & Services — 0.9% | ||
| TechnipFMC plc (United Kingdom) (a) |
4,472 |
90,069 |
| Entertainment — 1.2% | ||
| Take-Two Interactive Software, Inc. * |
785 |
126,376 |
| Financial Services — 1.5% | ||
| Global Payments, Inc. |
334 |
42,397 |
| Remitly Global, Inc. * |
3,159 |
61,347 |
| Rocket Cos., Inc., Class A * (a) |
3,589 |
51,966 |
| |
|
155,710 |
| Ground Transportation — 3.3% | ||
| JB Hunt Transport Services, Inc. |
454 |
90,683 |
| Old Dominion Freight Line, Inc. |
369 |
149,420 |
| Uber Technologies, Inc. * |
1,623 |
99,929 |
| |
|
340,032 |
| Health Care Equipment & Supplies — 6.2% | ||
| Align Technology, Inc. * |
357 |
97,869 |
| Cooper Cos., Inc. (The) |
183 |
69,182 |
| Dexcom, Inc. * |
1,491 |
184,995 |
| IDEXX Laboratories, Inc. * |
230 |
127,669 |
| Inspire Medical Systems, Inc. * |
256 |
52,003 |
| ResMed, Inc. |
244 |
42,054 |
| Shockwave Medical, Inc. * |
355 |
67,593 |
| |
|
641,365 |
| Health Care Providers & Services — 2.6% | ||
| Acadia Healthcare Co., Inc. * |
1,035 |
80,467 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
25 |
JPMorgan Mid Cap Growth
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Providers & Services — continued | ||
| Centene Corp. * |
1,287 |
95,510 |
| McKesson Corp. |
208 |
96,155 |
| |
|
272,132 |
| Hotels, Restaurants & Leisure — 5.8% | ||
| Chipotle Mexican Grill, Inc. * |
30 |
69,366 |
| Domino's Pizza, Inc. |
333 |
137,359 |
| DoorDash, Inc., Class A * |
1,542 |
152,487 |
| Hilton Worldwide Holdings, Inc. |
703 |
127,957 |
| Las Vegas Sands Corp. |
1,023 |
50,346 |
| Royal Caribbean Cruises Ltd. * (a) |
459 |
59,429 |
| |
|
596,944 |
| Household Durables — 1.0% | ||
| Garmin Ltd. |
509 |
65,368 |
| Helen of Troy Ltd. * (a) |
292 |
35,323 |
| |
|
100,691 |
| Insurance — 0.8% | ||
| Arthur J Gallagher & Co. (a) |
355 |
79,798 |
| IT Services — 4.6% | ||
| Gartner, Inc. * |
312 |
140,798 |
| Globant SA * |
431 |
102,493 |
| MongoDB, Inc. * (a) |
391 |
160,059 |
| Snowflake, Inc., Class A * |
367 |
73,059 |
| |
|
476,409 |
| Life Sciences Tools & Services — 5.7% | ||
| 10X Genomics, Inc., Class A * |
667 |
37,322 |
| Agilent Technologies, Inc. |
1,402 |
194,920 |
| IQVIA Holdings, Inc. * |
641 |
148,217 |
| Mettler-Toledo International, Inc. * (a) |
74 |
89,820 |
| West Pharmaceutical Services, Inc. |
335 |
118,162 |
| |
|
588,441 |
| Machinery — 2.3% | ||
| Ingersoll Rand, Inc. |
1,347 |
104,201 |
| ITT, Inc. |
1,084 |
129,312 |
| |
|
233,513 |
| Media — 1.6% | ||
| Trade Desk, Inc. (The), Class A * |
2,371 |
170,611 |
| Metals & Mining — 0.3% | ||
| Freeport-McMoRan, Inc. |
866 |
36,866 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Oil, Gas & Consumable Fuels — 2.9% | ||
| Cheniere Energy, Inc. |
1,278 |
218,221 |
| EOG Resources, Inc. |
688 |
83,215 |
| |
|
301,436 |
| Personal Care Products — 0.6% | ||
| elf Beauty, Inc. * |
434 |
62,656 |
| Pharmaceuticals — 0.5% | ||
| Royalty Pharma plc, Class A |
1,839 |
51,652 |
| Professional Services — 1.9% | ||
| Booz Allen Hamilton Holding Corp. |
1,082 |
138,445 |
| Verisk Analytics, Inc. |
239 |
57,017 |
| |
|
195,462 |
| Semiconductors & Semiconductor Equipment — 5.3% | ||
| Allegro MicroSystems, Inc. (Japan) * |
566 |
17,131 |
| Entegris, Inc. |
844 |
101,191 |
| Lam Research Corp. |
119 |
93,037 |
| Marvell Technology, Inc. |
1,131 |
68,229 |
| Monolithic Power Systems, Inc. (a) |
212 |
133,773 |
| ON Semiconductor Corp. * (a) |
712 |
59,454 |
| Rambus, Inc. * |
1,075 |
73,363 |
| |
|
546,178 |
| Software — 10.7% | ||
| Cadence Design Systems, Inc. * |
120 |
32,739 |
| Confluent, Inc., Class A * |
3,204 |
74,978 |
| Coreweave, Inc. ‡ * (b) |
29 |
8,904 |
| Crowdstrike Holdings, Inc., Class A * |
981 |
250,613 |
| Datadog, Inc., Class A * (a) |
637 |
77,313 |
| DocuSign, Inc. * |
1,025 |
60,932 |
| Elastic NV * |
421 |
47,431 |
| HubSpot, Inc. * |
244 |
141,537 |
| Palo Alto Networks, Inc. * |
366 |
107,829 |
| Procore Technologies, Inc. * |
1,215 |
84,091 |
| Synopsys, Inc. * |
138 |
71,274 |
| Workday, Inc., Class A * |
348 |
96,113 |
| Zoom Video Communications, Inc., Class A * |
731 |
52,570 |
| |
|
1,106,324 |
| Specialty Retail — 5.2% | ||
| AutoZone, Inc. * |
22 |
56,426 |
| Burlington Stores, Inc. * |
289 |
56,252 |
| Floor & Decor Holdings, Inc., Class A * (a) |
798 |
89,017 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Specialty Retail — continued | ||
| Ross Stores, Inc. |
1,762 |
243,848 |
| Tractor Supply Co. (a) |
421 |
90,437 |
| |
|
535,980 |
| Textiles, Apparel & Luxury Goods — 0.9% | ||
| Lululemon Athletica, Inc. * |
181 |
92,571 |
| Trading Companies & Distributors — 0.7% | ||
| Air Lease Corp., Class A |
1,635 |
68,565 |
| Total Common Stocks
(Cost $7,510,938) |
|
10,223,415 |
| Short-Term Investments — 4.3% | ||
| Investment Companies — 1.3% | ||
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (c) (d) (Cost $139,677) |
139,631 |
139,743 |
| Investment of Cash Collateral from Securities Loaned — 3.0% | ||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (c) (d) |
276,863 |
276,974 |
| JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.30% (c) (d) |
32,528 |
32,528 |
| Total Investment of Cash Collateral from Securities Loaned (Cost $309,473) |
|
309,502 |
| Total Short-Term Investments
(Cost $449,150) |
|
449,245 |
| Total Investments — 103.1% (Cost $7,960,088) |
|
10,672,660 |
| Liabilities in Excess of Other Assets —
(3.1)% |
|
(323,141
) |
| NET ASSETS — 100.0% |
|
10,349,519 |
| Percentages indicated are based on net assets. |
| ‡ |
Value
determined using significant unobservable inputs. |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $299,746. |
| (b) |
Restricted security. See Note 2.B. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
27 |
JPMorgan Mid Cap Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 98.8% | ||
| Banks — 6.7% | ||
| Fifth Third Bancorp |
4,836 |
166,789 |
| First Citizens BancShares, Inc., Class A |
105 |
149,155 |
| Huntington Bancshares, Inc. |
13,894 |
176,730 |
| M&T Bank Corp. |
1,489 |
204,139 |
| Regions Financial Corp. |
9,452 |
183,170 |
| |
|
879,983 |
| Beverages — 1.6% | ||
| Constellation Brands, Inc., Class A |
397 |
95,987 |
| Keurig Dr Pepper, Inc. |
3,348 |
111,562 |
| |
|
207,549 |
| Building Products — 2.6% | ||
| Carlisle Cos., Inc. |
497 |
155,248 |
| Fortune Brands Innovations, Inc. |
2,378 |
181,074 |
| |
|
336,322 |
| Capital Markets — 5.5% | ||
| Ameriprise Financial, Inc. |
682 |
258,941 |
| Northern Trust Corp. |
1,165 |
98,357 |
| Raymond James Financial, Inc. |
1,718 |
191,519 |
| State Street Corp. |
2,187 |
169,392 |
| |
|
718,209 |
| Chemicals — 1.8% | ||
| Celanese Corp. (a) |
356 |
55,216 |
| RPM International, Inc. |
1,629 |
181,886 |
| |
|
237,102 |
| Communications Equipment — 0.8% | ||
| Motorola Solutions, Inc. |
321 |
100,502 |
| Construction Materials — 1.6% | ||
| Martin Marietta Materials, Inc. |
424 |
211,569 |
| Consumer Finance — 0.8% | ||
| Discover Financial Services |
904 |
101,656 |
| Consumer Staples Distribution & Retail — 1.8% | ||
| Kroger Co. (The) |
2,079 |
95,001 |
| US Foods Holding Corp. * |
3,164 |
143,682 |
| |
|
238,683 |
| Containers & Packaging — 3.0% | ||
| Ball Corp. |
1,592 |
91,565 |
| Packaging Corp. of America |
1,005 |
163,751 |
| Silgan Holdings, Inc. |
3,049 |
137,952 |
| |
|
393,268 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Distributors — 1.9% | ||
| Genuine Parts Co. |
640 |
88,576 |
| LKQ Corp. |
3,297 |
157,584 |
| |
|
246,160 |
| Diversified REITs — 0.7% | ||
| WP Carey, Inc. (a) |
1,423 |
92,240 |
| Electric Utilities — 3.5% | ||
| Edison International |
1,543 |
110,306 |
| PG&E Corp. |
10,872 |
196,027 |
| Xcel Energy, Inc. |
2,555 |
158,194 |
| |
|
464,527 |
| Electrical Equipment — 4.2% | ||
| Acuity Brands, Inc. |
712 |
145,934 |
| AMETEK, Inc. |
1,186 |
195,533 |
| Hubbell, Inc., Class B |
656 |
215,693 |
| |
|
557,160 |
| Electronic Equipment, Instruments & Components — 4.6% | ||
| Amphenol Corp., Class A |
1,414 |
140,130 |
| CDW Corp. |
564 |
128,178 |
| Jabil, Inc. |
328 |
41,854 |
| Teledyne Technologies, Inc. * |
415 |
185,029 |
| Zebra Technologies Corp., Class A * |
421 |
115,221 |
| |
|
610,412 |
| Entertainment — 1.1% | ||
| Liberty Media Corp-Liberty Live, Class C * |
1,222 |
45,686 |
| Take-Two Interactive Software, Inc. * |
633 |
101,833 |
| |
|
147,519 |
| Financial Services — 2.0% | ||
| Fidelity National Information Services, Inc. |
855 |
51,339 |
| MGIC Investment Corp. |
6,710 |
129,438 |
| Voya Financial, Inc. |
1,211 |
88,386 |
| |
|
269,163 |
| Food Products — 0.7% | ||
| Post Holdings, Inc. * (a) |
986 |
86,807 |
| Gas Utilities — 0.8% | ||
| National Fuel Gas Co. |
2,183 |
109,519 |
| Health Care Equipment & Supplies — 1.5% | ||
| Globus Medical, Inc., Class A * |
1,298 |
69,168 |
| Zimmer Biomet Holdings, Inc. |
1,083 |
131,782 |
| |
|
200,950 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Providers & Services — 5.2% | ||
| Cencora, Inc. (a) |
1,074 |
220,534 |
| Henry Schein, Inc. * |
2,343 |
177,388 |
| Laboratory Corp. of America Holdings (a) |
567 |
128,837 |
| Quest Diagnostics, Inc. |
727 |
100,284 |
| Universal Health Services, Inc., Class B |
396 |
60,328 |
| |
|
687,371 |
| Health Care REITs — 0.5% | ||
| Ventas, Inc. |
1,200 |
59,829 |
| Hotel & Resort REITs — 0.4% | ||
| Host Hotels & Resorts, Inc. |
3,045 |
59,293 |
| Hotels, Restaurants & Leisure — 2.0% | ||
| Darden Restaurants, Inc. |
687 |
112,839 |
| Expedia Group, Inc. * |
956 |
145,077 |
| |
|
257,916 |
| Household Durables — 1.3% | ||
| Mohawk Industries, Inc. * |
1,050 |
108,706 |
| Newell Brands, Inc. |
6,515 |
56,551 |
| |
|
165,257 |
| Household Products — 0.5% | ||
| Energizer Holdings, Inc. |
2,115 |
66,993 |
| Industrial REITs — 0.6% | ||
| Rexford Industrial Realty, Inc. (a) |
1,353 |
75,891 |
| Insurance — 6.1% | ||
| Arch Capital Group Ltd. * |
2,483 |
184,426 |
| Globe Life, Inc. |
778 |
94,631 |
| Hartford Financial Services Group, Inc. (The) |
1,900 |
152,703 |
| Loews Corp. |
3,609 |
251,164 |
| WR Berkley Corp. |
1,774 |
125,469 |
| |
|
808,393 |
| Interactive Media & Services — 0.9% | ||
| IAC, Inc. * |
2,301 |
120,547 |
| IT Services — 1.1% | ||
| GoDaddy, Inc., Class A * |
1,409 |
149,531 |
| Machinery — 9.0% | ||
| Dover Corp. |
984 |
151,333 |
| IDEX Corp. |
572 |
124,239 |
| ITT, Inc. |
1,773 |
211,589 |
| Lincoln Electric Holdings, Inc. (a) |
929 |
202,088 |
| Middleby Corp. (The) * |
1,091 |
160,552 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Machinery — continued | ||
| Snap-on, Inc. |
756 |
218,202 |
| Timken Co. (The) |
1,431 |
114,717 |
| |
|
1,182,720 |
| Media — 0.9% | ||
| Liberty Media Corp-Liberty SiriusXM * |
4,170 |
120,016 |
| Metals & Mining — 0.4% | ||
| Freeport-McMoRan, Inc. |
1,271 |
54,110 |
| Multi-Utilities — 3.1% | ||
| CMS Energy Corp. |
3,597 |
208,852 |
| WEC Energy Group, Inc. |
2,381 |
200,430 |
| |
|
409,282 |
| Office REITs — 0.7% | ||
| Boston Properties, Inc. |
1,282 |
89,948 |
| Oil, Gas & Consumable Fuels — 3.6% | ||
| Coterra Energy, Inc. |
4,538 |
115,814 |
| Diamondback Energy, Inc. (a) |
1,070 |
165,906 |
| Williams Cos., Inc. (The) |
5,624 |
195,876 |
| |
|
477,596 |
| Pharmaceuticals — 0.8% | ||
| Jazz Pharmaceuticals plc * |
873 |
107,404 |
| Real Estate Management & Development — 0.9% | ||
| CBRE Group, Inc., Class A * |
1,210 |
112,663 |
| Residential REITs — 3.2% | ||
| American Homes 4 Rent, Class A |
3,211 |
115,462 |
| AvalonBay Communities, Inc. |
526 |
98,498 |
| Essex Property Trust, Inc. |
264 |
65,520 |
| Mid-America Apartment Communities, Inc. |
544 |
73,171 |
| Sun Communities, Inc. |
560 |
74,777 |
| |
|
427,428 |
| Retail REITs — 2.4% | ||
| Brixmor Property Group, Inc. |
2,253 |
52,437 |
| Federal Realty Investment Trust |
605 |
62,293 |
| Kimco Realty Corp. (a) |
4,920 |
104,848 |
| Regency Centers Corp. |
1,491 |
99,904 |
| |
|
319,482 |
| Semiconductors & Semiconductor Equipment — 0.9% | ||
| Microchip Technology, Inc. |
1,322 |
119,240 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
29 |
JPMorgan Mid Cap Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Specialized REITs — 2.0% | ||
| Rayonier, Inc. |
3,665 |
122,457 |
| Weyerhaeuser Co. |
4,099 |
142,513 |
| |
|
264,970 |
| Specialty Retail — 2.7% | ||
| AutoZone, Inc. * |
57 |
148,326 |
| Bath & Body Works, Inc. |
2,587 |
111,664 |
| Best Buy Co., Inc. |
1,173 |
91,808 |
| |
|
351,798 |
| Textiles, Apparel & Luxury Goods — 2.4% | ||
| Carter's, Inc. (a) |
1,622 |
121,467 |
| Ralph Lauren Corp. (a) |
756 |
109,076 |
| Tapestry, Inc. |
2,376 |
87,453 |
| |
|
317,996 |
| Total Common Stocks
(Cost $7,863,795) |
|
13,014,974 |
| Short-Term Investments — 2.0% | ||
| Investment Companies — 1.3% | ||
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (b) (c) (Cost $168,263) |
168,158 |
168,293 |
| Investment of Cash Collateral from Securities Loaned — 0.7% | ||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (b) (c) |
84,977 |
85,011 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Investment of Cash Collateral from Securities Loaned — continued | ||
| JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.30% (b) (c) |
9,620 |
9,620 |
| Total Investment of Cash Collateral from Securities Loaned (Cost $94,631) |
|
94,631 |
| Total Short-Term Investments
(Cost $262,894) |
|
262,924 |
| Total Investments — 100.8% (Cost $8,126,689) |
|
13,277,898 |
| Liabilities in Excess of Other Assets —
(0.8)% |
|
(103,079
) |
| NET ASSETS — 100.0% |
|
13,174,819 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $92,233. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
JPMorgan Value Advantage
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.2% | ||
| Aerospace & Defense — 2.2% | ||
| General Dynamics Corp. |
295 |
76,706 |
| Northrop Grumman Corp. |
89 |
41,571 |
| RTX Corp. |
935 |
78,685 |
| |
|
196,962 |
| Air Freight & Logistics — 0.9% | ||
| FedEx Corp. |
165 |
41,816 |
| United Parcel Service, Inc., Class B |
270 |
42,342 |
| |
|
84,158 |
| Banks — 10.2% | ||
| Bank of America Corp. |
5,438 |
183,101 |
| Citigroup, Inc. |
491 |
25,274 |
| Citizens Financial Group, Inc. |
1,966 |
65,137 |
| First Citizens BancShares, Inc., Class A |
48 |
67,688 |
| M&T Bank Corp. |
1,257 |
172,325 |
| PNC Financial Services Group, Inc. (The) |
597 |
92,458 |
| Regions Financial Corp. |
4,558 |
88,334 |
| Wells Fargo & Co. |
4,302 |
211,756 |
| |
|
906,073 |
| Beverages — 1.0% | ||
| Keurig Dr Pepper, Inc. |
2,688 |
89,557 |
| Biotechnology — 3.1% | ||
| AbbVie, Inc. |
1,017 |
157,556 |
| Regeneron Pharmaceuticals, Inc. * |
83 |
73,337 |
| Vertex Pharmaceuticals, Inc. * |
117 |
47,566 |
| |
|
278,459 |
| Building Products — 1.5% | ||
| Carlisle Cos., Inc. |
212 |
66,114 |
| Fortune Brands Innovations, Inc. |
907 |
69,082 |
| |
|
135,196 |
| Capital Markets — 2.9% | ||
| Charles Schwab Corp. (The) |
1,035 |
71,187 |
| Morgan Stanley |
658 |
61,389 |
| Northern Trust Corp. |
829 |
69,956 |
| State Street Corp. |
698 |
54,090 |
| |
|
256,622 |
| Chemicals — 0.7% | ||
| Axalta Coating Systems Ltd. * |
1,705 |
57,909 |
| Communications Equipment — 0.4% | ||
| Cisco Systems, Inc. |
751 |
37,956 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Construction Materials — 1.7% | ||
| Martin Marietta Materials, Inc. |
256 |
127,809 |
| Vulcan Materials Co. |
83 |
18,910 |
| |
|
146,719 |
| Consumer Finance — 3.4% | ||
| American Express Co. |
394 |
73,756 |
| Capital One Financial Corp. |
1,728 |
226,587 |
| |
|
300,343 |
| Consumer Staples Distribution & Retail — 0.6% | ||
| Albertsons Cos., Inc., Class A |
2,292 |
52,704 |
| Containers & Packaging — 2.3% | ||
| Graphic Packaging Holding Co. |
923 |
22,747 |
| Packaging Corp. of America |
610 |
99,408 |
| Silgan Holdings, Inc. |
781 |
35,367 |
| WestRock Co. |
1,035 |
42,960 |
| |
|
200,482 |
| Diversified Telecommunication Services — 0.5% | ||
| Verizon Communications, Inc. |
1,248 |
47,038 |
| Electric Utilities — 3.1% | ||
| Edison International |
690 |
49,350 |
| Entergy Corp. |
257 |
25,965 |
| NextEra Energy, Inc. |
1,180 |
71,684 |
| PG&E Corp. |
4,056 |
73,137 |
| Xcel Energy, Inc. |
912 |
56,434 |
| |
|
276,570 |
| Electrical Equipment — 0.6% | ||
| Eaton Corp. plc |
237 |
57,026 |
| Electronic Equipment, Instruments & Components — 1.0% | ||
| CDW Corp. |
150 |
34,098 |
| TD SYNNEX Corp. |
520 |
55,971 |
| |
|
90,069 |
| Entertainment — 0.3% | ||
| Liberty Media Corp-Liberty Live, Class C * |
716 |
26,769 |
| Financial Services — 4.2% | ||
| Berkshire Hathaway, Inc., Class B * |
753 |
268,636 |
| FleetCor Technologies, Inc. * |
172 |
48,439 |
| MGIC Investment Corp. |
2,660 |
51,310 |
| |
|
368,385 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
31 |
JPMorgan Value Advantage
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Food Products — 1.5% | ||
| Kraft Heinz Co. (The) |
1,890 |
69,911 |
| Post Holdings, Inc. * |
719 |
63,302 |
| |
|
133,213 |
| Ground Transportation — 1.0% | ||
| Union Pacific Corp. |
367 |
90,241 |
| Health Care Equipment & Supplies — 1.0% | ||
| Medtronic plc |
493 |
40,627 |
| Zimmer Biomet Holdings, Inc. |
385 |
46,830 |
| |
|
87,457 |
| Health Care Providers & Services — 6.2% | ||
| Cencora, Inc. |
612 |
125,651 |
| Cigna Group (The) |
161 |
48,301 |
| CVS Health Corp. |
751 |
59,331 |
| HCA Healthcare, Inc. |
334 |
90,256 |
| Henry Schein, Inc. * |
804 |
60,886 |
| Laboratory Corp. of America Holdings |
312 |
70,801 |
| Quest Diagnostics, Inc. |
268 |
37,007 |
| UnitedHealth Group, Inc. |
102 |
53,929 |
| |
|
546,162 |
| Health Care REITs — 0.2% | ||
| Welltower, Inc. |
205 |
18,467 |
| Hotel & Resort REITs — 0.4% | ||
| Apple Hospitality REIT, Inc. (a) |
2,242 |
37,243 |
| Hotels, Restaurants & Leisure — 1.4% | ||
| Booking Holdings, Inc. * |
18 |
63,495 |
| Texas Roadhouse, Inc., Class A |
518 |
63,266 |
| |
|
126,761 |
| Household Durables — 1.2% | ||
| Mohawk Industries, Inc. * |
674 |
69,738 |
| Newell Brands, Inc. (a) |
3,982 |
34,566 |
| |
|
104,304 |
| Household Products — 1.5% | ||
| Energizer Holdings, Inc. |
1,152 |
36,510 |
| Procter & Gamble Co. (The) |
638 |
93,483 |
| |
|
129,993 |
| Industrial Conglomerates — 0.7% | ||
| Honeywell International, Inc. |
289 |
60,632 |
| Industrial REITs — 0.2% | ||
| EastGroup Properties, Inc. |
100 |
18,409 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Insurance — 6.0% | ||
| Chubb Ltd. |
279 |
63,132 |
| CNA Financial Corp. |
856 |
36,209 |
| Fairfax Financial Holdings Ltd. (Canada) |
63 |
58,215 |
| Loews Corp. |
2,247 |
156,375 |
| Progressive Corp. (The) |
324 |
51,543 |
| Travelers Cos., Inc. (The) |
621 |
118,289 |
| WR Berkley Corp. |
701 |
49,582 |
| |
|
533,345 |
| Interactive Media & Services — 1.5% | ||
| Alphabet, Inc., Class C * |
228 |
32,061 |
| IAC, Inc. * |
1,105 |
57,875 |
| Meta Platforms, Inc., Class A * |
116 |
41,095 |
| |
|
131,031 |
| IT Services — 0.5% | ||
| International Business Machines Corp. |
289 |
47,266 |
| Life Sciences Tools & Services — 0.2% | ||
| Fortrea Holdings, Inc. * (a) |
511 |
17,841 |
| Machinery — 1.9% | ||
| Dover Corp. |
506 |
77,737 |
| Middleby Corp. (The) * |
320 |
47,154 |
| Timken Co. (The) |
501 |
40,131 |
| |
|
165,022 |
| Media — 1.9% | ||
| Liberty Broadband Corp., Class C * |
593 |
47,750 |
| Liberty Media Corp-Liberty SiriusXM * |
2,516 |
72,413 |
| Nexstar Media Group, Inc., Class A (a) |
283 |
44,347 |
| |
|
164,510 |
| Multi-Utilities — 0.6% | ||
| Public Service Enterprise Group, Inc. |
833 |
50,956 |
| Oil, Gas & Consumable Fuels — 8.3% | ||
| Chevron Corp. |
978 |
145,819 |
| ConocoPhillips |
1,457 |
169,145 |
| Coterra Energy, Inc. |
1,503 |
38,357 |
| EOG Resources, Inc. |
816 |
98,707 |
| Kinder Morgan, Inc. |
5,249 |
92,601 |
| Phillips 66 |
744 |
99,040 |
| Williams Cos., Inc. (The) |
2,654 |
92,442 |
| |
|
736,111 |
| Personal Care Products — 0.6% | ||
| Kenvue, Inc. |
2,567 |
55,277 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Pharmaceuticals — 3.1% | ||
| Bristol-Myers Squibb Co. |
2,170 |
111,353 |
| Johnson & Johnson |
636 |
99,621 |
| Merck & Co., Inc. |
555 |
60,500 |
| |
|
271,474 |
| Real Estate Management & Development — 0.7% | ||
| CBRE Group, Inc., Class A * |
647 |
60,191 |
| Residential REITs — 1.8% | ||
| American Homes 4 Rent, Class A |
1,770 |
63,648 |
| Mid-America Apartment Communities, Inc. |
690 |
92,744 |
| |
|
156,392 |
| Retail REITs — 2.8% | ||
| Brixmor Property Group, Inc. |
2,726 |
63,442 |
| Federal Realty Investment Trust |
517 |
53,246 |
| Kimco Realty Corp. |
4,389 |
93,539 |
| Regency Centers Corp. |
563 |
37,714 |
| |
|
247,941 |
| Semiconductors & Semiconductor Equipment — 2.4% | ||
| Analog Devices, Inc. |
212 |
42,075 |
| NXP Semiconductors NV (China) |
316 |
72,625 |
| Texas Instruments, Inc. |
566 |
96,525 |
| |
|
211,225 |
| Specialized REITs — 3.7% | ||
| Lamar Advertising Co., Class A |
586 |
62,312 |
| Public Storage |
323 |
98,545 |
| Rayonier, Inc. |
1,638 |
54,731 |
| Weyerhaeuser Co. |
3,284 |
114,161 |
| |
|
329,749 |
| Specialty Retail — 4.8% | ||
| AutoZone, Inc. * |
25 |
65,038 |
| Bath & Body Works, Inc. |
1,533 |
66,173 |
| Best Buy Co., Inc. |
500 |
39,099 |
| Dick's Sporting Goods, Inc. (a) |
511 |
75,092 |
| Home Depot, Inc. (The) |
169 |
58,671 |
| Lowe's Cos., Inc. |
338 |
75,222 |
| Murphy USA, Inc. |
132 |
47,108 |
| |
|
426,403 |
| Textiles, Apparel & Luxury Goods — 1.2% | ||
| Carter's, Inc. (a) |
356 |
26,668 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Textiles, Apparel & Luxury Goods — continued | ||
| Columbia Sportswear Co. (a) |
484 |
38,498 |
| Ralph Lauren Corp. |
285 |
41,097 |
| |
|
106,263 |
| Tobacco — 0.8% | ||
| Philip Morris International, Inc. |
772 |
72,592 |
| Wireless Telecommunication Services — 0.5% | ||
| T-Mobile US, Inc. |
260 |
41,654 |
| Total Common Stocks
(Cost $5,753,042) |
|
8,787,122 |
| Short-Term Investments — 1.7% | ||
| Investment Companies — 1.0% | ||
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (b) (c) (Cost $86,191) |
86,168 |
86,237 |
| Investment of Cash Collateral from Securities Loaned — 0.7% | ||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (b) (c) |
57,989 |
58,012 |
| JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.30% (b) (c) |
7,571 |
7,571 |
| Total Investment of Cash Collateral from Securities Loaned (Cost $65,583) |
|
65,583 |
| Total Short-Term Investments
(Cost $151,774) |
|
151,820 |
| Total Investments — 100.9% (Cost $5,904,816) |
|
8,938,942 |
| Liabilities in Excess of Other Assets —
(0.9)% |
|
(82,724
) |
| NET ASSETS — 100.0% |
|
8,856,218 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $63,676. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
33 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (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 |
$16,984,084 |
$3,854,309 |
$10,223,415
|
| Investments in affiliates, at value |
257,169 |
93,068 |
139,743 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C.) |
26,324 |
71,238 |
309,502 |
| Cash |
1,228 |
377 |
454 |
| Receivables: |
|
|
|
| Fund shares sold |
22,688 |
7,317 |
20,004 |
| Dividends from non-affiliates |
1,161 |
5,559 |
2,162 |
| Dividends from affiliates |
39 |
14 |
21 |
| Securities lending income (See Note 2.C.) |
5 |
8 |
49 |
| Other assets |
— |
23
|
— |
| Total Assets |
17,292,698 |
4,031,913 |
10,695,350 |
| LIABILITIES: |
|
|
|
| Payables: |
|
|
|
| Investment securities purchased |
— |
212 |
1,599 |
| Collateral received on securities loaned (See Note 2.C.) |
26,324 |
71,238 |
309,502 |
| Fund shares redeemed |
16,971 |
4,169 |
27,810 |
| Accrued liabilities: |
|
|
|
| Investment advisory fees |
7,152 |
1,887 |
5,311 |
| Administration fees |
467 |
97 |
483 |
| Distribution fees |
1,155 |
157 |
338 |
| Service fees |
1,813 |
363 |
663 |
| Custodian and accounting fees |
109 |
32 |
60 |
| Trustees’ and Chief Compliance Officer’s fees |
1 |
1 |
1 |
| Other |
185
|
30
|
64
|
| Total Liabilities |
54,177 |
78,186 |
345,831 |
| Net Assets |
$17,238,521 |
$3,953,727 |
$10,349,519 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan
Growth
Advantage Fund |
JPMorgan
Mid Cap
Equity Fund |
JPMorgan Mid Cap Growth Fund |
| NET ASSETS: |
|
|
|
| Paid-in-Capital |
$9,119,434 |
$2,943,536 |
$7,854,596 |
| Total distributable earnings (loss) |
8,119,087 |
1,010,191 |
2,494,923 |
| Total Net Assets |
$17,238,521 |
$3,953,727 |
$10,349,519 |
| Net Assets: |
|
|
|
| Class A |
$3,358,270 |
$708,277 |
$1,308,825 |
| Class C |
707,603 |
15,319 |
53,732 |
| Class I |
4,970,471 |
1,034,521 |
2,541,338 |
| Class R2 |
9,054 |
1,857 |
50,656 |
| Class R3 |
27,563 |
— |
54,698 |
| Class R4 |
30,166 |
— |
34,729 |
| Class R5 |
104,699 |
11,080 |
533,219 |
| Class R6 |
8,030,695 |
2,182,673 |
5,772,322 |
| Total |
$17,238,521 |
$3,953,727 |
$10,349,519 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
|
| Class A |
109,592 |
12,477 |
34,952 |
| Class C |
29,334 |
290 |
2,163 |
| Class I |
152,956 |
17,806 |
54,508 |
| Class R2 |
302 |
33 |
1,220 |
| Class R3 |
901 |
— |
1,207 |
| Class R4 |
928 |
— |
748 |
| Class R5 |
3,109 |
190 |
11,174 |
| Class R6 |
235,315 |
37,505 |
119,823 |
| Net Asset Value (a): |
|
|
|
| Class A — Redemption price per share |
$30.64 |
$56.77 |
$37.45
|
| Class C — Offering price per share (b) |
24.12 |
52.82 |
24.83 |
| Class I — Offering and redemption price per share |
32.50 |
58.10 |
46.62 |
| Class R2 — Offering and redemption price per share |
30.00 |
55.64 |
41.54 |
| Class R3 — Offering and redemption price per share |
30.58 |
— |
45.35 |
| Class R4 — Offering and redemption price per share |
32.51 |
— |
46.38 |
| Class R5 — Offering and redemption price per share |
33.68 |
58.27 |
47.72 |
| Class R6 — Offering and redemption price per share |
34.13 |
58.20 |
48.17 |
| 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)] |
$32.34 |
$59.92 |
$39.53 |
| Cost of investments in non-affiliates |
$8,782,642 |
$2,791,292 |
$7,510,938
|
| Cost of investments in affiliates |
257,039 |
93,016 |
139,677 |
| Investment securities on loan, at value (See Note 2.C.) |
25,418 |
69,077 |
299,746 |
| Cost of investment of cash collateral (See Note 2.C.) |
26,324 |
71,238 |
309,473 |
(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, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
35 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (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 |
$13,014,974 |
$8,787,122
|
| Investments in affiliates, at value |
168,293 |
86,237 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C.) |
94,631 |
65,583 |
| Cash |
735 |
808 |
| Receivables: |
|
|
| Fund shares sold |
57,589 |
5,408 |
| Dividends from non-affiliates |
28,238 |
8,981 |
| Dividends from affiliates |
25 |
13 |
| Securities lending income (See Note 2.C.) |
17
|
13 |
| Total Assets |
13,364,502 |
8,954,165 |
| LIABILITIES: |
|
|
| Payables: |
|
|
| Investment securities purchased |
— |
1,201 |
| Collateral received on securities loaned (See Note 2.C.) |
94,631 |
65,583 |
| Fund shares redeemed |
86,140 |
25,835 |
| Accrued liabilities: |
|
|
| Investment advisory fees |
6,578 |
3,671 |
| Administration fees |
387 |
290 |
| Distribution fees |
314 |
389 |
| Service fees |
1,121 |
736 |
| Custodian and accounting fees |
126 |
85 |
| Trustees’ and Chief Compliance Officer’s fees |
— (a) |
— (a) |
| Other |
386
|
157 |
| Total Liabilities |
189,683 |
97,947 |
| Net Assets |
$13,174,819 |
$8,856,218 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan
Mid Cap
Value Fund |
JPMorgan Value Advantage Fund |
| NET ASSETS: |
|
|
| Paid-in-Capital |
$7,943,057 |
$5,814,557
|
| Total distributable earnings (loss) |
5,231,762 |
3,041,661 |
| Total Net Assets |
$13,174,819 |
$8,856,218 |
| Net Assets: |
|
|
| Class A |
$1,175,231 |
$1,282,100
|
| Class C |
41,411 |
187,094 |
| Class I |
1,798,473 |
1,692,685 |
| Class L |
5,751,654 |
1,286,725 |
| Class R2 |
62,394 |
407 |
| Class R3 |
72,699 |
2,633 |
| Class R4 |
30,337 |
243 |
| Class R5 |
50,279 |
19,801 |
| Class R6 |
4,192,341 |
4,384,530 |
| Total |
$13,174,819 |
$8,856,218 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
| Class A |
33,950 |
36,397 |
| Class C |
1,268 |
5,305 |
| Class I |
51,003 |
47,659 |
| Class L |
160,023 |
36,203 |
| Class R2 |
1,937 |
12 |
| Class R3 |
2,131 |
76 |
| Class R4 |
867 |
7 |
| Class R5 |
1,402 |
558 |
| Class R6 |
116,734 |
123,600 |
| Net Asset Value (a): |
|
|
| Class A — Redemption price per share |
$34.62 |
$35.23 |
| Class C — Offering price per share (b) |
32.64 |
35.27 |
| Class I — Offering and redemption price per share |
35.26 |
35.52 |
| Class L — Offering and redemption price per share |
35.94 |
35.54 |
| Class R2 — Offering and redemption price per share |
32.20 |
34.67 |
| Class R3 — Offering and redemption price per share |
34.12 |
34.64 |
| Class R4 — Offering and redemption price per share |
34.98 |
35.84 |
| Class R5 — Offering and redemption price per share |
35.87 |
35.45 |
| Class R6 — Offering and redemption price per share |
35.91 |
35.47 |
| 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)] |
$36.54 |
$37.18 |
| Cost of investments in non-affiliates |
$7,863,795 |
$5,753,042
|
| Cost of investments in affiliates |
168,263 |
86,191 |
| Investment securities on loan, at value (See Note 2.C.) |
92,233 |
63,676 |
| Cost of investment of cash collateral (See Note 2.C.) |
94,631 |
65,583 |
(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, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
37 |
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited)
(Amounts in thousands)
| |
JPMorgan
Growth
Advantage Fund |
JPMorgan
Mid Cap
Equity Fund |
JPMorgan Mid Cap Growth Fund |
| INVESTMENT INCOME: |
|
|
|
| Interest income from affiliates |
$— (a) |
$5 |
$—
|
| Dividend income from non-affiliates |
43,033 |
24,506 |
23,542 |
| Dividend income from affiliates |
7,653 |
2,768 |
4,098 |
| Income from securities lending (net) (See Note 2.C.) |
86
|
47
|
165
|
| Total investment income |
50,772 |
27,326 |
27,805 |
| EXPENSES: |
|
|
|
| Investment advisory fees |
44,185 |
11,708 |
30,994 |
| Administration fees |
5,283 |
1,351 |
3,576 |
| Distribution fees: |
|
|
|
| Class A |
3,825 |
813 |
1,532 |
| Class C |
2,795 |
54 |
208 |
| Class R2 |
21 |
4 |
119 |
| Class R3 |
34 |
— |
67 |
| Service fees: |
|
|
|
| Class A |
3,825 |
813 |
1,532 |
| Class C |
932 |
18 |
69 |
| Class I |
5,730 |
1,222 |
2,958 |
| Class R2 |
10 |
2 |
59 |
| Class R3 |
34 |
— |
67 |
| Class R4 |
34 |
— |
36 |
| Class R5 |
53 |
5 |
247 |
| Custodian and accounting fees |
234 |
70 |
144 |
| Professional fees |
120 |
34 |
83 |
| Trustees’ and Chief Compliance Officer’s fees |
42 |
20 |
29 |
| Printing and mailing costs |
293 |
214 |
259 |
| Registration and filing fees |
276 |
105 |
142 |
| Transfer agency fees (See Note 2.G.) |
193 |
32 |
219 |
| Other |
58
|
17
|
45
|
| Total expenses |
67,977 |
16,482 |
42,385 |
| Less fees waived |
(7,086 ) |
(2,073 ) |
(3,325 ) |
| Less expense reimbursements |
(2
) |
(12
) |
(1 ) |
| Net expenses |
60,889 |
14,397 |
39,059 |
| Net investment income (loss) |
(10,117 ) |
12,929 |
(11,254 ) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan
Growth
Advantage Fund |
JPMorgan
Mid Cap
Equity Fund |
JPMorgan Mid Cap Growth Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
| Net realized gain (loss) on transactions from: |
|
|
|
| Investments in non-affiliates |
$380,876 |
$42,564 |
$63,051 |
| Investments in affiliates |
90
|
20
|
34 |
| Net realized gain (loss) |
380,966 |
42,584 |
63,085 |
| Change in net unrealized appreciation/depreciation on: |
|
|
|
| Investments in non-affiliates |
1,178,205 |
204,338 |
634,062 |
| Investments in affiliates |
114
|
39
|
87 |
| Change in net unrealized appreciation/depreciation |
1,178,319 |
204,377 |
634,149 |
| Net realized/unrealized gains (losses) |
1,559,285 |
246,961 |
697,234 |
| Change in net assets resulting from operations |
$1,549,168 |
$259,890 |
$685,980 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
39 |
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited) (continued)
(Amounts in thousands)
| |
JPMorgan
Mid Cap
Value Fund |
JPMorgan Value Advantage Fund |
| INVESTMENT INCOME: |
|
|
| Interest income from affiliates |
$— (a) |
$—
|
| Dividend income from non-affiliates |
122,353 |
100,355 |
| Dividend income from affiliates |
6,929 |
4,675 |
| Income from securities lending (net) (See Note 2.C.) |
122
|
500
|
| Total investment income |
129,404 |
105,530 |
| EXPENSES: |
|
|
| Investment advisory fees |
42,134 |
24,091 |
| Administration fees |
4,512 |
3,285 |
| Distribution fees: |
|
|
| Class A |
1,432 |
1,551 |
| Class C |
159 |
760 |
| Class R2 |
149 |
1 |
| Class R3 |
88 |
3 |
| Service fees: |
|
|
| Class A |
1,432 |
1,551 |
| Class C |
53 |
253 |
| Class I |
2,232 |
2,176 |
| Class L |
2,882 |
675 |
| Class R2 |
75 |
1 |
| Class R3 |
88 |
3 |
| Class R4 |
29 |
— (a) |
| Class R5 |
23 |
9 |
| Custodian and accounting fees |
202 |
135 |
| Professional fees |
62 |
48 |
| Trustees’ and Chief Compliance Officer’s fees |
37 |
29 |
| Printing and mailing costs |
464 |
220 |
| Registration and filing fees |
169 |
135 |
| Transfer agency fees (See Note 2.G.) |
148 |
104 |
| Other |
76
|
35 |
| Total expenses |
56,446 |
35,065 |
| Less fees waived |
(5,955 ) |
(4,232 ) |
| Less expense reimbursements |
(25
) |
(26
) |
| Net expenses |
50,466 |
30,807 |
| Net investment income (loss) |
78,938 |
74,723 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan
Mid Cap
Value Fund |
JPMorgan Value Advantage Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
| Net realized gain (loss) on transactions from: |
|
|
| Investments in non-affiliates |
$484,847 |
$183,907
|
| Investments in affiliates |
60
|
73
|
| Net realized gain (loss) |
484,907 |
183,980 |
| Change in net unrealized appreciation/depreciation on: |
|
|
| Investments in non-affiliates |
296,477 |
405,733 |
| Investments in affiliates |
41
|
39
|
| Change in net unrealized appreciation/depreciation |
296,518 |
405,772 |
| Net realized/unrealized gains (losses) |
781,425 |
589,752 |
| Change in net assets resulting from operations |
$860,363 |
$664,475 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
41 |
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, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$(10,117 ) |
$(8,786 ) |
$12,929 |
$20,754
|
| Net realized gain (loss) |
380,966 |
(276,523 ) |
42,584 |
(63,107 ) |
| Change in net unrealized appreciation/depreciation |
1,178,319 |
3,464,702 |
204,377 |
447,209 |
| Change in net assets resulting from operations |
1,549,168 |
3,179,393 |
259,890 |
404,856 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(21,306 ) |
(9,869 ) |
(2,183 ) |
(14,573 ) |
| Class C |
(5,886 ) |
(3,852 ) |
— |
(355 ) |
| Class I |
(29,953 ) |
(13,567 ) |
(5,092 ) |
(23,622 ) |
| Class R2 |
(59 ) |
(23 ) |
(3 ) |
(19 ) |
| Class R3 |
(169 ) |
(53 ) |
— |
— |
| Class R4 |
(181 ) |
(80 ) |
— |
— |
| Class R5 |
(613 ) |
(309 ) |
(70 ) |
(256 ) |
| Class R6 |
(45,955 ) |
(21,818 ) |
(15,747 ) |
(47,896 ) |
| Total distributions to shareholders |
(104,122 ) |
(49,571 ) |
(23,095 ) |
(86,721 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
(107,145 ) |
689,481 |
159,171 |
610,238 |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
1,337,901 |
3,819,303 |
395,966 |
928,373 |
| Beginning of period |
15,900,620 |
12,081,317 |
3,557,761 |
2,629,388 |
| End of period |
$17,238,521 |
$15,900,620 |
$3,953,727 |
$3,557,761 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan Mid
Cap Growth Fund |
JPMorgan
Mid Cap Value Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$(11,254 ) |
$(19,235 ) |
$78,938 |
$176,072
|
| Net realized gain (loss) |
63,085 |
(207,844 ) |
484,907 |
478,601 |
| Change in net unrealized appreciation/depreciation |
634,149 |
1,704,341 |
296,518 |
671,000 |
| Change in net assets resulting from operations |
685,980 |
1,477,262 |
860,363 |
1,325,673 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
— |
(10,987 ) |
(67,222 ) |
(130,792 ) |
| Class C |
— |
(893 ) |
(2,347 ) |
(5,897 ) |
| Class I |
— |
(12,879 ) |
(104,058 ) |
(224,520 ) |
| Class L |
— |
— |
(342,226 ) |
(702,742 ) |
| Class R2 |
— |
(363 ) |
(3,702 ) |
(7,028 ) |
| Class R3 |
— |
(350 ) |
(4,230 ) |
(7,579 ) |
| Class R4 |
— |
(155 ) |
(1,805 ) |
(2,373 ) |
| Class R5 |
— |
(3,443 ) |
(2,919 ) |
(5,275 ) |
| Class R6 |
— |
(31,445 ) |
(248,302 ) |
(424,674 ) |
| Total distributions to shareholders |
— |
(60,515 ) |
(776,811 ) |
(1,510,880 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
202,647 |
1,064,246 |
(378,275 ) |
(153,604 ) |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
888,627 |
2,480,993 |
(294,723 ) |
(338,811 ) |
| Beginning of period |
9,460,892 |
6,979,899 |
13,469,542 |
13,808,353 |
| End of period |
$10,349,519 |
$9,460,892 |
$13,174,819 |
$13,469,542 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
43 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Value Advantage Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
| Net investment income (loss) |
$74,723 |
$164,522
|
| Net realized gain (loss) |
183,980 |
593,280 |
| Change in net unrealized appreciation/depreciation |
405,772 |
(74,030 ) |
| Change in net assets resulting from operations |
664,475 |
683,772 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
| Class A |
(86,156 ) |
(123,104 ) |
| Class C |
(11,569 ) |
(23,870 ) |
| Class I |
(117,447 ) |
(195,765 ) |
| Class L |
(91,081 ) |
(151,034 ) |
| Class R2 |
(26 ) |
(28 ) |
| Class R3 |
(182 ) |
(211 ) |
| Class R4 |
(16 ) |
(11 ) |
| Class R5 |
(1,376 ) |
(245 ) |
| Class R6 |
(311,065 ) |
(419,747 ) |
| Total distributions to shareholders |
(618,918 ) |
(914,015 ) |
| CAPITAL TRANSACTIONS: |
|
|
| Change in net assets resulting from capital transactions |
(276,750 ) |
(258,480 ) |
| NET ASSETS: |
|
|
| Change in net assets |
(231,193 ) |
(488,723 ) |
| Beginning of period |
9,087,411 |
9,576,134 |
| End of period |
$8,856,218 |
$9,087,411 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan
Growth Advantage Fund |
JPMorgan
Mid Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$337,305 |
$420,160 |
$63,729 |
$124,491 |
| Distributions reinvested |
20,640 |
9,540 |
2,179 |
14,566 |
| Cost of shares redeemed |
(229,528 ) |
(418,393 ) |
(43,743 ) |
(82,803 ) |
| Change in net assets resulting from Class A capital transactions |
128,417 |
11,307 |
22,165 |
56,254 |
| Class C |
|
|
|
|
| Proceeds from shares issued |
46,186 |
77,880 |
1,861 |
7,074 |
| Distributions reinvested |
5,757 |
3,767 |
— |
354 |
| Cost of shares redeemed |
(208,054 ) |
(236,954 ) |
(2,381 ) |
(7,711 ) |
| Change in net assets resulting from Class C capital transactions |
(156,111 ) |
(155,307 ) |
(520
) |
(283
) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
549,462 |
1,196,907 |
131,764 |
411,226 |
| Distributions reinvested |
27,951 |
12,857 |
5,085 |
23,594 |
| Cost of shares redeemed |
(514,977 ) |
(978,297 ) |
(157,488 ) |
(331,278 ) |
| Change in net assets resulting from Class I capital transactions |
62,436 |
231,467 |
(20,639 ) |
103,542 |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
1,680 |
3,042 |
361 |
973 |
| Distributions reinvested |
59 |
23 |
3 |
18 |
| Cost of shares redeemed |
(363
) |
(2,508 ) |
(166
) |
(107 ) |
| Change in net assets resulting from Class R2 capital transactions |
1,376
|
557
|
198
|
884
|
| Class R3 |
|
|
|
|
| Proceeds from shares issued |
4,862 |
15,556 |
— |
— |
| Distributions reinvested |
121 |
43 |
— |
— |
| Cost of shares redeemed |
(7,100 ) |
(5,884 ) |
— |
— |
| Change in net assets resulting from Class R3 capital transactions |
(2,117 ) |
9,715
|
— |
— |
| Class R4 |
|
|
|
|
| Proceeds from shares issued |
4,702 |
8,054 |
— |
— |
| Distributions reinvested |
181 |
80 |
— |
— |
| Cost of shares redeemed |
(1,746 ) |
(3,665 ) |
— |
— |
| Change in net assets resulting from Class R4 capital transactions |
3,137
|
4,469
|
— |
— |
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
9,005 |
19,006 |
321 |
9,562 |
| Distributions reinvested |
595 |
300 |
70 |
256 |
| Cost of shares redeemed |
(18,849 ) |
(40,172 ) |
(41
) |
(7
) |
| Change in net assets resulting from Class R5 capital transactions |
(9,249 ) |
(20,866 ) |
350
|
9,811 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
45 |
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, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
$901,214 |
$2,089,657 |
$330,674 |
$689,101
|
| Distributions reinvested |
45,629 |
21,669 |
15,599 |
47,800 |
| Cost of shares redeemed |
(1,081,877 ) |
(1,503,187 ) |
(188,656 ) |
(296,871 ) |
| Change in net assets resulting from Class R6 capital transactions |
(135,034 ) |
608,139 |
157,617 |
440,030 |
| Total change in net assets resulting from capital transactions |
$(107,145 ) |
$689,481 |
$159,171 |
$610,238 |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
11,865 |
17,387 |
1,208 |
2,464 |
| Reinvested |
685 |
406 |
39 |
286 |
| Redeemed |
(8,063 ) |
(17,571 ) |
(831
) |
(1,642 ) |
| Change in Class A Shares |
4,487
|
222
|
416
|
1,108 |
| Class C |
|
|
|
|
| Issued |
2,049 |
4,078 |
37 |
149 |
| Reinvested |
242 |
202 |
— |
8 |
| Redeemed |
(9,288 ) |
(12,495 ) |
(49
) |
(162 ) |
| Change in Class C Shares |
(6,997
) |
(8,215
) |
(12
) |
(5
) |
| Class I |
|
|
|
|
| Issued |
18,248 |
47,175 |
2,431 |
7,838 |
| Reinvested |
874 |
518 |
89 |
454 |
| Redeemed |
(17,091 ) |
(38,725 ) |
(2,945 ) |
(6,380 ) |
| Change in Class I Shares |
2,031
|
8,968
|
(425
) |
1,912 |
| Class R2 |
|
|
|
|
| Issued |
61 |
132 |
6 |
20 |
| Reinvested |
2 |
1 |
— (a) |
— (a) |
| Redeemed |
(13
) |
(105
) |
(3
) |
(2 ) |
| Change in Class R2 Shares |
50
|
28
|
3
|
18
|
| Class R3 |
|
|
|
|
| Issued |
167 |
639 |
— |
— |
| Reinvested |
4 |
2 |
— |
— |
| Redeemed |
(246
) |
(253
) |
— |
— |
| Change in Class R3 Shares |
(75
) |
388
|
—
|
— |
| Class R4 |
|
|
|
|
| Issued |
158 |
310 |
— |
— |
| Reinvested |
6 |
3 |
— |
— |
| Redeemed |
(59
) |
(139
) |
— |
— |
| Change in Class R4 Shares |
105
|
174
|
—
|
—
|
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan
Growth Advantage Fund |
JPMorgan
Mid Cap Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R5 |
|
|
|
|
| Issued |
288 |
719 |
6 |
179 |
| Reinvested |
18 |
12 |
1 |
5 |
| Redeemed |
(596
) |
(1,536 ) |
(1
) |
— (a) |
| Change in Class R5 Shares |
(290
) |
(805
) |
6
|
184 |
| Class R6 |
|
|
|
|
| Issued |
28,765 |
77,018 |
6,123 |
13,313 |
| Reinvested |
1,359 |
834 |
274 |
921 |
| Redeemed |
(34,079 ) |
(55,972 ) |
(3,483 ) |
(5,715 ) |
| Change in Class R6 Shares |
(3,955
) |
21,880
|
2,914
|
8,519
|
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
47 |
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, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$76,740 |
$117,565 |
$49,618 |
$148,055 |
| Distributions reinvested |
— |
10,603 |
62,837 |
122,041 |
| Cost of shares redeemed |
(94,281 ) |
(205,255 ) |
(126,434 ) |
(271,396 ) |
| Change in net assets resulting from Class A capital transactions |
(17,541 ) |
(77,087 ) |
(13,979 ) |
(1,300 ) |
| Class C |
|
|
|
|
| Proceeds from shares issued |
4,060 |
7,713 |
1,792 |
7,114 |
| Distributions reinvested |
— |
879 |
2,261 |
5,724 |
| Cost of shares redeemed |
(13,888 ) |
(25,672 ) |
(7,583 ) |
(28,199 ) |
| Change in net assets resulting from Class C capital transactions |
(9,828 ) |
(17,080 ) |
(3,530 ) |
(15,361 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
347,656 |
1,078,278 |
137,857 |
461,615 |
| Distributions reinvested |
— |
12,088 |
97,819 |
211,365 |
| Cost of shares redeemed |
(318,366 ) |
(471,463 ) |
(334,368 ) |
(1,042,851 ) |
| Change in net assets resulting from Class I capital transactions |
29,290 |
618,903 |
(98,692 ) |
(369,871 ) |
| Class L |
|
|
|
|
| Proceeds from shares issued |
— |
— |
249,918 |
732,499 |
| Distributions reinvested |
— |
— |
322,843 |
670,198 |
| Cost of shares redeemed |
— |
— |
(927,918 ) |
(1,834,947 ) |
| Change in net assets resulting from Class L capital transactions |
— |
— |
(355,157 ) |
(432,250 ) |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
7,939 |
9,987 |
3,236 |
7,527 |
| Distributions reinvested |
— |
363 |
3,695 |
7,012 |
| Cost of shares redeemed |
(7,400 ) |
(12,941 ) |
(5,139 ) |
(12,407 ) |
| Change in net assets resulting from Class R2 capital transactions |
539
|
(2,591 ) |
1,792
|
2,132 |
| Class R3 |
|
|
|
|
| Proceeds from shares issued |
12,418 |
21,394 |
2,839 |
7,400 |
| Distributions reinvested |
— |
344 |
3,962 |
7,118 |
| Cost of shares redeemed |
(12,615 ) |
(14,849 ) |
(5,973 ) |
(12,011 ) |
| Change in net assets resulting from Class R3 capital transactions |
(197
) |
6,889
|
828
|
2,507
|
| Class R4 |
|
|
|
|
| Proceeds from shares issued |
14,083 |
5,461 |
12,151 |
3,167 |
| Distributions reinvested |
— |
155 |
1,805 |
2,373 |
| Cost of shares redeemed |
(4,889 ) |
(5,600 ) |
(2,515 ) |
(9,532 ) |
| Change in net assets resulting from Class R4 capital transactions |
9,194
|
16
|
11,441 |
(3,992 ) |
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
39,610 |
86,914 |
4,031 |
5,993 |
| Distributions reinvested |
— |
3,209 |
2,912 |
5,265 |
| Cost of shares redeemed |
(45,098 ) |
(116,211 ) |
(4,473 ) |
(11,556 ) |
| Change in net assets resulting from Class R5 capital transactions |
(5,488 ) |
(26,088 ) |
2,470
|
(298
) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan Mid
Cap Growth Fund |
JPMorgan
Mid Cap Value Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
$633,144 |
$1,289,860 |
$433,503 |
$1,135,555 |
| Distributions reinvested |
— |
30,834 |
223,013 |
377,967 |
| Cost of shares redeemed |
(436,466 ) |
(759,410 ) |
(579,964 ) |
(848,693 ) |
| Change in net assets resulting from Class R6 capital transactions |
196,678 |
561,284 |
76,552 |
664,829 |
| Total change in net assets resulting from capital transactions |
$202,647 |
$1,064,246 |
$(378,275 ) |
$(153,604 ) |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
2,206 |
3,669 |
1,464 |
4,251 |
| Reinvested |
— |
332 |
1,835 |
3,559 |
| Redeemed |
(2,721 ) |
(6,396 ) |
(3,733 ) |
(7,898 ) |
| Change in Class A Shares |
(515
) |
(2,395
) |
(434
) |
(88
) |
| Class C |
|
|
|
|
| Issued |
176 |
357 |
56 |
216 |
| Reinvested |
— |
41 |
70 |
177 |
| Redeemed |
(602
) |
(1,208 ) |
(237
) |
(858
) |
| Change in Class C Shares |
(426
) |
(810
) |
(111
) |
(465 ) |
| Class I |
|
|
|
|
| Issued |
8,142 |
27,142 |
4,027 |
13,296 |
| Reinvested |
— |
305 |
2,800 |
6,053 |
| Redeemed |
(7,449 ) |
(11,953 ) |
(9,745 ) |
(29,600 ) |
| Change in Class I Shares |
693
|
15,494
|
(2,918
) |
(10,251
) |
| Class L |
|
|
|
|
| Issued |
— |
— |
7,121 |
20,306 |
| Reinvested |
— |
— |
9,061 |
18,844 |
| Redeemed |
— |
— |
(26,441 ) |
(51,351 ) |
| Change in Class L Shares |
—
|
—
|
(10,259
) |
(12,201 ) |
| Class R2 |
|
|
|
|
| Issued |
207 |
280 |
102 |
232 |
| Reinvested |
— |
10 |
116 |
219 |
| Redeemed |
(193
) |
(363
) |
(164
) |
(390 ) |
| Change in Class R2 Shares |
14
|
(73
) |
54
|
61
|
| Class R3 |
|
|
|
|
| Issued |
296 |
562 |
85 |
217 |
| Reinvested |
— |
9 |
117 |
210 |
| Redeemed |
(298
) |
(381
) |
(178
) |
(346
) |
| Change in Class R3 Shares |
(2
) |
190
|
24
|
81 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
49 |
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, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R4 |
|
|
|
|
| Issued |
327 |
139 |
361 |
90 |
| Reinvested |
— |
4 |
52 |
69 |
| Redeemed |
(113
) |
(142
) |
(74
) |
(271 ) |
| Change in Class R4 Shares |
214
|
1
|
339
|
(112
) |
| Class R5 |
|
|
|
|
| Issued |
884 |
2,138 |
115 |
168 |
| Reinvested |
— |
79 |
82 |
148 |
| Redeemed |
(1,021 ) |
(2,886 ) |
(127
) |
(324
) |
| Change in Class R5 Shares |
(137
) |
(669
) |
70
|
(8 ) |
| Class R6 |
|
|
|
|
| Issued |
14,272 |
31,323 |
12,367 |
31,333 |
| Reinvested |
— |
753 |
6,260 |
10,632 |
| Redeemed |
(9,845 ) |
(18,539 ) |
(16,555 ) |
(23,753 ) |
| Change in Class R6 Shares |
4,427
|
13,537
|
2,072
|
18,212
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan
Value Advantage Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
| Class A |
|
|
| Proceeds from shares issued |
$111,697 |
$380,410 |
| Distributions reinvested |
82,951 |
117,446 |
| Cost of shares redeemed |
(166,752 ) |
(309,869 ) |
| Change in net assets resulting from Class A capital transactions |
27,896 |
187,987 |
| Class C |
|
|
| Proceeds from shares issued |
10,895 |
33,685 |
| Distributions reinvested |
11,344 |
23,478 |
| Cost of shares redeemed |
(59,369 ) |
(109,155 ) |
| Change in net assets resulting from Class C capital transactions |
(37,130 ) |
(51,992 ) |
| Class I |
|
|
| Proceeds from shares issued |
133,886 |
381,472 |
| Distributions reinvested |
109,685 |
178,020 |
| Cost of shares redeemed |
(408,397 ) |
(695,145 ) |
| Change in net assets resulting from Class I capital transactions |
(164,826 ) |
(135,653 ) |
| Class L |
|
|
| Proceeds from shares issued |
59,900 |
173,061 |
| Distributions reinvested |
85,564 |
143,444 |
| Cost of shares redeemed |
(270,510 ) |
(526,510 ) |
| Change in net assets resulting from Class L capital transactions |
(125,046 ) |
(210,005 ) |
| Class R2 |
|
|
| Proceeds from shares issued |
45 |
65 |
| Distributions reinvested |
26 |
28 |
| Cost of shares redeemed |
(1
) |
(42
) |
| Change in net assets resulting from Class R2 capital transactions |
70
|
51 |
| Class R3 |
|
|
| Proceeds from shares issued |
576 |
613 |
| Distributions reinvested |
152 |
161 |
| Cost of shares redeemed |
(301
) |
(1,428 ) |
| Change in net assets resulting from Class R3 capital transactions |
427
|
(654
) |
| Class R4 |
|
|
| Proceeds from shares issued |
53 |
50 |
| Distributions reinvested |
16 |
11 |
| Cost of shares redeemed |
(1
) |
(3
) |
| Change in net assets resulting from Class R4 capital transactions |
68
|
58 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
51 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Value Advantage Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
| Class R5 |
|
|
| Proceeds from shares issued |
$742 |
$19,960
|
| Distributions reinvested |
1,356 |
220 |
| Cost of shares redeemed |
(521
) |
(2,906 ) |
| Change in net assets resulting from Class R5 capital transactions |
1,577
|
17,274 |
| Class R6 |
|
|
| Proceeds from shares issued |
386,694 |
821,643 |
| Distributions reinvested |
310,545 |
419,131 |
| Cost of shares redeemed |
(677,025 ) |
(1,306,320 ) |
| Change in net assets resulting from Class R6 capital transactions |
20,214 |
(65,546 ) |
| Total change in net assets resulting from capital transactions |
$(276,750 ) |
$(258,480 ) |
| SHARE TRANSACTIONS: |
|
|
| Class A |
|
|
| Issued |
3,213 |
10,486 |
| Reinvested |
2,370 |
3,312 |
| Redeemed |
(4,767 ) |
(8,759 ) |
| Change in Class A Shares |
816
|
5,039
|
| Class C |
|
|
| Issued |
313 |
942 |
| Reinvested |
325 |
664 |
| Redeemed |
(1,713 ) |
(3,069 ) |
| Change in Class C Shares |
(1,075
) |
(1,463 ) |
| Class I |
|
|
| Issued |
3,812 |
10,667 |
| Reinvested |
3,105 |
4,981 |
| Redeemed |
(11,651 ) |
(19,423 ) |
| Change in Class I Shares |
(4,734
) |
(3,775
) |
| Class L |
|
|
| Issued |
1,694 |
4,801 |
| Reinvested |
2,419 |
4,009 |
| Redeemed |
(7,709 ) |
(14,491 ) |
| Change in Class L Shares |
(3,596
) |
(5,681 ) |
| Class R2 |
|
|
| Issued |
1 |
2 |
| Reinvested |
1 |
1 |
| Redeemed |
— (a) |
(1 ) |
| Change in Class R2 Shares |
2
|
2
|
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
JPMorgan
Value Advantage Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
| Class R3 |
|
|
| Issued |
17 |
18 |
| Reinvested |
4 |
4 |
| Redeemed |
(9
) |
(38
) |
| Change in Class R3 Shares |
12
|
(16 ) |
| Class R4 |
|
|
| Issued |
1 |
2 |
| Reinvested |
1 |
— (a) |
| Redeemed |
— (a) |
— (a) |
| Change in Class R4 Shares |
2
|
2
|
| Class R5 |
|
|
| Issued |
22 |
557 |
| Reinvested |
38 |
6 |
| Redeemed |
(15
) |
(83
) |
| Change in Class R5 Shares |
45
|
480 |
| Class R6 |
|
|
| Issued |
10,973 |
23,201 |
| Reinvested |
8,790 |
11,732 |
| Redeemed |
(19,144 ) |
(35,732 ) |
| Change in Class R6 Shares |
619
|
(799
) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
53 |
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 Growth Advantage Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$28.14 |
$(0.06 ) |
$2.76 |
$2.70 |
$— |
$(0.20 ) |
$(0.20 ) |
| Year Ended June 30, 2023 |
22.52 |
(0.08 ) |
5.79 |
5.71 |
— |
(0.09 ) |
(0.09 ) |
| Year Ended June 30, 2022 |
33.66 |
(0.16 ) |
(6.04 ) |
(6.20 ) |
— |
(4.94 ) |
(4.94 ) |
| Year Ended June 30, 2021 |
25.27 |
(0.16 ) |
11.67 |
11.51 |
— |
(3.12 ) |
(3.12 ) |
| Year Ended June 30, 2020 |
21.78 |
(0.08 ) |
5.74 |
5.66 |
— |
(2.17 ) |
(2.17 ) |
| Year Ended June 30, 2019 |
21.73 |
(0.08 ) |
1.89 |
1.81 |
— |
(1.76 ) |
(1.76 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
22.25 |
(0.10 ) |
2.17 |
2.07 |
— |
(0.20 ) |
(0.20 ) |
| Year Ended June 30, 2023 |
17.91 |
(0.16 ) |
4.59 |
4.43 |
— |
(0.09 ) |
(0.09 ) |
| Year Ended June 30, 2022 |
27.83 |
(0.26 ) |
(4.72 ) |
(4.98 ) |
— |
(4.94 ) |
(4.94 ) |
| Year Ended June 30, 2021 |
21.42 |
(0.26 ) |
9.79 |
9.53 |
— |
(3.12 ) |
(3.12 ) |
| Year Ended June 30, 2020 |
18.86 |
(0.16 ) |
4.89 |
4.73 |
— |
(2.17 ) |
(2.17 ) |
| Year Ended June 30, 2019 |
19.16 |
(0.16 ) |
1.62 |
1.46 |
— |
(1.76 ) |
(1.76 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
29.79 |
(0.02 ) |
2.93 |
2.91 |
— |
(0.20 ) |
(0.20 ) |
| Year Ended June 30, 2023 |
23.78 |
(0.02 ) |
6.12 |
6.10 |
— |
(0.09 ) |
(0.09 ) |
| Year Ended June 30, 2022 |
35.20 |
(0.09 ) |
(6.39 ) |
(6.48 ) |
— |
(4.94 ) |
(4.94 ) |
| Year Ended June 30, 2021 |
26.29 |
(0.09 ) |
12.18 |
12.09 |
(0.06 ) |
(3.12 ) |
(3.18 ) |
| Year Ended June 30, 2020 |
22.53 |
(0.02 ) |
5.95 |
5.93 |
— |
(2.17 ) |
(2.17 ) |
| Year Ended June 30, 2019 |
22.36 |
(0.03 ) |
1.96 |
1.93 |
— |
(1.76 ) |
(1.76 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
27.58 |
(0.09 ) |
2.71 |
2.62 |
— |
(0.20 ) |
(0.20 ) |
| Year Ended June 30, 2023 |
22.14 |
(0.14 ) |
5.67 |
5.53 |
— |
(0.09 ) |
(0.09 ) |
| Year Ended June 30, 2022 |
33.24 |
(0.21 ) |
(5.95 ) |
(6.16 ) |
— |
(4.94 ) |
(4.94 ) |
| Year Ended June 30, 2021 |
25.05 |
(0.24 ) |
11.56 |
11.32 |
(0.01 ) |
(3.12 ) |
(3.13 ) |
| Year Ended June 30, 2020 |
21.67 |
(0.13 ) |
5.68 |
5.55 |
— |
(2.17 ) |
(2.17 ) |
| Year Ended June 30, 2019 |
21.68 |
(0.13 ) |
1.88 |
1.75 |
— |
(1.76 ) |
(1.76 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
28.08 |
(0.06 ) |
2.76 |
2.70 |
— |
(0.20 ) |
(0.20 ) |
| Year Ended June 30, 2023 |
22.48 |
(0.09 ) |
5.78 |
5.69 |
— |
(0.09 ) |
(0.09 ) |
| Year Ended June 30, 2022 |
33.61 |
(0.14 ) |
(6.05 ) |
(6.19 ) |
— |
(4.94 ) |
(4.94 ) |
| Year Ended June 30, 2021 |
25.27 |
(0.17 ) |
11.68 |
11.51 |
(0.05 ) |
(3.12 ) |
(3.17 ) |
| Year Ended June 30, 2020 |
21.79 |
(0.08 ) |
5.73 |
5.65 |
— |
(2.17 ) |
(2.17 ) |
| Year Ended June 30, 2019 |
21.74 |
(0.07 ) |
1.88 |
1.81 |
— |
(1.76 ) |
(1.76 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
29.80 |
(0.02 ) |
2.93 |
2.91 |
— |
(0.20 ) |
(0.20 ) |
| Year Ended June 30, 2023 |
23.79 |
(0.02 ) |
6.12 |
6.10 |
— |
(0.09 ) |
(0.09 ) |
| Year Ended June 30, 2022 |
35.21 |
(0.10 ) |
(6.38 ) |
(6.48 ) |
— |
(4.94 ) |
(4.94 ) |
| Year Ended June 30, 2021 |
26.29 |
(0.09 ) |
12.17 |
12.08 |
(0.04 ) |
(3.12 ) |
(3.16 ) |
| Year Ended June 30, 2020 |
22.53 |
(0.02 ) |
5.95 |
5.93 |
— |
(2.17 ) |
(2.17 ) |
| Year Ended June 30, 2019 |
22.36 |
(0.03 ) |
1.96 |
1.93 |
— |
(1.76 ) |
(1.76 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $30.64 |
9.59 % |
$3,358,270 |
1.04 % |
(0.41 )% |
1.14 % |
14 % |
| 28.14 |
25.46 |
2,957,562 |
1.04 |
(0.34 ) |
1.14 |
38 |
| 22.52 |
(22.53 ) |
2,362,435 |
1.08 |
(0.54 ) |
1.14 |
33 |
| 33.66 |
47.55 |
3,013,691 |
1.13 |
(0.54 ) |
1.14 |
43 |
| 25.27 |
27.87 |
2,032,870 |
1.14 |
(0.36 ) |
1.16 |
47 |
| 21.78 |
9.63 |
1,825,607 |
1.14 |
(0.38 ) |
1.25 |
40 |
| |
|
|
|
|
|
|
| 24.12 |
9.30 |
707,603 |
1.54 |
(0.91 ) |
1.64 |
14 |
| 22.25 |
24.86 |
808,227 |
1.54 |
(0.84 ) |
1.64 |
38 |
| 17.91 |
(22.90 ) |
798,037 |
1.58 |
(1.05 ) |
1.64 |
33 |
| 27.83 |
46.80 |
1,218,051 |
1.63 |
(1.04 ) |
1.63 |
43 |
| 21.42 |
27.20 |
942,512 |
1.64 |
(0.86 ) |
1.66 |
47 |
| 18.86 |
9.06 |
793,489 |
1.64 |
(0.88 ) |
1.75 |
40 |
| |
|
|
|
|
|
|
| 32.50 |
9.77 |
4,970,471 |
0.79 |
(0.16 ) |
0.88 |
14 |
| 29.79 |
25.75 |
4,496,251 |
0.79 |
(0.09 ) |
0.89 |
38 |
| 23.78 |
(22.33 ) |
3,376,110 |
0.83 |
(0.29 ) |
0.89 |
33 |
| 35.20 |
47.95 |
4,622,602 |
0.88 |
(0.29 ) |
0.88 |
43 |
| 26.29 |
28.15 |
2,827,894 |
0.89 |
(0.11 ) |
0.90 |
47 |
| 22.53 |
9.91 |
2,107,041 |
0.89 |
(0.12 ) |
1.00 |
40 |
| |
|
|
|
|
|
|
| 30.00 |
9.50 |
9,054 |
1.30 |
(0.67 ) |
1.42 |
14 |
| 27.58 |
25.08 |
6,945 |
1.30 |
(0.60 ) |
1.44 |
38 |
| 22.14 |
(22.71 ) |
4,972 |
1.32 |
(0.75 ) |
1.56 |
33 |
| 33.24 |
47.18 |
510 |
1.39 |
(0.79 ) |
1.66 |
43 |
| 25.05 |
27.48 |
239 |
1.39 |
(0.59 ) |
1.88 |
47 |
| 21.67 |
9.36 |
88 |
1.39 |
(0.61 ) |
2.24 |
40 |
| |
|
|
|
|
|
|
| 30.58 |
9.61 |
27,563 |
1.05 |
(0.42 ) |
1.14 |
14 |
| 28.08 |
25.41 |
27,413 |
1.05 |
(0.36 ) |
1.15 |
38 |
| 22.48 |
(22.54 ) |
13,221 |
1.08 |
(0.50 ) |
1.16 |
33 |
| 33.61 |
47.60 |
5,089 |
1.14 |
(0.54 ) |
1.17 |
43 |
| 25.27 |
27.80 |
1,076 |
1.14 |
(0.36 ) |
1.24 |
47 |
| 21.79 |
9.63 |
448 |
1.14 |
(0.36 ) |
1.40 |
40 |
| |
|
|
|
|
|
|
| 32.51 |
9.76 |
30,166 |
0.80 |
(0.16 ) |
0.88 |
14 |
| 29.80 |
25.74 |
24,519 |
0.80 |
(0.09 ) |
0.89 |
38 |
| 23.79 |
(22.32 ) |
15,452 |
0.83 |
(0.30 ) |
0.89 |
33 |
| 35.21 |
47.91 |
22,559 |
0.88 |
(0.29 ) |
0.88 |
43 |
| 26.29 |
28.15 |
17,739 |
0.89 |
(0.11 ) |
0.90 |
47 |
| 22.53 |
9.91 |
16,423 |
0.89 |
(0.12 ) |
1.00 |
40 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
55 |
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 Advantage
Fund (continued)
|
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$30.85 |
$— |
$3.03 |
$3.03 |
$— |
$(0.20 ) |
$(0.20 ) |
| Year Ended June 30, 2023 |
24.59 |
0.01 |
6.34 |
6.35 |
— |
(0.09 ) |
(0.09 ) |
| Year Ended June 30, 2022 |
36.18 |
(0.05 ) |
(6.60 ) |
(6.65 ) |
— |
(4.94 ) |
(4.94 ) |
| Year Ended June 30, 2021 |
26.93 |
(0.05 ) |
12.50 |
12.45 |
(0.08 ) |
(3.12 ) |
(3.20 ) |
| Year Ended June 30, 2020 |
23.00 |
0.01 |
6.09 |
6.10 |
— |
(2.17 ) |
(2.17 ) |
| Year Ended June 30, 2019 |
22.76 |
0.01 |
1.99 |
2.00 |
— |
(1.76 ) |
(1.76 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
31.24 |
0.01 |
3.08 |
3.09 |
— |
(0.20 ) |
(0.20 ) |
| Year Ended June 30, 2023 |
24.88 |
0.04 |
6.41 |
6.45 |
— |
(0.09 ) |
(0.09 ) |
| Year Ended June 30, 2022 |
36.52 |
(0.01 ) |
(6.69 ) |
(6.70 ) |
— |
(4.94 ) |
(4.94 ) |
| Year Ended June 30, 2021 |
27.16 |
(0.01 ) |
12.59 |
12.58 |
(0.10 ) |
(3.12 ) |
(3.22 ) |
| Year Ended June 30, 2020 |
23.15 |
0.03 |
6.15 |
6.18 |
— |
(2.17 ) |
(2.17 ) |
| Year Ended June 30, 2019 |
22.87 |
0.03 |
2.01 |
2.04 |
— |
(1.76 ) |
(1.76 ) |
| |
|
| (a) |
Annualized for periods less than one year, unless otherwise noted. |
| (b) |
Calculated based upon average shares outstanding. |
| (c) |
Not annualized for periods less than one year. |
| (d) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial
reporting purposes and the returns based upon those net asset values may differ from
the net asset values and returns for shareholder transactions. |
| (e) |
Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $33.68 |
9.82 % |
$104,699 |
0.65 % |
(0.01 )% |
0.73 % |
14 % |
| 30.85 |
25.92 |
104,828 |
0.65 |
0.05 |
0.74 |
38 |
| 24.59 |
(22.18 ) |
103,367 |
0.68 |
(0.15 ) |
0.74 |
33 |
| 36.18 |
48.16 |
141,386 |
0.73 |
(0.14 ) |
0.73 |
43 |
| 26.93 |
28.32 |
133,780 |
0.74 |
0.04 |
0.76 |
47 |
| 23.00 |
10.05 |
118,449 |
0.74 |
0.02 |
0.85 |
40 |
| |
|
|
|
|
|
|
| 34.13 |
9.89 |
8,030,695 |
0.55 |
0.08 |
0.63 |
14 |
| 31.24 |
26.02 |
7,474,875 |
0.55 |
0.15 |
0.64 |
38 |
| 24.88 |
(22.11 ) |
5,407,723 |
0.58 |
(0.03 ) |
0.64 |
33 |
| 36.52 |
48.28 |
5,754,949 |
0.63 |
(0.03 ) |
0.63 |
43 |
| 27.16 |
28.49 |
4,854,095 |
0.64 |
0.14 |
0.65 |
47 |
| 23.15 |
10.18 |
4,527,544 |
0.64 |
0.12 |
0.75 |
40 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
57 |
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 Mid Cap Equity Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$53.29 |
$0.10 |
$3.56 |
$3.66 |
$(0.18 ) |
$— |
$(0.18 ) |
| Year Ended June 30, 2023 |
48.06 |
0.16 |
6.37 |
6.53 |
(0.12 ) |
(1.18 ) |
(1.30 ) |
| Year Ended June 30, 2022 |
62.14 |
0.05 |
(9.53 ) |
(9.48 ) |
— |
(4.60 ) |
(4.60 ) |
| Year Ended June 30, 2021 |
47.20 |
(0.03 ) |
21.27 |
21.24 |
(0.08 ) |
(6.22 ) |
(6.30 ) |
| Year Ended June 30, 2020 |
50.52 |
0.13 |
0.78 |
0.91 |
(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 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
49.56 |
(0.03 ) |
3.29 |
3.26 |
— |
— |
— |
| Year Ended June 30, 2023 |
44.88 |
(0.09 ) |
5.95 |
5.86 |
— |
(1.18 ) |
(1.18 ) |
| Year Ended June 30, 2022 |
58.61 |
(0.25 ) |
(8.88 ) |
(9.13 ) |
— |
(4.60 ) |
(4.60 ) |
| Year Ended June 30, 2021 |
44.95 |
(0.29 ) |
20.17 |
19.88 |
— |
(6.22 ) |
(6.22 ) |
| Year Ended June 30, 2020 |
48.32 |
(0.10 ) |
0.71 |
0.61 |
(0.05 ) |
(3.93 ) |
(3.98 ) |
| Year Ended June 30, 2019 |
49.66 |
(0.04 ) |
3.84 |
3.80 |
— |
(5.14 ) |
(5.14 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
54.58 |
0.17 |
3.64 |
3.81 |
(0.29 ) |
— |
(0.29 ) |
| Year Ended June 30, 2023 |
49.19 |
0.30 |
6.51 |
6.81 |
(0.24 ) |
(1.18 ) |
(1.42 ) |
| Year Ended June 30, 2022 |
63.43 |
0.20 |
(9.75 ) |
(9.55 ) |
(0.09 ) |
(4.60 ) |
(4.69 ) |
| Year Ended June 30, 2021 |
48.07 |
0.13 |
21.66 |
21.79 |
(0.21 ) |
(6.22 ) |
(6.43 ) |
| Year Ended June 30, 2020 |
51.35 |
0.25 |
0.80 |
1.05 |
(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 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
52.24 |
0.04 |
3.46 |
3.50 |
(0.10 ) |
— |
(0.10 ) |
| Year Ended June 30, 2023 |
47.19 |
0.06 |
6.22 |
6.28 |
(0.05 ) |
(1.18 ) |
(1.23 ) |
| Year Ended June 30, 2022 |
61.24 |
(0.09 ) |
(9.36 ) |
(9.45 ) |
— |
(4.60 ) |
(4.60 ) |
| Year Ended June 30, 2021 |
46.64 |
(0.18 ) |
21.00 |
20.82 |
— |
(6.22 ) |
(6.22 ) |
| Year Ended June 30, 2020 |
49.96 |
0.01 |
0.76 |
0.77 |
(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 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
54.78 |
0.21 |
3.65 |
3.86 |
(0.37 ) |
— |
(0.37 ) |
| Year Ended June 30, 2023 |
49.42 |
0.44 |
6.47 |
6.91 |
(0.37 ) |
(1.18 ) |
(1.55 ) |
| Year Ended June 30, 2022 |
63.52 |
0.24 |
(9.74 ) |
(9.50 ) |
— |
(4.60 ) |
(4.60 ) |
| Year Ended June 30, 2021 |
48.11 |
0.16 |
21.74 |
21.90 |
(0.27 ) |
(6.22 ) |
(6.49 ) |
| Year Ended June 30, 2020 |
51.37 |
0.30 |
0.83 |
1.13 |
(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 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $56.77 |
6.87 % |
$708,277 |
1.14 % |
0.38 % |
1.26 % |
19 % |
| 53.29 |
13.70 |
642,773 |
1.14 |
0.32 |
1.26 |
40 |
| 48.06 |
(16.58 ) |
526,401 |
1.15 |
0.08 |
1.26 |
33 |
| 62.14 |
47.31 |
595,304 |
1.14 |
(0.05 ) |
1.26 |
54 |
| 47.20 |
2.20 |
405,857 |
1.14 |
0.28 |
1.26 |
49 |
| 50.52 |
9.92 |
451,118 |
1.13 |
0.37 |
1.26 |
34 |
| |
|
|
|
|
|
|
| 52.82 |
6.58 |
15,319 |
1.64 |
(0.13 ) |
1.77 |
19 |
| 49.56 |
13.16 |
14,923 |
1.64 |
(0.18 ) |
1.78 |
40 |
| 44.88 |
(17.00 ) |
13,761 |
1.65 |
(0.44 ) |
1.77 |
33 |
| 58.61 |
46.59 |
21,836 |
1.63 |
(0.56 ) |
1.75 |
54 |
| 44.95 |
1.69 |
20,753 |
1.64 |
(0.23 ) |
1.76 |
49 |
| 48.32 |
9.37 |
24,071 |
1.63 |
(0.09 ) |
1.76 |
34 |
| |
|
|
|
|
|
|
| 58.10 |
6.99 |
1,034,521 |
0.89 |
0.62 |
1.00 |
19 |
| 54.58 |
13.99 |
995,077 |
0.89 |
0.58 |
1.01 |
40 |
| 49.19 |
(16.37 ) |
802,716 |
0.90 |
0.33 |
1.02 |
33 |
| 63.43 |
47.67 |
886,782 |
0.89 |
0.23 |
1.00 |
54 |
| 48.07 |
2.46 |
341,317 |
0.89 |
0.53 |
1.01 |
49 |
| 51.35 |
10.20 |
301,071 |
0.88 |
0.65 |
1.00 |
34 |
| |
|
|
|
|
|
|
| 55.64 |
6.71 |
1,857 |
1.39 |
0.14 |
1.64 |
19 |
| 52.24 |
13.43 |
1,546 |
1.39 |
0.11 |
1.68 |
40 |
| 47.19 |
(16.79 ) |
552 |
1.40 |
(0.16 ) |
1.66 |
33 |
| 61.24 |
46.94 |
555 |
1.38 |
(0.33 ) |
1.59 |
54 |
| 46.64 |
1.96 |
623 |
1.39 |
0.03 |
1.55 |
49 |
| 49.96 |
9.63 |
524 |
1.38 |
0.10 |
1.57 |
34 |
| |
|
|
|
|
|
|
| 58.27 |
7.06 |
11,080 |
0.74 |
0.78 |
0.85 |
19 |
| 54.78 |
14.15 |
10,068 |
0.74 |
0.84 |
0.86 |
40 |
| 49.42 |
(16.24 ) |
1 |
0.74 |
0.39 |
0.91 |
33 |
| 63.52 |
47.89 |
74 |
0.74 |
0.29 |
0.87 |
54 |
| 48.11 |
2.62 |
871 |
0.74 |
0.61 |
0.86 |
49 |
| 51.37 |
10.37 |
6,073 |
0.73 |
0.81 |
0.86 |
34 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
59 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| |
Per
share operating performance | ||||||
| |
|
Investment
operations |
Distributions | ||||
| |
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(b) |
Net realized
and unrealized
gains
(losses) on
investments |
Total from
investment
operations |
Net
investment
income |
Net
realized
gain |
Total
distributions |
| JPMorgan Mid Cap Equity Fund (continued) |
|
|
|
|
|
|
|
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$54.73 |
$0.24 |
$3.66 |
$3.90 |
$(0.43 ) |
$— |
$(0.43 ) |
| Year Ended June 30, 2023 |
49.32 |
0.43 |
6.53 |
6.96 |
(0.37 ) |
(1.18 ) |
(1.55 ) |
| Year Ended June 30, 2022 |
63.57 |
0.35 |
(9.78 ) |
(9.43 ) |
(0.22 ) |
(4.60 ) |
(4.82 ) |
| Year Ended June 30, 2021 |
48.14 |
0.26 |
21.71 |
21.97 |
(0.32 ) |
(6.22 ) |
(6.54 ) |
| Year Ended June 30, 2020 |
51.41 |
0.37 |
0.81 |
1.18 |
(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 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $58.20 |
7.13 % |
$2,182,673 |
0.64 % |
0.89 % |
0.75 % |
19 % |
| 54.73 |
14.28 |
1,893,374 |
0.64 |
0.83 |
0.76 |
40 |
| 49.32 |
(16.17 ) |
1,285,957 |
0.65 |
0.59 |
0.76 |
33 |
| 63.57 |
48.03 |
1,320,991 |
0.64 |
0.45 |
0.75 |
54 |
| 48.14 |
2.72 |
867,761 |
0.64 |
0.75 |
0.76 |
49 |
| 51.41 |
10.48 |
2,008,540 |
0.63 |
0.87 |
0.75 |
34 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
61 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED
| |
Per
share operating performance | ||||||
| |
|
Investment
operations |
Distributions | ||||
| |
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(b) |
Net realized
and unrealized
gains
(losses) on
investments |
Total from
investment
operations |
Net
investment
income |
Net
realized
gain |
Total
distributions |
| JPMorgan Mid Cap Growth Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$35.03 |
$(0.10 ) |
$2.52 |
$2.42 |
$— |
$— |
$— |
| Year Ended June 30, 2023 |
29.58 |
(0.18 ) |
5.93 |
5.75 |
— |
(0.30 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
46.20 |
(0.31 ) |
(11.67 ) |
(11.98 ) |
— |
(4.64 ) |
(4.64 ) |
| Year Ended June 30, 2021 |
36.43 |
(0.36 ) |
15.58 |
15.22 |
— |
(5.45 ) |
(5.45 ) |
| Year Ended June 30, 2020 |
32.94 |
(0.20 ) |
6.50 |
6.30 |
— |
(2.81 ) |
(2.81 ) |
| Year Ended June 30, 2019 |
30.84 |
(0.17 ) |
4.42 |
4.25 |
— |
(2.15 ) |
(2.15 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
23.29 |
(0.12 ) |
1.66 |
1.54 |
— |
— |
— |
| Year Ended June 30, 2023 |
19.86 |
(0.23 ) |
3.96 |
3.73 |
— |
(0.30 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
32.69 |
(0.36 ) |
(7.83 ) |
(8.19 ) |
— |
(4.64 ) |
(4.64 ) |
| Year Ended June 30, 2021 |
27.15 |
(0.42 ) |
11.41 |
10.99 |
— |
(5.45 ) |
(5.45 ) |
| Year Ended June 30, 2020 |
25.34 |
(0.28 ) |
4.90 |
4.62 |
— |
(2.81 ) |
(2.81 ) |
| Year Ended June 30, 2019 |
24.37 |
(0.25 ) |
3.37 |
3.12 |
— |
(2.15 ) |
(2.15 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
43.56 |
(0.07 ) |
3.13 |
3.06 |
— |
— |
— |
| Year Ended June 30, 2023 |
36.62 |
(0.12 ) |
7.36 |
7.24 |
— |
(0.30 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
55.95 |
(0.25 ) |
(14.44 ) |
(14.69 ) |
— |
(4.64 ) |
(4.64 ) |
| Year Ended June 30, 2021 |
43.11 |
(0.28 ) |
18.58 |
18.30 |
(0.01 ) |
(5.45 ) |
(5.46 ) |
| Year Ended June 30, 2020 |
38.37 |
(0.12 ) |
7.67 |
7.55 |
— |
(2.81 ) |
(2.81 ) |
| Year Ended June 30, 2019 |
35.44 |
(0.09 ) |
5.17 |
5.08 |
— |
(2.15 ) |
(2.15 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
38.91 |
(0.17 ) |
2.80 |
2.63 |
— |
— |
— |
| Year Ended June 30, 2023 |
32.93 |
(0.31 ) |
6.59 |
6.28 |
— |
(0.30 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
51.05 |
(0.47 ) |
(13.01 ) |
(13.48 ) |
— |
(4.64 ) |
(4.64 ) |
| Year Ended June 30, 2021 |
39.90 |
(0.52 ) |
17.12 |
16.60 |
— |
(5.45 ) |
(5.45 ) |
| Year Ended June 30, 2020 |
35.91 |
(0.31 ) |
7.11 |
6.80 |
— |
(2.81 ) |
(2.81 ) |
| Year Ended June 30, 2019 |
33.49 |
(0.27 ) |
4.84 |
4.57 |
— |
(2.15 ) |
(2.15 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
42.44 |
(0.13 ) |
3.04 |
2.91 |
— |
— |
— |
| Year Ended June 30, 2023 |
35.80 |
(0.24 ) |
7.18 |
6.94 |
— |
(0.30 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
54.95 |
(0.41 ) |
(14.10 ) |
(14.51 ) |
— |
(4.64 ) |
(4.64 ) |
| Year Ended June 30, 2021 |
42.53 |
(0.43 ) |
18.30 |
17.87 |
— |
(5.45 ) |
(5.45 ) |
| Year Ended June 30, 2020 |
38.01 |
(0.23 ) |
7.56 |
7.33 |
— |
(2.81 ) |
(2.81 ) |
| Year Ended June 30, 2019 |
35.23 |
(0.20 ) |
5.13 |
4.93 |
— |
(2.15 ) |
(2.15 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
43.34 |
(0.08 ) |
3.12 |
3.04 |
— |
— |
— |
| Year Ended June 30, 2023 |
36.47 |
(0.14 ) |
7.31 |
7.17 |
— |
(0.30 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
55.76 |
(0.28 ) |
(14.37 ) |
(14.65 ) |
— |
(4.64 ) |
(4.64 ) |
| Year Ended June 30, 2021 |
43.00 |
(0.31 ) |
18.53 |
18.22 |
(0.01 ) |
(5.45 ) |
(5.46 ) |
| Year Ended June 30, 2020 |
38.30 |
(0.14 ) |
7.65 |
7.51 |
— |
(2.81 ) |
(2.81 ) |
| Year Ended June 30, 2019 |
35.40 |
(0.11 ) |
5.16 |
5.05 |
— |
(2.15 ) |
(2.15 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
Ratios/Supplemental data | |||||
| |
|
|
Ratios to average net
assets(a) | |||
| Net asset
value,
end of
period |
Total
return(c)(d) |
Net assets,
end of
period
(000's) |
Net
expenses(e)
|
Net
investment
income
(loss) |
Expenses without
waivers and reimbursements |
Portfolio turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $37.45 |
6.91 % |
$1,308,825 |
1.14 % |
(0.56 )% |
1.26 % |
22 % |
| 35.03 |
19.53 |
1,242,347 |
1.14 |
(0.56 ) |
1.26 |
45 |
| 29.58 |
(28.80 ) |
1,119,928 |
1.18 |
(0.78 ) |
1.26 |
45 |
| 46.20 |
43.59 |
1,642,278 |
1.24 |
(0.85 ) |
1.26 |
42 |
| 36.43 |
20.30 |
1,141,467 |
1.24 |
(0.62 ) |
1.27 |
63 |
| 32.94 |
15.37 |
1,012,686 |
1.23 |
(0.56 ) |
1.28 |
54 |
| |
|
|
|
|
|
|
| 24.83 |
6.61 |
53,732 |
1.64 |
(1.06 ) |
1.75 |
22 |
| 23.29 |
18.91 |
60,306 |
1.64 |
(1.06 ) |
1.75 |
45 |
| 19.86 |
(29.14 ) |
67,482 |
1.68 |
(1.28 ) |
1.75 |
45 |
| 32.69 |
42.84 |
109,845 |
1.74 |
(1.36 ) |
1.75 |
42 |
| 27.15 |
19.72 |
86,046 |
1.74 |
(1.12 ) |
1.75 |
63 |
| 25.34 |
14.78 |
83,558 |
1.73 |
(1.06 ) |
1.75 |
54 |
| |
|
|
|
|
|
|
| 46.62 |
7.02 |
2,541,338 |
0.89 |
(0.31 ) |
0.99 |
22 |
| 43.56 |
19.84 |
2,344,119 |
0.89 |
(0.30 ) |
1.00 |
45 |
| 36.62 |
(28.62 ) |
1,403,485 |
0.91 |
(0.50 ) |
1.00 |
45 |
| 55.95 |
44.02 |
2,003,878 |
0.93 |
(0.54 ) |
0.99 |
42 |
| 43.11 |
20.70 |
1,205,433 |
0.93 |
(0.31 ) |
1.00 |
63 |
| 38.37 |
15.73 |
1,085,728 |
0.92 |
(0.25 ) |
1.00 |
54 |
| |
|
|
|
|
|
|
| 41.54 |
6.76 |
50,656 |
1.45 |
(0.87 ) |
1.55 |
22 |
| 38.91 |
19.15 |
46,941 |
1.45 |
(0.87 ) |
1.55 |
45 |
| 32.93 |
(29.02 ) |
42,153 |
1.47 |
(1.06 ) |
1.54 |
45 |
| 51.05 |
43.24 |
57,273 |
1.49 |
(1.10 ) |
1.53 |
42 |
| 39.90 |
20.00 |
39,404 |
1.49 |
(0.87 ) |
1.55 |
63 |
| 35.91 |
15.10 |
44,453 |
1.48 |
(0.81 ) |
1.55 |
54 |
| |
|
|
|
|
|
|
| 45.35 |
6.86 |
54,698 |
1.20 |
(0.61 ) |
1.25 |
22 |
| 42.44 |
19.46 |
51,316 |
1.20 |
(0.62 ) |
1.25 |
45 |
| 35.80 |
(28.82 ) |
36,455 |
1.22 |
(0.82 ) |
1.25 |
45 |
| 54.95 |
43.57 |
70,608 |
1.24 |
(0.86 ) |
1.24 |
42 |
| 42.53 |
20.30 |
42,573 |
1.24 |
(0.61 ) |
1.25 |
63 |
| 38.01 |
15.38 |
30,023 |
1.23 |
(0.56 ) |
1.25 |
54 |
| |
|
|
|
|
|
|
| 46.38 |
7.01 |
34,729 |
0.95 |
(0.36 ) |
1.00 |
22 |
| 43.34 |
19.73 |
23,144 |
0.95 |
(0.37 ) |
1.00 |
45 |
| 36.47 |
(28.65 ) |
19,437 |
0.97 |
(0.56 ) |
1.00 |
45 |
| 55.76 |
43.92 |
22,947 |
0.99 |
(0.60 ) |
0.99 |
42 |
| 43.00 |
20.63 |
11,194 |
0.99 |
(0.37 ) |
1.00 |
63 |
| 38.30 |
15.66 |
9,343 |
0.98 |
(0.31 ) |
1.00 |
54 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
63 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| |
Per
share operating performance | ||||||
| |
|
Investment
operations |
Distributions | ||||
| |
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(b) |
Net realized
and unrealized
gains
(losses) on
investments |
Total from
investment
operations |
Net
investment
income |
Net
realized
gain |
Total
distributions |
| JPMorgan Mid Cap Growth Fund (continued) |
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$44.56 |
$(0.05 ) |
$3.21 |
$3.16 |
$— |
$— |
$— |
| Year Ended June 30, 2023 |
37.42 |
(0.08 ) |
7.52 |
7.44 |
— |
(0.30 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
57.00 |
(0.20 ) |
(14.74 ) |
(14.94 ) |
— |
(4.64 ) |
(4.64 ) |
| Year Ended June 30, 2021 |
43.81 |
(0.21 ) |
18.90 |
18.69 |
(0.05 ) |
(5.45 ) |
(5.50 ) |
| Year Ended June 30, 2020 |
38.90 |
(0.06 ) |
7.78 |
7.72 |
— |
(2.81 ) |
(2.81 ) |
| Year Ended June 30, 2019 |
35.85 |
(0.04 ) |
5.24 |
5.20 |
— |
(2.15 ) |
(2.15 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
44.96 |
(0.03 ) |
3.24 |
3.21 |
— |
— |
— |
| Year Ended June 30, 2023 |
37.73 |
(0.05 ) |
7.58 |
7.53 |
— |
(0.30 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
57.39 |
(0.16 ) |
(14.86 ) |
(15.02 ) |
— |
(4.64 ) |
(4.64 ) |
| Year Ended June 30, 2021 |
44.07 |
(0.19 ) |
19.03 |
18.84 |
(0.07 ) |
(5.45 ) |
(5.52 ) |
| Year Ended June 30, 2020 |
39.09 |
(0.04 ) |
7.83 |
7.79 |
— |
(2.81 ) |
(2.81 ) |
| Year Ended June 30, 2019 |
36.00 |
(0.02 ) |
5.26 |
5.24 |
— |
(2.15 ) |
(2.15 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
Ratios/Supplemental data | |||||
| |
|
|
Ratios to average net
assets(a) | |||
| Net asset
value,
end of
period |
Total
return(c)(d) |
Net assets,
end of
period
(000's) |
Net
expenses(e)
|
Net
investment
income
(loss) |
Expenses without
waivers and reimbursements |
Portfolio turnover
rate(c)
|
| | ||||||
| |
|
|
|
|
|
|
| $47.72 |
7.09 % |
$533,219 |
0.79 % |
(0.21 )% |
0.84 % |
22 % |
| 44.56 |
19.95 |
504,025 |
0.79 |
(0.21 ) |
0.85 |
45 |
| 37.42 |
(28.53 ) |
448,298 |
0.79 |
(0.39 ) |
0.85 |
45 |
| 57.00 |
44.22 |
730,273 |
0.79 |
(0.40 ) |
0.84 |
42 |
| 43.81 |
20.86 |
519,097 |
0.79 |
(0.17 ) |
0.85 |
63 |
| 38.90 |
15.89 |
457,513 |
0.78 |
(0.11 ) |
0.85 |
54 |
| |
|
|
|
|
|
|
| 48.17 |
7.14 |
5,772,322 |
0.70 |
(0.11 ) |
0.74 |
22 |
| 44.96 |
20.03 |
5,188,694 |
0.70 |
(0.11 ) |
0.75 |
45 |
| 37.73 |
(28.47 ) |
3,842,661 |
0.72 |
(0.31 ) |
0.75 |
45 |
| 57.39 |
44.30 |
4,435,662 |
0.74 |
(0.35 ) |
0.74 |
42 |
| 44.07 |
20.94 |
2,435,853 |
0.74 |
(0.11 ) |
0.75 |
63 |
| 39.09 |
15.94 |
1,835,188 |
0.73 |
(0.05 ) |
0.75 |
54 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
65 |
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 Mid Cap Value Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$34.36 |
$0.15 |
$2.16 |
$2.31 |
$(0.34 ) |
$(1.71 ) |
$(2.05 ) |
| Year Ended June 30, 2023 |
34.90 |
0.32 |
3.01 |
3.33 |
(0.28 ) |
(3.59 ) |
(3.87 ) |
| Year Ended June 30, 2022 |
43.69 |
0.24 |
(2.97 ) |
(2.73 ) |
(0.16 ) |
(5.90 ) |
(6.06 ) |
| Year Ended June 30, 2021 |
31.12 |
0.17 |
15.09 |
15.26 |
(0.29 ) |
(2.40 ) |
(2.69 ) |
| Year Ended June 30, 2020 |
38.02 |
0.33 |
(5.35 ) |
(5.02 ) |
(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 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
32.43 |
0.06 |
2.03 |
2.09 |
(0.17 ) |
(1.71 ) |
(1.88 ) |
| Year Ended June 30, 2023 |
33.10 |
0.13 |
2.86 |
2.99 |
(0.07 ) |
(3.59 ) |
(3.66 ) |
| Year Ended June 30, 2022 |
41.77 |
0.03 |
(2.80 ) |
(2.77 ) |
— |
(5.90 ) |
(5.90 ) |
| Year Ended June 30, 2021 |
29.77 |
(0.02 ) |
14.44 |
14.42 |
(0.02 ) |
(2.40 ) |
(2.42 ) |
| Year Ended June 30, 2020 |
36.44 |
0.14 |
(5.14 ) |
(5.00 ) |
(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 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
34.99 |
0.19 |
2.21 |
2.40 |
(0.42 ) |
(1.71 ) |
(2.13 ) |
| Year Ended June 30, 2023 |
35.48 |
0.40 |
3.07 |
3.47 |
(0.37 ) |
(3.59 ) |
(3.96 ) |
| Year Ended June 30, 2022 |
44.30 |
0.34 |
(3.02 ) |
(2.68 ) |
(0.24 ) |
(5.90 ) |
(6.14 ) |
| Year Ended June 30, 2021 |
31.51 |
0.27 |
15.30 |
15.57 |
(0.38 ) |
(2.40 ) |
(2.78 ) |
| Year Ended June 30, 2020 |
38.48 |
0.43 |
(5.42 ) |
(4.99 ) |
(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 ) |
| Class L |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.66 |
0.22 |
2.25 |
2.47 |
(0.48 ) |
(1.71 ) |
(2.19 ) |
| Year Ended June 30, 2023 |
36.09 |
0.47 |
3.12 |
3.59 |
(0.43 ) |
(3.59 ) |
(4.02 ) |
| Year Ended June 30, 2022 |
44.98 |
0.43 |
(3.09 ) |
(2.66 ) |
(0.33 ) |
(5.90 ) |
(6.23 ) |
| Year Ended June 30, 2021 |
31.96 |
0.36 |
15.51 |
15.87 |
(0.45 ) |
(2.40 ) |
(2.85 ) |
| Year Ended June 30, 2020 |
38.99 |
0.52 |
(5.48 ) |
(4.96 ) |
(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 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
32.08 |
0.10 |
2.01 |
2.11 |
(0.28 ) |
(1.71 ) |
(1.99 ) |
| Year Ended June 30, 2023 |
32.84 |
0.21 |
2.84 |
3.05 |
(0.22 ) |
(3.59 ) |
(3.81 ) |
| Year Ended June 30, 2022 |
41.48 |
0.12 |
(2.78 ) |
(2.66 ) |
(0.08 ) |
(5.90 ) |
(5.98 ) |
| Year Ended June 30, 2021 |
29.67 |
0.07 |
14.36 |
14.43 |
(0.22 ) |
(2.40 ) |
(2.62 ) |
| Year Ended June 30, 2020 |
36.35 |
0.23 |
(5.11 ) |
(4.88 ) |
(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 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
33.90 |
0.14 |
2.14 |
2.28 |
(0.35 ) |
(1.71 ) |
(2.06 ) |
| Year Ended June 30, 2023 |
34.49 |
0.31 |
2.98 |
3.29 |
(0.29 ) |
(3.59 ) |
(3.88 ) |
| Year Ended June 30, 2022 |
43.25 |
0.23 |
(2.94 ) |
(2.71 ) |
(0.15 ) |
(5.90 ) |
(6.05 ) |
| Year Ended June 30, 2021 |
30.83 |
0.17 |
14.95 |
15.12 |
(0.30 ) |
(2.40 ) |
(2.70 ) |
| Year Ended June 30, 2020 |
37.70 |
0.33 |
(5.30 ) |
(4.97 ) |
(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 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $34.62 |
6.86 % |
$1,175,231 |
1.14 % |
0.86 % |
1.25 % |
5 % |
| 34.36 |
9.66 |
1,181,402 |
1.14 |
0.91 |
1.24 |
12 |
| 34.90 |
(7.73 ) |
1,203,015 |
1.18 |
0.57 |
1.24 |
16 |
| 43.69 |
51.06 |
1,608,828 |
1.22 |
0.46 |
1.23 |
21 |
| 31.12 |
(14.13 ) |
1,171,139 |
1.24 |
0.93 |
1.24 |
18 |
| 38.02 |
4.12 |
1,662,841 |
1.23 |
1.20 |
1.25 |
11 |
| |
|
|
|
|
|
|
| 32.64 |
6.58 |
41,411 |
1.64 |
0.35 |
1.75 |
5 |
| 32.43 |
9.10 |
44,732 |
1.64 |
0.38 |
1.74 |
12 |
| 33.10 |
(8.17 ) |
61,031 |
1.68 |
0.07 |
1.74 |
16 |
| 41.77 |
50.32 |
76,078 |
1.72 |
(0.05 ) |
1.73 |
21 |
| 29.77 |
(14.58 ) |
84,827 |
1.73 |
0.42 |
1.74 |
18 |
| 36.44 |
3.59 |
149,839 |
1.73 |
0.72 |
1.74 |
11 |
| |
|
|
|
|
|
|
| 35.26 |
7.00 |
1,798,473 |
0.89 |
1.10 |
0.99 |
5 |
| 34.99 |
9.92 |
1,886,979 |
0.89 |
1.14 |
0.99 |
12 |
| 35.48 |
(7.50 ) |
2,276,870 |
0.93 |
0.81 |
0.98 |
16 |
| 44.30 |
51.46 |
3,061,126 |
0.97 |
0.72 |
0.98 |
21 |
| 31.51 |
(13.93 ) |
2,164,300 |
0.98 |
1.20 |
0.99 |
18 |
| 38.48 |
4.38 |
2,662,983 |
0.98 |
1.41 |
0.99 |
11 |
| |
|
|
|
|
|
|
| 35.94 |
7.05 |
5,751,654 |
0.75 |
1.25 |
0.84 |
5 |
| 35.66 |
10.11 |
6,071,628 |
0.75 |
1.29 |
0.84 |
12 |
| 36.09 |
(7.35 ) |
6,586,299 |
0.75 |
1.00 |
0.83 |
16 |
| 44.98 |
51.76 |
7,839,627 |
0.75 |
0.94 |
0.83 |
21 |
| 31.96 |
(13.71 ) |
5,976,033 |
0.75 |
1.41 |
0.84 |
18 |
| 38.99 |
4.63 |
8,996,364 |
0.74 |
1.61 |
0.85 |
11 |
| |
|
|
|
|
|
|
| 32.20 |
6.70 |
62,394 |
1.40 |
0.61 |
1.50 |
5 |
| 32.08 |
9.39 |
60,386 |
1.40 |
0.65 |
1.49 |
12 |
| 32.84 |
(7.97 ) |
59,842 |
1.43 |
0.32 |
1.49 |
16 |
| 41.48 |
50.69 |
71,087 |
1.48 |
0.21 |
1.49 |
21 |
| 29.67 |
(14.36 ) |
59,200 |
1.49 |
0.69 |
1.50 |
18 |
| 36.35 |
3.86 |
74,236 |
1.49 |
0.87 |
1.50 |
11 |
| |
|
|
|
|
|
|
| 34.12 |
6.85 |
72,699 |
1.15 |
0.86 |
1.24 |
5 |
| 33.90 |
9.65 |
71,414 |
1.15 |
0.90 |
1.24 |
12 |
| 34.49 |
(7.75 ) |
69,915 |
1.18 |
0.56 |
1.23 |
16 |
| 43.25 |
51.07 |
88,116 |
1.22 |
0.47 |
1.23 |
21 |
| 30.83 |
(14.13 ) |
63,836 |
1.23 |
0.96 |
1.24 |
18 |
| 37.70 |
4.12 |
73,299 |
1.24 |
1.04 |
1.25 |
11 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
67 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| |
Per
share operating performance | ||||||
| |
|
Investment
operations |
Distributions | ||||
| |
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(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 (continued) |
|
|
|
|
|
|
|
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$34.76 |
$0.21 |
$2.17 |
$2.38 |
$(0.45 ) |
$(1.71 ) |
$(2.16 ) |
| Year Ended June 30, 2023 |
35.29 |
0.40 |
3.05 |
3.45 |
(0.39 ) |
(3.59 ) |
(3.98 ) |
| Year Ended June 30, 2022 |
44.02 |
0.34 |
(3.00 ) |
(2.66 ) |
(0.17 ) |
(5.90 ) |
(6.07 ) |
| Year Ended June 30, 2021 |
31.34 |
0.27 |
15.20 |
15.47 |
(0.39 ) |
(2.40 ) |
(2.79 ) |
| Year Ended June 30, 2020 |
38.29 |
0.43 |
(5.40 ) |
(4.97 ) |
(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 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.59 |
0.22 |
2.25 |
2.47 |
(0.48 ) |
(1.71 ) |
(2.19 ) |
| Year Ended June 30, 2023 |
36.03 |
0.47 |
3.10 |
3.57 |
(0.42 ) |
(3.59 ) |
(4.01 ) |
| Year Ended June 30, 2022 |
44.90 |
0.40 |
(3.06 ) |
(2.66 ) |
(0.31 ) |
(5.90 ) |
(6.21 ) |
| Year Ended June 30, 2021 |
31.90 |
0.33 |
15.49 |
15.82 |
(0.42 ) |
(2.40 ) |
(2.82 ) |
| Year Ended June 30, 2020 |
38.93 |
0.49 |
(5.48 ) |
(4.99 ) |
(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 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.65 |
0.24 |
2.24 |
2.48 |
(0.51 ) |
(1.71 ) |
(2.22 ) |
| Year Ended June 30, 2023 |
36.09 |
0.51 |
3.11 |
3.62 |
(0.47 ) |
(3.59 ) |
(4.06 ) |
| Year Ended June 30, 2022 |
44.96 |
0.46 |
(3.08 ) |
(2.62 ) |
(0.35 ) |
(5.90 ) |
(6.25 ) |
| Year Ended June 30, 2021 |
31.94 |
0.37 |
15.51 |
15.88 |
(0.46 ) |
(2.40 ) |
(2.86 ) |
| Year Ended June 30, 2020 |
38.97 |
0.52 |
(5.47 ) |
(4.95 ) |
(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 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $34.98 |
6.99 % |
$30,337 |
0.90 % |
1.21 % |
0.99 % |
5 % |
| 34.76 |
9.90 |
18,338 |
0.90 |
1.14 |
0.99 |
12 |
| 35.29 |
(7.50 ) |
22,574 |
0.94 |
0.80 |
0.98 |
16 |
| 44.02 |
51.47 |
31,938 |
0.97 |
0.70 |
0.98 |
21 |
| 31.34 |
(13.93 ) |
24,576 |
0.98 |
1.21 |
0.99 |
18 |
| 38.29 |
4.38 |
27,681 |
0.98 |
1.32 |
0.99 |
11 |
| |
|
|
|
|
|
|
| 35.87 |
7.07 |
50,279 |
0.75 |
1.26 |
0.84 |
5 |
| 35.59 |
10.08 |
47,429 |
0.75 |
1.30 |
0.84 |
12 |
| 36.03 |
(7.35 ) |
48,283 |
0.78 |
0.94 |
0.83 |
16 |
| 44.90 |
51.69 |
89,178 |
0.82 |
0.87 |
0.83 |
21 |
| 31.90 |
(13.79 ) |
69,110 |
0.83 |
1.34 |
0.83 |
18 |
| 38.93 |
4.52 |
95,243 |
0.83 |
1.50 |
0.84 |
11 |
| |
|
|
|
|
|
|
| 35.91 |
7.10 |
4,192,341 |
0.65 |
1.36 |
0.74 |
5 |
| 35.65 |
10.20 |
4,087,234 |
0.65 |
1.42 |
0.74 |
12 |
| 36.09 |
(7.26 ) |
3,480,524 |
0.68 |
1.07 |
0.73 |
16 |
| 44.96 |
51.83 |
4,184,659 |
0.72 |
0.97 |
0.73 |
21 |
| 31.94 |
(13.70 ) |
3,101,566 |
0.73 |
1.46 |
0.74 |
18 |
| 38.97 |
4.63 |
3,272,999 |
0.73 |
1.52 |
0.74 |
11 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
69 |
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 Value Advantage Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$35.00 |
$0.24 |
$2.46 |
$2.70 |
$(0.50 ) |
$(1.97 ) |
$(2.47 ) |
| Year Ended June 30, 2023 |
36.05 |
0.52 |
2.02 |
2.54 |
(0.53 ) |
(3.06 ) |
(3.59 ) |
| Year Ended June 30, 2022 |
42.90 |
0.41 |
(1.67 ) |
(1.26 ) |
(0.32 ) |
(5.27 ) |
(5.59 ) |
| Year Ended June 30, 2021 |
29.53 |
0.34 |
14.04 |
14.38 |
(0.48 ) |
(0.53 ) |
(1.01 ) |
| Year Ended June 30, 2020 |
35.46 |
0.49 |
(5.04 ) |
(4.55 ) |
(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 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
34.90 |
0.15 |
2.45 |
2.60 |
(0.26 ) |
(1.97 ) |
(2.23 ) |
| Year Ended June 30, 2023 |
35.91 |
0.34 |
2.00 |
2.34 |
(0.29 ) |
(3.06 ) |
(3.35 ) |
| Year Ended June 30, 2022 |
42.73 |
0.20 |
(1.65 ) |
(1.45 ) |
(0.10 ) |
(5.27 ) |
(5.37 ) |
| Year Ended June 30, 2021 |
29.38 |
0.16 |
13.99 |
14.15 |
(0.27 ) |
(0.53 ) |
(0.80 ) |
| Year Ended June 30, 2020 |
35.29 |
0.32 |
(5.04 ) |
(4.72 ) |
(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 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.30 |
0.29 |
2.48 |
2.77 |
(0.58 ) |
(1.97 ) |
(2.55 ) |
| Year Ended June 30, 2023 |
36.31 |
0.61 |
2.03 |
2.64 |
(0.59 ) |
(3.06 ) |
(3.65 ) |
| Year Ended June 30, 2022 |
43.15 |
0.51 |
(1.68 ) |
(1.17 ) |
(0.40 ) |
(5.27 ) |
(5.67 ) |
| Year Ended June 30, 2021 |
29.71 |
0.43 |
14.13 |
14.56 |
(0.59 ) |
(0.53 ) |
(1.12 ) |
| Year Ended June 30, 2020 |
35.67 |
0.57 |
(5.06 ) |
(4.49 ) |
(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 ) |
| Class L |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.35 |
0.31 |
2.48 |
2.79 |
(0.63 ) |
(1.97 ) |
(2.60 ) |
| Year Ended June 30, 2023 |
36.36 |
0.66 |
2.04 |
2.70 |
(0.65 ) |
(3.06 ) |
(3.71 ) |
| Year Ended June 30, 2022 |
43.20 |
0.57 |
(1.68 ) |
(1.11 ) |
(0.46 ) |
(5.27 ) |
(5.73 ) |
| Year Ended June 30, 2021 |
29.73 |
0.49 |
14.14 |
14.63 |
(0.63 ) |
(0.53 ) |
(1.16 ) |
| Year Ended June 30, 2020 |
35.69 |
0.63 |
(5.07 ) |
(4.44 ) |
(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 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
34.48 |
0.19 |
2.42 |
2.61 |
(0.45 ) |
(1.97 ) |
(2.42 ) |
| Year Ended June 30, 2023 |
35.56 |
0.41 |
2.00 |
2.41 |
(0.43 ) |
(3.06 ) |
(3.49 ) |
| Year Ended June 30, 2022 |
42.46 |
0.31 |
(1.65 ) |
(1.34 ) |
(0.29 ) |
(5.27 ) |
(5.56 ) |
| Year Ended June 30, 2021 |
29.31 |
0.26 |
13.90 |
14.16 |
(0.48 ) |
(0.53 ) |
(1.01 ) |
| Year Ended June 30, 2020 |
35.24 |
0.40 |
(5.01 ) |
(4.61 ) |
(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 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
34.48 |
0.24 |
2.41 |
2.65 |
(0.52 ) |
(1.97 ) |
(2.49 ) |
| Year Ended June 30, 2023 |
35.51 |
0.50 |
2.00 |
2.50 |
(0.47 ) |
(3.06 ) |
(3.53 ) |
| Year Ended June 30, 2022 |
42.36 |
0.41 |
(1.65 ) |
(1.24 ) |
(0.34 ) |
(5.27 ) |
(5.61 ) |
| Year Ended June 30, 2021 |
29.21 |
0.33 |
13.88 |
14.21 |
(0.53 ) |
(0.53 ) |
(1.06 ) |
| Year Ended June 30, 2020 |
35.08 |
0.48 |
(4.98 ) |
(4.50 ) |
(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 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $35.23 |
7.85 % |
$1,282,100 |
1.04 % |
1.38 % |
1.15 % |
9 % |
| 35.00 |
7.03 |
1,245,482 |
1.04 |
1.45 |
1.14 |
24 |
| 36.05 |
(3.78 ) |
1,101,144 |
1.07 |
0.99 |
1.14 |
23 |
| 42.90 |
49.47 |
1,050,569 |
1.13 |
0.94 |
1.14 |
34 |
| 29.53 |
(13.60 ) |
736,715 |
1.14 |
1.45 |
1.16 |
29 |
| 35.46 |
7.00 |
1,231,325 |
1.14 |
1.59 |
1.25 |
15 |
| |
|
|
|
|
|
|
| 35.27 |
7.57 |
187,094 |
1.54 |
0.87 |
1.65 |
9 |
| 34.90 |
6.47 |
222,660 |
1.54 |
0.94 |
1.65 |
24 |
| 35.91 |
(4.24 ) |
281,613 |
1.58 |
0.48 |
1.65 |
23 |
| 42.73 |
48.75 |
349,246 |
1.63 |
0.45 |
1.64 |
34 |
| 29.38 |
(14.04 ) |
332,229 |
1.64 |
0.94 |
1.66 |
29 |
| 35.29 |
6.45 |
522,878 |
1.64 |
1.08 |
1.75 |
15 |
| |
|
|
|
|
|
|
| 35.52 |
7.98 |
1,692,685 |
0.79 |
1.62 |
0.89 |
9 |
| 35.30 |
7.29 |
1,849,562 |
0.79 |
1.69 |
0.89 |
24 |
| 36.31 |
(3.54 ) |
2,039,492 |
0.82 |
1.23 |
0.89 |
23 |
| 43.15 |
49.86 |
2,326,829 |
0.88 |
1.20 |
0.89 |
34 |
| 29.71 |
(13.39 ) |
2,047,640 |
0.89 |
1.70 |
0.90 |
29 |
| 35.67 |
7.28 |
2,445,747 |
0.89 |
1.76 |
0.99 |
15 |
| |
|
|
|
|
|
|
| 35.54 |
8.03 |
1,286,725 |
0.65 |
1.76 |
0.74 |
9 |
| 35.35 |
7.44 |
1,406,943 |
0.65 |
1.83 |
0.74 |
24 |
| 36.36 |
(3.39 ) |
1,653,596 |
0.68 |
1.38 |
0.74 |
23 |
| 43.20 |
50.10 |
1,855,713 |
0.73 |
1.35 |
0.74 |
34 |
| 29.73 |
(13.26 ) |
1,593,954 |
0.74 |
1.85 |
0.75 |
29 |
| 35.69 |
7.41 |
2,569,596 |
0.74 |
2.04 |
0.84 |
15 |
| |
|
|
|
|
|
|
| 34.67 |
7.72 |
407 |
1.30 |
1.12 |
1.54 |
9 |
| 34.48 |
6.75 |
334 |
1.30 |
1.18 |
1.52 |
24 |
| 35.56 |
(4.02 ) |
292 |
1.33 |
0.77 |
1.49 |
23 |
| 42.46 |
49.10 |
194 |
1.38 |
0.73 |
1.54 |
34 |
| 29.31 |
(13.82 ) |
182 |
1.39 |
1.27 |
1.55 |
29 |
| 35.24 |
6.72 |
69 |
1.39 |
1.40 |
2.14 |
15 |
| |
|
|
|
|
|
|
| 34.64 |
7.82 |
2,633 |
1.05 |
1.38 |
1.21 |
9 |
| 34.48 |
7.03 |
2,195 |
1.05 |
1.41 |
1.20 |
24 |
| 35.51 |
(3.78 ) |
2,845 |
1.08 |
1.00 |
1.17 |
23 |
| 42.36 |
49.46 |
3,020 |
1.13 |
0.92 |
1.17 |
34 |
| 29.21 |
(13.60 ) |
1,519 |
1.14 |
1.43 |
1.18 |
29 |
| 35.08 |
7.00 |
2,241 |
1.14 |
1.44 |
1.26 |
15 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
71 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| |
Per
share operating performance | ||||||
| |
|
Investment
operations |
Distributions | ||||
| |
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(b) |
Net realized
and unrealized
gains
(losses) on
investments |
Total from
investment
operations |
Net
investment
income |
Net
realized
gain |
Total
distributions |
| JPMorgan Value Advantage Fund (continued) |
|
|
|
|
|
|
|
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$35.62 |
$0.29 |
$2.50 |
$2.79 |
$(0.60 ) |
$(1.97 ) |
$(2.57 ) |
| Year Ended June 30, 2023 |
36.30 |
0.61 |
2.04 |
2.65 |
(0.27 ) |
(3.06 ) |
(3.33 ) |
| Year Ended June 30, 2022 |
42.92 |
0.50 |
(1.67 ) |
(1.17 ) |
(0.18 ) |
(5.27 ) |
(5.45 ) |
| Year Ended June 30, 2021 |
29.56 |
0.42 |
14.06 |
14.48 |
(0.59 ) |
(0.53 ) |
(1.12 ) |
| Year Ended June 30, 2020 |
35.52 |
0.57 |
(5.04 ) |
(4.47 ) |
(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 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.27 |
0.31 |
2.48 |
2.79 |
(0.64 ) |
(1.97 ) |
(2.61 ) |
| Year Ended June 30, 2023 |
36.30 |
0.65 |
2.04 |
2.69 |
(0.66 ) |
(3.06 ) |
(3.72 ) |
| Year Ended June 30, 2022 |
43.12 |
0.57 |
(1.69 ) |
(1.12 ) |
(0.43 ) |
(5.27 ) |
(5.70 ) |
| Year Ended June 30, 2021 |
29.67 |
0.49 |
14.11 |
14.60 |
(0.62 ) |
(0.53 ) |
(1.15 ) |
| Year Ended June 30, 2020 |
35.62 |
0.63 |
(5.05 ) |
(4.42 ) |
(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 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.31 |
0.33 |
2.47 |
2.80 |
(0.67 ) |
(1.97 ) |
(2.64 ) |
| Year Ended June 30, 2023 |
36.32 |
0.69 |
2.05 |
2.74 |
(0.69 ) |
(3.06 ) |
(3.75 ) |
| Year Ended June 30, 2022 |
43.16 |
0.61 |
(1.68 ) |
(1.07 ) |
(0.50 ) |
(5.27 ) |
(5.77 ) |
| Year Ended June 30, 2021 |
29.71 |
0.52 |
14.13 |
14.65 |
(0.67 ) |
(0.53 ) |
(1.20 ) |
| Year Ended June 30, 2020 |
35.67 |
0.66 |
(5.06 ) |
(4.40 ) |
(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 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $35.84 |
7.97 % |
$243 |
0.80 % |
1.63 % |
0.98 % |
9 % |
| 35.62 |
7.29 |
173 |
0.80 |
1.69 |
0.93 |
24 |
| 36.30 |
(3.53 ) |
118 |
0.84 |
1.20 |
0.89 |
23 |
| 42.92 |
49.86 |
1,724 |
0.88 |
1.26 |
0.89 |
34 |
| 29.56 |
(13.40 ) |
32,555 |
0.88 |
1.74 |
0.90 |
29 |
| 35.52 |
7.27 |
20,538 |
0.89 |
1.79 |
0.99 |
15 |
| |
|
|
|
|
|
|
| 35.45 |
8.04 |
19,801 |
0.65 |
1.77 |
0.74 |
9 |
| 35.27 |
7.45 |
18,118 |
0.65 |
1.87 |
0.74 |
24 |
| 36.30 |
(3.40 ) |
1,178 |
0.68 |
1.38 |
0.74 |
23 |
| 43.12 |
50.12 |
1,365 |
0.73 |
1.41 |
0.74 |
34 |
| 29.67 |
(13.25 ) |
5,529 |
0.74 |
1.85 |
0.75 |
29 |
| 35.62 |
7.41 |
8,018 |
0.74 |
1.85 |
0.84 |
15 |
| |
|
|
|
|
|
|
| 35.47 |
8.07 |
4,384,530 |
0.55 |
1.87 |
0.64 |
9 |
| 35.31 |
7.58 |
4,341,944 |
0.55 |
1.93 |
0.64 |
24 |
| 36.32 |
(3.30 ) |
4,495,856 |
0.58 |
1.47 |
0.64 |
23 |
| 43.16 |
50.23 |
5,562,656 |
0.63 |
1.44 |
0.64 |
34 |
| 29.71 |
(13.18 ) |
3,949,596 |
0.64 |
1.96 |
0.65 |
29 |
| 35.67 |
7.57 |
4,025,348 |
0.64 |
2.02 |
0.74 |
15 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
73 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited)
(Dollar values in thousands)
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”) was organized as a Massachusetts business trust on September 23, 1997, as an open-end management investment company.
J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG,” and with JPM I, JPM II and JPMMFIT, collectively,
the “Trusts”) was organized as a Maryland corporation on August 19, 1997, as an open-end management investment company.
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 Mid Cap Value Fund and Value Advantage 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’ prospectus.
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 eight years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan
Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the
“Adviser”) and administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their
financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial
Accounting Standards Board (“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.
| 74 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
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.
Under Section 2(a)(41) of the 1940 Act, the Boards are required to determine fair value for securities that do
not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Boards may designate the performance of these fair
valuation determinations to a valuation designee. The Boards have designated the Adviser as the “Valuation Designee” to perform fair valuation
determinations for the Funds on behalf of the Boards subject to appropriate oversight by the Boards. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC 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.
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"):
| Growth Advantage Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Investments in Securities |
|
|
|
|
| Common Stocks |
|
|
|
|
| Automobiles |
$385,464 |
$— |
$— |
$385,464 |
| Beverages |
88,081 |
— |
— |
88,081 |
| Biotechnology |
662,599 |
— |
— |
662,599 |
| Broadline Retail |
1,031,036 |
— |
— |
1,031,036 |
| Building Products |
236,623 |
— |
— |
236,623 |
| Capital Markets |
676,194 |
— |
— |
676,194 |
| Commercial Services & Supplies |
176,973 |
— |
— |
176,973 |
| Communications Equipment |
105,150 |
— |
— |
105,150 |
| Construction & Engineering |
286,758 |
— |
— |
286,758 |
| Distributors |
67,018 |
— |
— |
67,018 |
| Electrical Equipment |
253,318 |
— |
— |
253,318 |
| Electronic Equipment, Instruments & Components |
130,773 |
— |
— |
130,773 |
| Energy Equipment & Services |
151,462 |
— |
— |
151,462 |
| Entertainment |
361,627 |
— |
— |
361,627 |
| Financial Services |
564,367 |
— |
— |
564,367 |
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
75 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Growth Advantage Fund (continued)
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Ground Transportation |
$487,006 |
$— |
$— |
$487,006
|
| Health Care Equipment & Supplies |
348,317 |
— |
— |
348,317 |
| Health Care Providers & Services |
443,109 |
— |
— |
443,109 |
| Hotels, Restaurants & Leisure |
320,364 |
— |
— |
320,364 |
| Household Durables |
95,860 |
— |
— |
95,860 |
| Insurance |
156,142 |
— |
— |
156,142 |
| Interactive Media & Services |
1,507,523 |
— |
— |
1,507,523 |
| IT Services |
271,262 |
— |
— |
271,262 |
| Life Sciences Tools & Services |
219,200 |
— |
— |
219,200 |
| Machinery |
158,126 |
— |
— |
158,126 |
| Media |
130,913 |
— |
— |
130,913 |
| Metals & Mining |
63,250 |
— |
— |
63,250 |
| Oil, Gas & Consumable Fuels |
226,346 |
— |
— |
226,346 |
| Pharmaceuticals |
423,964 |
— |
— |
423,964 |
| Professional Services |
129,274 |
— |
— |
129,274 |
| Semiconductors & Semiconductor Equipment |
1,772,703 |
— |
— |
1,772,703 |
| Software |
3,116,664 |
— |
15,096 |
3,131,760 |
| Specialty Retail |
543,391 |
— |
— |
543,391 |
| Technology Hardware, Storage & Peripherals |
1,196,733 |
— |
— |
1,196,733 |
| Textiles, Apparel & Luxury Goods |
122,919 |
— |
— |
122,919 |
| Trading Companies & Distributors |
58,479 |
— |
— |
58,479 |
| Total Common Stocks |
16,968,988 |
— |
15,096 |
16,984,084 |
| Short-Term Investments |
|
|
|
|
| Investment Companies |
257,169 |
— |
— |
257,169 |
| Investment of Cash Collateral from Securities Loaned |
26,324 |
— |
— |
26,324 |
| Total Short-Term Investments |
283,493 |
— |
— |
283,493 |
| Total Investments in Securities |
$17,252,481 |
$— |
$15,096 |
$17,267,577 |
| 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) |
$4,018,615 |
$— |
$— |
$4,018,615 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| Mid Cap Growth Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Investments in Securities |
|
|
|
|
| Common Stocks |
|
|
|
|
| Aerospace & Defense |
$129,034 |
$— |
$— |
$129,034 |
| Automobiles |
52,845 |
— |
— |
52,845 |
| Beverages |
52,850 |
— |
— |
52,850 |
| Biotechnology |
547,256 |
— |
— |
547,256 |
| Building Products |
265,638 |
— |
— |
265,638 |
| Capital Markets |
894,653 |
— |
— |
894,653 |
| 76 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| Mid Cap Growth Fund (continued) |
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Commercial Services & Supplies |
$386,552 |
$— |
$— |
$386,552 |
| Communications Equipment |
60,580 |
— |
— |
60,580 |
| Construction & Engineering |
230,392 |
— |
— |
230,392 |
| Distributors |
102,141 |
— |
— |
102,141 |
| Diversified Consumer Services |
78,153 |
— |
— |
78,153 |
| Electrical Equipment |
182,850 |
— |
— |
182,850 |
| Electronic Equipment, Instruments & Components |
370,690 |
— |
— |
370,690 |
| Energy Equipment & Services |
90,069 |
— |
— |
90,069 |
| Entertainment |
126,376 |
— |
— |
126,376 |
| Financial Services |
155,710 |
— |
— |
155,710 |
| Ground Transportation |
340,032 |
— |
— |
340,032 |
| Health Care Equipment & Supplies |
641,365 |
— |
— |
641,365 |
| Health Care Providers & Services |
272,132 |
— |
— |
272,132 |
| Hotels, Restaurants & Leisure |
596,944 |
— |
— |
596,944 |
| Household Durables |
100,691 |
— |
— |
100,691 |
| Insurance |
79,798 |
— |
— |
79,798 |
| IT Services |
476,409 |
— |
— |
476,409 |
| Life Sciences Tools & Services |
588,441 |
— |
— |
588,441 |
| Machinery |
233,513 |
— |
— |
233,513 |
| Media |
170,611 |
— |
— |
170,611 |
| Metals & Mining |
36,866 |
— |
— |
36,866 |
| Oil, Gas & Consumable Fuels |
301,436 |
— |
— |
301,436 |
| Personal Care Products |
62,656 |
— |
— |
62,656 |
| Pharmaceuticals |
51,652 |
— |
— |
51,652 |
| Professional Services |
195,462 |
— |
— |
195,462 |
| Semiconductors & Semiconductor Equipment |
546,178 |
— |
— |
546,178 |
| Software |
1,097,420 |
— |
8,904 |
1,106,324 |
| Specialty Retail |
535,980 |
— |
— |
535,980 |
| Textiles, Apparel & Luxury Goods |
92,571 |
— |
— |
92,571 |
| Trading Companies & Distributors |
68,565 |
— |
— |
68,565 |
| Total Common Stocks |
10,214,511 |
— |
8,904
|
10,223,415 |
| Short-Term Investments |
|
|
|
|
| Investment Companies |
139,743 |
— |
— |
139,743 |
| Investment of Cash Collateral from Securities Loaned |
309,502 |
— |
— |
309,502 |
| Total Short-Term Investments |
449,245 |
— |
— |
449,245 |
| Total Investments in Securities |
$10,663,756 |
$— |
$8,904 |
$10,672,660 |
| 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) |
$13,277,898 |
$— |
$— |
$13,277,898 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
77 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Value Advantage Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$8,938,942 |
$— |
$— |
$8,938,942 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
B. Restricted
Securities— Certain securities held by the Funds may
be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of
1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation
may be difficult and could adversely affect the NAVs of the Funds.
As of December 31, 2023, the Funds, with the exception of Growth Advantage Fund and Mid Cap Growth Fund, had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
As of December 31, 2023, Growth Advantage Fund and Mid Cap Growth Fund held restricted securities as
follows:
Growth Advantage Fund
| Security |
Acquisition
Date |
Cost |
Market
Value |
Percentage of Funds Net Assets |
| Coreweave, Inc. |
11/28/2023 |
$15,096 |
$15,096 |
0.1
% |
Mid Cap Growth Fund
| Security |
Acquisition
Date |
Cost |
Market
Value |
Percentage of Funds Net Assets |
| Coreweave, Inc. |
11/28/2023 |
$8,904 |
$8,904 |
0.1
% |
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 the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the 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. Securities lending activity is subject to master netting arrangements.
| 78 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
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, 2023.
| |
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 |
$25,418 |
$(25,418 ) |
$— |
| Mid Cap Equity Fund |
69,077 |
(69,077 ) |
— |
| Mid Cap Growth Fund |
299,746 |
(299,746 ) |
— |
| Mid Cap Value Fund |
92,233 |
(92,233 ) |
— |
| Value Advantage Fund |
63,676 |
(63,676 ) |
— |
| |
|
| * |
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 0.13% to 0.06%. For the six months ended December 31,
2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
| Growth Advantage Fund |
$4 |
| Mid Cap Equity Fund |
2 |
| Mid Cap Growth Fund |
7 |
| Mid Cap Value Fund |
5 |
| Value Advantage Fund |
4 |
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).
D. Investment
Transactions with Affiliates — The Funds invested in Underlying Funds 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. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| Growth Advantage
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$229,015 |
$1,644,175 |
$1,616,225 |
$90 |
$114 |
$257,169 |
256,963 |
$7,653 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
— |
559,001 |
537,000 |
3 * |
— (c) |
22,004 |
21,996 |
2,127 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
— |
533,058 |
528,738 |
— |
— |
4,320
|
4,320 |
380
* |
— |
| Total |
$229,015 |
$2,736,234 |
$2,681,963 |
$93 |
$114 |
$283,493 |
|
$10,160 |
$— |
| |
|
| (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, 2023. |
| (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, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
79 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Mid Cap Equity
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$124,100 |
$334,297 |
$365,388 |
$20 |
$39 |
$93,068 |
92,994 |
$2,768 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
43,783 |
292,001 |
273,000 |
13 * |
— (c) |
62,797 |
62,772 |
1,293 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
17,097 |
150,924 |
159,580 |
— |
— |
8,441
|
8,441 |
194
* |
— |
| Total |
$184,980 |
$777,222 |
$797,968 |
$33 |
$39 |
$164,306 |
|
$4,255 |
$— |
| |
|
| (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, 2023. |
| (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). |
| Mid Cap Growth
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$128,783 |
$926,007 |
$915,135 |
$34 |
$54 |
$139,743 |
139,631 |
$4,098 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
137,903 |
866,999 |
728,000 |
39 * |
33 |
276,974 |
276,863 |
5,156 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
23,086 |
384,969 |
375,527 |
— |
— |
32,528 |
32,528 |
691
* |
— |
| Total |
$289,772 |
$2,177,975 |
$2,018,662 |
$73 |
$87 |
$449,245 |
|
$9,945 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| Mid Cap Value
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$251,446 |
$1,121,080 |
$1,204,330 |
$60 |
$37 |
$168,293 |
168,158 |
$6,929 |
$— |
| 80 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| Mid Cap Value Fund (continued) | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
$119,975 |
$731,000 |
$766,000 |
$32 * |
$4 |
$85,011 |
84,977 |
$3,369 * |
$—
|
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
18,205 |
305,625 |
314,210 |
— |
— |
9,620
|
9,620 |
482
* |
— |
| Total |
$389,626 |
$2,157,705 |
$2,284,540 |
$92 |
$41 |
$262,924 |
|
$10,780 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| Value Advantage
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$331,127 |
$1,402,020 |
$1,647,022 |
$73 |
$39 |
$86,237 |
86,168 |
$4,675 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
31,993 |
459,000 |
433,000 |
19 * |
— |
58,012 |
57,989 |
2,229 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
44,536 |
267,214 |
304,179 |
— |
— |
7,571
|
7,571 |
348
* |
— |
| Total |
$407,656 |
$2,128,234 |
$2,384,201 |
$92 |
$39 |
$151,820 |
|
$7,252 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or
losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes
recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. 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.
Dividend income is
recorded on the ex-dividend date or when a Fund first learns of the dividend.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
81 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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.
G. 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, 2023 are as
follows:
| |
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 |
$61 |
$23 |
$46 |
n/a |
$2 |
$1 |
$— (a) |
$2 |
$58 |
$193
|
| Mid Cap Equity Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
8 |
1 |
5 |
n/a |
1 |
n/a |
n/a |
— (a) |
17 |
32 |
| Mid Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
116 |
3 |
10 |
n/a |
12 |
2 |
1 |
5 |
70 |
219 |
| Mid Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
37 |
1 |
16 |
$39 |
3 |
1 |
— (a) |
1 |
50 |
148 |
| Value Advantage Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
30 |
12 |
25 |
11 |
— (a) |
1 |
— (a) |
— (a) |
25 |
104 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
H. 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, 2023, 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 Fund's Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
I. Distributions to Shareholders— Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
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 based on each Fund's respective average daily net assets. The annual rate for each Fund is as follows:
| |
|
| Growth Advantage Fund |
0.55 % |
| Mid Cap Equity Fund |
0.65 |
| Mid Cap Growth Fund |
0.65 |
| Mid Cap Value Fund |
0.65 |
| Value Advantage Fund |
0.55 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note
3.F.
| 82 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
B. Administration Fee— Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. 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 0.010% of each Fund's respective average daily net assets in excess of $25 billion. For the six months ended December 31, 2023, the effective annualized rate was 0.070% 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 each Fund's 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, 2023, JPMDS
retained the following:
| |
Front-End Sales Charge |
CDSC |
| Growth Advantage Fund |
$238 |
$— (a) |
| Mid Cap Equity Fund |
41 |
— (a) |
| Mid Cap Growth Fund |
49 |
— (a) |
| Mid Cap Value Fund |
14 |
— |
| Value Advantage Fund |
46 |
— (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.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
83 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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 |
| Growth Advantage Fund |
1.04 % |
1.54 % |
0.79 % |
n/a |
1.30 % |
1.05 % |
0.80 % |
0.65 % |
0.55 % |
| 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 |
1.14 |
1.64 |
0.89 |
n/a |
1.45 |
1.20 |
0.95 |
0.79 |
0.70 |
| Mid Cap Value Fund |
1.14 |
1.64 |
0.89 |
0.75 % |
1.40 |
1.15 |
0.90 |
0.75 |
0.65 |
| Value Advantage Fund |
1.04 |
1.54 |
0.79 |
0.75 |
1.30 |
1.05 |
0.80 |
0.65 |
0.55 |
The expense limitation agreements were in effect for the six months ended December 31, 2023 and are in
place until at least October 31, 2024.
For the six months ended December 31, 2023, the Funds' service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future
years.
| |
Contractual
Waivers |
| |||
| |
Investment
Advisory Fees |
Administration
Fees |
Service
Fees |
Total |
Contractual Reimbursements |
| Growth Advantage Fund |
$3,859 |
$2,571 |
$487 |
$6,917 |
$— |
| Mid Cap Equity Fund |
1,201 |
800 |
10 |
2,011 |
11 |
| Mid Cap Growth Fund |
1,214 |
807 |
1,211 |
3,232 |
— |
| Mid Cap Value Fund |
3,368 |
2,238 |
187 |
5,793 |
23 |
| Value Advantage Fund |
2,330 |
1,556 |
228 |
4,114 |
25 |
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. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended December 31, 2023 were as follows:
| |
|
| Growth Advantage Fund |
$169 |
| Mid Cap Equity Fund |
62 |
| Mid Cap Growth Fund |
93 |
| Mid Cap Value Fund |
162 |
| Value Advantage Fund |
118 |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees.
For the six months ended December 31, 2023 the amount of these reimbursements were as
follows:
| |
|
| Growth Advantage Fund |
$2 |
| Mid Cap Equity Fund |
1 |
| Mid Cap Growth Fund |
1 |
| 84 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
|
| Mid Cap Value Fund |
$2 |
| Value Advantage Fund |
1 |
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.
The below Funds used related party broker-dealers during the six months ended December 31, 2023, and incurred
brokerage commissions with broker-dealers affiliated with the Adviser as
follows:
| |
Brokerage Commissions |
| Growth Advantage Fund |
$11 |
| Mid Cap Equity Fund |
30 |
| Mid Cap Value Fund |
8 |
The Securities and Exchange Commission ("SEC") has granted an exemptive order permitting the Funds to engage
in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment
Transactions
During the six months ended December 31, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| |
Purchases
(excluding
U.S. Government) |
Sales (excluding U.S. Government) |
| Growth Advantage Fund |
$2,184,920 |
$2,463,899 |
| Mid Cap Equity Fund |
794,383 |
657,122 |
| Mid Cap Growth Fund |
2,233,761 |
2,022,629 |
| Mid Cap Value Fund |
658,720 |
1,564,493 |
| Value Advantage Fund |
732,328 |
1,327,383 |
During the six months ended December 31, 2023, 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, 2023 were as follows:
| |
Aggregate
Cost |
Gross
Unrealized
Appreciation |
Gross
Unrealized
Depreciation |
Net Unrealized Appreciation (Depreciation) |
| Growth Advantage Fund |
$9,066,005 |
$8,293,677 |
$92,105 |
$8,201,572 |
| Mid Cap Equity Fund |
2,955,546 |
1,106,371 |
43,302 |
1,063,069 |
| Mid Cap Growth Fund |
7,960,088 |
2,869,036 |
156,464 |
2,712,572 |
| Mid Cap Value Fund |
8,126,689 |
5,466,222 |
315,013 |
5,151,209 |
| Value Advantage Fund |
5,904,816 |
3,134,697 |
100,571 |
3,034,126 |
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
85 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
At June 30, 2023, the following Funds had net capital
loss carryforwards which are available to offset future realized gains:
| |
Capital
Loss Carryforward Character | |
| |
Short-Term |
Long-Term |
| Growth Advantage Fund |
$80,725 |
$— |
| Mid Cap Growth Fund |
59,087 |
8,489 |
Net capital losses (gains) and specified ordinary losses incurred after October 31 and late year ordinary losses
incurred after December 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, 2023, the
following Funds deferred to July 1, 2023 the following net capital losses (gains), specified ordinary losses and late year ordinary losses of:
| |
Net
Capital Losses (Gains) |
Specified
Ordinary Losses |
Late Year Ordinary Loss Deferral | |
| |
Short-Term |
Long-Term | ||
| Growth Advantage Fund |
$147,118 |
$40,652 |
$17,715 |
$2,314 |
| Mid Cap Equity Fund |
23,247 |
15,066 |
1,387 |
— |
| Mid Cap Growth Fund |
156,681 |
(28,229 ) |
9,937 |
8,703 |
| Mid Cap Value Fund |
9,050 |
— |
— |
— |
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, or loans outstanding to another fund,
during the six months ended December 31, 2023.
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 October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2023.
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 million 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 million 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% (the "Applicable Margin"), plus the greater on the day of the borrowing, of the federal funds effective rate, or the Adjusted Secured Overnight Financing Rate ("SOFR"). Effective August 8, 2023, the Credit Facility was 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, 2023.
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.
| 86 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
As of December 31, 2023, the Funds had
individual shareholders and/or non-affiliated omnibus accounts each owning 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 |
14.4 % |
1 |
24.0 % |
| Mid Cap Equity Fund |
— |
— |
2 |
63.2 |
| Mid Cap Growth Fund |
— |
— |
2 |
29.5 |
| Mid Cap Value Fund |
— |
— |
3 |
42.4 |
| Value Advantage Fund |
— |
— |
2 |
26.6 |
Significant shareholder transactions by these shareholders may impact the Funds' performance and
liquidity.
As of December 31, 2023, the Funds owned in the aggregate, shares representing more
than 10% of the net assets of the following Underlying Funds:
| |
JPMorgan SmartRetirement Funds |
| Growth Advantage Fund |
10.2 % |
| Value Advantage Fund |
19.9 |
Because Mid Cap Equity Fund, Mid Cap Value Fund and Value Advantage Fund invest 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.
London Interbank Offered
Rate ("LIBOR") was a leading floating rate benchmark used in loans, notes, derivatives and other instruments or investments. As a result of benchmark reforms, publication of
most LIBOR settings has ceased. Some LIBOR settings continue to be published but only on a temporary, synthetic and non-representative basis. Regulated entities have
generally ceased entering into new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector actors have worked to establish
alternative reference rates to be used in place of LIBOR. There is no assurance that 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 which may affect the value, volatility, liquidity or return on certain of the
Funds' loans, notes, derivatives and other instruments or investments comprising some or all of the Funds' investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of the Funds' investments may have transitioned from LIBOR or will transition from LIBOR in the future. The transition from LIBOR to alternative reference rates may result in operational issues for the Funds or their investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on the Funds and their investments.
The
Funds are subject to infectious disease epidemics/pandemics risk. For example, the outbreak of COVID-19 negatively affected economies, markets and individual companies
throughout the world, including those in which the Funds invest. The effects of any future pandemic or other global event to business and market conditions may have a
significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, exacerbate other pre-existing political, social and economic risks to
the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken
or may take actions in response to a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that
could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
87 |
SCHEDULE
OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur
two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments
and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing
in the Funds (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, 2023, and continued to hold your shares at the end of the reporting period, December 31, 2023.
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, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Growth Advantage Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
$1,000.00 |
$1,095.90 |
$5.48 |
1.04 % |
| Hypothetical |
1,000.00 |
1,019.91 |
5.28 |
1.04 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,093.00 |
8.10 |
1.54 |
| Hypothetical |
1,000.00 |
1,017.39 |
7.81 |
1.54 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,097.70 |
4.17 |
0.79 |
| Hypothetical |
1,000.00 |
1,021.17 |
4.01 |
0.79 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,095.00 |
6.85 |
1.30 |
| Hypothetical |
1,000.00 |
1,018.60 |
6.60 |
1.30 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,096.10 |
5.53 |
1.05 |
| Hypothetical |
1,000.00 |
1,019.86 |
5.33 |
1.05 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,097.60 |
4.22 |
0.80 |
| Hypothetical |
1,000.00 |
1,021.12 |
4.06 |
0.80 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,098.20 |
3.43 |
0.65 |
| Hypothetical |
1,000.00 |
1,021.87 |
3.30 |
0.65 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,098.90 |
2.90 |
0.55 |
| Hypothetical |
1,000.00 |
1,022.37 |
2.80 |
0.55 |
| 88 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Mid Cap Equity Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
$1,000.00 |
$1,068.70 |
$5.93 |
1.14 % |
| Hypothetical |
1,000.00 |
1,019.41 |
5.79 |
1.14 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,065.80 |
8.52 |
1.64 |
| Hypothetical |
1,000.00 |
1,016.89 |
8.31 |
1.64 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,069.90 |
4.63 |
0.89 |
| Hypothetical |
1,000.00 |
1,020.66 |
4.52 |
0.89 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,067.10 |
7.22 |
1.39 |
| Hypothetical |
1,000.00 |
1,018.15 |
7.05 |
1.39 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,070.60 |
3.85 |
0.74 |
| Hypothetical |
1,000.00 |
1,021.42 |
3.76 |
0.74 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,071.30 |
3.33 |
0.64 |
| Hypothetical |
1,000.00 |
1,021.92 |
3.25 |
0.64 |
| JPMorgan Mid Cap Growth Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,069.10 |
5.93 |
1.14 |
| Hypothetical |
1,000.00 |
1,019.41 |
5.79 |
1.14 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,066.10 |
8.52 |
1.64 |
| Hypothetical |
1,000.00 |
1,016.89 |
8.31 |
1.64 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,070.20 |
4.63 |
0.89 |
| Hypothetical |
1,000.00 |
1,020.66 |
4.52 |
0.89 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,067.60 |
7.54 |
1.45 |
| Hypothetical |
1,000.00 |
1,017.85 |
7.35 |
1.45 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,068.60 |
6.24 |
1.20 |
| Hypothetical |
1,000.00 |
1,019.10 |
6.09 |
1.20 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,070.10 |
4.94 |
0.95 |
| Hypothetical |
1,000.00 |
1,020.36 |
4.82 |
0.95 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,070.90 |
4.11 |
0.79 |
| Hypothetical |
1,000.00 |
1,021.17 |
4.01 |
0.79 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,071.40 |
3.64 |
0.70 |
| Hypothetical |
1,000.00 |
1,021.62 |
3.56 |
0.70 |
| JPMorgan Mid Cap Value Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,068.60 |
5.93 |
1.14 |
| Hypothetical |
1,000.00 |
1,019.41 |
5.79 |
1.14 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,065.80 |
8.52 |
1.64 |
| Hypothetical |
1,000.00 |
1,016.89 |
8.31 |
1.64 |
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
89 |
SCHEDULE
OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Mid Cap Value Fund (continued) |
|
|
|
|
| Class I |
|
|
|
|
| Actual |
$1,000.00 |
$1,070.00 |
$4.63 |
0.89 % |
| Hypothetical |
1,000.00 |
1,020.66 |
4.52 |
0.89 |
| Class L |
|
|
|
|
| Actual |
1,000.00 |
1,070.50 |
3.90 |
0.75 |
| Hypothetical |
1,000.00 |
1,021.37 |
3.81 |
0.75 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,067.00 |
7.27 |
1.40 |
| Hypothetical |
1,000.00 |
1,018.10 |
7.10 |
1.40 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,068.50 |
5.98 |
1.15 |
| Hypothetical |
1,000.00 |
1,019.36 |
5.84 |
1.15 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,069.90 |
4.68 |
0.90 |
| Hypothetical |
1,000.00 |
1,020.61 |
4.57 |
0.90 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,070.70 |
3.90 |
0.75 |
| Hypothetical |
1,000.00 |
1,021.37 |
3.81 |
0.75 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,071.00 |
3.38 |
0.65 |
| Hypothetical |
1,000.00 |
1,021.87 |
3.30 |
0.65 |
| JPMorgan Value Advantage Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,078.50 |
5.43 |
1.04 |
| Hypothetical |
1,000.00 |
1,019.91 |
5.28 |
1.04 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,075.70 |
8.04 |
1.54 |
| Hypothetical |
1,000.00 |
1,017.39 |
7.81 |
1.54 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,079.80 |
4.13 |
0.79 |
| Hypothetical |
1,000.00 |
1,021.17 |
4.01 |
0.79 |
| Class L |
|
|
|
|
| Actual |
1,000.00 |
1,080.30 |
3.40 |
0.65 |
| Hypothetical |
1,000.00 |
1,021.87 |
3.30 |
0.65 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,077.20 |
6.79 |
1.30 |
| Hypothetical |
1,000.00 |
1,018.60 |
6.60 |
1.30 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,078.20 |
5.49 |
1.05 |
| Hypothetical |
1,000.00 |
1,019.86 |
5.33 |
1.05 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,079.70 |
4.18 |
0.80 |
| Hypothetical |
1,000.00 |
1,021.12 |
4.06 |
0.80 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,080.40 |
3.40 |
0.65 |
| Hypothetical |
1,000.00 |
1,021.87 |
3.30 |
0.65 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,080.70 |
2.88 |
0.55 |
| Hypothetical |
1,000.00 |
1,022.37 |
2.80 |
0.55 |
| |
|
| * |
Expenses are equal to each Class’ respective annualized net expense ratio, multiplied by the average account value over the period, multiplied
by 184/366 (to reflect the one-half year period). |
| 90 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board
of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further
enhance the effectiveness of the Board’s oversight and decision making. The Board and its
investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed
Income Committee) met regularly throughout the year and, at each meeting, considered factors that
are relevant to their annual consideration of the continuation of the investment advisory
agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 20-21, 2023 and August 8-10, 2023, 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 each 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 parties to an Advisory Agreement or “interested
persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory
Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on
August 10, 2023.
As part of
their review of the Advisory Agreements, the Trustees considered and reviewed performance and other
information about the Funds received from J.P. Morgan Investment Management Inc. (the
“Adviser”). This information included the Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In
addition, at each of their regular meetings throughout the year, the Trustees considered reports
on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (the “independent consultant”). 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. and/or
Morningstar Inc., independent providers of investment company data (together,
“Broadridge”). The Trustees’ independent consultant also provided
additional quantitative and statistical analyses of the Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory
Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser,
counsel to the Funds, and independent legal counsel to the Trustees, 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 with independent legal counsel in executive sessions 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. Among other things, the Trustees
considered:
• The background and experience of the Adviser’s senior management and investment personnel, including
personnel changes, if any;
• The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including
personnel changes, if any;
• The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
• Information about the structure and distribution strategy for each Fund and how it fits within the
Adviser’s other fund offerings within the J.P. Morgan Funds complex;
• The administration services provided by the Adviser in its role as Administrator;
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
91 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
• Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the
financial industry generally;
• 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 requests for additional information, 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.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the 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
from 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 and reviewed with the Board. 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 JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds
for providing shareholder and administration 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 (although they are retained by JPMDS in certain
instances). The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A.
(“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other
related services for each Fund, and the profitability of the arrangements to JPMCB.
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
benefits that may be received by the Adviser and its affiliates in connection with the Funds’ potential investments in other funds advised by the Adviser. 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, as well as the Adviser’s use of affiliates to provide other
services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential 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 certain Funds with contractual
expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s
shareholders to share potential economies of scale from a Fund’s inception, prior to
reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased, no longer had Fee Caps in place for some or all of their share classes, but shared
economies of scale through lower average expenses. The Trustees noted that the fees remain
fair and reasonable relative to 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
| 92 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
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 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, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale
and no longer had Fee Caps in place for some or all of their share classes, the relevant
Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds
and their shareholders. The Trustees noted that the Adviser’s reinvestment 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 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.
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, to the extent applicable, institutional separate accounts, collective investment
trusts, other registered investment companies and/or private 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 investment companies relative to the Adviser’s other
clients and noted differences, as applicable, in the fee structure and 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 investment company 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 applicable registered investment
company, typically bears the sub-advisory fee and that many responsibilities related to the
advisory function are typically 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 receive and consider information about each Fund’s performance throughout the year. In
addition, the Trustees received and considered absolute and/or relative performance information
for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds’
selected share classes with the same Broadridge investment classification and objective (the
“Universe”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in each Fund’s
Universe, and noted that Universe quintile rankings were not calculated if the number of funds in
the Universe did not meet a predetermined minimum. The Broadridge 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 for the Funds 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 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, Class I and Class R6 shares was in the third, first and first quintiles of the Universe, for the one-, three- and five-year periods ended December 31, 2022,
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 Mid Cap Equity Fund’s performance for Class A and Class R6 shares was in the
third, first and first quintiles of the Universe for the one-, three- and five-year periods ended
December 31, 2022, respectively. The Trustees noted that the performance for Class I shares was in the fourth, second and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022,
respectively. The Trustees discussed the performance and investment strategy of the Fund with the
Adviser and reviewed the
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
93 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
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 and Class I shares was in the
second, second and first quintiles of the Universe for the one-, three- and five-year periods
ended December 31, 2022, respectively. The Trustees noted that the performance for Class R6 shares was in the second, first and first quintiles of the Universe for the one-, three- and five-year periods ended
December 31, 2022, 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 Mid Cap Value Fund’s performance for Class A, Class I and Class R6 shares
was in the third quintiles of the Universe for each of the one-, three- and five-year periods
ended December 31, 2022. 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 Value Advantage Fund’s performance for Class A, Class I and Class R6 shares
was in the second, third and third quintiles of the Universe for the one-, three- and five-year
periods ended December 31, 2022, 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 concerning
management fee rates paid by other funds’ selected share classes in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that
Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee
and administration fee rates. The Trustees also reviewed information about other expenses
and the expense ratios for each Fund and noted that Universe and Peer Group quintile 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 for each share class, as applicable, 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 can be
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 third and second quintile of the Peer Group and Universe,
respectively, and that the actual total expenses for Class A shares were in the fifth and third
quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the third and second quintile of the Peer Group and Universe, respectively, and that the actual total
expenses for Class I shares were in the first and third quintiles of the Peer Group and Universe,
respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the second
and first quintiles of 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 fair and reasonable 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 first and second quintiles of the Peer Group and Universe, respectively, and
that the actual total expenses for Class A shares were in the second quintiles of 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 of the Peer Group and Universe, respectively, and that the actual total expenses for Class I shares
were in the first and third quintiles of 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 of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile
of 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 fair and reasonable 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 third and second quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the
fourth and third quintiles of the Peer Group and Universe, respectively. The Trustees noted
that the net advisory fee for Class I shares was
| 94 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
December 31, 2023
|
in the third quintile of both the Peer
Group and Universe, and that the actual total expenses for Class I shares were in the first and
third quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile of both the Peer Group and Universe, and that the actual total expenses for
Class R6 shares were in the third and first quintiles of 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 fair and reasonable 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 third and second quintiles of the Peer Group and Universe, respectively, and
that the actual total expenses for Class A shares were in the fourth and third quintile of the
Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the third quintile of both the Peer Group and Universe, and that the actual total expenses for Class I
shares were in the second and fourth quintiles of the Peer Group and Universe, respectively.
The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6
shares were in the third and first quintiles of 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 fair and reasonable 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 third and second quintiles of the Peer Group and Universe,
respectively, and that the actual total expenses for Class A shares were in the fourth and third
quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the third quintile of both the Peer Group and Universe, and that the actual total expenses for Class I
shares were in the second and fourth quintiles of 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 of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the
second and first quintiles of 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 fair and reasonable in light of the services provided to the Fund.
| December 31, 2023 |
J.P. Morgan Mid Cap/Multi-Cap Funds |
95 |
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 as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports 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.
Effective January 24, 2023, the SEC adopted rule and form amendments that will result in changes to the design and
delivery of shareholder reports of mutual funds and ETFs, requiring them to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.
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.
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., 2023. All rights reserved. December
2023.
SAN-MC-1223
Semi-Annual Report
J.P. Morgan Large Cap Funds
December 31, 2023 (Unaudited)
| JPMorgan Equity
Income Fund |
| JPMorgan Equity
Index Fund |
| JPMorgan Equity
Premium Income Fund |
| JPMorgan Hedged
Equity Fund |
| JPMorgan Hedged
Equity 2 Fund |
| JPMorgan Hedged
Equity 3 Fund |
| JPMorgan Large Cap
Growth Fund |
| JPMorgan Large Cap
Value Fund |
| JPMorgan U.S.
Applied Data Science Value Fund |
| JPMorgan U.S. Equity
Fund |
| JPMorgan U.S. GARP
Equity Fund |
| JPMorgan U.S. Large
Cap Core Plus Fund |
| JPMorgan U.S.
Research Enhanced Equity Fund |
| JPMorgan U.S.
Sustainable Leaders Fund |
| JPMorgan U.S. Value
Fund |
CONTENTS
| |
|
| 1 | |
| 2 | |
| 3 | |
| 3 | |
| 6 | |
| 8 | |
| 12 | |
| 16 | |
| 20 | |
| 24 | |
| 26 | |
| 29 | |
| 32 | |
| 35 | |
| 37 | |
| 40 | |
| 43 | |
| 46 | |
| 50 | |
| 111 | |
| 158 | |
| 204 | |
| 230 | |
| 237 |
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.
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.
Letter to Shareholders
February 7, 2024 (Unaudited)
Dear Shareholder,
U.S.
equity markets surged through the end of 2023 and into early 2024 as the risk of economic recession receded and the prospect of lower interest rates drove investor optimism. Globally, financial markets largely generated
positive returns, despite heightened geopolitical tensions and signs of economic weakness across
Europe and China.
 |
“Investors appear to have begun 2024 with a positive outlook, with the U.S. economy and its financial markets leading global growth.” — Brian S. Shlissel |
Inflation pressures eased sufficiently during the second half of 2023 to allow the U.S. Federal Reserve (the
“Fed”) to hold the benchmark discount interest rate at 5.25% at its June 2023
meeting, ending a string of 10 consecutive interest rate increases. The Fed raised rates once
more in July 2023, then held the benchmark rate at 5.50% for the remainder of the
2023.
In the face of
elevated interest rates, the U.S. economy proved surprisingly resilient and largely led developed markets in growth through the end of 2023. Gross domestic product outpaced economists’ consensus expectations with
a 4.9% jump in the third quarter and estimated growth of 3.3% in the fourth quarter. Though the
U.S. economy continued to expand, inflation data indicated that the Fed’s efforts to cool the
domestic economy appeared to be effective.
Certain other measures of the U.S. economy showed little sign of weakness. Consumer spending remained elevated
in the second half of 2023 and rose month-to-month to reach approximately $709.9 billion in
retail sales in December 2023. The unemployment rate settled at 3.7% in the final two months of
2023 as approximately 333,000 jobs were added in December alone. Further, an estimated 353,000 jobs were added in January 2024, approximately double the increase anticipated by certain economists.
Both equity and bond markets in the U.S. performed
well, buoyed by the overall strength shown by the U.S. economy and the apparent turn in Fed
policy. Stronger-than-expected consumer spending and corporate earnings, as well as investor
expectations for artificial-intelligence-driven productivity gains bolstered demand for equities
in recent months. Certain leading U.S. equity indexes returned more than 9% in November and in
excess of 5% in December 2023. In January 2024, the S&P 500 Index reached six new closing highs and surpassed 4,800 points for the first time. However, equity market gains were not broadly spread: The largest
10 stocks in the S&P 500 Index comprised approximately 90% of the index’s price gains
for all of 2023.
While U.S. financial markets largely appeared to withstand increased geopolitical tensions in 2023, the potential for the conflicts in Ukraine and Israel to expand in
intensity and geography may threaten global economic growth and increase market volatility.
Additionally, the Fed may be forced to change policy should the strength of U.S. economy recede or the downward trend in inflation were to reverse.
Investors appear to have begun 2024 with a positive outlook, with the U.S. economy and its financial markets
leading global growth. While risks to the growth outlook remain, we believe investors who hold a
well-diversified portfolio over the long term should be positioned to benefit from positive economic trends.
Our suite of investment
solutions seeks to provide investors with the ability to build durable portfolios that meet their
financial goals, regardless of macroeconomic and geopolitical uncertainties.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
1 |
MARKET
OVERVIEW
SIX MONTHS ENDED December 31, 2023 (Unaudited)
U.S. equity markets largely rallied in the
final two months of 2023, rebounding from three months of declines to generate positive returns for the six month period. Investor demand for large cap stocks in the
technology and communications sectors was a leading driver of equity market returns. Bond markets generally provided positive returns but underperformed equity
markets.
After raising its policy benchmark interest rates by 0.25% in July 2023, the U.S. Federal
Reserve (the “Fed”) declined to raise rates further at its next three meetings for the year. More importantly for investors, the central bank stated in December
2023 that it could begin to lower interest rates in the first half of 2024, if inflationary pressures continued to recede.
While the U.S. economic growth showed signs of slowing in mid-2023, third-quarter gross domestic product exceeded
economists’ consensus expectations with a 4.9% increase. Growth was largely driven by resilient consumer spending and inventory building by businesses. The
unemployment rate in the U.S. remained historically low at 3.8% for most of the six-month period before settling at 3.7% in December 2023. The data and the outlook for interest rates fed investor expectations that the U.S. could avoid an economic recession in 2024.
U.S. equities generally outperformed both international developed markets and emerging markets equities for the period. Overall, gains in U.S. markets were led by large capitalization stocks in the technology and communications sectors, particularly the so-called Magnificent Seven: Apple Inc., Amazon.com Inc., Alphabet Inc., Meta Platforms Inc., Microsoft Corp., Nvidia Corp. and Tesla Inc. At the end of 2023, the 10 largest companies in the S&P 500 Index accounted for 31.2% of the index’s total market capitalization. Notably, only within small cap stocks did value outperform growth for the period.
Investor expectations that
the Fed and private sector banks could begin to lower their interest rates sparked a broad rally in U.S. fixed income markets in the final two months of 2023. Overall, lower
quality bonds, high yield bonds (also known a junk bonds) and emerging markets debt outperformed U.S. Treasury bonds and higher quality U.S. corporate debt.
| 2 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan Equity Income
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
4.99% |
| Russell 1000 Value Index |
6.03% |
| Net Assets as of 12/31/2023 (In Thousands) |
$46,369,909 |
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 underperformed the Russell 1000 Value Index (the “Benchmark”) for the six months ended December 31, 2023.
The Fund’s security selection in the industrials and materials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security
selection in the financials and health care sectors was a leading contributor to relative
performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Bristol-Myers Squibb Co. and RTX Corp., and its underweight
position in Intel Corp. Shares of Bristol-Myers Squibb, a developer and manufacturer of
pharmaceuticals, fell after the company reported a decline in sales for the third quarter of 2023, amid increased competition from generic versions of the company’s leading anti-cancer drug. Shares of RTX, an
aerospace and defense manufacturer formerly known as Raytheon Technologies, fell after the
company said the recall of Pratt & Whitney jet engines would hurt earnings. Shares of Intel, a
semiconductor manufacturer not held in the Fund, rose amid broad demand for artificial
intelligence technologies and after the company obtained a $3.2 billion grant from Israel to build a factory there.
Leading
individual contributors to relative performance included the Fund’s overweight positions in U.S. Bancorp and PNC Financial Services Group Inc., and its out-of-Benchmark position in AbbVie Inc. Shares of U.S. Bancorp and
PNC Financial Services Group, both diversified regional banks, rose amid investor expectations
that regional banks would benefit from lower interest rates in 2024. Shares of AbbVie, a
developer and manufacturer of pharmaceuticals, rose amid investor expectations the company would
benefit from mergers and acquisitions activity across the broader pharmaceuticals
sector.
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 had the greatest potential
to outperform in the long term. As the Fund aimed to purchase stocks with above average dividend
yields, the research process seeks to identify companies with predictable and durable business
models deemed capable of generating sustainable free cash
flow.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
ConocoPhillips |
2.9 % |
| 2.
|
Wells Fargo & Co. |
2.4 |
| 3. |
UnitedHealth Group, Inc. |
2.2 |
| 4.
|
Comcast Corp., Class A |
2.2 |
| 5. |
Air Products and Chemicals, Inc. |
2.1 |
| 6.
|
BlackRock, Inc. |
2.1 |
| 7. |
Norfolk Southern Corp. |
2.1 |
| 8.
|
Morgan Stanley |
2.1 |
| 9. |
Chevron Corp. |
2.0 |
| 10.
|
Analog Devices, Inc. |
2.0 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
21.9% |
| Health Care |
16.0 |
| Industrials |
14.7 |
| Information Technology |
9.8 |
| Consumer Staples |
9.7 |
| Energy |
8.4 |
| Consumer Discretionary |
6.2 |
| Utilities |
4.3 |
| Materials |
3.9 |
| Communication Services |
2.8 |
| Real Estate |
2.0 |
| Short-Term Investments |
0.3 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
3 |
JPMorgan Equity Income
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
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.
| 4 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 18, 1992 |
|
|
|
|
| With Sales Charge ** |
|
(0.67 )% |
(1.02 )% |
9.51 % |
8.35 % |
| Without Sales Charge |
|
4.83 |
4.48 |
10.70 |
8.93 |
| CLASS C SHARES |
November 4, 1997 |
|
|
|
|
| With CDSC *** |
|
3.53 |
2.92 |
10.14 |
8.49 |
| Without CDSC |
|
4.53 |
3.92 |
10.14 |
8.49 |
| CLASS I SHARES |
July 2, 1987 |
4.99 |
4.78 |
10.98 |
9.21 |
| CLASS R2 SHARES |
February 28, 2011 |
4.72 |
4.24 |
10.42 |
8.66 |
| CLASS R3 SHARES |
September 9, 2016 |
4.83 |
4.48 |
10.70 |
8.93 |
| CLASS R4 SHARES |
September 9, 2016 |
4.95 |
4.74 |
10.97 |
9.20 |
| CLASS R5 SHARES |
February 28, 2011 |
5.07 |
4.93 |
11.14 |
9.39 |
| CLASS R6 SHARES |
January 31, 2012 |
5.13 |
5.04 |
11.25 |
9.49 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
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 had similar expenses to 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 to those shown
because Class R3 Shares currently have the same expenses as Class A Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity
Income Fund and the Russell 1000 Value Index from December 31, 2013 to December 31, 2023. 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 bench mark, if applicable. 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's Performance for
the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
5 |
JPMorgan Equity Index
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
7.94% |
| S&P 500 Index |
8.04% |
| Net Assets as of 12/31/2023 (In Thousands) |
$8,805,359 |
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 S&P 500 Index
(the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the six months ended December 31, 2023, 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 investment objective and indexing strategy, as the Fund
looks to generate returns that are comparable to those of the Benchmark.
U.S. equity indexes provided positive returns for the period, amid receding inflation, buoyant consumer demand
and low unemployment. For the six-month period, the information technology and financials sectors
were leading contributors to performance for the Fund and the Benchmark, while the utilities and
consumer staples sectors were the sole detractors from performance.
HOW WAS THE FUND POSITIONED?
Regardless of the market outlook, the Fund was managed in strict conformity with a full index replication
strategy and aimed to hold the same stocks in nearly the same proportions
as those found in the Benchmark.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Apple, Inc. |
6.9 % |
| 2.
|
Microsoft Corp. |
6.9 |
| 3. |
Amazon.com, Inc. |
3.4 |
| 4.
|
NVIDIA Corp. |
3.0 |
| 5. |
Alphabet, Inc., Class A |
2.1 |
| 6.
|
Meta Platforms, Inc., Class A |
1.9 |
| 7. |
Alphabet, Inc., Class C |
1.7 |
| 8.
|
Tesla, Inc. |
1.7 |
| 9. |
Berkshire Hathaway, Inc., Class B |
1.6 |
| 10.
|
JPMorgan Chase & Co. |
1.2 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
28.5% |
| Financials |
12.8 |
| Health Care |
12.4 |
| Consumer Discretionary |
10.7 |
| Industrials |
8.7 |
| Communication Services |
8.5 |
| Consumer Staples |
6.1 |
| Energy |
3.8 |
| Real Estate |
2.5 |
| Materials |
2.4 |
| Utilities |
2.3 |
| Short-Term Investments |
1.3 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset values in accordance with accounting principles generally
accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| 6 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 18, 1992 |
|
|
|
|
| With Sales Charge ** |
|
2.14 % |
19.13 % |
13.94 % |
10.93 % |
| Without Sales Charge |
|
7.80 |
25.72 |
15.18 |
11.53 |
| CLASS C SHARES |
November 4, 1997 |
|
|
|
|
| With CDSC *** |
|
6.48 |
23.95 |
14.49 |
10.94 |
| Without CDSC |
|
7.48 |
24.95 |
14.49 |
10.94 |
| CLASS I SHARES |
July 2, 1991 |
7.94 |
26.03 |
15.46 |
11.80 |
| CLASS R6 SHARES |
September 1, 2016 |
8.02 |
26.23 |
15.64 |
11.93 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 and the S&P 500 Index from December 31, 2013 to December
31, 2023. 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 S&P 500 Index is
an unmanaged index generally representative of the performance of large companies in the U.S. stock market. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total
return shown above for Class C Shares reflects Class A Share's Performance for the period after conversion.
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.
The S&P 500 Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices
LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P
Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones
Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or
warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
7 |
JPMorgan Equity Premium
Income Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
3.98% |
| S&P 500 Index |
8.04% |
| ICE BofA 3-Month US Treasury Bill Index |
2.71% |
| Net Assets as of 12/31/2023 (In Thousands) |
$5,867,296 |
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 BofA 3-Month U.S. Treasury Bill Index for the six months ended December 31, 2023.
The Fund’s overweight positions in the consumer staples and utilities sectors were leading detractors 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 performance relative to the
Benchmark included the Fund’s overweight positions in Hershey Co., Texas Instruments Inc.
and Bristol-Myers Squibb Co. Shares of Hershey, a maker of chocolates and other snacks, fell amid
rising global cocoa prices and investor concerns that widespread use of new weight-loss drugs
would reduce demand for confectionary products. Shares of Texas Instruments, a semiconductor
manufacturer, fell after the company reported lower-than-expected revenue for the third quarter of 2023 and issued a weaker-than-expected earnings forecast. Shares of Bristol-Myers Squibb, a developer and manufacturer
of pharmaceuticals, fell after the company reported a decline in sales for the third quarter of
2023 amid increased competition from generic versions of the company’s leading anti-cancer
drug.
Leading individual
contributors to performance relative to the Benchmark included the Fund’s overweight positions in Intuit Inc. and Trane Technologies and its underweight position in Pfizer Inc. Shares of Intuit, a financial
software developer, rose after the company reported better-than-expected earnings and revenue for
its fiscal first quarter. Shares of Trane Technologies, a supplier of heating, cooling and ventilation systems, rose after the company reported consecutive quarters of better-than-expected earnings and revenue.
Shares of Pfizer, a pharmaceuticals developer and health care products manufacturer not held in
the Fund, fell after the company issued a weaker-than-expected earnings forecast.
HOW WAS THE FUND
POSITIONED?
The Fund seeks to generate income through a combination of selling options, 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.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Amazon.com, Inc. |
1.7 % |
| 2.
|
Microsoft Corp. |
1.7 |
| 3. |
Intuit, Inc. |
1.6 |
| 4.
|
Trane Technologies plc |
1.6 |
| 5. |
Progressive Corp. (The) |
1.6 |
| 6.
|
Mastercard, Inc., Class A |
1.5 |
| 7. |
Accenture plc, Class A |
1.5 |
| 8.
|
Adobe, Inc. |
1.5 |
| 9. |
Visa, Inc., Class A |
1.5 |
| 10.
|
AbbVie, Inc. |
1.4 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
14.7% |
| Financials |
12.1 |
| Industrials |
11.7 |
| Health Care |
11.7 |
| Consumer Staples |
10.7 |
| Consumer Discretionary |
7.5 |
| Communication Services |
4.1 |
| Utilities |
4.1 |
| Real Estate |
3.1 |
| Materials |
3.0 |
| Energy |
2.5 |
| Other *** |
13.6 |
| Short-Term Investments |
1.2 |
| 8 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
*
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.
***
Equity-Linked Notes that are linked to the S&P 500 Index.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
9 |
JPMorgan Equity Premium
Income Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
SINCE INCEPTION |
| CLASS A SHARES |
August 31, 2018 |
|
|
|
|
| With Sales Charge ** |
|
(1.60 )% |
3.56 % |
8.94 % |
6.88 % |
| Without Sales Charge |
|
3.85 |
9.33 |
10.12 |
7.96 |
| CLASS C SHARES |
August 31, 2018 |
|
|
|
|
| With CDSC *** |
|
2.59 |
7.79 |
9.57 |
7.43 |
| Without CDSC |
|
3.59 |
8.79 |
9.57 |
7.43 |
| CLASS I SHARES |
August 31, 2018 |
3.98 |
9.60 |
10.38 |
8.22 |
| CLASS R5 SHARES |
August 31, 2018 |
4.06 |
9.76 |
10.54 |
8.38 |
| CLASS R6 SHARES |
August 31, 2018 |
4.11 |
9.87 |
10.65 |
8.49 |
| |
|
| * |
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 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 BofA
3-Month US Treasury Bill Index from August 31, 2018 to December 31, 2023. 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 BofA 3-Month US 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 BofA 3-Month US 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 BofA 3-Month US 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 on gains resulting from 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.
The S&P 500 Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates
and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written
permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow
Jones Indices LLC, Dow Jones Trademark
| 10 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
Holdings LLC, their affiliates nor their
third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
Source ICE Data
Indices, LLC is used with permission. ICE® is a registered
trademark of ICE Data Indices, LLC or its affiliates and
BofA® is a registered trademark of Bank of America Corporation licensed by Bank of America
Corporation and its affiliates ("BofA"), and may not be used without BofA's prior written approval. The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates
(“ICE Data”) and/or its third party suppliers and has been licensed for use by J.P. Morgan Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with the use of such index data or marks. See
prospectus for a full copy of the Disclaimer.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
11 |
JPMorgan Hedged Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
2.58% |
| S&P 500 Index |
8.04% |
| ICE BofA 3-Month US Treasury Bill Index |
2.71% |
| Net Assets as of 12/31/2023 (In Thousands) |
$16,914,831 |
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, 2023. The Fund’s hedging strategy
using exchange-traded index put options and exchange-traded index call options was a leading
detractor from performance relative to the Benchmark as equity prices largely rallied in the final months of the period.
The Fund’s security selection in the technology and industrial cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s
security selection in the consumer cyclical and media sectors was a leading contributor to
relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Broadcom Inc. and Intel Corp., and its overweight position
in Bristol-Myers Squibb Co. Shares of Broadcom, a semiconductor manufacturer, rose amid increased
demand for artificial intelligence technologies. Shares of Intel, a semiconductor manufacturer
not held in the Fund, rose amid broad demand for artificial intelligence technologies and after
the company obtained a $3.2 billion grant from Israel to build a factory there. Shares of
Bristol-Myers Squibb, a developer and manufacturer of pharmaceuticals, fell after the company
reported a decline in sales for the third quarter of 2023, amid increased competition from
generic versions of the company’s leading anti-cancer drug.
Leading individual contributors to relative performance
included the Fund’s underweight position in Pfizer Inc. and its overweight positions in
Trane Technologies PLC and Booking Holdings Inc. Shares of Pfizer, a pharmaceuticals developer and
health care products manufacturer not held in the Fund, fell after the company issued a
weaker-than-expected earnings forecast. Shares of Trane Technologies, a supplier of heating,
cooling and ventilation systems, rose after the company reported consecutive quarters of
better-than-expected earnings and revenue. Shares of Booking Holdings, a provider of online
travel and restaurant reservation services, rose after reporting consecutive quarters of better-than-expected earnings.
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 options
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.
| 12 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
*
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.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
7.3 % |
| 2.
|
Apple, Inc. |
6.6 |
| 3. |
Amazon.com, Inc. |
3.9 |
| 4.
|
NVIDIA Corp. |
3.3 |
| 5. |
Meta Platforms, Inc., Class A |
2.2 |
| 6.
|
Alphabet, Inc., Class A |
2.0 |
| 7. |
UnitedHealth Group, Inc. |
1.5 |
| 8.
|
Mastercard, Inc., Class A |
1.5 |
| 9. |
Tesla, Inc. |
1.5 |
| 10.
|
Exxon Mobil Corp. |
1.5 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
27.4% |
| Financials |
12.6 |
| Health Care |
12.0 |
| Consumer Discretionary |
11.1 |
| Industrials |
8.3 |
| Communication Services |
7.6 |
| Consumer Staples |
6.0 |
| Energy |
3.8 |
| Utilities |
2.3 |
| Real Estate |
2.2 |
| Materials |
2.2 |
| Others (each less than 1.0%) |
0.8 |
| Short-Term Investments |
3.7 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
13 |
JPMorgan Hedged Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
December 13, 2013 |
|
|
|
|
| With Sales Charge ** |
|
(2.93 )% |
9.69 % |
7.92 % |
6.72 % |
| Without Sales Charge |
|
2.46 |
15.78 |
9.09 |
7.29 |
| CLASS C SHARES |
December 13, 2013 |
|
|
|
|
| With CDSC *** |
|
1.18 |
14.17 |
8.55 |
6.87 |
| Without CDSC |
|
2.18 |
15.17 |
8.55 |
6.87 |
| CLASS I SHARES |
December 13, 2013 |
2.58 |
16.06 |
9.37 |
7.56 |
| CLASS R5 SHARES |
December 13, 2013 |
2.65 |
16.25 |
9.52 |
7.74 |
| CLASS R6 SHARES |
December 13, 2013 |
2.70 |
16.36 |
9.63 |
7.83 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 and the ICE BofA
3-Month US Treasury Bill Index from December 13, 2013 to December 31, 2023. 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 BofA 3-Month US 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 S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The ICE BofA 3-Month US 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 BofA 3-Month US 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 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 on gains resulting from 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.
The S&P 500 Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices
LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P
Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones
Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or
warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors shall have any
| 14 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
liability for any errors, omissions, or
interruptions of any index or the data included therein.
Source ICE Data Indices, LLC is used with permission. ICE® is a registered trademark of ICE Data Indices, LLC or its affiliates and BofA® is a registered trademark of Bank of America Corporation licensed by Bank of America Corporation and its affiliates ("BofA"),
and may not be used without BofA's prior
written approval. The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates
(“ICE Data”) and/or its third party suppliers and has been licensed for use by J.P. Morgan Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with the use of such index data or marks. See
prospectus for a full copy of the Disclaimer.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
15 |
JPMorgan Hedged Equity 2
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
1.08% |
| S&P 500 Index |
8.04% |
| ICE BofA 3-Month US Treasury Bill Index |
2.71% |
| Net Assets as of 12/31/2023 (In Thousands) |
$4,647,928 |
INVESTMENT OBJECTIVE**
The JPMorgan Hedged Equity 2 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, 2023. The Fund’s hedging strategy
using exchange-traded index put options and exchange-traded index call options was a leading
detractor from performance relative to the Benchmark as equity prices largely rallied in the final months of the period.
The Fund’s security selection in the technology and industrial cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s
security selection in the consumer cyclical and media sectors was a leading contributor to
relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Broadcom Inc. and Intel Corp., and its overweight position
in Bristol-Myers Squibb Co. Shares of Broadcom, a semiconductor manufacturer, rose amid increased
demand for artificial intelligence technologies. Shares of Intel, a semiconductor manufacturer
not held in the Fund, rose amid broad demand for artificial intelligence technologies and after
the company obtained a $3.2 billion grant from Israel to build a factory there. Shares of
Bristol-Myers Squibb, a developer and manufacturer of pharmaceuticals, fell after the company
reported a decline in sales for the third quarter of 2023, amid increased competition from
generic versions of the company’s leading anti-cancer drug.
Leading individual contributors to relative performance
included the Fund’s underweight position in Pfizer Inc. and its overweight positions in
Trane Technologies PLC and Booking Holdings Inc. Shares of Pfizer, a pharmaceuticals developer and
health care products manufacturer not held in the Fund, fell after the company issued a
weaker-than-expected earnings forecast. Shares of Trane Technologies, a supplier of heating,
cooling and ventilation systems, rose after the company reported consecutive quarters of
better-than-expected earnings and revenue. Shares of Booking Holdings, a provider of online
travel and restaurant reservation services, rose after reporting consecutive quarters of better-than-expected earnings.
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 options
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.
| 16 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
*
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.
***
Amount rounds to less than 0.1%.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
7.5 % |
| 2.
|
Apple, Inc. |
6.8 |
| 3. |
Amazon.com, Inc. |
4.0 |
| 4.
|
NVIDIA Corp. |
3.3 |
| 5. |
Meta Platforms, Inc., Class A |
2.3 |
| 6.
|
Alphabet, Inc., Class A |
2.0 |
| 7. |
UnitedHealth Group, Inc. |
1.6 |
| 8.
|
Mastercard, Inc., Class A |
1.6 |
| 9. |
Tesla, Inc. |
1.5 |
| 10.
|
Exxon Mobil Corp. |
1.5 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
28.2% |
| Financials |
13.0 |
| Health Care |
12.4 |
| Consumer Discretionary |
11.4 |
| Industrials |
8.6 |
| Communication Services |
7.8 |
| Consumer Staples |
6.2 |
| Energy |
3.9 |
| Utilities |
2.3 |
| Real Estate |
2.3 |
| Materials |
2.3 |
| Others (each less than 1.0%) |
0.0***
|
| Short-Term Investments |
1.6 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
17 |
JPMorgan Hedged Equity 2
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
SINCE INCEPTION |
| CLASS A SHARES |
February 26, 2021 |
|
|
|
| With Sales Charge ** |
|
(4.34 )% |
8.84 % |
2.57 % |
| Without Sales Charge |
|
0.95 |
14.88 |
4.53 |
| CLASS C SHARES |
February 26, 2021 |
|
|
|
| With CDSC *** |
|
(0.31 ) |
13.30 |
4.02 |
| Without CDSC |
|
0.69 |
14.30 |
4.02 |
| CLASS I SHARES |
February 26, 2021 |
1.08 |
15.26 |
4.81 |
| CLASS R5 SHARES |
February 26, 2021 |
1.22 |
15.42 |
4.97 |
| CLASS R6 SHARES |
February 26, 2021 |
1.21 |
15.53 |
5.07 |
| |
|
| * |
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 (2/26/21 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
The Fund commenced
operations on February 26, 2021.
The graph illustrates comparative performance for $1,000,000 invested
in Class I Shares of the JPMorgan Hedged Equity 2 Fund, the S&P 500 Index and the ICE BofA
3-Month US Treasury Bill Index from February 26, 2021 to December 31, 2023. 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 BofA 3-Month US 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 S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
The ICE BofA 3-Month US 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 BofA 3-Month US 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.
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 on gains resulting from 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.
The S&P 500 Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates
and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written
permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow
Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
| 18 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
Source ICE Data Indices, LLC is used with
permission. ICE® is a registered trademark of ICE Data Indices, LLC or its affiliates and BofA® is a registered trademark of Bank of America Corporation licensed by Bank of America Corporation and its affiliates ("BofA"), and may not be used without BofA's prior written approval. The index
data referenced herein is the property of ICE Data
Indices, LLC, its affiliates (“ICE Data”) and/or its third party suppliers and has been licensed for
use by J.P. Morgan Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with the use of such index data or marks. See prospectus for a full copy of the Disclaimer.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
19 |
JPMorgan Hedged Equity 3
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
6.99% |
| S&P 500 Index |
8.04% |
| ICE BofA 3-Month US Treasury Bill Index |
2.71% |
| Net Assets as of 12/31/2023 (In Thousands) |
$2,862,757 |
INVESTMENT OBJECTIVE**
The JPMorgan Hedged Equity 3 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, 2023. The Fund’s hedging strategy
using exchange-traded index put options and exchange-traded index call options was a leading
detractor from performance relative to the Benchmark as equity prices largely rallied in the final months of the period.
The Fund’s security selection in the technology and industrial cyclical sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s
security selection in the consumer cyclical and media sectors was a leading contributor to
relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Broadcom Inc. and Intel Corp., and its overweight position
in Bristol-Myers Squibb Co. Shares of Broadcom, a semiconductor manufacturer, rose amid increased
demand for artificial intelligence technologies. Shares of Intel, a semiconductor manufacturer
not held in the Fund, rose amid broad demand for artificial intelligence technologies and after
the company obtained a $3.2 billion grant from Israel to build a factory there. Shares of
Bristol-Myers Squibb, a developer and manufacturer of pharmaceuticals, fell after the company
reported a decline in sales for the third quarter of 2023, amid increased competition from
generic versions of the company’s leading anti-cancer drug.
Leading individual contributors to relative performance
included the Fund’s underweight position in Pfizer Inc. and its overweight positions in
Trane Technologies PLC and Booking Holdings Inc. Shares of Pfizer, a pharmaceuticals developer and
health care products manufacturer not held in the Fund, fell after the company issued a
weaker-than-expected earnings forecast. Shares of Trane Technologies, a supplier of heating,
cooling and ventilation systems, rose after the company reported consecutive quarters of
better-than-expected earnings and revenue. Shares of Booking Holdings, a provider of online
travel and restaurant reservation services, rose after reporting consecutive quarters of better-than-expected earnings.
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 options
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.
| 20 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
*
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.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
7.5 % |
| 2.
|
Apple, Inc. |
6.9 |
| 3. |
Amazon.com, Inc. |
4.0 |
| 4.
|
NVIDIA Corp. |
3.4 |
| 5. |
Meta Platforms, Inc., Class A |
2.3 |
| 6.
|
Alphabet, Inc., Class A |
2.1 |
| 7. |
UnitedHealth Group, Inc. |
1.6 |
| 8.
|
Mastercard, Inc., Class A |
1.6 |
| 9. |
Tesla, Inc. |
1.5 |
| 10.
|
Exxon Mobil Corp. |
1.5 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
28.4% |
| Financials |
13.1 |
| Health Care |
12.5 |
| Consumer Discretionary |
11.5 |
| Industrials |
8.6 |
| Communication Services |
7.9 |
| Consumer Staples |
6.3 |
| Energy |
3.9 |
| Utilities |
2.4 |
| Real Estate |
2.3 |
| Materials |
2.3 |
| Others (each less than 1.0%) |
0.3 |
| Short-Term Investments |
0.5 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
21 |
JPMorgan Hedged Equity 3
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
SINCE INCEPTION |
| CLASS A SHARES |
February 26, 2021 |
|
|
|
| With Sales Charge ** |
|
1.23 % |
12.16 % |
2.74 % |
| Without Sales Charge |
|
6.86 |
18.34 |
4.70 |
| CLASS C SHARES |
February 26, 2021 |
|
|
|
| With CDSC *** |
|
5.55 |
16.72 |
4.17 |
| Without CDSC |
|
6.55 |
17.72 |
4.17 |
| CLASS I SHARES |
February 26, 2021 |
6.99 |
18.60 |
4.96 |
| CLASS R5 SHARES |
February 26, 2021 |
7.05 |
18.77 |
5.12 |
| CLASS R6 SHARES |
February 26, 2021 |
7.18 |
18.96 |
5.23 |
| |
|
| * |
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 (2/26/21 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
The Fund commenced
operations on February 26, 2021.
The graph illustrates comparative performance for $1,000,000 invested
in Class I Shares of the JPMorgan Hedged Equity 3 Fund, the S&P 500 Index and the ICE BofA
3-Month US Treasury Bill Index from February 26, 2021 to December 31, 2023. 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 BofA 3-Month US 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 S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors cannot invest directly in an index.
The ICE BofA 3-Month US 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 BofA 3-Month US 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.
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 on gains resulting from 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.
The S&P 500 Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates
and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written
permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow
Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
| 22 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
Source ICE Data Indices, LLC is used with
permission. ICE® is a registered trademark of ICE Data Indices, LLC or its affiliates and BofA® is a registered trademark of Bank of America Corporation licensed by Bank of America Corporation and its affiliates ("BofA"), and may not be used without BofA's prior written approval. The index
data referenced herein is the property of ICE Data
Indices, LLC, its affiliates (“ICE Data”) and/or its third party suppliers and has been licensed for
use by J.P. Morgan Investment Management, Inc. ICE Data and its Third Party Suppliers accept no liability in connection with the use of such index data or marks. See prospectus for a full copy of the Disclaimer.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
23 |
JPMorgan Large Cap Growth
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
9.20% |
| Russell 1000 Growth Index |
10.59% |
| Net Assets as of 12/31/2023 (In Thousands) |
$72,855,532 |
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, 2023.
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 technology and consumer staples sectors was a leading contributor to relative
performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Align Technology Inc., Exact Sciences Corp. and Oracle Inc.
Shares of Align Technology, a maker of clear dental aligners, fell after the company reported
lower-than-expected earnings and revenue for the third quarter of 2023. Shares of Exact Sciences, a
provider of cancer screening and medical diagnostic tests, fell following a rally in the shares
in the first half of 2023. Shares of Oracle, a software developer, fell after the company reported consecutive quarters of lower-than-expected revenue.
Leading individual contributors to relative performance included the Fund’s underweight position in
Apple Inc., its overweight position in Uber Technologies Inc. and its out-of-Benchmark position
in MercadoLibre Inc. Shares of Apple, a diversified information technology provider, fell late in
the period following a rally in the company’s share price. Shares of Uber Technologies, a
ride-hailing service, rose amid increased bookings and after the company was included in the
S&P 500 Index. Shares of MercadoLibre, an online retail commerce platform, rose after the
company reported consecutive quarters of better-than-expected earnings and
revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies
in an effort to construct portfolios of stocks that have strong fundamentals and positive price momentum. The Fund’s portfolio managers sought to invest in companies
with attractive fundamentals that, in their view, possessed the potential to significantly exceed
expectations for a prolonged
period of
time.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
11.4 % |
| 2.
|
Amazon.com, Inc. |
6.9 |
| 3. |
Apple, Inc. |
5.3 |
| 4.
|
Meta Platforms, Inc., Class A |
5.2 |
| 5. |
NVIDIA Corp. |
5.0 |
| 6.
|
Eli Lilly & Co. |
4.7 |
| 7. |
Alphabet, Inc., Class C |
3.8 |
| 8.
|
Mastercard, Inc., Class A |
2.7 |
| 9. |
Netflix, Inc. |
2.7 |
| 10.
|
Broadcom, Inc. |
2.6 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
42.3% |
| Consumer Discretionary |
17.4 |
| Communication Services |
12.6 |
| Health Care |
10.1 |
| Industrials |
8.0 |
| Financials |
4.4 |
| Consumer Staples |
1.1 |
| Energy |
1.0 |
| Others (each less than 1.0%) |
0.4 |
| Short-Term Investments |
2.7 |
*
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.
| 24 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 22, 1994 |
|
|
|
|
| With Sales Charge ** |
|
3.34 % |
27.25 % |
19.29 % |
14.50 % |
| Without Sales Charge |
|
9.06 |
34.28 |
20.59 |
15.11 |
| CLASS C SHARES |
November 4, 1997 |
|
|
|
|
| With CDSC *** |
|
7.78 |
32.60 |
19.98 |
14.66 |
| Without CDSC |
|
8.78 |
33.60 |
19.98 |
14.66 |
| CLASS I SHARES |
February 28, 1992 |
9.20 |
34.62 |
20.89 |
15.37 |
| CLASS R2 SHARES |
November 3, 2008 |
8.93 |
33.94 |
20.28 |
14.83 |
| CLASS R3 SHARES |
September 9, 2016 |
9.07 |
34.29 |
20.59 |
15.10 |
| CLASS R4 SHARES |
September 9, 2016 |
9.19 |
34.61 |
20.89 |
15.36 |
| CLASS R5 SHARES |
April 14, 2009 |
9.28 |
34.79 |
21.06 |
15.56 |
| CLASS R6 SHARES |
November 30, 2010 |
9.34 |
34.95 |
21.19 |
15.67 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 of Class R4 Shares would have been similar to those shown because Class R4 Shares had similar expenses to Class I Shares.
The graph illustrates
comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Large Cap Growth Fund and the Russell 1000 Growth Index from December 31, 2013 to December 31, 2023. 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total
return shown above for Class C Shares reflects Class A Share's Performance for the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
25 |
JPMorgan Large Cap Value
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
6.62% |
| Russell 1000 Value Index |
6.03% |
| Net Assets as of 12/31/2023 (In Thousands) |
$3,622,378 |
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, 2023.
The Fund’s security
selection in the financials and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the materials and utilities sectors
was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions
in AbbVie Inc. and Kontoor Brands Inc., and its overweight position in Centene Corp. Shares of
AbbVie, a developer and manufacturer of pharmaceuticals, rose amid investor expectations the company would benefit from mergers and acquisitions activity in the broader pharmaceuticals sector. Shares of Kontoor
Brands, an apparel and luxury goods manufacturer, rose after the company reported
better-than-expected earnings and revenue for the second quarter of 2023. Shares of Centene, a managed health care provider, rose after the company reported consecutive quarters of better-than-expected earnings
and revenue.
Leading
individual detractors from relative performance included the Fund’s overweight positions in FMC Corp., Bristol-Myers Squibb Co. and Chemours Co. Shares of FMC, a fertilizer and agricultural chemicals manufacturer,
fell after the company lowered its full year 2023 earnings forecast. Shares of Bristol-Myers
Squibb, a developer and manufacturer of pharmaceuticals, fell after the company reported a decline in sales for the third quarter of 2023 amid increased competition from generic versions of the company’s
leading anti-cancer drug. Shares of Chemours, a diversified chemicals manufacturer, fell after
the company reported lower-than-expected earnings for the third quarter of 2023 and lowered its
earnings forecast for the full year 2023.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Bank of America Corp. |
4.8 % |
| 2.
|
Truist Financial Corp. |
2.6 |
| 3. |
Chevron Corp. |
2.4 |
| 4.
|
Fiserv, Inc. |
2.3 |
| 5. |
AbbVie, Inc. |
2.3 |
| 6.
|
Citigroup, Inc. |
2.0 |
| 7. |
Wells Fargo & Co. |
2.0 |
| 8.
|
Digital Realty Trust, Inc. |
2.0 |
| 9. |
Boeing Co. (The) |
1.9 |
| 10.
|
Bristol-Myers Squibb Co. |
1.9 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
25.6% |
| Industrials |
15.1 |
| Health Care |
12.7 |
| Information Technology |
7.5 |
| Communication Services |
7.4 |
| Materials |
6.0 |
| Consumer Staples |
6.0 |
| Energy |
5.1 |
| Consumer Discretionary |
4.7 |
| Real Estate |
4.4 |
| Utilities |
3.8 |
| Short-Term Investments |
1.7 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
| 26 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
27 |
JPMorgan Large Cap Value
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 18, 1992 |
|
|
|
|
| With Sales Charge ** |
|
0.81 % |
5.16 % |
12.64 % |
9.41 % |
| Without Sales Charge |
|
6.40 |
10.97 |
13.85 |
10.00 |
| CLASS C SHARES |
March 22, 1999 |
|
|
|
|
| With CDSC *** |
|
5.15 |
9.39 |
13.27 |
9.55 |
| Without CDSC |
|
6.15 |
10.39 |
13.27 |
9.55 |
| CLASS I SHARES |
March 1, 1991 |
6.62 |
11.27 |
14.14 |
10.23 |
| CLASS R2 SHARES |
November 3, 2008 |
6.28 |
10.70 |
13.56 |
9.71 |
| CLASS R3 SHARES |
October 1, 2018 |
6.46 |
10.94 |
13.84 |
9.99 |
| CLASS R4 SHARES |
October 1, 2018 |
6.57 |
11.24 |
14.13 |
10.23 |
| CLASS R5 SHARES |
May 15, 2006 |
6.67 |
11.40 |
14.30 |
10.42 |
| CLASS R6 SHARES |
November 30, 2010 |
6.72 |
11.55 |
14.41 |
10.51 |
| |
|
| * |
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. |
TEN YEAR FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 different than those shown because Class R3 Shares have different expenses than 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.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Large
Cap Value Fund and the Russell 1000 Value Index from December 31, 2013 to December 31, 2023. 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for
the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| 28 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan U.S. Applied Data
Science Value Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
7.15% |
| Russell 1000 Value Index |
6.03% |
| Net Assets as of 12/31/2023 (In Thousands) |
$167,886 |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Applied Data Science Value Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the six months ended December 31, 2023.
The Fund’s security selection in the health care and energy sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security
selection in the information technology and the utilities sector was a leading detractor from
relative performance.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions
in AbbVie Inc. and Eli Lilly & Co., and its overweight position in Vertex Pharmaceuticals
Inc. Shares of AbbVie, a developer and manufacturer of pharmaceuticals, rose amid investor
expectations that the company would benefit from mergers and acquisitions activity in the broader
pharmaceuticals sector. Shares of Eli Lilly, a developer and manufacturer of pharmaceuticals,
rose amid strong demand for the company’s weight-loss drug. Shares of Vertex Pharmaceuticals, a drug developer, rose after the company provided positive data from a study of its new pain
medication.
Leading individual detractors from relative performance included the Fund’s overweight positions in NextEra Energy Inc. and Bristol-Myers Squibb Co., and its
underweight position in Intel Corp. Shares of NextEra Energy, an electric utility based in
Florida, fell after the company lowered its growth forecast amid pressure from elevated interest
rates. Shares of Bristol-Myers Squibb, a developer and manufacturer of pharmaceuticals, fell
after the company reported a decline in sales for the third quarter of 2023 amid increased
competition from generic versions of the company’s leading anti-cancer drug. Shares of
Intel, a semiconductor manufacturer not held in the Fund, rose amid broad demand for artificial
intelligence technologies and after the company obtained a $3.2 billion grant from Israel to
build a factory there.
HOW WAS THE FUND
POSITIONED?
During the period, the Fund’s portfolio managers employed a data science driven investment approach that combines research, data insights and risk management. The
portfolio managers utilize proprietary techniques to process, analyze and combine a wide variety
of data sources, including a multi-decade history of proprietary fundamental research,
company fundamentals and alternative data.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
ConocoPhillips |
2.4 % |
| 2.
|
Exxon Mobil Corp. |
2.4 |
| 3. |
Wells Fargo & Co. |
2.3 |
| 4.
|
Eaton Corp. plc |
2.2 |
| 5. |
Prologis, Inc. |
2.2 |
| 6.
|
BlackRock, Inc. |
2.1 |
| 7. |
Bank of America Corp. |
2.0 |
| 8.
|
Berkshire Hathaway, Inc., Class B |
2.0 |
| 9. |
Comcast Corp., Class A |
1.7 |
| 10.
|
NextEra Energy, Inc. |
1.7 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
21.5% |
| Health Care |
15.6 |
| Industrials |
15.4 |
| Energy |
8.7 |
| Consumer Staples |
7.2 |
| Information Technology |
6.8 |
| Utilities |
5.3 |
| Consumer Discretionary |
5.2 |
| Communication Services |
5.1 |
| Real Estate |
4.7 |
| Materials |
4.0 |
| Short-Term Investments |
0.5 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
29 |
JPMorgan U.S. Applied Data
Science Value Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
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.
| 30 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 19, 2005 |
|
|
|
|
| With Sales Charge ** |
|
1.39 % |
6.05 % |
10.15 % |
7.49 % |
| Without Sales Charge |
|
7.01 |
11.91 |
11.35 |
8.07 |
| CLASS C SHARES |
February 19, 2005 |
|
|
|
|
| With CDSC *** |
|
5.79 |
10.37 |
10.79 |
7.64 |
| Without CDSC |
|
6.79 |
11.37 |
10.79 |
7.64 |
| CLASS I SHARES |
February 28, 2003 |
7.15 |
12.17 |
11.62 |
8.30 |
| CLASS R2 SHARES |
November 3, 2008 |
6.81 |
11.48 |
11.00 |
7.77 |
| CLASS R5 SHARES |
May 15, 2006 |
7.20 |
12.23 |
11.72 |
8.46 |
| CLASS R6 SHARES |
November 30, 2010 |
7.25 |
12.34 |
11.84 |
8.54 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
The graph illustrates
comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Applied Data Science Value Fund and the Russell 1000 Value Index from December 31, 2013 to December 31, 2023. 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total
return shown above for Class C Shares reflects Class A Share's performance for the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
31 |
JPMorgan U.S. Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class L Shares)*
|
8.97% |
| S&P 500 Index |
8.04% |
| Net Assets as of 12/31/2023 (In Thousands) |
$25,452,703 |
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, 2023.
The Fund’s security selection in the pharmaceuticals/medical technology and media sectors was a leading contributor to performance relative to the Benchmark, while the
Fund’s security selection in the utilities and the software & services sectors was a
leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Uber
Technologies Inc., Eaton Corp. and Regeneron Pharmaceuticals Inc. Shares of Uber Technologies, a
ride-hailing service, rose amid increased bookings and after the company was included in the
S&P 500 Index. Shares of Eaton, an electrical equipment and components manufacturer, rose
after the company reported consecutive quarters of better-than-expected earnings and revenue and
raised its profit forecast. Shares of Regeneron Pharmaceuticals, a drug developer and
manufacturer, rose after the company reported consecutive quarters of better-than-expected earnings and revenue.
Leading individual detractors from relative performance included the Fund’s overweight positions in NextEra Energy Inc., Bristol-Myers Squibb Co., and Oracle
Inc. Shares of NextEra Energy, an electric utility based in Florida, fell after the company
lowered its growth forecast amid pressure from elevated interest rates. Shares of Bristol-Myers Squibb, a developer and manufacturer of pharmaceuticals, fell after the company reported a decline in sales for the
third quarter of 2023 amid increased competition from generic versions of the company’s
leading anti-cancer drug. Shares of Oracle, a software developer, fell after the company reported
consecutive quarters of lower-than-expected revenue.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
9.2 % |
| 2.
|
Apple, Inc. |
5.0 |
| 3. |
Amazon.com, Inc. |
4.6 |
| 4.
|
NVIDIA Corp. |
3.3 |
| 5. |
UnitedHealth Group, Inc. |
3.1 |
| 6.
|
Alphabet, Inc., Class A |
3.0 |
| 7. |
Meta Platforms, Inc., Class A |
2.8 |
| 8.
|
AbbVie, Inc. |
2.6 |
| 9. |
Morgan Stanley |
2.5 |
| 10.
|
NXP Semiconductors NV (China) |
2.5 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
26.7% |
| Health Care |
13.8 |
| Financials |
13.5 |
| Consumer Discretionary |
11.4 |
| Industrials |
11.1 |
| Communication Services |
5.8 |
| Energy |
5.2 |
| Utilities |
4.0 |
| Materials |
2.8 |
| Real Estate |
2.3 |
| Consumer Staples |
2.3 |
| Short-Term Investments |
1.1 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset values in accordance with accounting principles generally
accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| 32 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
September 10, 2001 |
|
|
|
|
| With Sales Charge ** |
|
3.03 % |
20.07 % |
15.59 % |
11.42 % |
| Without Sales Charge |
|
8.71 |
26.71 |
16.84 |
12.02 |
| CLASS C SHARES |
September 10, 2001 |
|
|
|
|
| With CDSC *** |
|
7.43 |
25.10 |
16.26 |
11.57 |
| Without CDSC |
|
8.43 |
26.10 |
16.26 |
11.57 |
| CLASS I SHARES |
September 10, 2001 |
8.87 |
27.04 |
17.13 |
12.28 |
| CLASS L SHARES |
September 17, 1993 |
8.97 |
27.26 |
17.31 |
12.44 |
| CLASS R2 SHARES |
November 3, 2008 |
8.60 |
26.41 |
16.57 |
11.75 |
| CLASS R3 SHARES |
September 9, 2016 |
8.71 |
26.66 |
16.84 |
12.01 |
| CLASS R4 SHARES |
September 9, 2016 |
8.83 |
27.02 |
17.14 |
12.28 |
| CLASS R5 SHARES |
May 15, 2006 |
8.97 |
27.25 |
17.31 |
12.47 |
| CLASS R6 SHARES |
November 30, 2010 |
8.99 |
27.35 |
17.44 |
12.56 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S.
Equity Fund and the S&P 500 Index from December 31, 2013 to December 31, 2023. 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 S&P 500 Index is an unmanaged index generally representative of the performance of large
companies in the U.S. stock market. 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 on gains resulting
from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8
years, the 10 year average annual total return shown above for Class C Shares reflects Class A
Share's performance for the period after conversion.
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.
The S&P 500 Index (“Index”) is a product of
S&P Dow Jones Indices LLC and/or its affiliates and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved.
Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
33 |
JPMorgan U.S. Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
information on any of S&P Dow Jones Indices LLC’s
indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors make any representation or warranty, express or implied, as to the ability of any index to
accurately represent the asset class or market sector that it
purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC,
their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
| 34 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan U.S. GARP Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
10.75% |
| Russell 1000 Growth Index |
10.59% |
| Net Assets as of 12/31/2023 (In Thousands) |
$1,215,825 |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. GARP Equity Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Russell 1000 Growth Index (the “Benchmark”) for the six months ended December 31, 2023.
The Fund’s security selection in the industrials and consumer staples sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s
security selection in the utilities and materials sectors was a leading detractor from relative
performance.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark position in Seagate Technology Holdings Inc. and its overweight
positions in Crowdstrike Holdings Inc. and Intuit Inc. Shares of Seagate Technology Holdings, a
data hardware and storage provider, rose amid investor expectations that the company will benefit
from increased demand for artificial intelligence technologies. Shares of CrowdStrike Holdings, a
data security software provider, rose amid surging corporate demand for cybersecurity and
artificial intelligence technologies. Shares of Intuit, a financial software developer, rose after the company reported better-than-expected earnings and revenue for its fiscal first quarter.
Leading individual detractors from relative performance included the Fund’s overweight positions in Oracle Inc. and Lowe’s Cos., and its underweight
position in Broadcom Inc. Shares of Oracle, a software developer, fell after the company reported
consecutive quarters of lower-than-expected revenue. Shares of Lowe’s, a home improvement products retail chain, fell amid declining demand for do-it-yourself projects and weaker-than-expected revenue during the period.
Shares of Broadcom, a semiconductor manufacturer, rose amid increased demand for artificial
intelligence technologies.
HOW WAS THE FUND POSITIONED?
The Fund’s managers sought high quality growth companies that they believed had superior growth expectations and that
were trading at a discount to their
peers.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
11.1 % |
| 2.
|
Apple, Inc. |
9.3 |
| 3. |
Amazon.com, Inc. |
5.4 |
| 4.
|
NVIDIA Corp. |
4.8 |
| 5. |
Meta Platforms, Inc., Class A |
4.4 |
| 6.
|
Mastercard, Inc., Class A |
3.4 |
| 7. |
Alphabet, Inc., Class A |
2.7 |
| 8.
|
Alphabet, Inc., Class C |
2.3 |
| 9. |
Tesla, Inc. |
2.2 |
| 10.
|
Lowe's Cos., Inc. |
1.9 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
40.5% |
| Consumer Discretionary |
14.6 |
| Communication Services |
10.9 |
| Health Care |
10.4 |
| Financials |
7.1 |
| Industrials |
6.8 |
| Consumer Staples |
3.9 |
| Energy |
1.3 |
| Real Estate |
1.3 |
| Others (each less than 1.0%) |
1.4 |
| 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.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
35 |
JPMorgan U.S. GARP Equity
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 19, 2005 |
|
|
|
|
| With Sales Charge ** |
|
4.81 % |
34.22 % |
15.77 % |
12.63 % |
| Without Sales Charge |
|
10.62 |
41.67 |
17.03 |
13.24 |
| CLASS C SHARES |
February 19, 2005 |
|
|
|
|
| With CDSC *** |
|
9.36 |
39.98 |
16.45 |
12.79 |
| Without CDSC |
|
10.36 |
40.98 |
16.45 |
12.79 |
| CLASS I SHARES |
February 28, 2003 |
10.75 |
42.03 |
17.32 |
13.52 |
| CLASS R2 SHARES |
November 3, 2008 |
10.49 |
41.31 |
16.74 |
12.96 |
| CLASS R5 SHARES |
May 15, 2006 |
10.86 |
42.25 |
17.50 |
13.71 |
| CLASS R6 SHARES |
November 2, 2015 |
10.91 |
42.38 |
17.61 |
13.80 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 U.S. GARP Equity Fund and the Russell 1000 Growth Index, from December 31, 2013
to December 31, 2023. 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for
the period after conversion.
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.
Frank Russell Company is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| 36 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan U.S. Large Cap
Core Plus Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
9.69% |
| S&P 500 Index |
8.04% |
| Net Assets as of 12/31/2023 (In Thousands) |
$1,594,084 |
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 outperformed the S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2023.
The Fund’s security selection in the media sector and its underweight position in the automobiles & transportation sectors were leading contributors to performance
relative to the Benchmark, while the Fund’s security selection in the industrial cyclical
and software & services sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Uber
Technologies Inc. and Seagate Technology Holdings Inc., and its underweight position in Tesla
Inc. Shares of Uber Technologies, a ride-hailing service, rose amid increased bookings and after
the company was included in the S&P 500 Index. Shares of Seagate Technology Holdings, a data
hardware and storage provider, rose amid investor expectations that the company will benefit from
increased demand for artificial intelligence technologies. Shares of Tesla, an electric vehicles manufacturer, fell after the company reported lower-than-expected earnings and revenue for the third quarter of
2023.
Leading individual detractors from relative performance included the Fund’s out-of-Benchmark position in Endeavor Group Holdings Inc. and its short positions in
Intel Corp. and Broadcom Inc. Shares of Endeavor Group Holdings, an entertainment and live events
provider, fell after an agreement
to be acquired by Silver Lake Technology Management failed to be completed during the period. Shares of Intel,
a semiconductor manufacturer not held in the Fund, rose amid broad demand for artificial
intelligence technologies and after the company obtained a $3.2 billion grant from Israel to build a factory there. Shares of Broadcom, a semiconductor manufacturer, rose amid increased demand for artificial
intelligence technologies.
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 127% to 27%.
| TOP TEN LONG POSITIONS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
6.4 % |
| 2.
|
Amazon.com, Inc. |
4.0 |
| 3. |
Apple, Inc. |
3.3 |
| 4.
|
NVIDIA Corp. |
3.3 |
| 5. |
Alphabet, Inc., Class A |
2.8 |
| 6.
|
Meta Platforms, Inc., Class A |
2.6 |
| 7. |
Mastercard, Inc., Class A |
2.4 |
| 8.
|
UnitedHealth Group, Inc. |
2.3 |
| 9. |
NXP Semiconductors NV (China) |
1.9 |
| 10.
|
Wells Fargo & Co. |
1.5 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
37 |
JPMorgan U.S. Large Cap
Core Plus Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
| TOP TEN SHORT POSITIONS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Applied Materials, Inc. |
3.1 % |
| 2.
|
Cisco Systems, Inc. |
2.3 |
| 3. |
NetApp, Inc. |
2.3 |
| 4.
|
Intel Corp. |
2.2 |
| 5. |
QUALCOMM, Inc. |
1.8 |
| 6.
|
General Dynamics Corp. |
1.7 |
| 7. |
Simon Property Group, Inc. |
1.7 |
| 8.
|
Home Depot, Inc. (The) |
1.7 |
| 9. |
Sysco Corp. |
1.6 |
| 10.
|
Western Union Co. (The) |
1.6 |
| LONG POSITION PORTFOLIO COMPOSITION BY SECTOR AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
25.8% |
| Financials |
13.4 |
| Health Care |
12.0 |
| Consumer Discretionary |
11.0 |
| Industrials |
10.4 |
| Communication Services |
8.8 |
| Consumer Staples |
4.8 |
| Energy |
4.6 |
| Utilities |
3.0 |
| Real Estate |
2.0 |
| Materials |
1.8 |
| Short-Term Investments |
2.4 |
| SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
19.6% |
| Industrials |
18.8 |
| Information Technology |
18.7 |
| Health Care |
7.6 |
| Consumer Discretionary |
6.8 |
| Consumer Staples |
6.8 |
| Communication Services |
6.5 |
| Utilities |
5.8 |
| Energy |
5.2 |
| Real Estate |
3.2 |
| Materials |
1.0 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects
adjustments made to the net asset values in accordance with accounting principles generally
accepted in the United States of America.
**
The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
| 38 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
November 1, 2005 |
|
|
|
|
| With Sales Charge ** |
|
3.75 % |
22.67 % |
15.94 % |
11.33 % |
| Without Sales Charge |
|
9.53 |
29.45 |
17.20 |
11.93 |
| CLASS C SHARES |
November 1, 2005 |
|
|
|
|
| With CDSC *** |
|
8.20 |
27.74 |
16.60 |
11.49 |
| Without CDSC |
|
9.20 |
28.74 |
16.60 |
11.49 |
| CLASS I SHARES |
November 1, 2005 |
9.69 |
29.82 |
17.49 |
12.21 |
| CLASS R2 SHARES |
November 3, 2008 |
9.28 |
28.83 |
16.75 |
11.57 |
| CLASS R5 SHARES |
May 15, 2006 |
9.61 |
29.72 |
17.51 |
12.32 |
| CLASS R6 SHARES |
November 1, 2017 |
9.70 |
29.84 |
17.63 |
12.39 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 and the S&P 500 Index from December 31, 2013 to
December 31, 2023. 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 S&P
500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for
the period after conversion.
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.
The S&P 500 Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices
LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P
Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones
Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or
warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
39 |
JPMorgan U.S. Research
Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
8.65% |
| S&P 500 Index |
8.04% |
| Net Assets as of 12/31/2023 (In Thousands) |
$7,725,267 |
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 I Shares outperformed the Benchmark for the six months ended December 31, 2023.
The
Fund’s security selection in the consumer cyclical and media sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the technology and industrial cyclical
sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight position in
Pfizer Inc. and its overweight positions in Trane Technologies PLC and Booking Holdings Inc.
Shares of Pfizer, a pharmaceuticals developer and health care products manufacturer not held in the Fund, fell after the company issued a weaker-than-expected earnings forecast. Shares of Trane Technologies, a supplier of
heating, cooling and ventilation systems, rose after the company reported consecutive quarters of
better-than-expected earnings and revenue. Shares of Booking Holdings, a provider of online
travel and restaurant reservation services, rose after reporting consecutive quarters of better-than-expected earnings.
Leading individual detractors
from relative performance included the Fund’s underweight position in Broadcom Inc. and
Intel Corp., and its overweight position in Bristol-Myers Squibb Co. Shares of Broadcom, a
semiconductor manufacturer, rose amid increased demand for artificial intelligence technologies.
Shares of Intel, a semiconductor manufacturer not held in the Fund, rose amid broad demand for
artificial intelligence technologies and after the company obtained a $3.2 billion grant from
Israel to build a factory there. Shares of Bristol-Myers Squibb, a developer and manufacturer of
pharmaceuticals, fell after the company reported a decline in sales for the third quarter of
2023, amid increased competition from generic versions of the company’s leading anti-cancer
drug.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the
principal source of potential excess return. The Fund’s portfolio managers sought
investment opportunities in companies that they believed were
attractive based on valuation and strong fundamentals.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
7.5 % |
| 2.
|
Apple, Inc. |
6.9 |
| 3. |
Amazon.com, Inc. |
4.0 |
| 4.
|
NVIDIA Corp. |
3.4 |
| 5. |
Meta Platforms, Inc., Class A |
2.3 |
| 6.
|
Alphabet, Inc., Class A |
2.1 |
| 7. |
UnitedHealth Group, Inc. |
1.6 |
| 8.
|
Mastercard, Inc., Class A |
1.6 |
| 9. |
Tesla, Inc. |
1.5 |
| 10.
|
Exxon Mobil Corp. |
1.5 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
28.4% |
| Financials |
13.1 |
| Health Care |
12.5 |
| Consumer Discretionary |
11.5 |
| Industrials |
8.6 |
| Communication Services |
7.9 |
| Consumer Staples |
6.3 |
| Energy |
3.9 |
| Utilities |
2.4 |
| Real Estate |
2.3 |
| Materials |
2.3 |
| 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
| 40 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
41 |
JPMorgan U.S. Research
Enhanced Equity Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
September 28, 2001 |
|
|
|
|
| With Sales Charge ** |
|
2.80 % |
21.18 % |
15.24 % |
11.02 % |
| Without Sales Charge |
|
8.51 |
27.91 |
16.49 |
11.62 |
| CLASS I SHARES |
September 10, 2001 |
8.65 |
28.23 |
16.78 |
11.90 |
| CLASS R6 SHARES |
March 24, 2003 |
8.69 |
28.29 |
16.89 |
12.06 |
| |
|
| * |
Not annualized. |
| ** |
Sales Charge for Class A Shares is 5.25%. |
TEN YEAR FUND PERFORMANCE (12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 1-800-480-4111.
The graph illustrates
comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Research Enhanced Equity Fund and the S&P 500 Index from December 31, 2013 to December 31, 2023. 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 S&P 500 Index is an unmanaged index generally representative
of the performance of large companies in the U.S. stock market. 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 on gains resulting
from 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.
The S&P 500 Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices
LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P
Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones
Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or
warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
| 42 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan U.S. Sustainable
Leaders Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class I
Shares) * |
9.05% |
| S&P 500 Index |
8.04% |
| Net Assets as of 12/31/2023 (In Thousands) |
$189,688 |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Sustainable Leaders Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the six months ended December 31, 2023.
The Fund’s security selection in the industrials and consumer staples sectors was a leading contributor
to performance relative to the Benchmark, while the Fund’s security selection in the
utilities and information technology sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in
Costco Wholesale Corp., Seagate Technology Holdings Inc. and Union Pacific Corp. Shares of Costco
Wholesale, a consumer staples retail chain, rose amid growth in monthly sales and consecutive quarters of better-than-expected earnings. Shares of Seagate Technology Holdings, a data hardware and storage provider,
rose amid investor expectations that the company will benefit from increased demand for
artificial intelligence technologies. Shares of Union Pacific, freight railroad operator, rose after the company named a new chief executive and reported better-than-expected earnings and revenue for the third
quarter of 2023.
Leading
individual detractors from relative performance included the Fund’s overweight positions in SolarEdge Technologies Inc., Bristol-Myers Squib Co, and Texas Instruments Inc.
Shares of SolarEdge Technologies, a manufacturer of semiconductor materials and equipment for the solar energy industry, fell amid lower-than-expected reported
sales during the period and weakness in the broader solar energy sector. Shares of Bristol-Myers
Squibb, a developer and manufacturer of pharmaceuticals, fell after the company reported a decline in sales for the third quarter of 2023, amid increased competition from generic versions of the company’s
leading anti-cancer drug. Shares of Texas Instruments, a semiconductor manufacturer, fell after
the company reported lower-than-expected revenue for the third quarter of 2023 and issued a
weaker-than-expected earnings forecast.
HOW WAS THE FUND POSITIONED?
During the period, the Fund employed a proprietary scoring methodology to invest in companies that the
Fund’s portfolio managers believed have attractive environmental, social and governance
characteristics and potential for long-term capital appreciation. The Fund’s positioning during the period was a
result of that process.
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
Microsoft Corp. |
8.2 % |
| 2.
|
Apple, Inc. |
6.3 |
| 3. |
Alphabet, Inc., Class A |
4.7 |
| 4.
|
Amazon.com, Inc. |
3.8 |
| 5. |
Mastercard, Inc., Class A |
3.6 |
| 6.
|
NVIDIA Corp. |
3.3 |
| 7. |
Costco Wholesale Corp. |
2.6 |
| 8.
|
UnitedHealth Group, Inc. |
2.5 |
| 9. |
Bank of America Corp. |
2.1 |
| 10.
|
Boston Scientific Corp. |
1.8 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Information Technology |
28.7% |
| Financials |
15.3 |
| Health Care |
14.7 |
| Consumer Discretionary |
9.7 |
| Industrials |
7.7 |
| Communication Services |
7.5 |
| Consumer Staples |
4.1 |
| Utilities |
3.2 |
| Materials |
2.9 |
| Real Estate |
2.9 |
| Energy |
1.8 |
| Short-Term Investments |
1.5 |
*
The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
43 |
JPMorgan U.S. Sustainable
Leaders Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
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.
| 44 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
AVERAGE ANNUAL TOTAL
RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
February 19, 2005 |
|
|
|
|
| With Sales Charge ** |
|
3.20 % |
18.45 % |
13.50 % |
10.40 % |
| Without Sales Charge |
|
8.92 |
25.01 |
14.73 |
11.00 |
| CLASS C SHARES |
February 19, 2005 |
|
|
|
|
| With CDSC *** |
|
7.64 |
23.40 |
14.16 |
10.55 |
| Without CDSC |
|
8.64 |
24.40 |
14.16 |
10.55 |
| CLASS I SHARES |
February 28, 2003 |
9.05 |
25.33 |
15.02 |
11.27 |
| CLASS R6 SHARES |
September 30, 2020 |
9.08 |
25.38 |
15.05 |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 U.S. Sustainable Leaders Fund and the S&P 500 Index from December 31, 2013 to
December 31, 2023. 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 S&P
500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. 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 on gains resulting
from 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.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for
the period after conversion.
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.
The S&P 500 Index (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and have been licensed for use by the adviser. Copyright © 2023. S&P Dow Jones Indices
LLC, a subsidiary of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P
Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones
Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or
warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor
their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
45 |
JPMorgan U.S. Value
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
| REPORTING PERIOD RETURN: |
|
| Fund (Class A Shares, without a sales charge) * |
5.35% |
| Russell 1000 Value Index |
6.03% |
| Net Assets as of 12/31/2023 (In Thousands) |
$5,342,521 |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Value Fund (the “Fund”) seeks to provide 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 1000 Value Index (the “Benchmark”) for the six months ended December
31, 2023.
The Fund’s security selection in the industrials and materials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security
selection in the health care and communication services sectors was a leading contributor to
relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Intel Corp. and JPMorgan Chase & Co. and its overweight
position in Bristol-Myers Squibb Co. Shares of Intel, a semiconductor manufacturer not held in
the Fund, rose amid broad demand for artificial intelligence technologies and after the company
obtained a $3.2 billion grant from Israel to build a factory there. Shares of JPMorgan Chase, a
banking and financial services company that the Fund is prohibited from holding because it is an
affiliate, rose amid consecutive quarters of better-than-expected earnings and investor expectations that the company would benefit from lower interest rates in 2024. Shares of Bristol-Myers Squibb, a developer and manufacturer
of pharmaceuticals, fell after the company reported a decline in sales for the third quarter of
2023, amid increased competition from generic versions of the company’s leading anti-cancer
drug.
Leading individual
contributors to relative performance included the Fund’s overweight positions in BlackRock Inc. and Wells Fargo & Co., and its out-of-Benchmark position in Meta Platforms Inc. Shares of BlackRock, a
financial services provider, rose amid continued growth in earnings and investor expectations
that the company would benefit from lower interest rates in 2024. Shares of Wells Fargo, a diversified bank, rose after the company reported better-than-expected earnings and revenue for the third quarter of 2023 and
amid investor expectations that the company would benefit from lower interest rates in 2024.
Shares a Meta Platforms, parent of
Facebook and other interactive media services, rose amid investor demand for large cap stocks in the
information technology sector during the period.
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 HOLDINGS OF THE PORTFOLIO AS OF
December 31, 2023 |
PERCENT OF
TOTAL INVESTMENTS | |
| 1. |
ConocoPhillips |
2.6 % |
| 2.
|
Wells Fargo & Co. |
2.5 |
| 3. |
UnitedHealth Group, Inc. |
2.2 |
| 4.
|
Chevron Corp. |
2.1 |
| 5. |
Berkshire Hathaway, Inc., Class B |
2.1 |
| 6.
|
BlackRock, Inc. |
2.1 |
| 7. |
Axalta Coating Systems Ltd. |
2.0 |
| 8.
|
Exxon Mobil Corp. |
2.0 |
| 9. |
Morgan Stanley |
2.0 |
| 10.
|
United Parcel Service, Inc., Class B |
1.9 |
| PORTFOLIO COMPOSITION BY SECTOR AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Financials |
22.6% |
| Health Care |
16.3 |
| Industrials |
13.4 |
| Information Technology |
8.4 |
| Energy |
8.2 |
| Consumer Discretionary |
7.9 |
| Consumer Staples |
6.1 |
| Materials |
5.6 |
| Communication Services |
4.7 |
| Utilities |
4.1 |
| Real Estate |
1.3 |
| Short-Term Investments |
1.4 |
| 46 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
*
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.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
47 |
JPMorgan U.S. Value
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
September 23, 1987 |
|
|
|
|
| With Sales Charge ** |
|
(0.18 )% |
3.46 % |
11.25 % |
8.93 % |
| Without Sales Charge |
|
5.35 |
9.19 |
12.46 |
9.52 |
| CLASS C SHARES |
January 2, 1998 |
|
|
|
|
| With CDSC *** |
|
4.09 |
7.65 |
11.91 |
9.08 |
| Without CDSC |
|
5.09 |
8.65 |
11.91 |
9.08 |
| CLASS I SHARES |
January 25, 1996 |
5.48 |
9.45 |
12.75 |
9.79 |
| CLASS R2 SHARES |
November 2, 2015 |
5.22 |
8.91 |
12.18 |
9.30 |
| CLASS R3 SHARES |
July 31, 2017 |
5.35 |
9.18 |
12.46 |
9.52 |
| CLASS R4 SHARES |
July 31, 2017 |
5.48 |
9.45 |
12.74 |
9.79 |
| CLASS R5 SHARES |
November 2, 2015 |
5.57 |
9.63 |
12.92 |
9.94 |
| CLASS R6 SHARES |
November 2, 2015 |
5.62 |
9.73 |
13.03 |
10.01 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 U.S. Value
Fund and the Russell 1000 Value Index from December 31, 2013 to December 31, 2023. 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 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. 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total
return shown above for Class C Shares reflects Class A Share's performance for the period after conversion.
| 48 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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.
Frank Russell Company is the source and
owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related
thereto. Frank Russell
Company is not responsible for the formatting or configuration of this material or for any inaccuracy in the adviser's presentation thereof.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
49 |
JPMorgan Equity Income
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.7% | ||
| Aerospace & Defense — 4.2% | ||
| General Dynamics Corp. |
2,900 |
752,934 |
| Northrop Grumman Corp. |
1,264 |
591,951 |
| RTX Corp. |
7,258 |
610,673 |
| |
|
1,955,558 |
| Air Freight & Logistics — 1.9% | ||
| United Parcel Service, Inc., Class B |
5,596 |
879,816 |
| Banks — 7.4% | ||
| Bank of America Corp. |
26,161 |
880,848 |
| PNC Financial Services Group, Inc. (The) |
4,339 |
671,880 |
| US Bancorp |
17,251 |
746,623 |
| Wells Fargo & Co. |
23,054 |
1,134,721 |
| |
|
3,434,072 |
| Beverages — 1.9% | ||
| Coca-Cola Co. (The) |
7,744 |
456,364 |
| PepsiCo, Inc. |
2,400 |
407,511 |
| |
|
863,875 |
| Biotechnology — 2.4% | ||
| AbbVie, Inc. |
5,619 |
870,864 |
| Amgen, Inc. |
893 |
257,084 |
| |
|
1,127,948 |
| Capital Markets — 7.4% | ||
| BlackRock, Inc. |
1,215 |
986,148 |
| Charles Schwab Corp. (The) |
12,507 |
860,521 |
| CME Group, Inc. |
2,918 |
614,469 |
| Morgan Stanley |
10,437 |
973,282 |
| |
|
3,434,420 |
| Chemicals — 3.9% | ||
| Air Products and Chemicals, Inc. |
3,628 |
993,501 |
| PPG Industries, Inc. |
5,429 |
811,880 |
| |
|
1,805,381 |
| Commercial Services & Supplies — 0.9% | ||
| Republic Services, Inc. |
2,417 |
398,530 |
| Consumer Finance — 1.8% | ||
| American Express Co. |
3,854 |
722,010 |
| Capital One Financial Corp. |
1,031 |
135,213 |
| |
|
857,223 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Consumer Staples Distribution & Retail — 2.3% | ||
| Sysco Corp. |
6,176 |
451,654 |
| Walmart, Inc. |
3,970 |
625,834 |
| |
|
1,077,488 |
| Diversified Telecommunication Services — 0.6% | ||
| Verizon Communications, Inc. |
7,670 |
289,171 |
| Electric Utilities — 2.2% | ||
| NextEra Energy, Inc. |
9,769 |
593,386 |
| Xcel Energy, Inc. |
7,105 |
439,847 |
| |
|
1,033,233 |
| Electrical Equipment — 1.4% | ||
| Eaton Corp. plc |
2,712 |
653,078 |
| Electronic Equipment, Instruments & Components — 0.7% | ||
| Corning, Inc. |
10,214 |
311,023 |
| Food Products — 1.6% | ||
| Hershey Co. (The) |
1,659 |
309,374 |
| Mondelez International, Inc., Class A |
5,999 |
434,467 |
| |
|
743,841 |
| Ground Transportation — 2.5% | ||
| Norfolk Southern Corp. |
4,149 |
980,816 |
| Union Pacific Corp. |
767 |
188,280 |
| |
|
1,169,096 |
| Health Care Equipment & Supplies — 3.4% | ||
| Abbott Laboratories |
3,881 |
427,153 |
| Baxter International, Inc. |
4,889 |
188,992 |
| Becton Dickinson & Co. |
1,627 |
396,792 |
| Medtronic plc |
6,996 |
576,326 |
| |
|
1,589,263 |
| Health Care Providers & Services — 5.0% | ||
| Cencora, Inc. |
1,809 |
371,559 |
| Cigna Group (The) |
1,810 |
541,976 |
| CVS Health Corp. |
4,769 |
376,582 |
| UnitedHealth Group, Inc. |
1,955 |
1,029,350 |
| |
|
2,319,467 |
| Health Care REITs — 0.4% | ||
| Ventas, Inc. |
3,888 |
193,764 |
| Hotels, Restaurants & Leisure — 2.1% | ||
| McDonald's Corp. |
2,300 |
682,165 |
| Starbucks Corp. |
2,933 |
281,578 |
| |
|
963,743 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Household Products — 1.4% | ||
| Procter & Gamble Co. (The) |
4,455 |
652,780 |
| Industrial REITs — 0.9% | ||
| Prologis, Inc. |
3,045 |
405,916 |
| Insurance — 5.3% | ||
| Arthur J Gallagher & Co. |
1,610 |
362,062 |
| Chubb Ltd. |
2,369 |
535,401 |
| Hartford Financial Services Group, Inc. (The) |
4,002 |
321,671 |
| Marsh & McLennan Cos., Inc. |
1,075 |
203,749 |
| MetLife, Inc. |
6,948 |
459,493 |
| Progressive Corp. (The) |
2,279 |
363,039 |
| Travelers Cos., Inc. (The) |
1,025 |
195,139 |
| |
|
2,440,554 |
| IT Services — 1.4% | ||
| Accenture plc, Class A |
723 |
253,758 |
| International Business Machines Corp. |
2,505 |
409,651 |
| |
|
663,409 |
| Machinery — 3.8% | ||
| Deere & Co. |
1,288 |
515,099 |
| Dover Corp. |
4,853 |
746,469 |
| Parker-Hannifin Corp. |
1,115 |
513,567 |
| |
|
1,775,135 |
| Media — 2.2% | ||
| Comcast Corp., Class A |
22,734 |
996,895 |
| Multi-Utilities — 2.0% | ||
| CMS Energy Corp. |
5,112 |
296,852 |
| Dominion Energy, Inc. |
6,845 |
321,692 |
| Public Service Enterprise Group, Inc. |
5,363 |
327,951 |
| |
|
946,495 |
| Office REITs — 0.3% | ||
| Alexandria Real Estate Equities, Inc. |
1,071 |
135,716 |
| Oil, Gas & Consumable Fuels — 8.4% | ||
| Chevron Corp. |
6,149 |
917,118 |
| ConocoPhillips |
11,718 |
1,360,146 |
| EOG Resources, Inc. |
5,906 |
714,274 |
| Exxon Mobil Corp. |
8,913 |
891,172 |
| |
|
3,882,710 |
| Personal Care Products — 0.6% | ||
| Kenvue, Inc. |
13,345 |
287,312 |
| Pharmaceuticals — 5.2% | ||
| Bristol-Myers Squibb Co. |
17,320 |
888,666 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Pharmaceuticals — continued | ||
| Eli Lilly & Co. |
388 |
226,058 |
| Johnson & Johnson |
5,116 |
801,853 |
| Merck & Co., Inc. |
2,001 |
218,193 |
| Pfizer, Inc. |
8,984 |
258,654 |
| |
|
2,393,424 |
| Residential REITs — 0.5% | ||
| AvalonBay Communities, Inc. |
1,128 |
211,194 |
| Semiconductors & Semiconductor Equipment — 5.2% | ||
| Analog Devices, Inc. |
4,587 |
910,797 |
| Lam Research Corp. |
174 |
135,943 |
| Microchip Technology, Inc. |
1,333 |
120,208 |
| NXP Semiconductors NV (China) |
3,297 |
757,351 |
| Texas Instruments, Inc. |
2,862 |
487,837 |
| |
|
2,412,136 |
| Software — 1.6% | ||
| Microsoft Corp. |
1,976 |
743,103 |
| Specialty Retail — 4.1% | ||
| Best Buy Co., Inc. |
3,751 |
293,631 |
| Home Depot, Inc. (The) |
1,714 |
594,066 |
| Lowe's Cos., Inc. |
1,732 |
385,461 |
| TJX Cos., Inc. (The) |
6,869 |
644,340 |
| |
|
1,917,498 |
| Technology Hardware, Storage & Peripherals — 0.9% | ||
| Apple, Inc. |
618 |
119,095 |
| Seagate Technology Holdings plc |
3,306 |
282,211 |
| |
|
401,306 |
| Tobacco — 1.9% | ||
| Philip Morris International, Inc. |
9,187 |
864,358 |
| Total Common Stocks (Cost $31,704,534) |
|
46,229,931 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
51 |
JPMorgan Equity Income
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short-Term Investments — 0.3% | ||
| Investment Companies — 0.3% | ||
| JPMorgan Prime Money Market Fund Class IM
Shares, 5.51% (a) (b)
(Cost $145,185) |
145,129 |
145,245 |
| Total Investments — 100.0% (Cost $31,849,719) |
|
46,375,176 |
| Liabilities in Excess of Other Assets —
(0.0)% ^ |
|
(5,267
) |
| NET ASSETS — 100.0% |
|
46,369,909 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| ^ |
Amount rounds to less than 0.1% of 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, 2023. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan Equity Index
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.5% | ||
| Aerospace & Defense — 1.6% | ||
| Axon Enterprise, Inc. * |
15 |
3,984 |
| Boeing Co. (The) * |
125 |
32,456 |
| General Dynamics Corp. |
50 |
12,878 |
| Howmet Aerospace, Inc. |
86 |
4,635 |
| Huntington Ingalls Industries, Inc. |
9 |
2,258 |
| L3Harris Technologies, Inc. |
41 |
8,741 |
| Lockheed Martin Corp. |
48 |
21,913 |
| Northrop Grumman Corp. |
31 |
14,529 |
| RTX Corp. |
315 |
26,490 |
| Textron, Inc. |
43 |
3,451 |
| TransDigm Group, Inc. |
12 |
12,252 |
| |
|
143,587 |
| Air Freight & Logistics — 0.5% | ||
| CH Robinson Worldwide, Inc. |
25 |
2,206 |
| Expeditors International of Washington, Inc. |
32 |
4,049 |
| FedEx Corp. |
51 |
12,812 |
| United Parcel Service, Inc., Class B |
158 |
24,899 |
| |
|
43,966 |
| Automobile Components — 0.1% | ||
| Aptiv plc * |
62 |
5,557 |
| BorgWarner, Inc. |
51 |
1,845 |
| |
|
7,402 |
| Automobiles — 2.0% | ||
| Ford Motor Co. |
861 |
10,495 |
| General Motors Co. (a) |
300 |
10,770 |
| Tesla, Inc. * |
605 |
150,467 |
| |
|
171,732 |
| Banks — 3.2% | ||
| Bank of America Corp. |
1,508 |
50,757 |
| Citigroup, Inc. |
419 |
21,556 |
| Citizens Financial Group, Inc. |
102 |
3,383 |
| Comerica, Inc. |
29 |
1,611 |
| Fifth Third Bancorp |
149 |
5,143 |
| Huntington Bancshares, Inc. |
317 |
4,033 |
| JPMorgan Chase & Co. (b) |
633 |
107,672 |
| KeyCorp |
205 |
2,952 |
| M&T Bank Corp. |
36 |
4,981 |
| PNC Financial Services Group, Inc. (The) |
87 |
13,506 |
| Regions Financial Corp. |
204 |
3,947 |
| Truist Financial Corp. |
292 |
10,781 |
| US Bancorp |
341 |
14,754 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Banks — continued | ||
| Wells Fargo & Co. |
795 |
39,138 |
| Zions Bancorp NA |
32 |
1,423 |
| |
|
285,637 |
| Beverages — 1.5% | ||
| Brown-Forman Corp., Class B (a) |
40 |
2,288 |
| Coca-Cola Co. (The) |
852 |
50,206 |
| Constellation Brands, Inc., Class A |
35 |
8,555 |
| Keurig Dr Pepper, Inc. |
220 |
7,345 |
| Molson Coors Beverage Co., Class B |
41 |
2,481 |
| Monster Beverage Corp. * |
162 |
9,318 |
| PepsiCo, Inc. |
301 |
51,127 |
| |
|
131,320 |
| Biotechnology — 2.0% | ||
| AbbVie, Inc. |
386 |
59,907 |
| Amgen, Inc. |
117 |
33,750 |
| Biogen, Inc. * |
32 |
8,210 |
| Gilead Sciences, Inc. |
273 |
22,101 |
| Incyte Corp. * |
41 |
2,557 |
| Moderna, Inc. * |
73 |
7,223 |
| Regeneron Pharmaceuticals, Inc. * |
23 |
20,601 |
| Vertex Pharmaceuticals, Inc. * |
56 |
22,957 |
| |
|
177,306 |
| Broadline Retail — 3.5% | ||
| Amazon.com, Inc. * |
1,991 |
302,534 |
| eBay, Inc. |
114 |
4,957 |
| Etsy, Inc. * |
26 |
2,125 |
| |
|
309,616 |
| Building Products — 0.5% | ||
| A O Smith Corp. |
27 |
2,217 |
| Allegion plc (a) |
19 |
2,435 |
| Builders FirstSource, Inc. * |
27 |
4,511 |
| Carrier Global Corp. |
184 |
10,554 |
| Johnson Controls International plc |
149 |
8,586 |
| Masco Corp. |
49 |
3,292 |
| Trane Technologies plc |
50 |
12,197 |
| |
|
43,792 |
| Capital Markets — 3.0% | ||
| Ameriprise Financial, Inc. |
22 |
8,416 |
| Bank of New York Mellon Corp. (The) |
168 |
8,765 |
| BlackRock, Inc. |
31 |
24,856 |
| Blackstone, Inc. |
156 |
20,368 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Equity Funds |
53 |
JPMorgan Equity Index
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Capital Markets — continued | ||
| Cboe Global Markets, Inc. |
23 |
4,127 |
| Charles Schwab Corp. (The) |
326 |
22,418 |
| CME Group, Inc. |
79 |
16,600 |
| FactSet Research Systems, Inc. |
8 |
3,968 |
| Franklin Resources, Inc. |
62 |
1,839 |
| Goldman Sachs Group, Inc. (The) |
71 |
27,545 |
| Intercontinental Exchange, Inc. |
125 |
16,095 |
| Invesco Ltd. (a) |
98 |
1,756 |
| MarketAxess Holdings, Inc. |
8 |
2,430 |
| Moody's Corp. |
35 |
13,458 |
| Morgan Stanley |
277 |
25,804 |
| MSCI, Inc. |
17 |
9,795 |
| Nasdaq, Inc. |
75 |
4,333 |
| Northern Trust Corp. |
45 |
3,825 |
| Raymond James Financial, Inc. |
41 |
4,588 |
| S&P Global, Inc. |
71 |
31,251 |
| State Street Corp. |
68 |
5,234 |
| T. Rowe Price Group, Inc. |
49 |
5,269 |
| |
|
262,740 |
| Chemicals — 1.6% | ||
| Air Products and Chemicals, Inc. |
49 |
13,318 |
| Albemarle Corp. (a) |
26 |
3,712 |
| Celanese Corp. |
22 |
3,407 |
| CF Industries Holdings, Inc. |
42 |
3,326 |
| Corteva, Inc. |
154 |
7,394 |
| Dow, Inc. |
154 |
8,422 |
| DuPont de Nemours, Inc. |
94 |
7,244 |
| Eastman Chemical Co. |
26 |
2,332 |
| Ecolab, Inc. |
56 |
11,021 |
| FMC Corp. |
27 |
1,722 |
| International Flavors & Fragrances, Inc. |
56 |
4,526 |
| Linde plc |
106 |
43,604 |
| LyondellBasell Industries NV, Class A |
56 |
5,334 |
| Mosaic Co. (The) |
71 |
2,557 |
| PPG Industries, Inc. |
52 |
7,721 |
| Sherwin-Williams Co. (The) |
51 |
16,082 |
| |
|
141,722 |
| Commercial Services & Supplies — 0.6% | ||
| Cintas Corp. |
19 |
11,424 |
| Copart, Inc. * |
191 |
9,375 |
| Republic Services, Inc. |
45 |
7,385 |
| Rollins, Inc. |
62 |
2,684 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Commercial Services & Supplies — continued | ||
| Veralto Corp. |
48 |
3,948 |
| Waste Management, Inc. |
80 |
14,373 |
| |
|
49,189 |
| Communications Equipment — 0.8% | ||
| Arista Networks, Inc. * |
55 |
12,994 |
| Cisco Systems, Inc. |
887 |
44,805 |
| F5, Inc. * |
13 |
2,340 |
| Juniper Networks, Inc. |
70 |
2,058 |
| Motorola Solutions, Inc. |
36 |
11,377 |
| |
|
73,574 |
| Construction & Engineering — 0.1% | ||
| Quanta Services, Inc. |
32 |
6,865 |
| Construction Materials — 0.2% | ||
| Martin Marietta Materials, Inc. |
14 |
6,751 |
| Vulcan Materials Co. |
29 |
6,605 |
| |
|
13,356 |
| Consumer Finance — 0.5% | ||
| American Express Co. |
126 |
23,615 |
| Capital One Financial Corp. |
83 |
10,934 |
| Discover Financial Services |
55 |
6,154 |
| Synchrony Financial |
91 |
3,460 |
| |
|
44,163 |
| Consumer Staples Distribution & Retail — 1.8% | ||
| Costco Wholesale Corp. |
97 |
63,988 |
| Dollar General Corp. |
48 |
6,533 |
| Dollar Tree, Inc. * |
46 |
6,501 |
| Kroger Co. (The) |
145 |
6,623 |
| Sysco Corp. |
110 |
8,073 |
| Target Corp. |
101 |
14,394 |
| Walgreens Boots Alliance, Inc. (a) |
157 |
4,099 |
| Walmart, Inc. |
312 |
49,241 |
| |
|
159,452 |
| Containers & Packaging — 0.2% | ||
| Amcor plc |
316 |
3,051 |
| Avery Dennison Corp. |
18 |
3,564 |
| Ball Corp. |
69 |
3,971 |
| International Paper Co. |
76 |
2,739 |
| Packaging Corp. of America |
20 |
3,197 |
| WestRock Co. |
56 |
2,331 |
| |
|
18,853 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 |
J.P. Morgan Equity Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Distributors — 0.1% | ||
| Genuine Parts Co. |
31 |
4,251 |
| LKQ Corp. |
59 |
2,800 |
| Pool Corp. |
8 |
3,377 |
| |
|
10,428 |
| Diversified Telecommunication Services — 0.7% | ||
| AT&T, Inc. |
1,566 |
26,269 |
| Verizon Communications, Inc. |
920 |
34,703 |
| |
|
60,972 |
| Electric Utilities — 1.5% | ||
| Alliant Energy Corp. |
56 |
2,866 |
| American Electric Power Co., Inc. |
115 |
9,352 |
| Constellation Energy Corp. |
70 |
8,174 |
| Duke Energy Corp. |
169 |
16,375 |
| Edison International |
84 |
6,000 |
| Entergy Corp. |
46 |
4,685 |
| Evergy, Inc. |
50 |
2,626 |
| Eversource Energy |
77 |
4,721 |
| Exelon Corp. |
218 |
7,825 |
| FirstEnergy Corp. |
113 |
4,145 |
| NextEra Energy, Inc. |
449 |
27,286 |
| NRG Energy, Inc. |
49 |
2,556 |
| PG&E Corp. |
467 |
8,422 |
| Pinnacle West Capital Corp. |
25 |
1,784 |
| PPL Corp. |
161 |
4,374 |
| Southern Co. (The) |
239 |
16,744 |
| Xcel Energy, Inc. |
121 |
7,480 |
| |
|
135,415 |
| Electrical Equipment — 0.6% | ||
| AMETEK, Inc. |
51 |
8,333 |
| Eaton Corp. plc |
87 |
21,054 |
| Emerson Electric Co. |
125 |
12,149 |
| Generac Holdings, Inc. * |
13 |
1,738 |
| Hubbell, Inc., Class B |
12 |
3,863 |
| Rockwell Automation, Inc. |
25 |
7,796 |
| |
|
54,933 |
| Electronic Equipment, Instruments & Components — 0.6% | ||
| Amphenol Corp., Class A |
131 |
12,986 |
| CDW Corp. |
29 |
6,667 |
| Corning, Inc. |
168 |
5,119 |
| Jabil, Inc. |
28 |
3,569 |
| Keysight Technologies, Inc. * |
39 |
6,186 |
| TE Connectivity Ltd. |
68 |
9,560 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Electronic Equipment, Instruments & Components — continued | ||
| Teledyne Technologies, Inc. * |
10 |
4,611 |
| Trimble, Inc. * |
55 |
2,898 |
| Zebra Technologies Corp., Class A * |
11 |
3,074 |
| |
|
54,670 |
| Energy Equipment & Services — 0.4% | ||
| Baker Hughes Co. |
220 |
7,531 |
| Halliburton Co. |
196 |
7,084 |
| Schlumberger NV |
313 |
16,276 |
| |
|
30,891 |
| Entertainment — 1.2% | ||
| Electronic Arts, Inc. |
53 |
7,332 |
| Live Nation Entertainment, Inc. * |
31 |
2,908 |
| Netflix, Inc. * |
96 |
46,658 |
| Take-Two Interactive Software, Inc. * |
35 |
5,574 |
| Walt Disney Co. (The) * |
401 |
36,173 |
| Warner Bros Discovery, Inc. * |
486 |
5,529 |
| |
|
104,174 |
| Financial Services — 4.1% | ||
| Berkshire Hathaway, Inc., Class B * |
398 |
142,083 |
| Fidelity National Information Services, Inc. |
130 |
7,792 |
| Fiserv, Inc. * |
132 |
17,457 |
| FleetCor Technologies, Inc. * |
16 |
4,468 |
| Global Payments, Inc. |
57 |
7,241 |
| Jack Henry & Associates, Inc. |
16 |
2,606 |
| Mastercard, Inc., Class A |
181 |
77,332 |
| PayPal Holdings, Inc. * |
236 |
14,496 |
| Visa, Inc., Class A (a) |
349 |
90,865 |
| |
|
364,340 |
| Food Products — 0.9% | ||
| Archer-Daniels-Midland Co. |
117 |
8,434 |
| Bunge Global SA |
32 |
3,211 |
| Campbell Soup Co. (a) |
43 |
1,859 |
| Conagra Brands, Inc. |
105 |
2,999 |
| General Mills, Inc. |
127 |
8,291 |
| Hershey Co. (The) |
33 |
6,119 |
| Hormel Foods Corp. |
63 |
2,036 |
| J M Smucker Co. (The) |
23 |
2,937 |
| Kellanova |
58 |
3,229 |
| Kraft Heinz Co. (The) |
174 |
6,455 |
| Lamb Weston Holdings, Inc. |
32 |
3,430 |
| McCormick & Co., Inc. (Non-Voting) |
55 |
3,765 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Equity Funds |
55 |
JPMorgan Equity Index
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Food Products — continued | ||
| Mondelez International, Inc., Class A |
298 |
21,574 |
| Tyson Foods, Inc., Class A |
62 |
3,357 |
| |
|
77,696 |
| Gas Utilities — 0.0% ^ | ||
| Atmos Energy Corp. |
32 |
3,768 |
| Ground Transportation — 1.1% | ||
| CSX Corp. |
433 |
15,001 |
| JB Hunt Transport Services, Inc. |
18 |
3,563 |
| Norfolk Southern Corp. |
49 |
11,704 |
| Old Dominion Freight Line, Inc. |
20 |
7,940 |
| Uber Technologies, Inc. * |
451 |
27,742 |
| Union Pacific Corp. |
133 |
32,784 |
| |
|
98,734 |
| Health Care Equipment & Supplies — 2.6% | ||
| Abbott Laboratories |
380 |
41,822 |
| Align Technology, Inc. * |
16 |
4,273 |
| Baxter International, Inc. |
111 |
4,294 |
| Becton Dickinson & Co. |
63 |
15,488 |
| Boston Scientific Corp. * |
321 |
18,534 |
| Cooper Cos., Inc. (The) |
11 |
4,103 |
| Dentsply Sirona, Inc. |
46 |
1,651 |
| Dexcom, Inc. * |
85 |
10,498 |
| Edwards Lifesciences Corp. * |
133 |
10,126 |
| GE HealthCare Technologies, Inc. (a) |
86 |
6,628 |
| Hologic, Inc. * |
54 |
3,832 |
| IDEXX Laboratories, Inc. * |
18 |
10,099 |
| Insulet Corp. * |
15 |
3,317 |
| Intuitive Surgical, Inc. * |
77 |
26,006 |
| Medtronic plc |
291 |
23,999 |
| ResMed, Inc. |
32 |
5,540 |
| STERIS plc |
22 |
4,756 |
| Stryker Corp. |
74 |
22,169 |
| Teleflex, Inc. |
10 |
2,566 |
| Zimmer Biomet Holdings, Inc. |
46 |
5,569 |
| |
|
225,270 |
| Health Care Providers & Services — 2.8% | ||
| Cardinal Health, Inc. |
54 |
5,440 |
| Cencora, Inc. (a) |
36 |
7,497 |
| Centene Corp. * |
117 |
8,680 |
| Cigna Group (The) |
64 |
19,186 |
| CVS Health Corp. |
281 |
22,205 |
| DaVita, Inc. * |
12 |
1,236 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Health Care Providers & Services — continued | ||
| Elevance Health, Inc. |
51 |
24,259 |
| HCA Healthcare, Inc. |
43 |
11,739 |
| Henry Schein, Inc. * |
29 |
2,165 |
| Humana, Inc. |
27 |
12,340 |
| Laboratory Corp. of America Holdings |
19 |
4,225 |
| McKesson Corp. |
29 |
13,489 |
| Molina Healthcare, Inc. * |
13 |
4,612 |
| Quest Diagnostics, Inc. |
25 |
3,394 |
| UnitedHealth Group, Inc. |
203 |
106,618 |
| Universal Health Services, Inc., Class B |
13 |
2,036 |
| |
|
249,121 |
| Health Care REITs — 0.2% | ||
| Healthpeak Properties, Inc. |
120 |
2,372 |
| Ventas, Inc. |
88 |
4,391 |
| Welltower, Inc. (a) |
121 |
10,927 |
| |
|
17,690 |
| Hotel & Resort REITs — 0.0% ^ | ||
| Host Hotels & Resorts, Inc. |
154 |
3,007 |
| Hotels, Restaurants & Leisure — 2.2% | ||
| Airbnb, Inc., Class A * |
95 |
12,959 |
| Booking Holdings, Inc. * |
8 |
27,097 |
| Caesars Entertainment, Inc. * |
47 |
2,214 |
| Carnival Corp. * |
221 |
4,090 |
| Chipotle Mexican Grill, Inc. * |
6 |
13,742 |
| Darden Restaurants, Inc. |
26 |
4,328 |
| Domino's Pizza, Inc. |
8 |
3,148 |
| Expedia Group, Inc. * |
29 |
4,431 |
| Hilton Worldwide Holdings, Inc. |
56 |
10,224 |
| Las Vegas Sands Corp. |
81 |
3,978 |
| Marriott International, Inc., Class A |
54 |
12,181 |
| McDonald's Corp. |
159 |
47,091 |
| MGM Resorts International * |
60 |
2,673 |
| Norwegian Cruise Line Holdings Ltd. * (a) |
93 |
1,867 |
| Royal Caribbean Cruises Ltd. * |
52 |
6,684 |
| Starbucks Corp. |
250 |
24,019 |
| Wynn Resorts Ltd. |
21 |
1,915 |
| Yum! Brands, Inc. |
61 |
8,019 |
| |
|
190,660 |
| Household Durables — 0.4% | ||
| DR Horton, Inc. |
66 |
10,028 |
| Garmin Ltd. |
33 |
4,308 |
| Lennar Corp., Class A |
55 |
8,163 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 |
J.P. Morgan Equity Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Household Durables — continued | ||
| Mohawk Industries, Inc. * |
12 |
1,198 |
| NVR, Inc. * |
1 |
4,872 |
| PulteGroup, Inc. |
47 |
4,873 |
| Whirlpool Corp. |
12 |
1,462 |
| |
|
34,904 |
| Household Products — 1.2% | ||
| Church & Dwight Co., Inc. |
54 |
5,101 |
| Clorox Co. (The) |
27 |
3,871 |
| Colgate-Palmolive Co. |
180 |
14,370 |
| Kimberly-Clark Corp. |
74 |
8,991 |
| Procter & Gamble Co. (The) |
516 |
75,622 |
| |
|
107,955 |
| Independent Power and Renewable Electricity Producers — 0.0% ^ | ||
| AES Corp. (The) |
147 |
2,822 |
| Industrial Conglomerates — 0.8% | ||
| 3M Co. |
121 |
13,220 |
| General Electric Co. |
238 |
30,415 |
| Honeywell International, Inc. |
145 |
30,271 |
| |
|
73,906 |
| Industrial REITs — 0.3% | ||
| Prologis, Inc. |
202 |
26,967 |
| Insurance — 2.1% | ||
| Aflac, Inc. |
116 |
9,606 |
| Allstate Corp. (The) |
57 |
8,021 |
| American International Group, Inc. |
154 |
10,414 |
| Aon plc, Class A |
44 |
12,758 |
| Arch Capital Group Ltd. * |
82 |
6,068 |
| Arthur J Gallagher & Co. |
47 |
10,631 |
| Assurant, Inc. |
12 |
1,940 |
| Brown & Brown, Inc. |
52 |
3,678 |
| Chubb Ltd. |
89 |
20,188 |
| Cincinnati Financial Corp. |
34 |
3,554 |
| Everest Group Ltd. |
9 |
3,360 |
| Globe Life, Inc. |
19 |
2,283 |
| Hartford Financial Services Group, Inc. (The) |
66 |
5,293 |
| Loews Corp. |
40 |
2,789 |
| Marsh & McLennan Cos., Inc. |
108 |
20,455 |
| MetLife, Inc. |
136 |
9,003 |
| Principal Financial Group, Inc. |
48 |
3,778 |
| Progressive Corp. (The) |
128 |
20,403 |
| Prudential Financial, Inc. |
79 |
8,198 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Insurance — continued | ||
| Travelers Cos., Inc. (The) |
50 |
9,526 |
| Willis Towers Watson plc |
23 |
5,453 |
| WR Berkley Corp. |
45 |
3,155 |
| |
|
180,554 |
| Interactive Media & Services — 5.8% | ||
| Alphabet, Inc., Class A * |
1,296 |
181,005 |
| Alphabet, Inc., Class C * |
1,091 |
153,691 |
| Match Group, Inc. * |
59 |
2,172 |
| Meta Platforms, Inc., Class A * |
486 |
172,021 |
| |
|
508,889 |
| IT Services — 1.2% | ||
| Accenture plc, Class A |
137 |
48,221 |
| Akamai Technologies, Inc. * |
33 |
3,908 |
| Cognizant Technology Solutions Corp., Class A |
110 |
8,292 |
| EPAM Systems, Inc. * |
13 |
3,757 |
| Gartner, Inc. * |
17 |
7,699 |
| International Business Machines Corp. |
200 |
32,699 |
| VeriSign, Inc. * |
19 |
4,006 |
| |
|
108,582 |
| Leisure Products — 0.0% ^ | ||
| Hasbro, Inc. |
29 |
1,458 |
| Life Sciences Tools & Services — 1.4% | ||
| Agilent Technologies, Inc. |
64 |
8,907 |
| Bio-Rad Laboratories, Inc., Class A * |
4 |
1,480 |
| Bio-Techne Corp. |
35 |
2,672 |
| Charles River Laboratories International, Inc. * |
11 |
2,655 |
| Danaher Corp. |
144 |
33,311 |
| Illumina, Inc. * |
35 |
4,842 |
| IQVIA Holdings, Inc. * |
40 |
9,277 |
| Mettler-Toledo International, Inc. * |
5 |
5,759 |
| Revvity, Inc. |
27 |
2,954 |
| Thermo Fisher Scientific, Inc. |
85 |
44,903 |
| Waters Corp. * |
13 |
4,262 |
| West Pharmaceutical Services, Inc. |
16 |
5,704 |
| |
|
126,726 |
| Machinery — 1.8% | ||
| Caterpillar, Inc. |
112 |
33,025 |
| Cummins, Inc. |
31 |
7,435 |
| Deere & Co. |
59 |
23,450 |
| Dover Corp. |
31 |
4,711 |
| Fortive Corp. |
77 |
5,666 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Equity Funds |
57 |
JPMorgan Equity Index
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Machinery — continued | ||
| IDEX Corp. |
16 |
3,595 |
| Illinois Tool Works, Inc. |
60 |
15,704 |
| Ingersoll Rand, Inc. |
89 |
6,855 |
| Nordson Corp. |
12 |
3,133 |
| Otis Worldwide Corp. |
90 |
8,017 |
| PACCAR, Inc. * |
114 |
11,184 |
| Parker-Hannifin Corp. |
28 |
12,959 |
| Pentair plc |
36 |
2,632 |
| Snap-on, Inc. |
11 |
3,338 |
| Stanley Black & Decker, Inc. |
34 |
3,293 |
| Westinghouse Air Brake Technologies Corp. |
39 |
4,978 |
| Xylem, Inc. |
53 |
6,036 |
| |
|
156,011 |
| Media — 0.7% | ||
| Charter Communications, Inc., Class A * |
22 |
8,560 |
| Comcast Corp., Class A |
879 |
38,554 |
| Fox Corp., Class A |
54 |
1,606 |
| Fox Corp., Class B |
29 |
799 |
| Interpublic Group of Cos., Inc. (The) (a) |
84 |
2,737 |
| News Corp., Class A |
83 |
2,046 |
| News Corp., Class B (a) |
25 |
647 |
| Omnicom Group, Inc. |
44 |
3,749 |
| Paramount Global, Class B |
106 |
1,562 |
| |
|
60,260 |
| Metals & Mining — 0.4% | ||
| Freeport-McMoRan, Inc. |
314 |
13,366 |
| Newmont Corp. |
252 |
10,444 |
| Nucor Corp. |
54 |
9,368 |
| Steel Dynamics, Inc. |
33 |
3,933 |
| |
|
37,111 |
| Multi-Utilities — 0.7% | ||
| Ameren Corp. |
58 |
4,165 |
| CenterPoint Energy, Inc. |
138 |
3,949 |
| CMS Energy Corp. |
64 |
3,710 |
| Consolidated Edison, Inc. |
76 |
6,876 |
| Dominion Energy, Inc. |
183 |
8,611 |
| DTE Energy Co. |
45 |
4,978 |
| NiSource, Inc. |
90 |
2,402 |
| Public Service Enterprise Group, Inc. |
109 |
6,672 |
| Sempra |
138 |
10,297 |
| WEC Energy Group, Inc. |
69 |
5,813 |
| |
|
57,473 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Office REITs — 0.1% | ||
| Alexandria Real Estate Equities, Inc. (a) |
34 |
4,341 |
| Boston Properties, Inc. |
32 |
2,218 |
| |
|
6,559 |
| Oil, Gas & Consumable Fuels — 3.5% | ||
| APA Corp. |
67 |
2,410 |
| Chevron Corp. |
384 |
57,336 |
| ConocoPhillips |
260 |
30,176 |
| Coterra Energy, Inc. |
165 |
4,203 |
| Devon Energy Corp. |
140 |
6,355 |
| Diamondback Energy, Inc. |
39 |
6,077 |
| EOG Resources, Inc. |
128 |
15,443 |
| EQT Corp. |
90 |
3,482 |
| Exxon Mobil Corp. |
877 |
87,688 |
| Hess Corp. |
61 |
8,726 |
| Kinder Morgan, Inc. |
423 |
7,469 |
| Marathon Oil Corp. |
128 |
3,096 |
| Marathon Petroleum Corp. |
83 |
12,334 |
| Occidental Petroleum Corp. (a) |
145 |
8,632 |
| ONEOK, Inc. |
128 |
8,957 |
| Phillips 66 |
96 |
12,825 |
| Pioneer Natural Resources Co. |
51 |
11,488 |
| Targa Resources Corp. |
49 |
4,241 |
| Valero Energy Corp. |
75 |
9,691 |
| Williams Cos., Inc. (The) |
266 |
9,277 |
| |
|
309,906 |
| Passenger Airlines — 0.2% | ||
| American Airlines Group, Inc. * (a) |
143 |
1,966 |
| Delta Air Lines, Inc. |
141 |
5,668 |
| Southwest Airlines Co. |
130 |
3,769 |
| United Airlines Holdings, Inc. * |
72 |
2,963 |
| |
|
14,366 |
| Personal Care Products — 0.2% | ||
| Estee Lauder Cos., Inc. (The), Class A |
51 |
7,439 |
| Kenvue, Inc. |
377 |
8,125 |
| |
|
15,564 |
| Pharmaceuticals — 3.7% | ||
| Bristol-Myers Squibb Co. |
445 |
22,859 |
| Catalent, Inc. * |
39 |
1,773 |
| Eli Lilly & Co. |
175 |
101,776 |
| Johnson & Johnson |
527 |
82,615 |
| Merck & Co., Inc. |
555 |
60,488 |
| Pfizer, Inc. |
1,236 |
35,593 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 |
J.P. Morgan Equity Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Pharmaceuticals — continued | ||
| Viatris, Inc. |
263 |
2,845 |
| Zoetis, Inc. (a) |
101 |
19,840 |
| |
|
327,789 |
| Professional Services — 0.7% | ||
| Automatic Data Processing, Inc. |
90 |
20,980 |
| Broadridge Financial Solutions, Inc. |
26 |
5,300 |
| Ceridian HCM Holding, Inc. * (a) |
34 |
2,292 |
| Equifax, Inc. |
27 |
6,672 |
| Jacobs Solutions, Inc. |
28 |
3,579 |
| Leidos Holdings, Inc. |
30 |
3,259 |
| Paychex, Inc. |
70 |
8,384 |
| Paycom Software, Inc. |
11 |
2,220 |
| Robert Half, Inc. |
23 |
2,038 |
| Verisk Analytics, Inc. |
32 |
7,585 |
| |
|
62,309 |
| Real Estate Management & Development — 0.2% | ||
| CBRE Group, Inc., Class A * |
67 |
6,212 |
| CoStar Group, Inc. * |
89 |
7,814 |
| |
|
14,026 |
| Residential REITs — 0.3% | ||
| AvalonBay Communities, Inc. |
31 |
5,822 |
| Camden Property Trust |
23 |
2,321 |
| Equity Residential |
76 |
4,627 |
| Essex Property Trust, Inc. |
14 |
3,484 |
| Invitation Homes, Inc. |
126 |
4,296 |
| Mid-America Apartment Communities, Inc. |
26 |
3,436 |
| UDR, Inc. |
66 |
2,537 |
| |
|
26,523 |
| Retail REITs — 0.3% | ||
| Federal Realty Investment Trust |
16 |
1,658 |
| Kimco Realty Corp. |
146 |
3,103 |
| Realty Income Corp. (a) |
159 |
9,101 |
| Regency Centers Corp. |
36 |
2,410 |
| Simon Property Group, Inc. |
71 |
10,189 |
| |
|
26,461 |
| Semiconductors & Semiconductor Equipment — 8.1% | ||
| Advanced Micro Devices, Inc. * |
354 |
52,147 |
| Analog Devices, Inc. |
109 |
21,664 |
| Applied Materials, Inc. |
183 |
29,685 |
| Broadcom, Inc. |
96 |
107,281 |
| Enphase Energy, Inc. * |
30 |
3,951 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Semiconductors & Semiconductor Equipment — continued | ||
| First Solar, Inc. * (a) |
23 |
4,030 |
| Intel Corp. |
923 |
46,386 |
| KLA Corp. |
30 |
17,301 |
| Lam Research Corp. |
29 |
22,602 |
| Microchip Technology, Inc. |
118 |
10,683 |
| Micron Technology, Inc. |
240 |
20,517 |
| Monolithic Power Systems, Inc. |
11 |
6,617 |
| NVIDIA Corp. |
541 |
267,821 |
| NXP Semiconductors NV (China) |
56 |
12,963 |
| ON Semiconductor Corp. * |
94 |
7,877 |
| Qorvo, Inc. * |
21 |
2,400 |
| QUALCOMM, Inc. |
244 |
35,246 |
| Skyworks Solutions, Inc. |
35 |
3,923 |
| Teradyne, Inc. |
34 |
3,633 |
| Texas Instruments, Inc. |
199 |
33,897 |
| |
|
710,624 |
| Software — 10.7% | ||
| Adobe, Inc. * |
100 |
59,474 |
| ANSYS, Inc. * |
19 |
6,896 |
| Autodesk, Inc. * |
47 |
11,396 |
| Cadence Design Systems, Inc. * |
60 |
16,225 |
| Fair Isaac Corp. * |
5 |
6,298 |
| Fortinet, Inc. * |
140 |
8,168 |
| Gen Digital, Inc. |
124 |
2,817 |
| Intuit, Inc. |
61 |
38,354 |
| Microsoft Corp. |
1,627 |
611,935 |
| Oracle Corp. |
348 |
36,677 |
| Palo Alto Networks, Inc. * |
68 |
20,068 |
| PTC, Inc. * |
26 |
4,552 |
| Roper Technologies, Inc. |
23 |
12,751 |
| Salesforce, Inc. * |
213 |
56,060 |
| ServiceNow, Inc. * |
45 |
31,711 |
| Synopsys, Inc. * |
33 |
17,146 |
| Tyler Technologies, Inc. * |
9 |
3,852 |
| |
|
944,380 |
| Specialized REITs — 1.1% | ||
| American Tower Corp. |
102 |
22,034 |
| Crown Castle, Inc. |
95 |
10,946 |
| Digital Realty Trust, Inc. |
66 |
8,924 |
| Equinix, Inc. |
21 |
16,556 |
| Extra Space Storage, Inc. |
46 |
7,417 |
| Iron Mountain, Inc. (a) |
64 |
4,474 |
| Public Storage |
35 |
10,568 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Equity Funds |
59 |
JPMorgan Equity Index
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Specialized REITs — continued | ||
| SBA Communications Corp. |
24 |
5,993 |
| VICI Properties, Inc., Class A |
226 |
7,221 |
| Weyerhaeuser Co. |
160 |
5,558 |
| |
|
99,691 |
| Specialty Retail — 2.0% | ||
| AutoZone, Inc. * |
4 |
9,983 |
| Bath & Body Works, Inc. |
50 |
2,149 |
| Best Buy Co., Inc. |
42 |
3,320 |
| CarMax, Inc. * (a) |
35 |
2,666 |
| Home Depot, Inc. (The) |
219 |
75,883 |
| Lowe's Cos., Inc. |
126 |
28,122 |
| O'Reilly Automotive, Inc. * |
13 |
12,307 |
| Ross Stores, Inc. |
74 |
10,261 |
| TJX Cos., Inc. (The) |
250 |
23,499 |
| Tractor Supply Co. (a) |
24 |
5,090 |
| Ulta Beauty, Inc. * |
11 |
5,282 |
| |
|
178,562 |
| Technology Hardware, Storage & Peripherals — 7.3% | ||
| Apple, Inc. |
3,201 |
616,288 |
| Hewlett Packard Enterprise Co. |
281 |
4,770 |
| HP, Inc. |
190 |
5,730 |
| NetApp, Inc. |
46 |
4,030 |
| Seagate Technology Holdings plc |
43 |
3,636 |
| Western Digital Corp. * |
71 |
3,718 |
| |
|
638,172 |
| Textiles, Apparel & Luxury Goods — 0.5% | ||
| Lululemon Athletica, Inc. * |
25 |
12,891 |
| NIKE, Inc., Class B |
268 |
29,097 |
| Ralph Lauren Corp. |
9 |
1,255 |
| Tapestry, Inc. |
50 |
1,847 |
| VF Corp. (a) |
72 |
1,361 |
| |
|
46,451 |
| Tobacco — 0.5% | ||
| Altria Group, Inc. |
387 |
15,622 |
| Philip Morris International, Inc. |
340 |
31,978 |
| |
|
47,600 |
| Trading Companies & Distributors — 0.3% | ||
| Fastenal Co. |
125 |
8,104 |
| United Rentals, Inc. |
15 |
8,510 |
| WW Grainger, Inc. |
10 |
8,015 |
| |
|
24,629 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Water Utilities — 0.1% | ||
| American Water Works Co., Inc. |
43 |
5,627 |
| Wireless Telecommunication Services — 0.2% | ||
| T-Mobile US, Inc. |
111 |
17,863 |
| Total Common Stocks
(Cost $3,825,996) |
|
8,766,761 |
| |
NO. OF RIGHTS (000) |
|
| Rights — 0.0% ^ | ||
| Health Care Equipment & Supplies — 0.0% ^ | ||
| ABIOMED, Inc., CVR ‡ *
(Cost $10) |
9 |
10 |
| |
SHARES
(000) |
|
| Short-Term Investments — 1.3% | ||
| Investment Companies — 0.4% | ||
| JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 5.21% (c) (d)
(Cost $38,229) |
38,229 |
38,229 |
| Investment of Cash Collateral from Securities Loaned — 0.9% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (c) (d) |
66,459 |
66,485 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (c) (d) |
8,165 |
8,165 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $74,650) |
|
74,650 |
| Total Short-Term Investments (Cost $112,879) |
|
112,879 |
| Total Investments — 100.8% (Cost $3,938,885) |
|
8,879,650 |
| Liabilities in Excess of Other Assets —
(0.8)% |
|
(74,291
) |
| NET ASSETS — 100.0% |
|
8,805,359 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| CVR |
Contingent Value Rights |
| REIT |
Real
Estate Investment Trust |
| ^ |
Amount rounds to less than 0.1% of net assets. | |
| ‡ |
Value determined using significant unobservable inputs. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 |
J.P. Morgan Equity Funds |
December 31, 2023
|
| * |
Non-income producing security. |
|
| (a) |
The security or a portion of this security is on loan at December 31, 2023. The total value of securities on loan at December 31, 2023 is $72,467. |
|
| (b) |
Investment in affiliate. This security is included in an index in which the Fund, as an index fund, tracks. |
|
| (c) |
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
|
| (d) |
The rate shown is the current yield as of December 31, 2023. |
|
Futures contracts outstanding as of December 31, 2023 (amounts in thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
157 |
03/15/2024 |
USD |
37,827 |
1,238 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Equity Funds |
61 |
JPMorgan Equity Premium
Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 85.4% | ||
| Aerospace & Defense — 1.3% | ||
| General Dynamics Corp. |
67 |
17,312 |
| RTX Corp. |
361 |
30,411 |
| Textron, Inc. |
374 |
30,110 |
| |
|
77,833 |
| Air Freight & Logistics — 1.5% | ||
| FedEx Corp. |
88 |
22,428 |
| United Parcel Service, Inc., Class B |
407 |
63,963 |
| |
|
86,391 |
| Banks — 0.6% | ||
| US Bancorp |
845 |
36,560 |
| Beverages — 2.6% | ||
| Coca-Cola Co. (The) |
990 |
58,327 |
| Monster Beverage Corp. * |
314 |
18,106 |
| PepsiCo, Inc. |
442 |
75,013 |
| |
|
151,446 |
| Biotechnology — 3.8% | ||
| AbbVie, Inc. |
536 |
83,055 |
| Biogen, Inc. * |
25 |
6,296 |
| Regeneron Pharmaceuticals, Inc. * |
68 |
59,687 |
| Vertex Pharmaceuticals, Inc. * |
190 |
77,433 |
| |
|
226,471 |
| Broadline Retail — 1.7% | ||
| Amazon.com, Inc. * |
649 |
98,599 |
| Building Products — 1.6% | ||
| Trane Technologies plc |
385 |
93,915 |
| Capital Markets — 2.5% | ||
| CME Group, Inc. |
348 |
73,284 |
| Intercontinental Exchange, Inc. |
269 |
34,490 |
| S&P Global, Inc. |
92 |
40,551 |
| |
|
148,325 |
| Chemicals — 3.0% | ||
| Air Products and Chemicals, Inc. |
248 |
68,054 |
| Dow, Inc. |
351 |
19,256 |
| Linde plc |
173 |
71,003 |
| LyondellBasell Industries NV, Class A |
181 |
17,171 |
| |
|
175,484 |
| Commercial Services & Supplies — 0.0% ^ | ||
| Veralto Corp. |
42 |
3,493 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Communications Equipment — 0.2% | ||
| Motorola Solutions, Inc. |
41 |
12,781 |
| Consumer Finance — 0.5% | ||
| American Express Co. |
149 |
27,873 |
| Consumer Staples Distribution & Retail — 2.4% | ||
| Costco Wholesale Corp. |
122 |
80,373 |
| Target Corp. |
94 |
13,343 |
| Walmart, Inc. |
290 |
45,823 |
| |
|
139,539 |
| Electric Utilities — 2.1% | ||
| NextEra Energy, Inc. |
743 |
45,149 |
| PG&E Corp. |
976 |
17,595 |
| Southern Co. (The) |
839 |
58,798 |
| |
|
121,542 |
| Electrical Equipment — 1.2% | ||
| Eaton Corp. plc |
293 |
70,532 |
| Electronic Equipment, Instruments & Components — 0.6% | ||
| Keysight Technologies, Inc. * |
224 |
35,653 |
| Financial Services — 5.0% | ||
| Berkshire Hathaway, Inc., Class B * |
110 |
39,256 |
| FleetCor Technologies, Inc. * |
159 |
45,055 |
| Jack Henry & Associates, Inc. |
201 |
32,799 |
| Mastercard, Inc., Class A |
212 |
90,197 |
| Visa, Inc., Class A (a) |
331 |
86,149 |
| |
|
293,456 |
| Food Products — 2.0% | ||
| Hershey Co. (The) |
209 |
38,926 |
| Mondelez International, Inc., Class A |
1,060 |
76,815 |
| |
|
115,741 |
| Ground Transportation — 2.5% | ||
| CSX Corp. |
1,074 |
37,223 |
| Norfolk Southern Corp. |
173 |
41,030 |
| Old Dominion Freight Line, Inc. |
118 |
47,695 |
| Union Pacific Corp. |
79 |
19,392 |
| |
|
145,340 |
| Health Care Equipment & Supplies — 1.0% | ||
| Becton Dickinson & Co. |
20 |
4,934 |
| Boston Scientific Corp. * |
464 |
26,831 |
| Medtronic plc |
334 |
27,462 |
| |
|
59,227 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Providers & Services — 2.5% | ||
| Centene Corp. * |
175 |
13,011 |
| Elevance Health, Inc. |
60 |
28,295 |
| Humana, Inc. |
59 |
27,150 |
| UnitedHealth Group, Inc. |
151 |
79,376 |
| |
|
147,832 |
| Hotels, Restaurants & Leisure — 3.3% | ||
| Booking Holdings, Inc. * |
10 |
37,342 |
| Chipotle Mexican Grill, Inc. * |
34 |
77,041 |
| Yum! Brands, Inc. |
591 |
77,224 |
| |
|
191,607 |
| Household Products — 3.2% | ||
| Church & Dwight Co., Inc. |
411 |
38,889 |
| Colgate-Palmolive Co. |
458 |
36,473 |
| Kimberly-Clark Corp. |
320 |
38,843 |
| Procter & Gamble Co. (The) |
516 |
75,623 |
| |
|
189,828 |
| Industrial Conglomerates — 1.3% | ||
| Honeywell International, Inc. |
365 |
76,531 |
| Industrial REITs — 1.0% | ||
| Prologis, Inc. |
445 |
59,342 |
| Insurance — 3.5% | ||
| Chubb Ltd. |
148 |
33,334 |
| Globe Life, Inc. |
67 |
8,144 |
| Progressive Corp. (The) |
570 |
90,823 |
| Travelers Cos., Inc. (The) |
378 |
72,057 |
| |
|
204,358 |
| Interactive Media & Services — 2.6% | ||
| Alphabet, Inc., Class A * |
508 |
70,977 |
| Meta Platforms, Inc., Class A * |
225 |
79,532 |
| |
|
150,509 |
| IT Services — 2.6% | ||
| Accenture plc, Class A |
255 |
89,396 |
| Cognizant Technology Solutions Corp., Class A |
718 |
54,208 |
| VeriSign, Inc. * |
49 |
10,214 |
| |
|
153,818 |
| Life Sciences Tools & Services — 1.1% | ||
| Danaher Corp. |
116 |
26,978 |
| Thermo Fisher Scientific, Inc. |
76 |
40,168 |
| |
|
67,146 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Machinery — 2.2% | ||
| Deere & Co. |
100 |
40,130 |
| Dover Corp. |
297 |
45,606 |
| Otis Worldwide Corp. |
507 |
45,356 |
| |
|
131,092 |
| Media — 1.6% | ||
| Charter Communications, Inc., Class A * |
38 |
14,684 |
| Comcast Corp., Class A |
1,792 |
78,592 |
| |
|
93,276 |
| Multi-Utilities — 2.0% | ||
| Ameren Corp. |
219 |
15,857 |
| CMS Energy Corp. |
401 |
23,277 |
| Dominion Energy, Inc. |
128 |
6,014 |
| Public Service Enterprise Group, Inc. |
1,205 |
73,664 |
| |
|
118,812 |
| Oil, Gas & Consumable Fuels — 2.5% | ||
| ConocoPhillips |
435 |
50,545 |
| EOG Resources, Inc. |
311 |
37,660 |
| Exxon Mobil Corp. |
578 |
57,758 |
| |
|
145,963 |
| Personal Care Products — 0.2% | ||
| Kenvue, Inc. |
448 |
9,640 |
| Pharmaceuticals — 3.2% | ||
| Bristol-Myers Squibb Co. |
1,210 |
62,098 |
| Eli Lilly & Co. |
117 |
67,841 |
| Johnson & Johnson |
161 |
25,282 |
| Merck & Co., Inc. |
290 |
31,599 |
| |
|
186,820 |
| Residential REITs — 0.2% | ||
| Equity Residential |
59 |
3,634 |
| UDR, Inc. |
205 |
7,847 |
| |
|
11,481 |
| Semiconductors & Semiconductor Equipment — 4.3% | ||
| Analog Devices, Inc. |
324 |
64,333 |
| ASML Holding NV (Registered), NYRS (Netherlands) |
51 |
38,070 |
| NXP Semiconductors NV (China) |
346 |
79,520 |
| Texas Instruments, Inc. |
408 |
69,584 |
| |
|
251,507 |
| Software — 6.7% | ||
| Adobe, Inc. * |
148 |
88,344 |
| Autodesk, Inc. * |
22 |
5,383 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
63 |
JPMorgan Equity Premium
Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Software — continued | ||
| Cadence Design Systems, Inc. * |
106 |
28,832 |
| Intuit, Inc. |
153 |
95,771 |
| Microsoft Corp. |
258 |
97,161 |
| ServiceNow, Inc. * |
71 |
49,912 |
| Synopsys, Inc. * |
51 |
26,018 |
| |
|
391,421 |
| Specialized REITs — 1.9% | ||
| American Tower Corp. |
37 |
8,105 |
| Equinix, Inc. |
63 |
50,493 |
| SBA Communications Corp. |
214 |
54,362 |
| |
|
112,960 |
| Specialty Retail — 2.6% | ||
| AutoZone, Inc. * |
13 |
32,664 |
| Best Buy Co., Inc. |
125 |
9,779 |
| Burlington Stores, Inc. * |
19 |
3,640 |
| Lowe's Cos., Inc. |
310 |
69,034 |
| O'Reilly Automotive, Inc. * |
5 |
4,890 |
| TJX Cos., Inc. (The) |
341 |
32,018 |
| |
|
152,025 |
| Technology Hardware, Storage & Peripherals — 0.3% | ||
| Apple, Inc. |
56 |
10,719 |
| Seagate Technology Holdings plc |
92 |
7,889 |
| |
|
18,608 |
| Tobacco — 0.4% | ||
| Altria Group, Inc. |
185 |
7,483 |
| Philip Morris International, Inc. |
152 |
14,262 |
| |
|
21,745 |
| Trading Companies & Distributors — 0.1% | ||
| WW Grainger, Inc. |
6 |
5,040 |
| Total Common Stocks
(Cost $4,246,100) |
|
5,011,562 |
| |
PRINCIPAL AMOUNT ($000) |
|
| Equity-Linked Notes — 13.6% | ||
| BNP Paribas, ELN, 40.46%, 1/9/2024, (linked to S&P 500 Index) (b) |
12 |
49,591 |
| BNP Paribas, ELN, 41.73%, 1/26/2024, (linked to
S&P 500 Index) (b) |
12 |
56,360 |
| BNP Paribas, ELN, 42.35%, 1/17/2024, (linked to S&P 500 Index) (b) |
12 |
50,590 |
| INVESTMENTS |
PRINCIPAL AMOUNT ($000) |
VALUE ($000) |
| | ||
| BNP Paribas, ELN, 43.63%, 2/2/2024, (linked to S&P
500 Index) (b) |
12 |
57,456 |
| BofA Finance LLC, ELN, 43.80%, 1/12/2024, (linked to S&P 500 Index) (b) |
12 |
49,595 |
| Canadian Imperial Bank of Commerce, ELN, 42.13%,
2/5/2024, (linked to S&P 500 Index) (Canada) (b) |
12 |
57,283 |
| Goldman Sachs & Co. LLC, ELN, 43.53%, 1/16/2024, (linked to S&P 500 Index) (b) |
12 |
49,557 |
| Goldman Sachs & Co. LLC, ELN, 46.45%, 1/30/2024,
(linked to S&P 500 Index) (b) |
11 |
55,527 |
| Royal Bank of Canada, ELN, 47.51%,1/29/2024, (linked to S&P 500 Index) (Canada) (b) |
12 |
56,533 |
| Societe Generale, ELN, 38.15%, 1/5/2024, (linked to
S&P 500 Index) (France) (b) |
12 |
48,428 |
| Societe Generale, ELN, 38.94%, 1/19/2024, (linked to S&P 500 Index) (b) |
12 |
52,256 |
| Societe Generale, ELN, 40.12%, 1/8/2024, (linked to
S&P 500 Index) (France) (b) |
12 |
48,281 |
| The Bank of Nova Scotia, ELN, 42.11%, 2/6/2024, (linked to S&P 500 Index) (Canada) (b) |
12 |
57,186 |
| UBS Securities LLC, ELN, 37.72%, 1/22/2024,
(linked to S&P 500 Index) (Switzerland) (b) |
12 |
54,533 |
| UBS Securities LLC, ELN, 38.46%, 1/23/2024, (linked to S&P 500 Index) (Switzerland) (b) |
12 |
55,711 |
| Total Equity-Linked Notes
(Cost $834,981) |
|
798,887 |
| |
SHARES (000) |
|
| Short-Term Investments — 1.2% | ||
| Investment of Cash Collateral from Securities Loaned — 1.2% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (c) (d) |
61,981 |
62,006 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (c) (d) |
8,336 |
8,336 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $70,337) |
|
70,342 |
| Total Investments — 100.2% (Cost $5,151,418) |
|
5,880,791 |
| Liabilities in Excess of Other Assets —
(0.2)% |
|
(13,495
) |
| NET ASSETS — 100.0% |
|
5,867,296 |
| Percentages indicated are based on net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| Abbreviations |
|
| ELN |
Equity-Linked Note |
| NYRS |
New
York Registry Shares |
| REIT |
Real
Estate Investment Trust |
| ^ |
Amount rounds to less than 0.1% of net assets. | |
| * |
Non-income producing security. |
|
| (a) |
The security or a portion of this security is on loan at December 31, 2023. The total value of securities on loan at December 31, 2023 is $68,920. |
|
| (b) |
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
|
| (c) |
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
|
| (d) |
The rate shown is the current yield as of December 31, 2023. |
|
Futures contracts outstanding as of December 31, 2023 (amounts in thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
20 |
03/15/2024 |
USD |
4,819 |
(16 ) |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
65 |
JPMorgan Hedged Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 98.5% | ||
| Aerospace & Defense — 1.4% | ||
| Howmet Aerospace, Inc. |
1,014 |
54,882 |
| RTX Corp. |
1,323 |
111,274 |
| Textron, Inc. |
819 |
65,872 |
| |
|
232,028 |
| Air Freight & Logistics — 1.1% | ||
| FedEx Corp. |
194 |
49,080 |
| United Parcel Service, Inc., Class B |
839 |
131,980 |
| |
|
181,060 |
| Automobile Components — 0.2% | ||
| Aptiv plc * |
370 |
33,199 |
| BorgWarner, Inc. |
94 |
3,385 |
| |
|
36,584 |
| Automobiles — 1.5% | ||
| Tesla, Inc. * (a) |
1,045 |
259,745 |
| Banks — 3.3% | ||
| Bank of America Corp. |
5,798 |
195,208 |
| Fifth Third Bancorp |
1,451 |
50,059 |
| Truist Financial Corp. |
2,416 |
89,189 |
| US Bancorp |
2,165 |
93,688 |
| Wells Fargo & Co. (a) |
2,784 |
137,039 |
| |
|
565,183 |
| Beverages — 2.0% | ||
| Coca-Cola Co. (The) (a) |
2,626 |
154,736 |
| Constellation Brands, Inc., Class A |
59 |
14,256 |
| Monster Beverage Corp. * |
365 |
21,058 |
| PepsiCo, Inc. (a) |
860 |
146,091 |
| |
|
336,141 |
| Biotechnology — 2.9% | ||
| AbbVie, Inc. (a) |
1,314 |
203,694 |
| Biogen, Inc. * (a) |
203 |
52,617 |
| BioMarin Pharmaceutical, Inc. * |
161 |
15,528 |
| Neurocrine Biosciences, Inc. * |
89 |
11,709 |
| Regeneron Pharmaceuticals, Inc. * |
117 |
102,315 |
| Sarepta Therapeutics, Inc. * |
62 |
5,981 |
| Vertex Pharmaceuticals, Inc. * |
257 |
104,644 |
| |
|
496,488 |
| Broadline Retail — 4.0% | ||
| Amazon.com, Inc. * (a) |
4,440 |
674,622 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Building Products — 1.0% | ||
| Masco Corp. |
644 |
43,123 |
| Trane Technologies plc |
504 |
123,007 |
| |
|
166,130 |
| Capital Markets — 2.7% | ||
| Blackstone, Inc. |
123 |
16,036 |
| Charles Schwab Corp. (The) |
1,045 |
71,887 |
| CME Group, Inc. |
300 |
63,189 |
| Goldman Sachs Group, Inc. (The) |
160 |
61,764 |
| Intercontinental Exchange, Inc. |
703 |
90,341 |
| Morgan Stanley |
1,018 |
94,917 |
| S&P Global, Inc. |
149 |
65,520 |
| |
|
463,654 |
| Chemicals — 2.1% | ||
| Air Products and Chemicals, Inc. |
164 |
44,788 |
| Dow, Inc. |
1,422 |
77,991 |
| Eastman Chemical Co. |
479 |
43,039 |
| Linde plc |
290 |
119,197 |
| LyondellBasell Industries NV, Class A |
412 |
39,182 |
| PPG Industries, Inc. |
227 |
33,905 |
| |
|
358,102 |
| Commercial Services & Supplies — 0.1% | ||
| Cintas Corp. (a) |
29 |
17,642 |
| Communications Equipment — 0.2% | ||
| Motorola Solutions, Inc. |
95 |
29,834 |
| Consumer Finance — 0.1% | ||
| American Express Co. |
74 |
13,833 |
| Consumer Staples Distribution & Retail — 2.1% | ||
| Costco Wholesale Corp. (a) |
246 |
162,334 |
| Dollar Tree, Inc. * |
152 |
21,661 |
| Target Corp. |
533 |
75,873 |
| Walmart, Inc. |
565 |
89,083 |
| |
|
348,951 |
| Distributors — 0.1% | ||
| LKQ Corp. |
291 |
13,885 |
| Electric Utilities — 1.9% | ||
| Constellation Energy Corp. |
186 |
21,697 |
| NextEra Energy, Inc. (a) |
1,649 |
100,189 |
| PG&E Corp. |
5,304 |
95,627 |
| Southern Co. (The) |
1,551 |
108,742 |
| |
|
326,255 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Electrical Equipment — 0.6% | ||
| Eaton Corp. plc |
450 |
108,360 |
| Electronic Equipment, Instruments & Components — 0.3% | ||
| Corning, Inc. |
525 |
15,981 |
| Keysight Technologies, Inc. * |
275 |
43,708 |
| |
|
59,689 |
| Energy Equipment & Services — 0.1% | ||
| Baker Hughes Co. |
601 |
20,558 |
| Entertainment — 0.6% | ||
| Netflix, Inc. * (a) |
165 |
80,404 |
| Warner Bros Discovery, Inc. * |
1,158 |
13,173 |
| |
|
93,577 |
| Financial Services — 4.7% | ||
| Berkshire Hathaway, Inc., Class B * (a) |
624 |
222,504 |
| Block, Inc. * |
110 |
8,531 |
| Fiserv, Inc. * |
184 |
24,447 |
| FleetCor Technologies, Inc. * |
229 |
64,773 |
| Mastercard, Inc., Class A (a) |
619 |
263,727 |
| Visa, Inc., Class A (a) |
791 |
206,003 |
| |
|
789,985 |
| Food Products — 0.7% | ||
| Mondelez International, Inc., Class A (a) |
1,716 |
124,292 |
| Ground Transportation — 1.1% | ||
| CSX Corp. |
988 |
34,247 |
| Norfolk Southern Corp. (a) |
185 |
43,701 |
| Uber Technologies, Inc. * |
1,014 |
62,433 |
| Union Pacific Corp. |
198 |
48,821 |
| |
|
189,202 |
| Health Care Equipment & Supplies — 2.3% | ||
| Baxter International, Inc. |
650 |
25,141 |
| Becton Dickinson & Co. |
118 |
28,661 |
| Boston Scientific Corp. * (a) |
2,072 |
119,756 |
| Dexcom, Inc. * |
160 |
19,917 |
| Intuitive Surgical, Inc. * |
100 |
33,840 |
| Medtronic plc (a) |
1,099 |
90,569 |
| Stryker Corp. |
262 |
78,363 |
| |
|
396,247 |
| Health Care Providers & Services — 2.8% | ||
| Centene Corp. * (a) |
669 |
49,667 |
| CVS Health Corp. |
310 |
24,474 |
| Elevance Health, Inc. |
156 |
73,505 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Health Care Providers & Services — continued | ||
| Humana, Inc. |
85 |
38,856 |
| McKesson Corp. |
55 |
25,330 |
| UnitedHealth Group, Inc. (a) |
501 |
263,974 |
| |
|
475,806 |
| Health Care REITs — 0.5% | ||
| Ventas, Inc. |
1,161 |
57,851 |
| Welltower, Inc. |
222 |
20,027 |
| |
|
77,878 |
| Hotels, Restaurants & Leisure — 2.7% | ||
| Booking Holdings, Inc. * (a) |
34 |
119,953 |
| Chipotle Mexican Grill, Inc. * |
43 |
98,001 |
| Expedia Group, Inc. * |
460 |
69,812 |
| Marriott International, Inc., Class A |
217 |
48,983 |
| Royal Caribbean Cruises Ltd. * |
396 |
51,315 |
| Yum! Brands, Inc. |
552 |
72,052 |
| |
|
460,116 |
| Household Durables — 0.3% | ||
| Lennar Corp., Class A |
157 |
23,393 |
| Toll Brothers, Inc. |
197 |
20,224 |
| |
|
43,617 |
| Household Products — 0.8% | ||
| Church & Dwight Co., Inc. |
481 |
45,501 |
| Procter & Gamble Co. (The) (a) |
611 |
89,495 |
| |
|
134,996 |
| Industrial Conglomerates — 1.1% | ||
| Honeywell International, Inc. (a) |
856 |
179,512 |
| Industrial REITs — 0.8% | ||
| Prologis, Inc. |
959 |
127,886 |
| Insurance — 2.2% | ||
| Aflac, Inc. |
505 |
41,646 |
| Chubb Ltd. |
239 |
53,969 |
| Globe Life, Inc. |
331 |
40,297 |
| MetLife, Inc. |
551 |
36,467 |
| Progressive Corp. (The) (a) |
631 |
100,536 |
| Travelers Cos., Inc. (The) |
518 |
98,577 |
| |
|
371,492 |
| Interactive Media & Services — 5.8% | ||
| Alphabet, Inc., Class A * (a) |
2,471 |
345,119 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
67 |
JPMorgan Hedged Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Interactive Media & Services — continued | ||
| Alphabet, Inc., Class C * (a) |
1,733 |
244,306 |
| Meta Platforms, Inc., Class A * (a) |
1,111 |
393,310 |
| |
|
982,735 |
| IT Services — 1.3% | ||
| Accenture plc, Class A |
398 |
139,681 |
| Cognizant Technology Solutions Corp., Class A |
1,007 |
76,022 |
| |
|
215,703 |
| Life Sciences Tools & Services — 1.3% | ||
| Danaher Corp. |
457 |
105,629 |
| Thermo Fisher Scientific, Inc. (a) |
211 |
112,010 |
| |
|
217,639 |
| Machinery — 1.7% | ||
| Deere & Co. (a) |
357 |
142,669 |
| Dover Corp. |
250 |
38,477 |
| Ingersoll Rand, Inc. |
177 |
13,678 |
| Otis Worldwide Corp. |
980 |
87,715 |
| |
|
282,539 |
| Media — 1.3% | ||
| Charter Communications, Inc., Class A * (a) |
166 |
64,524 |
| Comcast Corp., Class A (a) |
3,212 |
140,841 |
| Liberty Media Corp-Liberty SiriusXM, Class A * |
300 |
8,615 |
| |
|
213,980 |
| Metals & Mining — 0.2% | ||
| Nucor Corp. |
152 |
26,422 |
| Multi-Utilities — 0.4% | ||
| DTE Energy Co. |
75 |
8,299 |
| Public Service Enterprise Group, Inc. |
1,035 |
63,283 |
| |
|
71,582 |
| Oil, Gas & Consumable Fuels — 3.7% | ||
| Chevron Corp. (a) |
465 |
69,400 |
| ConocoPhillips |
979 |
113,605 |
| Diamondback Energy, Inc. |
444 |
68,881 |
| EOG Resources, Inc. (a) |
937 |
113,320 |
| Exxon Mobil Corp. (a) |
2,575 |
257,475 |
| Marathon Oil Corp. |
477 |
11,509 |
| |
|
634,190 |
| Passenger Airlines — 0.1% | ||
| Delta Air Lines, Inc. |
603 |
24,250 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Personal Care Products — 0.3% | ||
| Kenvue, Inc. |
2,087 |
44,923 |
| Pharmaceuticals — 3.0% | ||
| Bristol-Myers Squibb Co. (a) |
2,327 |
119,413 |
| Eli Lilly & Co. (a) |
304 |
177,225 |
| Johnson & Johnson (a) |
821 |
128,728 |
| Merck & Co., Inc. |
816 |
88,916 |
| |
|
514,282 |
| Professional Services — 0.2% | ||
| Leidos Holdings, Inc. |
357 |
38,685 |
| Residential REITs — 0.4% | ||
| Equity LifeStyle Properties, Inc. |
416 |
29,362 |
| Sun Communities, Inc. |
148 |
19,771 |
| UDR, Inc. |
380 |
14,549 |
| |
|
63,682 |
| Semiconductors & Semiconductor Equipment — 8.7% | ||
| Advanced Micro Devices, Inc. * (a) |
1,004 |
148,034 |
| Analog Devices, Inc. |
656 |
130,272 |
| Broadcom, Inc. |
73 |
81,102 |
| Lam Research Corp. (a) |
204 |
159,780 |
| NVIDIA Corp. (a) |
1,145 |
567,130 |
| NXP Semiconductors NV (China) |
663 |
152,222 |
| Qorvo, Inc. * |
234 |
26,384 |
| Teradyne, Inc. |
363 |
39,372 |
| Texas Instruments, Inc. (a) |
949 |
161,722 |
| |
|
1,466,018 |
| Software — 10.5% | ||
| Adobe, Inc. * (a) |
308 |
184,035 |
| Cadence Design Systems, Inc. * |
115 |
31,315 |
| Intuit, Inc. (a) |
205 |
127,995 |
| Microsoft Corp. (a) |
3,368 |
1,266,423 |
| Oracle Corp. |
502 |
52,871 |
| ServiceNow, Inc. * |
160 |
113,352 |
| |
|
1,775,991 |
| Specialized REITs — 0.7% | ||
| Digital Realty Trust, Inc. |
448 |
60,238 |
| SBA Communications Corp. |
231 |
58,680 |
| |
|
118,918 |
| Specialty Retail — 2.6% | ||
| AutoNation, Inc. * |
178 |
26,694 |
| AutoZone, Inc. * (a) |
36 |
92,906 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Specialty Retail — continued | ||
| Best Buy Co., Inc. (a) |
668 |
52,270 |
| Burlington Stores, Inc. * |
180 |
34,995 |
| Lowe's Cos., Inc. (a) |
730 |
162,553 |
| O'Reilly Automotive, Inc. * |
23 |
21,705 |
| TJX Cos., Inc. (The) |
560 |
52,585 |
| |
|
443,708 |
| Technology Hardware, Storage & Peripherals — 7.2% | ||
| Apple, Inc. (a) |
5,994 |
1,154,064 |
| Seagate Technology Holdings plc |
814 |
69,483 |
| |
|
1,223,547 |
| Tobacco — 0.4% | ||
| Altria Group, Inc. (a) |
441 |
17,769 |
| Philip Morris International, Inc. |
457 |
43,024 |
| |
|
60,793 |
| Trading Companies & Distributors — 0.2% | ||
| United Rentals, Inc. |
53 |
30,436 |
| Wireless Telecommunication Services — 0.2% | ||
| T-Mobile US, Inc. |
171 |
27,483 |
| Total Common Stocks (Cost $10,276,522) |
|
16,650,856 |
| |
NO. OF CONTRACTS |
|
| Options Purchased — 0.8% | ||
| Put Options Purchased — 0.8% | ||
| S&P 500 Index |
|
|
| 3/28/2024 at USD 4,510.00 , European Style |
|
|
| INVESTMENTS |
NO. OF CONTRACTS |
VALUE ($000) |
| | ||
| | ||
| Notional Amount: USD 16,869,935 |
|
|
| Counterparty: Exchange-Traded *
(Cost $141,826) |
35,368 |
138,466 |
| |
SHARES (000) |
|
| Short-Term Investments — 3.8% | ||
| Investment Companies — 3.8% | ||
| JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 5.21% (b) (c)
(Cost $648,540) |
648,540 |
648,540 |
| Total Investments — 103.1% (Cost $11,066,888) |
|
17,437,862 |
| Liabilities in Excess of Other Assets —
(3.1)% |
|
(523,031
) |
| NET ASSETS — 100.0% |
|
16,914,831 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| USD |
United States Dollar |
| * |
Non-income producing security. |
| (a) |
All
or a portion of the security is segregated for options written. |
| (b) |
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc. |
| (c) |
The
rate shown is the current yield as of December 31, 2023. |
Futures contracts outstanding as of December 31, 2023 (amounts in
thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
961 |
03/15/2024 |
USD |
231,541 |
8,354 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
69 |
JPMorgan Hedged Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| Written Call Options Contracts as of December 31, 2023 (amounts in thousands, except number of contracts):
|
||||||
| DESCRIPTION |
COUNTERPARTY |
NUMBER OF
CONTRACTS |
NOTIONAL
AMOUNT |
EXERCISE
PRICE |
EXPIRATION
DATE |
VALUE ($) |
| S&P 500 Index |
Exchange-Traded |
35,368 |
USD 16,869,935 |
USD 5,015.00 |
3/28/2024 |
(121,489 ) |
| Written Put Options Contracts as of December 31, 2023 (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 |
35,368 |
USD 16,869,935 |
USD 3,800.00 |
3/28/2024 |
(22,812 ) |
| Total Written Options Contracts (Premiums Received $142,427) |
(144,301 ) | |||||
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan Hedged Equity 2
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 106.7% | ||
| Aerospace & Defense — 1.5% | ||
| Howmet Aerospace, Inc. |
302 |
16,340 |
| RTX Corp. |
394 |
33,129 |
| Textron, Inc. |
244 |
19,611 |
| |
|
69,080 |
| Air Freight & Logistics — 1.2% | ||
| FedEx Corp. |
58 |
14,608 |
| United Parcel Service, Inc., Class B |
250 |
39,302 |
| |
|
53,910 |
| Automobile Components — 0.2% | ||
| Aptiv plc * |
110 |
9,882 |
| BorgWarner, Inc. |
28 |
1,009 |
| |
|
10,891 |
| Automobiles — 1.7% | ||
| Tesla, Inc. * |
311 |
77,331 |
| Banks — 3.6% | ||
| Bank of America Corp. |
1,726 |
58,118 |
| Fifth Third Bancorp |
432 |
14,904 |
| Truist Financial Corp. |
719 |
26,554 |
| US Bancorp |
645 |
27,893 |
| Wells Fargo & Co. |
829 |
40,797 |
| |
|
168,266 |
| Beverages — 2.1% | ||
| Coca-Cola Co. (The) |
782 |
46,073 |
| Constellation Brands, Inc., Class A |
17 |
4,229 |
| Monster Beverage Corp. * |
109 |
6,268 |
| PepsiCo, Inc. |
256 |
43,453 |
| |
|
100,023 |
| Biotechnology — 3.2% | ||
| AbbVie, Inc. |
391 |
60,644 |
| Biogen, Inc. * |
61 |
15,665 |
| BioMarin Pharmaceutical, Inc. * |
48 |
4,623 |
| Neurocrine Biosciences, Inc. * |
26 |
3,486 |
| Regeneron Pharmaceuticals, Inc. * |
35 |
30,462 |
| Sarepta Therapeutics, Inc. * |
18 |
1,781 |
| Vertex Pharmaceuticals, Inc. * |
77 |
31,157 |
| |
|
147,818 |
| Broadline Retail — 4.3% | ||
| Amazon.com, Inc. * (a) |
1,322 |
200,847 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Building Products — 1.1% | ||
| Masco Corp. |
192 |
12,839 |
| Trane Technologies plc |
150 |
36,621 |
| |
|
49,460 |
| Capital Markets — 3.0% | ||
| Blackstone, Inc. |
37 |
4,774 |
| Charles Schwab Corp. (The) |
311 |
21,402 |
| CME Group, Inc. |
89 |
18,819 |
| Goldman Sachs Group, Inc. (The) |
48 |
18,372 |
| Intercontinental Exchange, Inc. |
209 |
26,893 |
| Morgan Stanley |
303 |
28,257 |
| S&P Global, Inc. |
44 |
19,510 |
| |
|
138,027 |
| Chemicals — 2.3% | ||
| Air Products and Chemicals, Inc. |
49 |
13,334 |
| Dow, Inc. |
423 |
23,220 |
| Eastman Chemical Co. |
143 |
12,814 |
| Linde plc |
86 |
35,487 |
| LyondellBasell Industries NV, Class A |
123 |
11,665 |
| PPG Industries, Inc. |
67 |
10,094 |
| |
|
106,614 |
| Commercial Services & Supplies — 0.1% | ||
| Cintas Corp. |
9 |
5,223 |
| Communications Equipment — 0.2% | ||
| Motorola Solutions, Inc. |
28 |
8,882 |
| Consumer Finance — 0.1% | ||
| American Express Co. |
22 |
4,118 |
| Consumer Staples Distribution & Retail — 2.2% | ||
| Costco Wholesale Corp. |
73 |
48,363 |
| Dollar Tree, Inc. * |
45 |
6,444 |
| Target Corp. |
159 |
22,583 |
| Walmart, Inc. |
168 |
26,517 |
| |
|
103,907 |
| Distributors — 0.1% | ||
| LKQ Corp. |
86 |
4,134 |
| Electric Utilities — 2.1% | ||
| Constellation Energy Corp. |
55 |
6,457 |
| NextEra Energy, Inc. |
491 |
29,830 |
| PG&E Corp. |
1,579 |
28,470 |
| Southern Co. (The) |
462 |
32,373 |
| |
|
97,130 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
71 |
JPMorgan Hedged Equity 2
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Electrical Equipment — 0.7% | ||
| Eaton Corp. plc |
134 |
32,261 |
| Electronic Equipment, Instruments & Components — 0.4% | ||
| Corning, Inc. |
156 |
4,758 |
| Keysight Technologies, Inc. * |
83 |
13,196 |
| |
|
17,954 |
| Energy Equipment & Services — 0.1% | ||
| Baker Hughes Co. |
179 |
6,121 |
| Entertainment — 0.6% | ||
| Netflix, Inc. * |
49 |
23,954 |
| Warner Bros Discovery, Inc. * |
345 |
3,922 |
| |
|
27,876 |
| Financial Services — 5.1% | ||
| Berkshire Hathaway, Inc., Class B * (a) |
186 |
66,250 |
| Block, Inc. * |
33 |
2,539 |
| Fiserv, Inc. * |
55 |
7,280 |
| FleetCor Technologies, Inc. * |
68 |
19,284 |
| Mastercard, Inc., Class A (a) |
184 |
78,517 |
| Visa, Inc., Class A (a) |
235 |
61,261 |
| |
|
235,131 |
| Food Products — 0.8% | ||
| Mondelez International, Inc., Class A |
511 |
37,004 |
| Ground Transportation — 1.2% | ||
| CSX Corp. |
294 |
10,196 |
| Norfolk Southern Corp. |
55 |
13,011 |
| Uber Technologies, Inc. * |
302 |
18,588 |
| Union Pacific Corp. |
59 |
14,535 |
| |
|
56,330 |
| Health Care Equipment & Supplies — 2.5% | ||
| Baxter International, Inc. |
194 |
7,485 |
| Becton Dickinson & Co. |
35 |
8,533 |
| Boston Scientific Corp. * |
617 |
35,654 |
| Dexcom, Inc. * |
48 |
5,930 |
| Intuitive Surgical, Inc. * |
30 |
10,159 |
| Medtronic plc |
327 |
26,964 |
| Stryker Corp. |
78 |
23,337 |
| |
|
118,062 |
| Health Care Providers & Services — 3.0% | ||
| Centene Corp. * |
199 |
14,785 |
| CVS Health Corp. |
92 |
7,286 |
| Elevance Health, Inc. |
47 |
21,884 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Health Care Providers & Services — continued | ||
| Humana, Inc. |
25 |
11,568 |
| McKesson Corp. |
17 |
7,556 |
| UnitedHealth Group, Inc. (a) |
149 |
78,603 |
| |
|
141,682 |
| Health Care REITs — 0.5% | ||
| Ventas, Inc. |
346 |
17,223 |
| Welltower, Inc. |
66 |
5,963 |
| |
|
23,186 |
| Hotels, Restaurants & Leisure — 2.9% | ||
| Booking Holdings, Inc. * |
10 |
35,809 |
| Chipotle Mexican Grill, Inc. * |
13 |
29,177 |
| Expedia Group, Inc. * |
136 |
20,670 |
| Marriott International, Inc., Class A |
65 |
14,587 |
| Royal Caribbean Cruises Ltd. * |
118 |
15,276 |
| Yum! Brands, Inc. |
164 |
21,450 |
| |
|
136,969 |
| Household Durables — 0.3% | ||
| Lennar Corp., Class A |
47 |
6,965 |
| Toll Brothers, Inc. |
58 |
6,020 |
| |
|
12,985 |
| Household Products — 0.9% | ||
| Church & Dwight Co., Inc. |
143 |
13,547 |
| Procter & Gamble Co. (The) |
182 |
26,644 |
| |
|
40,191 |
| Industrial Conglomerates — 1.1% | ||
| Honeywell International, Inc. |
255 |
53,445 |
| Industrial REITs — 0.8% | ||
| Prologis, Inc. |
286 |
38,074 |
| Insurance — 2.4% | ||
| Aflac, Inc. |
150 |
12,399 |
| Chubb Ltd. |
71 |
16,068 |
| Globe Life, Inc. |
99 |
11,990 |
| MetLife, Inc. |
164 |
10,859 |
| Progressive Corp. (The) |
188 |
29,932 |
| Travelers Cos., Inc. (The) |
154 |
29,348 |
| |
|
110,596 |
| Interactive Media & Services — 6.3% | ||
| Alphabet, Inc., Class A * (a) |
736 |
102,749 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Interactive Media & Services — continued | ||
| Alphabet, Inc., Class C * (a) |
516 |
72,736 |
| Meta Platforms, Inc., Class A * (a) |
331 |
117,102 |
| |
|
292,587 |
| IT Services — 1.4% | ||
| Accenture plc, Class A |
118 |
41,583 |
| Cognizant Technology Solutions Corp., Class A |
300 |
22,633 |
| |
|
64,216 |
| Life Sciences Tools & Services — 1.4% | ||
| Danaher Corp. |
136 |
31,448 |
| Thermo Fisher Scientific, Inc. |
63 |
33,347 |
| |
|
64,795 |
| Machinery — 1.8% | ||
| Deere & Co. |
106 |
42,475 |
| Dover Corp. |
74 |
11,456 |
| Ingersoll Rand, Inc. |
53 |
4,070 |
| Otis Worldwide Corp. |
292 |
26,114 |
| |
|
84,115 |
| Media — 1.4% | ||
| Charter Communications, Inc., Class A * |
50 |
19,210 |
| Comcast Corp., Class A |
956 |
41,931 |
| Liberty Media Corp-Liberty SiriusXM, Class A * |
89 |
2,564 |
| |
|
63,705 |
| Metals & Mining — 0.2% | ||
| Nucor Corp. |
45 |
7,866 |
| Multi-Utilities — 0.5% | ||
| DTE Energy Co. |
23 |
2,474 |
| Public Service Enterprise Group, Inc. |
308 |
18,841 |
| |
|
21,315 |
| Oil, Gas & Consumable Fuels — 4.1% | ||
| Chevron Corp. |
139 |
20,662 |
| ConocoPhillips |
291 |
33,823 |
| Diamondback Energy, Inc. |
132 |
20,507 |
| EOG Resources, Inc. |
279 |
33,740 |
| Exxon Mobil Corp. (a) |
767 |
76,654 |
| Marathon Oil Corp. |
142 |
3,426 |
| |
|
188,812 |
| Passenger Airlines — 0.1% | ||
| Delta Air Lines, Inc. |
179 |
7,220 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Personal Care Products — 0.3% | ||
| Kenvue, Inc. |
600 |
12,927 |
| Pharmaceuticals — 3.3% | ||
| Bristol-Myers Squibb Co. |
693 |
35,550 |
| Eli Lilly & Co. |
90 |
52,748 |
| Johnson & Johnson |
245 |
38,325 |
| Merck & Co., Inc. |
243 |
26,472 |
| |
|
153,095 |
| Professional Services — 0.2% | ||
| Leidos Holdings, Inc. |
106 |
11,517 |
| Residential REITs — 0.4% | ||
| Equity LifeStyle Properties, Inc. |
124 |
8,741 |
| Sun Communities, Inc. |
44 |
5,883 |
| UDR, Inc. |
113 |
4,331 |
| |
|
18,955 |
| Semiconductors & Semiconductor Equipment — 9.4% | ||
| Advanced Micro Devices, Inc. * |
299 |
44,073 |
| Analog Devices, Inc. |
195 |
38,784 |
| Broadcom, Inc. |
22 |
24,112 |
| Lam Research Corp. |
61 |
47,570 |
| NVIDIA Corp. (a) |
341 |
168,846 |
| NXP Semiconductors NV (China) |
197 |
45,324 |
| Qorvo, Inc. * |
70 |
7,854 |
| Teradyne, Inc. |
108 |
11,722 |
| Texas Instruments, Inc. |
282 |
48,148 |
| |
|
436,433 |
| Software — 11.4% | ||
| Adobe, Inc. * |
92 |
54,791 |
| Cadence Design Systems, Inc. * |
34 |
9,321 |
| Intuit, Inc. |
61 |
38,107 |
| Microsoft Corp. (a) |
1,003 |
377,040 |
| Oracle Corp. |
149 |
15,739 |
| ServiceNow, Inc. * |
48 |
33,748 |
| |
|
528,746 |
| Specialized REITs — 0.8% | ||
| Digital Realty Trust, Inc. |
133 |
17,930 |
| SBA Communications Corp. |
69 |
17,471 |
| |
|
35,401 |
| Specialty Retail — 2.8% | ||
| AutoNation, Inc. * |
53 |
7,948 |
| AutoZone, Inc. * |
11 |
27,586 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
73 |
JPMorgan Hedged Equity 2
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Specialty Retail — continued | ||
| Best Buy Co., Inc. |
199 |
15,566 |
| Burlington Stores, Inc. * |
53 |
10,419 |
| Lowe's Cos., Inc. |
217 |
48,395 |
| O'Reilly Automotive, Inc. * |
7 |
6,462 |
| TJX Cos., Inc. (The) |
167 |
15,656 |
| |
|
132,032 |
| Technology Hardware, Storage & Peripherals — 7.8% | ||
| Apple, Inc. (a) |
1,785 |
343,584 |
| Seagate Technology Holdings plc |
242 |
20,687 |
| |
|
364,271 |
| Tobacco — 0.4% | ||
| Altria Group, Inc. |
131 |
5,290 |
| Philip Morris International, Inc. |
136 |
12,809 |
| |
|
18,099 |
| Trading Companies & Distributors — 0.2% | ||
| United Rentals, Inc. |
16 |
9,061 |
| Wireless Telecommunication Services — 0.2% | ||
| T-Mobile US, Inc. |
51 |
8,174 |
| Total Common Stocks (Cost $3,990,020) |
|
4,956,870 |
| |
NO. OF CONTRACTS |
|
| Options Purchased — 0.0% ^ | ||
| Put Options Purchased — 0.0% ^ | ||
| S&P 500 Index |
|
|
| 1/31/2024 at USD 3,965.00 , European Style |
|
|
| Notional Amount: USD 5,038,848 |
|
|
| INVESTMENTS |
NO. OF CONTRACTS |
VALUE ($000) |
| | ||
| | ||
| Counterparty: Exchange-Traded *
(Cost $62,967) |
10,564 |
1,479 |
| |
SHARES (000) |
|
| Short-Term Investments — 1.7% | ||
| Investment Companies — 1.7% | ||
| JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.30% (b) (c)
(Cost $78,904) |
78,904 |
78,904 |
| Total Investments — 108.4% (Cost $4,131,891) |
|
5,037,253 |
| Liabilities in Excess of Other Assets —
(8.4)% |
|
(389,325
) |
| NET ASSETS — 100.0% |
|
4,647,928 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| USD |
United States Dollar |
| ^ |
Amount rounds to less than 0.1% of net assets. | |
| * |
Non-income producing security. |
|
| (a) |
All or a portion of the security is segregated for options written. |
|
| (b) |
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
|
| (c) |
The rate shown is the current yield as of December 31, 2023. |
|
Futures contracts outstanding as of December 31, 2023 (amounts in thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
341 |
03/15/2024 |
USD |
82,160 |
2,850 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| Written Call Options Contracts as of December 31, 2023 (amounts in thousands, except number of contracts):
|
||||||
| DESCRIPTION |
COUNTERPARTY |
NUMBER OF
CONTRACTS |
NOTIONAL
AMOUNT |
EXERCISE
PRICE |
EXPIRATION
DATE |
VALUE ($) |
| S&P 500 Index |
Exchange-Traded |
10,564 |
USD 5,038,848 |
USD 4,425.00 |
1/31/2024 |
(394,460 ) |
| Written Put Options Contracts as of December 31, 2023 (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 |
10,564 |
USD 5,038,848 |
USD 3,340.00 |
1/31/2024 |
(422 ) |
| Total Written Options Contracts (Premiums Received $62,039) |
(394,882 ) | |||||
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
75 |
JPMorgan Hedged Equity 3
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 101.4% | ||
| Aerospace & Defense — 1.4% | ||
| Howmet Aerospace, Inc. |
177 |
9,573 |
| RTX Corp. |
230 |
19,409 |
| Textron, Inc. |
143 |
11,489 |
| |
|
40,471 |
| Air Freight & Logistics — 1.1% | ||
| FedEx Corp. |
34 |
8,558 |
| United Parcel Service, Inc., Class B |
146 |
23,025 |
| |
|
31,583 |
| Automobile Components — 0.2% | ||
| Aptiv plc * |
65 |
5,789 |
| BorgWarner, Inc. |
16 |
591 |
| |
|
6,380 |
| Automobiles — 1.6% | ||
| Tesla, Inc. * |
182 |
45,305 |
| Banks — 3.4% | ||
| Bank of America Corp. |
1,011 |
34,049 |
| Fifth Third Bancorp |
253 |
8,731 |
| Truist Financial Corp. |
421 |
15,557 |
| US Bancorp |
378 |
16,342 |
| Wells Fargo & Co. |
486 |
23,901 |
| |
|
98,580 |
| Beverages — 2.0% | ||
| Coca-Cola Co. (The) |
458 |
26,991 |
| Constellation Brands, Inc., Class A |
10 |
2,487 |
| Monster Beverage Corp. * |
64 |
3,672 |
| PepsiCo, Inc. |
150 |
25,482 |
| |
|
58,632 |
| Biotechnology — 3.0% | ||
| AbbVie, Inc. |
229 |
35,529 |
| Biogen, Inc. * |
35 |
9,178 |
| BioMarin Pharmaceutical, Inc. * |
28 |
2,708 |
| Neurocrine Biosciences, Inc. * |
16 |
2,042 |
| Regeneron Pharmaceuticals, Inc. * |
20 |
17,847 |
| Sarepta Therapeutics, Inc. * |
11 |
1,043 |
| Vertex Pharmaceuticals, Inc. * |
45 |
18,254 |
| |
|
86,601 |
| Broadline Retail — 4.1% | ||
| Amazon.com, Inc. * (a) |
775 |
117,669 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Building Products — 1.0% | ||
| Masco Corp. |
112 |
7,521 |
| Trane Technologies plc |
88 |
21,455 |
| |
|
28,976 |
| Capital Markets — 2.8% | ||
| Blackstone, Inc. |
21 |
2,797 |
| Charles Schwab Corp. (The) |
182 |
12,539 |
| CME Group, Inc. |
52 |
11,024 |
| Goldman Sachs Group, Inc. (The) |
28 |
10,765 |
| Intercontinental Exchange, Inc. |
123 |
15,758 |
| Morgan Stanley |
178 |
16,555 |
| S&P Global, Inc. |
26 |
11,430 |
| |
|
80,868 |
| Chemicals — 2.2% | ||
| Air Products and Chemicals, Inc. |
28 |
7,812 |
| Dow, Inc. |
248 |
13,603 |
| Eastman Chemical Co. |
84 |
7,507 |
| Linde plc |
51 |
20,791 |
| LyondellBasell Industries NV, Class A |
72 |
6,834 |
| PPG Industries, Inc. |
39 |
5,914 |
| |
|
62,461 |
| Commercial Services & Supplies — 0.1% | ||
| Cintas Corp. |
5 |
3,046 |
| Communications Equipment — 0.2% | ||
| Motorola Solutions, Inc. |
17 |
5,204 |
| Consumer Finance — 0.1% | ||
| American Express Co. |
13 |
2,413 |
| Consumer Staples Distribution & Retail — 2.1% | ||
| Costco Wholesale Corp. |
43 |
28,333 |
| Dollar Tree, Inc. * |
27 |
3,775 |
| Target Corp. |
93 |
13,231 |
| Walmart, Inc. |
98 |
15,535 |
| |
|
60,874 |
| Distributors — 0.1% | ||
| LKQ Corp. |
51 |
2,422 |
| Electric Utilities — 2.0% | ||
| Constellation Energy Corp. |
32 |
3,783 |
| NextEra Energy, Inc. |
288 |
17,476 |
| PG&E Corp. |
925 |
16,679 |
| Southern Co. (The) |
271 |
18,968 |
| |
|
56,906 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Electrical Equipment — 0.7% | ||
| Eaton Corp. plc |
79 |
18,903 |
| Electronic Equipment, Instruments & Components — 0.4% | ||
| Corning, Inc. |
92 |
2,787 |
| Keysight Technologies, Inc. * |
48 |
7,626 |
| |
|
10,413 |
| Energy Equipment & Services — 0.1% | ||
| Baker Hughes Co. |
105 |
3,586 |
| Entertainment — 0.6% | ||
| Netflix, Inc. * |
29 |
14,034 |
| Warner Bros Discovery, Inc. * |
202 |
2,298 |
| |
|
16,332 |
| Financial Services — 4.8% | ||
| Berkshire Hathaway, Inc., Class B * |
109 |
38,813 |
| Block, Inc. * |
19 |
1,488 |
| Fiserv, Inc. * |
32 |
4,265 |
| FleetCor Technologies, Inc. * |
40 |
11,298 |
| Mastercard, Inc., Class A |
108 |
45,999 |
| Visa, Inc., Class A |
138 |
35,930 |
| |
|
137,793 |
| Food Products — 0.8% | ||
| Mondelez International, Inc., Class A |
299 |
21,679 |
| Ground Transportation — 1.1% | ||
| CSX Corp. |
172 |
5,973 |
| Norfolk Southern Corp. |
32 |
7,622 |
| Uber Technologies, Inc. * |
177 |
10,890 |
| Union Pacific Corp. |
35 |
8,516 |
| |
|
33,001 |
| Health Care Equipment & Supplies — 2.4% | ||
| Baxter International, Inc. |
113 |
4,385 |
| Becton Dickinson & Co. |
20 |
4,999 |
| Boston Scientific Corp. * |
361 |
20,889 |
| Dexcom, Inc. * |
28 |
3,474 |
| Intuitive Surgical, Inc. * |
18 |
5,945 |
| Medtronic plc |
192 |
15,797 |
| Stryker Corp. |
46 |
13,673 |
| |
|
69,162 |
| Health Care Providers & Services — 2.9% | ||
| Centene Corp. * |
117 |
8,662 |
| CVS Health Corp. |
54 |
4,269 |
| Elevance Health, Inc. |
27 |
12,821 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Health Care Providers & Services — continued | ||
| Humana, Inc. |
15 |
6,778 |
| McKesson Corp. |
10 |
4,427 |
| UnitedHealth Group, Inc. |
87 |
46,050 |
| |
|
83,007 |
| Health Care REITs — 0.5% | ||
| Ventas, Inc. |
202 |
10,090 |
| Welltower, Inc. |
39 |
3,494 |
| |
|
13,584 |
| Hotels, Restaurants & Leisure — 2.8% | ||
| Booking Holdings, Inc. * |
6 |
20,975 |
| Chipotle Mexican Grill, Inc. * |
8 |
17,093 |
| Expedia Group, Inc. * |
80 |
12,175 |
| Marriott International, Inc., Class A |
38 |
8,549 |
| Royal Caribbean Cruises Ltd. * |
69 |
8,949 |
| Yum! Brands, Inc. |
96 |
12,567 |
| |
|
80,308 |
| Household Durables — 0.3% | ||
| Lennar Corp., Class A |
28 |
4,080 |
| Toll Brothers, Inc. |
34 |
3,527 |
| |
|
7,607 |
| Household Products — 0.8% | ||
| Church & Dwight Co., Inc. |
84 |
7,936 |
| Procter & Gamble Co. (The) |
107 |
15,610 |
| |
|
23,546 |
| Industrial Conglomerates — 1.1% | ||
| Honeywell International, Inc. |
149 |
31,311 |
| Industrial REITs — 0.8% | ||
| Prologis, Inc. |
167 |
22,306 |
| Insurance — 2.3% | ||
| Aflac, Inc. |
88 |
7,264 |
| Chubb Ltd. |
42 |
9,413 |
| Globe Life, Inc. |
58 |
7,025 |
| MetLife, Inc. |
96 |
6,362 |
| Progressive Corp. (The) |
110 |
17,536 |
| Travelers Cos., Inc. (The) |
90 |
17,194 |
| |
|
64,794 |
| Interactive Media & Services — 6.0% | ||
| Alphabet, Inc., Class A * |
431 |
60,197 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
77 |
JPMorgan Hedged Equity 3
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Interactive Media & Services — continued | ||
| Alphabet, Inc., Class C * |
302 |
42,613 |
| Meta Platforms, Inc., Class A * (a) |
194 |
68,605 |
| |
|
171,415 |
| IT Services — 1.3% | ||
| Accenture plc, Class A |
69 |
24,363 |
| Cognizant Technology Solutions Corp., Class A |
176 |
13,260 |
| |
|
37,623 |
| Life Sciences Tools & Services — 1.3% | ||
| Danaher Corp. |
79 |
18,424 |
| Thermo Fisher Scientific, Inc. |
37 |
19,529 |
| |
|
37,953 |
| Machinery — 1.7% | ||
| Deere & Co. |
62 |
24,885 |
| Dover Corp. |
44 |
6,711 |
| Ingersoll Rand, Inc. |
31 |
2,385 |
| Otis Worldwide Corp. |
171 |
15,299 |
| |
|
49,280 |
| Media — 1.3% | ||
| Charter Communications, Inc., Class A * |
29 |
11,255 |
| Comcast Corp., Class A |
560 |
24,565 |
| Liberty Media Corp-Liberty SiriusXM, Class A * |
52 |
1,502 |
| |
|
37,322 |
| Metals & Mining — 0.2% | ||
| Nucor Corp. |
27 |
4,609 |
| Multi-Utilities — 0.4% | ||
| DTE Energy Co. |
13 |
1,450 |
| Public Service Enterprise Group, Inc. |
181 |
11,037 |
| |
|
12,487 |
| Oil, Gas & Consumable Fuels — 3.9% | ||
| Chevron Corp. |
81 |
12,105 |
| ConocoPhillips |
171 |
19,815 |
| Diamondback Energy, Inc. |
78 |
12,014 |
| EOG Resources, Inc. |
163 |
19,767 |
| Exxon Mobil Corp. |
449 |
44,909 |
| Marathon Oil Corp. |
83 |
2,007 |
| |
|
110,617 |
| Passenger Airlines — 0.1% | ||
| Delta Air Lines, Inc. |
105 |
4,230 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Personal Care Products — 0.3% | ||
| Kenvue, Inc. |
364 |
7,836 |
| Pharmaceuticals — 3.1% | ||
| Bristol-Myers Squibb Co. |
406 |
20,827 |
| Eli Lilly & Co. |
53 |
30,903 |
| Johnson & Johnson |
143 |
22,453 |
| Merck & Co., Inc. |
142 |
15,507 |
| |
|
89,690 |
| Professional Services — 0.2% | ||
| Leidos Holdings, Inc. |
62 |
6,747 |
| Residential REITs — 0.4% | ||
| Equity LifeStyle Properties, Inc. |
73 |
5,122 |
| Sun Communities, Inc. |
26 |
3,446 |
| UDR, Inc. |
66 |
2,537 |
| |
|
11,105 |
| Semiconductors & Semiconductor Equipment — 8.9% | ||
| Advanced Micro Devices, Inc. * |
175 |
25,823 |
| Analog Devices, Inc. |
114 |
22,723 |
| Broadcom, Inc. |
13 |
14,133 |
| Lam Research Corp. |
36 |
27,870 |
| NVIDIA Corp. (a) |
200 |
98,920 |
| NXP Semiconductors NV (China) |
116 |
26,553 |
| Qorvo, Inc. * |
41 |
4,601 |
| Teradyne, Inc. |
63 |
6,868 |
| Texas Instruments, Inc. |
165 |
28,208 |
| |
|
255,699 |
| Software — 10.8% | ||
| Adobe, Inc. * |
54 |
32,102 |
| Cadence Design Systems, Inc. * |
20 |
5,461 |
| Intuit, Inc. |
36 |
22,325 |
| Microsoft Corp. (a) |
587 |
220,893 |
| Oracle Corp. |
87 |
9,221 |
| ServiceNow, Inc. * |
28 |
19,771 |
| |
|
309,773 |
| Specialized REITs — 0.7% | ||
| Digital Realty Trust, Inc. |
78 |
10,504 |
| SBA Communications Corp. |
40 |
10,235 |
| |
|
20,739 |
| Specialty Retail — 2.7% | ||
| AutoNation, Inc. * |
31 |
4,656 |
| AutoZone, Inc. * |
6 |
16,163 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Specialty Retail — continued | ||
| Best Buy Co., Inc. |
117 |
9,120 |
| Burlington Stores, Inc. * |
31 |
6,104 |
| Lowe's Cos., Inc. |
127 |
28,353 |
| O'Reilly Automotive, Inc. * |
4 |
3,786 |
| TJX Cos., Inc. (The) |
98 |
9,172 |
| |
|
77,354 |
| Technology Hardware, Storage & Peripherals — 7.5% | ||
| Apple, Inc. (a) |
1,046 |
201,292 |
| Seagate Technology Holdings plc |
142 |
12,120 |
| |
|
213,412 |
| Tobacco — 0.4% | ||
| Altria Group, Inc. |
77 |
3,100 |
| Philip Morris International, Inc. |
80 |
7,504 |
| |
|
10,604 |
| Trading Companies & Distributors — 0.2% | ||
| United Rentals, Inc. |
9 |
5,288 |
| Wireless Telecommunication Services — 0.2% | ||
| T-Mobile US, Inc. |
30 |
4,794 |
| Total Common Stocks (Cost $2,327,953) |
|
2,904,300 |
| |
NO. OF CONTRACTS |
|
| Options Purchased — 0.3% | ||
| Put Options Purchased — 0.3% | ||
| S&P 500 Index |
|
|
| 2/29/2024 at USD 4,320.00 , European Style |
|
|
| INVESTMENTS |
NO. OF CONTRACTS |
VALUE ($000) |
| | ||
| | ||
| Notional Amount: USD 2,920,567 |
|
|
| Counterparty: Exchange-Traded *
(Cost $23,457) |
6,123 |
7,195 |
| |
SHARES (000) |
|
| Short-Term Investments — 0.6% | ||
| Investment Companies — 0.6% | ||
| JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.30% (b) (c)
(Cost $15,876) |
15,876 |
15,876 |
| Total Investments — 102.3% (Cost $2,367,286) |
|
2,927,371 |
| Liabilities in Excess of Other Assets —
(2.3)% |
|
(64,614
) |
| NET ASSETS — 100.0% |
|
2,862,757 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| USD |
United States Dollar |
| * |
Non-income producing security. |
| (a) |
All
or a portion of the security is segregated for options written. |
| (b) |
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc. |
| (c) |
The
rate shown is the current yield as of December 31, 2023. |
Futures contracts outstanding as of December 31, 2023 (amounts in
thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
69 |
03/15/2024 |
USD |
16,625 |
547 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
79 |
JPMorgan Hedged Equity 3
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| Written Call Options Contracts as of December 31, 2023 (amounts in thousands, except number of contracts):
|
||||||
| DESCRIPTION |
COUNTERPARTY |
NUMBER OF
CONTRACTS |
NOTIONAL
AMOUNT |
EXERCISE
PRICE |
EXPIRATION
DATE |
VALUE ($) |
| S&P 500 Index |
Exchange-Traded |
6,123 |
USD 2,920,567 |
USD 4,810.00 |
2/29/2024 |
(54,954
) |
| Written Put Options Contracts as of December 31, 2023 (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 |
6,123 |
USD 2,920,567 |
USD 3,640.00 |
2/29/2024 |
(1,378 ) |
| Total Written Options Contracts (Premiums Received $23,066) |
(56,332
) | |||||
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan Large Cap Growth
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 97.5% | ||
| Aerospace & Defense — 1.4% | ||
| TransDigm Group, Inc. |
987 |
998,456 |
| Automobiles — 2.5% | ||
| Tesla, Inc. * |
7,269 |
1,806,238 |
| Beverages — 1.0% | ||
| Celsius Holdings, Inc. * |
8,997 |
490,488 |
| Monster Beverage Corp. * |
4,265 |
245,729 |
| |
|
736,217 |
| Biotechnology — 3.0% | ||
| Alnylam Pharmaceuticals, Inc. * |
725 |
138,835 |
| Exact Sciences Corp. * |
7,311 |
540,882 |
| Moderna, Inc. * |
895 |
89,045 |
| Regeneron Pharmaceuticals, Inc. * |
1,643 |
1,442,633 |
| |
|
2,211,395 |
| Broadline Retail — 8.6% | ||
| Amazon.com, Inc. * |
33,523 |
5,093,478 |
| MercadoLibre, Inc. (Brazil) * |
733 |
1,152,036 |
| |
|
6,245,514 |
| Building Products — 1.0% | ||
| Trane Technologies plc |
3,144 |
766,718 |
| Capital Markets — 1.5% | ||
| Blackstone, Inc. |
4,391 |
574,806 |
| Charles Schwab Corp. (The) |
1,566 |
107,725 |
| Morgan Stanley |
3,450 |
321,754 |
| MSCI, Inc. |
216 |
122,145 |
| |
|
1,126,430 |
| Communications Equipment — 0.8% | ||
| Arista Networks, Inc. * |
2,439 |
574,428 |
| Construction & Engineering — 0.6% | ||
| Quanta Services, Inc. |
1,906 |
411,223 |
| Electrical Equipment — 1.7% | ||
| Eaton Corp. plc |
5,024 |
1,209,873 |
| Electronic Equipment, Instruments & Components — 1.5% | ||
| Amphenol Corp., Class A |
7,201 |
713,831 |
| Jabil, Inc. |
2,988 |
380,650 |
| |
|
1,094,481 |
| Entertainment — 3.0% | ||
| Netflix, Inc. * |
4,002 |
1,948,215 |
| Spotify Technology SA * |
1,306 |
245,459 |
| |
|
2,193,674 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Financial Services — 2.9% | ||
| Block, Inc. * |
1,513 |
117,049 |
| Mastercard, Inc., Class A |
4,607 |
1,964,932 |
| |
|
2,081,981 |
| Ground Transportation — 2.1% | ||
| Uber Technologies, Inc. * |
24,458 |
1,505,904 |
| Health Care Equipment & Supplies — 0.9% | ||
| Align Technology, Inc. * |
684 |
187,304 |
| Edwards Lifesciences Corp. * |
2,558 |
195,047 |
| Intuitive Surgical, Inc. * |
874 |
294,945 |
| |
|
677,296 |
| Health Care Providers & Services — 1.4% | ||
| HCA Healthcare, Inc. |
605 |
163,778 |
| McKesson Corp. |
1,912 |
885,451 |
| |
|
1,049,229 |
| Hotels, Restaurants & Leisure — 4.0% | ||
| Airbnb, Inc., Class A * |
1,913 |
260,475 |
| Chipotle Mexican Grill, Inc. * |
389 |
888,960 |
| DoorDash, Inc., Class A * |
4,306 |
425,840 |
| Marriott International, Inc., Class A |
4,292 |
967,848 |
| Starbucks Corp. |
3,815 |
366,299 |
| |
|
2,909,422 |
| Household Durables — 0.6% | ||
| DR Horton, Inc. |
3,028 |
460,131 |
| Interactive Media & Services — 9.0% | ||
| Alphabet, Inc., Class C * |
19,597 |
2,761,808 |
| Meta Platforms, Inc., Class A * |
10,689 |
3,783,394 |
| |
|
6,545,202 |
| IT Services — 2.4% | ||
| Cognizant Technology Solutions Corp., Class A |
4,572 |
345,315 |
| MongoDB, Inc. * |
705 |
288,190 |
| Shopify, Inc., Class A (Canada) * |
14,049 |
1,094,465 |
| |
|
1,727,970 |
| Life Sciences Tools & Services — 0.0% ^ | ||
| Thermo Fisher Scientific, Inc. |
71 |
37,628 |
| Machinery — 0.7% | ||
| Deere & Co. |
1,214 |
485,470 |
| Media — 0.7% | ||
| Trade Desk, Inc. (The), Class A * |
6,879 |
495,046 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
81 |
JPMorgan Large Cap Growth
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Metals & Mining — 0.4% | ||
| Freeport-McMoRan, Inc. |
6,345 |
270,096 |
| Oil, Gas & Consumable Fuels — 1.0% | ||
| Cheniere Energy, Inc. |
1,948 |
332,491 |
| ConocoPhillips |
3,566 |
413,979 |
| |
|
746,470 |
| Personal Care Products — 0.0% ^ | ||
| Estee Lauder Cos., Inc. (The), Class A |
269 |
39,364 |
| Pharmaceuticals — 4.7% | ||
| Eli Lilly & Co. |
5,841 |
3,404,901 |
| Semiconductors & Semiconductor Equipment — 10.3% | ||
| Advanced Micro Devices, Inc. * |
4,677 |
689,431 |
| ASML Holding NV (Registered), NYRS
(Netherlands) |
332 |
251,468 |
| Broadcom, Inc. |
1,724 |
1,924,716 |
| First Solar, Inc. * |
875 |
150,673 |
| Lam Research Corp. |
754 |
590,576 |
| NVIDIA Corp. |
7,409 |
3,669,211 |
| ON Semiconductor Corp. * |
3,193 |
266,661 |
| |
|
7,542,736 |
| Software — 22.1% | ||
| Adobe, Inc. * |
2,161 |
1,289,356 |
| HubSpot, Inc. * |
800 |
464,496 |
| Intuit, Inc. |
1,363 |
852,162 |
| Microsoft Corp. |
22,211 |
8,352,184 |
| Oracle Corp. |
11,513 |
1,213,775 |
| Palo Alto Networks, Inc. * |
1,831 |
539,809 |
| Salesforce, Inc. * |
4,807 |
1,264,789 |
| ServiceNow, Inc. * |
901 |
636,800 |
| Synopsys, Inc. * |
1,902 |
979,578 |
| Workday, Inc., Class A * |
1,880 |
519,049 |
| |
|
16,111,998 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Specialty Retail — 1.8% | ||
| AutoZone, Inc. * |
226 |
585,028 |
| Lowe's Cos., Inc. |
3,186 |
708,903 |
| |
|
1,293,931 |
| Technology Hardware, Storage & Peripherals — 5.3% | ||
| Apple, Inc. |
20,133 |
3,876,185 |
| Trading Companies & Distributors — 0.6% | ||
| WW Grainger, Inc. |
516 |
427,910 |
| Total Common Stocks (Cost $47,592,591) |
|
71,063,517 |
| Short-Term Investments — 2.7% | ||
| Investment Companies — 2.7% | ||
| JPMorgan Prime Money Market Fund Class IM
Shares, 5.51% (a) (b)
(Cost $1,965,567) |
1,964,994 |
1,966,566 |
| Total Investments — 100.2% (Cost $49,558,158) |
|
73,030,083 |
| Liabilities in Excess of Other Assets —
(0.2)% |
|
(174,551
) |
| NET ASSETS — 100.0% |
|
72,855,532 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| NYRS |
New
York Registry Shares |
| ^ |
Amount rounds to less than 0.1% of net assets. | |
| * |
Non-income producing security. |
|
| (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, 2023. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan Large Cap Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.6% | ||
| Aerospace & Defense — 2.3% | ||
| Boeing Co. (The) * |
268 |
69,883 |
| Howmet Aerospace, Inc. |
257 |
13,924 |
| |
|
83,807 |
| Air Freight & Logistics — 2.0% | ||
| FedEx Corp. |
143 |
36,338 |
| United Parcel Service, Inc., Class B |
231 |
36,285 |
| |
|
72,623 |
| Banks — 13.8% | ||
| Bank of America Corp. |
5,165 |
173,899 |
| Citigroup, Inc. |
1,452 |
74,707 |
| Fifth Third Bancorp |
1,419 |
48,957 |
| PNC Financial Services Group, Inc. (The) |
231 |
35,705 |
| Truist Financial Corp. |
2,532 |
93,485 |
| Wells Fargo & Co. |
1,513 |
74,475 |
| |
|
501,228 |
| Beverages — 0.4% | ||
| Keurig Dr Pepper, Inc. |
434 |
14,466 |
| Biotechnology — 4.0% | ||
| AbbVie, Inc. |
549 |
85,146 |
| Biogen, Inc. * |
165 |
42,577 |
| BioMarin Pharmaceutical, Inc. * |
190 |
18,291 |
| |
|
146,014 |
| Building Products — 1.7% | ||
| Carrier Global Corp. |
357 |
20,504 |
| Masco Corp. |
607 |
40,693 |
| |
|
61,197 |
| Capital Markets — 3.9% | ||
| Charles Schwab Corp. (The) |
418 |
28,805 |
| Goldman Sachs Group, Inc. (The) |
100 |
38,461 |
| Intercontinental Exchange, Inc. |
149 |
19,128 |
| Raymond James Financial, Inc. (a) |
492 |
54,869 |
| |
|
141,263 |
| Chemicals — 3.1% | ||
| Air Products and Chemicals, Inc. |
53 |
14,484 |
| Chemours Co. (The) |
1,752 |
55,264 |
| FMC Corp. (a) |
673 |
42,418 |
| |
|
112,166 |
| Consumer Staples Distribution & Retail — 4.1% | ||
| BJ's Wholesale Club Holdings, Inc. * |
419 |
27,951 |
| Dollar Tree, Inc. * |
132 |
18,793 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Consumer Staples Distribution & Retail — continued | ||
| Performance Food Group Co. * |
702 |
48,521 |
| Walmart, Inc. |
344 |
54,124 |
| |
|
149,389 |
| Containers & Packaging — 1.6% | ||
| Graphic Packaging Holding Co. |
730 |
17,997 |
| Silgan Holdings, Inc. |
885 |
40,030 |
| |
|
58,027 |
| Diversified Telecommunication Services — 0.5% | ||
| AT&T, Inc. |
1,040 |
17,446 |
| Electric Utilities — 2.0% | ||
| Entergy Corp. |
533 |
53,885 |
| NextEra Energy, Inc. |
302 |
18,352 |
| |
|
72,237 |
| Electrical Equipment — 1.9% | ||
| Emerson Electric Co. |
624 |
60,697 |
| Vertiv Holdings Co., Class A |
170 |
8,164 |
| |
|
68,861 |
| Entertainment — 2.3% | ||
| Endeavor Group Holdings, Inc., Class A (a) |
858 |
20,371 |
| Walt Disney Co. (The) * |
405 |
36,532 |
| Warner Bros Discovery, Inc. * (a) |
2,200 |
25,033 |
| |
|
81,936 |
| Financial Services — 5.6% | ||
| Berkshire Hathaway, Inc., Class B * |
176 |
62,704 |
| Fidelity National Information Services, Inc. |
798 |
47,925 |
| Fiserv, Inc. * |
642 |
85,313 |
| Rocket Cos., Inc., Class A * (a) |
541 |
7,838 |
| |
|
203,780 |
| Food Products — 1.1% | ||
| Lamb Weston Holdings, Inc. |
348 |
37,661 |
| Ground Transportation — 1.4% | ||
| CSX Corp. |
1,054 |
36,531 |
| Knight-Swift Transportation Holdings, Inc. |
245 |
14,153 |
| |
|
50,684 |
| Health Care Equipment & Supplies — 2.8% | ||
| Baxter International, Inc. |
436 |
16,856 |
| Medtronic plc |
639 |
52,682 |
| Zimmer Biomet Holdings, Inc. |
265 |
32,217 |
| |
|
101,755 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
83 |
JPMorgan Large Cap Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Providers & Services — 3.4% | ||
| Centene Corp. * |
883 |
65,498 |
| CVS Health Corp. |
569 |
44,965 |
| Humana, Inc. |
24 |
10,759 |
| |
|
121,222 |
| Health Care REITs — 0.3% | ||
| Ventas, Inc. |
227 |
11,337 |
| Hotels, Restaurants & Leisure — 1.3% | ||
| Carnival Corp. * |
660 |
12,227 |
| Royal Caribbean Cruises Ltd. * |
266 |
34,487 |
| |
|
46,714 |
| Household Durables — 0.4% | ||
| Lennar Corp., Class A |
98 |
14,606 |
| Industrial Conglomerates — 1.5% | ||
| Honeywell International, Inc. |
260 |
54,481 |
| Insurance — 2.6% | ||
| MetLife, Inc. |
509 |
33,651 |
| Travelers Cos., Inc. (The) |
321 |
61,184 |
| |
|
94,835 |
| Interactive Media & Services — 1.0% | ||
| Meta Platforms, Inc., Class A * |
106 |
37,626 |
| Life Sciences Tools & Services — 0.8% | ||
| Thermo Fisher Scientific, Inc. |
51 |
27,326 |
| Machinery — 0.6% | ||
| Middleby Corp. (The) * |
136 |
19,946 |
| Media — 3.7% | ||
| Charter Communications, Inc., Class A * |
116 |
44,988 |
| Comcast Corp., Class A |
1,106 |
48,523 |
| Interpublic Group of Cos., Inc. (The) |
663 |
21,650 |
| Liberty Media Corp-Liberty SiriusXM, Class A * (a) |
665 |
19,109 |
| |
|
134,270 |
| Metals & Mining — 1.4% | ||
| Alcoa Corp. |
549 |
18,673 |
| Freeport-McMoRan, Inc. |
248 |
10,571 |
| Kinross Gold Corp. (Canada) |
1,483 |
8,968 |
| Steel Dynamics, Inc. |
93 |
10,948 |
| |
|
49,160 |
| Multi-Utilities — 1.9% | ||
| CMS Energy Corp. |
296 |
17,173 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Multi-Utilities — continued | ||
| DTE Energy Co. |
162 |
17,822 |
| Public Service Enterprise Group, Inc. |
553 |
33,845 |
| |
|
68,840 |
| Office REITs — 0.5% | ||
| Vornado Realty Trust (a) |
614 |
17,349 |
| Oil, Gas & Consumable Fuels — 5.2% | ||
| Chevron Corp. |
585 |
87,302 |
| Exxon Mobil Corp. |
664 |
66,370 |
| Pioneer Natural Resources Co. |
149 |
33,420 |
| |
|
187,092 |
| Passenger Airlines — 0.6% | ||
| Southwest Airlines Co. |
789 |
22,792 |
| Pharmaceuticals — 1.9% | ||
| Bristol-Myers Squibb Co. |
1,359 |
69,729 |
| Residential REITs — 0.7% | ||
| Equity Residential |
433 |
26,478 |
| Retail REITs — 0.9% | ||
| Kimco Realty Corp. |
1,558 |
33,194 |
| Semiconductors & Semiconductor Equipment — 5.2% | ||
| Intel Corp. |
321 |
16,148 |
| Microchip Technology, Inc. |
336 |
30,311 |
| NXP Semiconductors NV (China) |
177 |
40,565 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR
(Taiwan) |
354 |
36,847 |
| Texas Instruments, Inc. |
382 |
65,083 |
| |
|
188,954 |
| Software — 1.5% | ||
| Oracle Corp. |
343 |
36,141 |
| Salesforce, Inc. * |
74 |
19,508 |
| |
|
55,649 |
| Specialized REITs — 2.0% | ||
| Digital Realty Trust, Inc. |
538 |
72,362 |
| Specialty Retail — 1.2% | ||
| Best Buy Co., Inc. |
348 |
27,222 |
| Burlington Stores, Inc. * |
86 |
16,678 |
| |
|
43,900 |
| Technology Hardware, Storage & Peripherals — 0.8% | ||
| Seagate Technology Holdings plc |
345 |
29,491 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Textiles, Apparel & Luxury Goods — 1.9% | ||
| Capri Holdings Ltd. * |
218 |
10,952 |
| Kontoor Brands, Inc. |
752 |
46,956 |
| Tapestry, Inc. |
273 |
10,056 |
| |
|
67,964 |
| Tobacco — 0.5% | ||
| Philip Morris International, Inc. |
181 |
17,037 |
| Trading Companies & Distributors — 3.3% | ||
| AerCap Holdings NV (Ireland) * |
665 |
49,443 |
| Air Lease Corp., Class A |
520 |
21,804 |
| WESCO International, Inc. |
274 |
47,673 |
| |
|
118,920 |
| Total Common Stocks (Cost $3,150,558) |
|
3,605,814 |
| Short-Term Investments — 1.7% | ||
| Investment Companies — 0.8% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (b) (c)
(Cost $30,619) |
30,604 |
30,628 |
| Investment of Cash Collateral from Securities Loaned — 0.9% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (b) (c) |
25,997 |
26,007 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (b) (c) |
5,429 |
5,429 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $31,436) |
|
31,436 |
| Total Short-Term Investments (Cost $62,055) |
|
62,064 |
| Total Investments — 101.3% (Cost $3,212,613) |
|
3,667,878 |
| Liabilities in Excess of Other Assets —
(1.3)% |
|
(45,500
) |
| NET ASSETS — 100.0% |
|
3,622,378 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| ADR |
American Depositary Receipt |
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $29,877. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
85 |
JPMorgan U.S. Applied Data
Science Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.9% | ||
| Aerospace & Defense — 1.6% | ||
| Northrop Grumman Corp. |
4 |
1,840 |
| RTX Corp. |
11 |
894 |
| |
|
2,734 |
| Air Freight & Logistics — 1.0% | ||
| United Parcel Service, Inc., Class B |
11 |
1,695 |
| Automobile Components — 0.5% | ||
| Lear Corp. |
6 |
876 |
| Banks — 8.2% | ||
| Bank of America Corp. |
100 |
3,380 |
| Citigroup, Inc. |
40 |
2,055 |
| Citizens Financial Group, Inc. |
30 |
985 |
| M&T Bank Corp. |
11 |
1,506 |
| PNC Financial Services Group, Inc. (The) |
13 |
2,087 |
| Wells Fargo & Co. |
78 |
3,826 |
| |
|
13,839 |
| Beverages — 1.2% | ||
| Coca-Cola Co. (The) |
36 |
2,092 |
| Biotechnology — 3.5% | ||
| AbbVie, Inc. |
14 |
2,135 |
| Regeneron Pharmaceuticals, Inc. * |
2 |
1,477 |
| Vertex Pharmaceuticals, Inc. * |
5 |
2,232 |
| |
|
5,844 |
| Building Products — 2.1% | ||
| Johnson Controls International plc |
22 |
1,275 |
| Trane Technologies plc |
9 |
2,258 |
| |
|
3,533 |
| Capital Markets — 5.3% | ||
| BlackRock, Inc. |
4 |
3,552 |
| Charles Schwab Corp. (The) |
25 |
1,717 |
| CME Group, Inc. |
5 |
1,122 |
| Morgan Stanley |
28 |
2,591 |
| |
|
8,982 |
| Chemicals — 3.4% | ||
| Axalta Coating Systems Ltd. * |
63 |
2,134 |
| DuPont de Nemours, Inc. |
19 |
1,504 |
| Linde plc |
5 |
2,077 |
| |
|
5,715 |
| Communications Equipment — 0.5% | ||
| Cisco Systems, Inc. |
16 |
812 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Consumer Finance — 0.8% | ||
| Ally Financial, Inc. |
21 |
714 |
| Capital One Financial Corp. |
5 |
676 |
| |
|
1,390 |
| Consumer Staples Distribution & Retail — 1.1% | ||
| Target Corp. |
5 |
721 |
| Walmart, Inc. |
7 |
1,092 |
| |
|
1,813 |
| Containers & Packaging — 0.7% | ||
| Berry Global Group, Inc. |
16 |
1,098 |
| Diversified Telecommunication Services — 1.5% | ||
| Verizon Communications, Inc. |
67 |
2,537 |
| Electric Utilities — 3.9% | ||
| Constellation Energy Corp. |
11 |
1,271 |
| Entergy Corp. |
13 |
1,262 |
| NextEra Energy, Inc. |
46 |
2,820 |
| Xcel Energy, Inc. |
18 |
1,119 |
| |
|
6,472 |
| Electrical Equipment — 2.2% | ||
| Eaton Corp. plc |
16 |
3,748 |
| Electronic Equipment, Instruments & Components — 0.6% | ||
| Teledyne Technologies, Inc. * |
2 |
934 |
| Entertainment — 0.4% | ||
| Netflix, Inc. * |
1 |
707 |
| Financial Services — 4.0% | ||
| Berkshire Hathaway, Inc., Class B * |
9 |
3,323 |
| Fidelity National Information Services, Inc. |
10 |
621 |
| Fiserv, Inc. * |
6 |
750 |
| FleetCor Technologies, Inc. * |
3 |
880 |
| Mastercard, Inc., Class A |
3 |
1,114 |
| |
|
6,688 |
| Food Products — 1.8% | ||
| Mondelez International, Inc., Class A |
34 |
2,444 |
| Tyson Foods, Inc., Class A |
11 |
621 |
| |
|
3,065 |
| Ground Transportation — 3.0% | ||
| CSX Corp. |
56 |
1,937 |
| Norfolk Southern Corp. |
10 |
2,368 |
| Uber Technologies, Inc. * |
13 |
787 |
| |
|
5,092 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care Equipment & Supplies — 2.8% | ||
| Baxter International, Inc. |
23 |
894 |
| Boston Scientific Corp. * |
27 |
1,559 |
| Medtronic plc |
27 |
2,185 |
| |
|
4,638 |
| Health Care Providers & Services — 3.1% | ||
| Centene Corp. * |
18 |
1,329 |
| Cigna Group (The) |
8 |
2,347 |
| UnitedHealth Group, Inc. |
3 |
1,618 |
| |
|
5,294 |
| Health Care REITs — 0.6% | ||
| Ventas, Inc. |
20 |
998 |
| Hotel & Resort REITs — 0.5% | ||
| Host Hotels & Resorts, Inc. |
46 |
901 |
| Hotels, Restaurants & Leisure — 1.9% | ||
| Expedia Group, Inc. * |
6 |
976 |
| McDonald's Corp. |
6 |
1,703 |
| Travel + Leisure Co. |
15 |
581 |
| |
|
3,260 |
| Household Durables — 0.3% | ||
| Whirlpool Corp. |
5 |
573 |
| Household Products — 1.6% | ||
| Procter & Gamble Co. (The) |
13 |
1,905 |
| Spectrum Brands Holdings, Inc. |
9 |
726 |
| |
|
2,631 |
| Industrial Conglomerates — 1.3% | ||
| Honeywell International, Inc. |
10 |
2,192 |
| Industrial REITs — 2.2% | ||
| Prologis, Inc. |
28 |
3,688 |
| Insurance — 3.2% | ||
| Loews Corp. |
37 |
2,554 |
| Travelers Cos., Inc. (The) |
14 |
2,794 |
| |
|
5,348 |
| Interactive Media & Services — 0.9% | ||
| Meta Platforms, Inc., Class A * |
5 |
1,598 |
| IT Services — 0.7% | ||
| Cognizant Technology Solutions Corp., Class A |
15 |
1,097 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Life Sciences Tools & Services — 1.3% | ||
| Agilent Technologies, Inc. |
9 |
1,230 |
| Danaher Corp. |
4 |
910 |
| |
|
2,140 |
| Machinery — 3.4% | ||
| Deere & Co. |
3 |
1,048 |
| Dover Corp. |
13 |
2,026 |
| Parker-Hannifin Corp. |
6 |
2,646 |
| |
|
5,720 |
| Media — 2.2% | ||
| Charter Communications, Inc., Class A * |
2 |
819 |
| Comcast Corp., Class A |
65 |
2,843 |
| |
|
3,662 |
| Multi-Utilities — 1.5% | ||
| CMS Energy Corp. |
17 |
983 |
| Public Service Enterprise Group, Inc. |
24 |
1,462 |
| |
|
2,445 |
| Oil, Gas & Consumable Fuels — 8.7% | ||
| Cheniere Energy, Inc. |
10 |
1,775 |
| ConocoPhillips |
36 |
4,109 |
| Diamondback Energy, Inc. |
8 |
1,187 |
| EOG Resources, Inc. |
18 |
2,220 |
| Exxon Mobil Corp. |
40 |
4,012 |
| Phillips 66 |
10 |
1,343 |
| |
|
14,646 |
| Personal Care Products — 0.3% | ||
| Kenvue, Inc. |
20 |
438 |
| Pharmaceuticals — 5.0% | ||
| Bristol-Myers Squibb Co. |
53 |
2,728 |
| Eli Lilly & Co. |
2 |
1,206 |
| Jazz Pharmaceuticals plc * |
8 |
1,008 |
| Johnson & Johnson |
8 |
1,313 |
| Merck & Co., Inc. |
15 |
1,578 |
| Pfizer, Inc. |
18 |
504 |
| |
|
8,337 |
| Professional Services — 0.8% | ||
| Booz Allen Hamilton Holding Corp. |
7 |
894 |
| SS&C Technologies Holdings, Inc. |
6 |
387 |
| |
|
1,281 |
| Real Estate Management & Development — 0.8% | ||
| CBRE Group, Inc., Class A * |
14 |
1,321 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
87 |
JPMorgan U.S. Applied Data
Science Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Semiconductors & Semiconductor Equipment — 4.0% | ||
| Advanced Micro Devices, Inc. * |
12 |
1,789 |
| Analog Devices, Inc. |
9 |
1,817 |
| NXP Semiconductors NV (China) |
5 |
1,007 |
| Texas Instruments, Inc. |
12 |
2,087 |
| |
|
6,700 |
| Software — 1.2% | ||
| Microsoft Corp. |
5 |
1,957 |
| Specialized REITs — 0.6% | ||
| Digital Realty Trust, Inc. |
7 |
996 |
| Specialty Retail — 2.4% | ||
| AutoZone, Inc. * |
1 |
1,427 |
| Lowe's Cos., Inc. |
5 |
1,172 |
| O'Reilly Automotive, Inc. * |
1 |
1,429 |
| |
|
4,028 |
| Tobacco — 1.3% | ||
| Philip Morris International, Inc. |
23 |
2,118 |
| Total Common Stocks
(Cost $136,337) |
|
167,673 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short-Term Investments — 0.5% | ||
| Investment Companies — 0.5% | ||
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) (Cost $872) |
871 |
872 |
| Total Investments — 100.4% (Cost $137,209) |
|
168,545 |
| Liabilities in Excess of Other Assets —
(0.4)% |
|
(659
) |
| NET ASSETS — 100.0% |
|
167,886 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc. |
| (b) |
The
rate shown is the current yield as of December 31, 2023. |
Futures contracts outstanding as of December 31, 2023 (amounts in
thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
4 |
03/15/2024 |
USD |
964 |
36 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan U.S. Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.5% | ||
| Aerospace & Defense — 2.5% | ||
| Howmet Aerospace, Inc. |
2,595 |
140,470 |
| Northrop Grumman Corp. |
1,039 |
486,197 |
| |
|
626,667 |
| Automobiles — 0.7% | ||
| Tesla, Inc. * |
683 |
169,657 |
| Banks — 3.6% | ||
| US Bancorp |
7,860 |
340,164 |
| Wells Fargo & Co. |
11,528 |
567,427 |
| |
|
907,591 |
| Beverages — 2.3% | ||
| Coca-Cola Co. (The) |
9,985 |
588,423 |
| Biotechnology — 6.3% | ||
| AbbVie, Inc. |
4,410 |
683,490 |
| Biogen, Inc. * |
816 |
211,283 |
| Regeneron Pharmaceuticals, Inc. * |
547 |
480,013 |
| Vertex Pharmaceuticals, Inc. * |
554 |
225,376 |
| |
|
1,600,162 |
| Broadline Retail — 4.6% | ||
| Amazon.com, Inc. * |
7,712 |
1,171,702 |
| Building Products — 1.1% | ||
| Trane Technologies plc |
1,176 |
286,862 |
| Capital Markets — 4.9% | ||
| Ameriprise Financial, Inc. |
947 |
359,760 |
| Morgan Stanley |
6,764 |
630,712 |
| S&P Global, Inc. |
575 |
253,251 |
| |
|
1,243,723 |
| Chemicals — 1.5% | ||
| Eastman Chemical Co. |
1,470 |
132,049 |
| PPG Industries, Inc. |
1,681 |
251,309 |
| |
|
383,358 |
| Construction Materials — 1.3% | ||
| Vulcan Materials Co. |
1,468 |
333,303 |
| Consumer Finance — 1.6% | ||
| American Express Co. |
2,170 |
406,467 |
| Electric Utilities — 4.0% | ||
| NextEra Energy, Inc. |
9,175 |
557,302 |
| PG&E Corp. |
25,264 |
455,514 |
| |
|
1,012,816 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Electrical Equipment — 2.0% | ||
| Eaton Corp. plc |
2,128 |
512,522 |
| Energy Equipment & Services — 2.4% | ||
| Baker Hughes Co. |
17,704 |
605,129 |
| Financial Services — 2.6% | ||
| FleetCor Technologies, Inc. * |
426 |
120,438 |
| Mastercard, Inc., Class A |
1,296 |
552,866 |
| |
|
673,304 |
| Ground Transportation — 3.2% | ||
| CSX Corp. |
7,148 |
247,810 |
| Norfolk Southern Corp. |
1,573 |
371,890 |
| Uber Technologies, Inc. * |
2,978 |
183,366 |
| |
|
803,066 |
| Health Care Equipment & Supplies — 1.4% | ||
| Stryker Corp. |
1,228 |
367,761 |
| Health Care Providers & Services — 3.2% | ||
| UnitedHealth Group, Inc. |
1,527 |
803,719 |
| Hotels, Restaurants & Leisure — 2.9% | ||
| Marriott International, Inc., Class A |
672 |
151,582 |
| McDonald's Corp. |
1,996 |
591,844 |
| |
|
743,426 |
| Industrial REITs — 2.3% | ||
| Prologis, Inc. |
4,491 |
598,661 |
| Insurance — 0.9% | ||
| Progressive Corp. (The) |
1,380 |
219,805 |
| Interactive Media & Services — 5.9% | ||
| Alphabet, Inc., Class A * |
5,497 |
767,783 |
| Meta Platforms, Inc., Class A * |
2,060 |
729,229 |
| |
|
1,497,012 |
| IT Services — 1.4% | ||
| Accenture plc, Class A |
987 |
346,390 |
| Life Sciences Tools & Services — 1.1% | ||
| Danaher Corp. |
1,266 |
292,931 |
| Machinery — 2.5% | ||
| Deere & Co. |
1,561 |
624,169 |
| Oil, Gas & Consumable Fuels — 2.9% | ||
| ConocoPhillips |
2,879 |
334,165 |
| Pioneer Natural Resources Co. |
1,772 |
398,389 |
| |
|
732,554 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
89 |
JPMorgan U.S. Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Pharmaceuticals — 1.8% | ||
| Bristol-Myers Squibb Co. |
6,208 |
318,506 |
| Eli Lilly & Co. |
244 |
142,376 |
| |
|
460,882 |
| Semiconductors & Semiconductor Equipment — 8.4% | ||
| Advanced Micro Devices, Inc. * |
2,310 |
340,482 |
| Analog Devices, Inc. |
948 |
188,176 |
| ASML Holding NV (Registered), NYRS (Netherlands) |
201 |
152,447 |
| NVIDIA Corp. |
1,690 |
837,196 |
| NXP Semiconductors NV (China) |
2,725 |
625,875 |
| |
|
2,144,176 |
| Software — 11.5% | ||
| Intuit, Inc. |
306 |
191,437 |
| Microsoft Corp. |
6,285 |
2,363,358 |
| Oracle Corp. |
3,635 |
383,274 |
| |
|
2,938,069 |
| Specialty Retail — 3.2% | ||
| Lowe's Cos., Inc. |
2,615 |
581,959 |
| TJX Cos., Inc. (The) |
2,578 |
241,802 |
| |
|
823,761 |
| Technology Hardware, Storage & Peripherals — 5.5% | ||
| Apple, Inc. |
6,603 |
1,271,301 |
| Seagate Technology Holdings plc |
1,651 |
140,944 |
| |
|
1,412,245 |
| Total Common Stocks (Cost $15,619,531) |
|
25,330,313 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short-Term Investments — 1.2% | ||
| Investment Companies — 1.2% | ||
| JPMorgan Prime Money Market Fund Class IM
Shares, 5.51% (a) (b)
(Cost $290,768) |
290,649 |
290,881 |
| Total Investments — 100.7% (Cost $15,910,299) |
|
25,621,194 |
| Liabilities in Excess of Other Assets —
(0.7)% |
|
(168,491
) |
| NET ASSETS — 100.0% |
|
25,452,703 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| NYRS |
New
York Registry Shares |
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (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, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 90 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan U.S. GARP Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 98.7% | ||
| Aerospace & Defense — 0.7% | ||
| Boeing Co. (The) * |
18 |
4,733 |
| Howmet Aerospace, Inc. |
68 |
3,667 |
| |
|
8,400 |
| Automobiles — 2.2% | ||
| Tesla, Inc. * |
107 |
26,493 |
| Beverages — 1.4% | ||
| Coca-Cola Co. (The) |
162 |
9,589 |
| Monster Beverage Corp. * |
129 |
7,418 |
| |
|
17,007 |
| Biotechnology — 3.4% | ||
| AbbVie, Inc. |
119 |
18,503 |
| Amgen, Inc. |
7 |
2,073 |
| Neurocrine Biosciences, Inc. * |
21 |
2,717 |
| Regeneron Pharmaceuticals, Inc. * |
8 |
6,746 |
| Vertex Pharmaceuticals, Inc. * |
29 |
11,705 |
| |
|
41,744 |
| Broadline Retail — 5.4% | ||
| Amazon.com, Inc. * |
432 |
65,633 |
| Building Products — 1.0% | ||
| Builders FirstSource, Inc. * |
21 |
3,481 |
| Trane Technologies plc |
35 |
8,692 |
| |
|
12,173 |
| Capital Markets — 2.0% | ||
| Ameriprise Financial, Inc. |
13 |
5,123 |
| Charles Schwab Corp. (The) |
162 |
11,132 |
| S&P Global, Inc. |
19 |
8,446 |
| |
|
24,701 |
| Chemicals — 0.8% | ||
| Dow, Inc. |
76 |
4,181 |
| Linde plc (a) |
13 |
5,383 |
| |
|
9,564 |
| Commercial Services & Supplies — 0.5% | ||
| Waste Management, Inc. |
36 |
6,449 |
| Communications Equipment — 0.7% | ||
| Arista Networks, Inc. * |
34 |
7,984 |
| Construction & Engineering — 0.5% | ||
| Quanta Services, Inc. |
26 |
5,732 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Consumer Staples Distribution & Retail — 1.5% | ||
| Costco Wholesale Corp. |
21 |
13,915 |
| US Foods Holding Corp. * |
93 |
4,245 |
| |
|
18,160 |
| Electric Utilities — 0.6% | ||
| NextEra Energy, Inc. |
37 |
2,250 |
| PG&E Corp. (a) |
262 |
4,725 |
| |
|
6,975 |
| Electrical Equipment — 0.3% | ||
| Eaton Corp. plc |
17 |
4,217 |
| Energy Equipment & Services — 0.4% | ||
| Baker Hughes Co. |
140 |
4,777 |
| Entertainment — 0.9% | ||
| Live Nation Entertainment, Inc. * |
50 |
4,707 |
| Netflix, Inc. * |
14 |
6,495 |
| |
|
11,202 |
| Financial Services — 4.0% | ||
| Mastercard, Inc., Class A |
96 |
41,065 |
| Visa, Inc., Class A (a) |
29 |
7,424 |
| |
|
48,489 |
| Food Products — 0.5% | ||
| Hershey Co. (The) |
15 |
2,699 |
| Mondelez International, Inc., Class A |
48 |
3,502 |
| |
|
6,201 |
| Ground Transportation — 1.8% | ||
| CSX Corp. |
286 |
9,909 |
| Uber Technologies, Inc. * |
200 |
12,303 |
| |
|
22,212 |
| Health Care Equipment & Supplies — 0.8% | ||
| Boston Scientific Corp. * |
102 |
5,899 |
| Medtronic plc |
43 |
3,536 |
| |
|
9,435 |
| Health Care Providers & Services — 3.0% | ||
| Elevance Health, Inc. |
18 |
8,512 |
| HCA Healthcare, Inc. |
10 |
2,754 |
| Humana, Inc. |
15 |
6,962 |
| UnitedHealth Group, Inc. |
35 |
18,014 |
| |
|
36,242 |
| Hotels, Restaurants & Leisure — 3.1% | ||
| Booking Holdings, Inc. * |
3 |
11,997 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
91 |
JPMorgan U.S. GARP Equity
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Hotels, Restaurants & Leisure — continued | ||
| Chipotle Mexican Grill, Inc. * |
5 |
11,096 |
| Hilton Worldwide Holdings, Inc. |
30 |
5,456 |
| McDonald's Corp. |
11 |
3,292 |
| Royal Caribbean Cruises Ltd. * |
41 |
5,303 |
| |
|
37,144 |
| Industrial REITs — 0.6% | ||
| Prologis, Inc. |
52 |
6,970 |
| Insurance — 1.1% | ||
| Arch Capital Group Ltd. * |
66 |
4,920 |
| Progressive Corp. (The) |
57 |
9,088 |
| |
|
14,008 |
| Interactive Media & Services — 9.5% | ||
| Alphabet, Inc., Class A * |
234 |
32,671 |
| Alphabet, Inc., Class C * |
202 |
28,440 |
| Meta Platforms, Inc., Class A * |
152 |
53,827 |
| |
|
114,938 |
| Life Sciences Tools & Services — 1.7% | ||
| IQVIA Holdings, Inc. * |
27 |
6,358 |
| Thermo Fisher Scientific, Inc. |
27 |
14,120 |
| |
|
20,478 |
| Machinery — 1.6% | ||
| Deere & Co. |
28 |
11,054 |
| Ingersoll Rand, Inc. |
69 |
5,365 |
| Parker-Hannifin Corp. |
7 |
3,392 |
| |
|
19,811 |
| Media — 0.5% | ||
| Charter Communications, Inc., Class A * |
8 |
3,106 |
| Liberty Media Corp-Liberty SiriusXM * |
125 |
3,601 |
| |
|
6,707 |
| Oil, Gas & Consumable Fuels — 0.9% | ||
| Cheniere Energy, Inc. |
34 |
5,760 |
| ConocoPhillips |
46 |
5,358 |
| |
|
11,118 |
| Personal Care Products — 0.3% | ||
| Estee Lauder Cos., Inc. (The), Class A |
23 |
3,315 |
| Pharmaceuticals — 1.6% | ||
| Eli Lilly & Co. |
30 |
17,749 |
| Jazz Pharmaceuticals plc * |
14 |
1,670 |
| |
|
19,419 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Professional Services — 0.4% | ||
| Booz Allen Hamilton Holding Corp. |
37 |
4,731 |
| Semiconductors & Semiconductor Equipment — 10.4% | ||
| Advanced Micro Devices, Inc. * |
88 |
13,037 |
| Analog Devices, Inc. |
22 |
4,358 |
| ASML Holding NV (Registered), NYRS (Netherlands) |
10 |
7,629 |
| Broadcom, Inc. |
4 |
4,832 |
| Lam Research Corp. |
13 |
9,887 |
| NVIDIA Corp. |
119 |
59,009 |
| NXP Semiconductors NV (China) |
43 |
9,831 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR
(Taiwan) |
112 |
11,706 |
| Texas Instruments, Inc. |
35 |
5,904 |
| |
|
126,193 |
| Software — 19.4% | ||
| Adobe, Inc. * |
22 |
13,215 |
| Cadence Design Systems, Inc. * |
52 |
14,094 |
| Crowdstrike Holdings, Inc., Class A * |
40 |
10,300 |
| HubSpot, Inc. * |
11 |
6,211 |
| Intuit, Inc. |
26 |
16,161 |
| Microsoft Corp. |
360 |
135,397 |
| Oracle Corp. |
92 |
9,681 |
| Palo Alto Networks, Inc. * |
35 |
10,287 |
| Procore Technologies, Inc. * |
88 |
6,064 |
| Salesforce, Inc. * |
10 |
2,688 |
| ServiceNow, Inc. * |
17 |
12,177 |
| |
|
236,275 |
| Specialized REITs — 0.7% | ||
| Equinix, Inc. |
8 |
6,448 |
| VICI Properties, Inc., Class A |
75 |
2,381 |
| |
|
8,829 |
| Specialty Retail — 4.0% | ||
| Best Buy Co., Inc. |
86 |
6,739 |
| Burlington Stores, Inc. * |
54 |
10,361 |
| Lowe's Cos., Inc. |
106 |
23,584 |
| O'Reilly Automotive, Inc. * |
8 |
7,859 |
| |
|
48,543 |
| Technology Hardware, Storage & Peripherals — 10.2% | ||
| Apple, Inc. |
591 |
113,751 |
| Dell Technologies, Inc., Class C |
48 |
3,641 |
| Seagate Technology Holdings plc |
81 |
6,936 |
| |
|
124,328 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 92 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Tobacco — 0.3% | ||
| Philip Morris International, Inc. |
38 |
3,570 |
| Total Common Stocks (Cost $611,549) |
|
1,200,167 |
| Short-Term Investments — 1.8% | ||
| Investment Companies — 1.2% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (b) (c)
(Cost $14,179) |
14,173 |
14,184 |
| Investment of Cash Collateral from Securities Loaned — 0.6% | ||
| JPMorgan Securities Lending Money Market Fund
Agency SL Class Shares, 5.56% (b) (c) |
5,998 |
6,000 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (b) (c) |
1,368 |
1,368 |
| Total Investment of Cash Collateral from Securities
Loaned (Cost $7,368) |
|
7,368 |
| Total Short-Term Investments (Cost $21,547) |
|
21,552 |
| Total Investments — 100.5% (Cost $633,096) |
|
1,221,719 |
| Liabilities in Excess of Other Assets —
(0.5)% |
|
(5,894
) |
| NET ASSETS — 100.0% |
|
1,215,825 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| ADR |
American Depositary Receipt |
| NYRS |
New
York Registry Shares |
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
The
security or a portion of this security is on loan at December 31, 2023. The total
value of securities on loan at December 31, 2023 is $7,213. |
| (b) |
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc. |
| (c) |
The
rate shown is the current yield as of December 31, 2023. |
Futures contracts outstanding as of December 31, 2023 (amounts in
thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
50 |
03/15/2024 |
USD |
12,047 |
244 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
93 |
JPMorgan U.S. Large Cap
Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Long Positions — 125.7% | ||
| Common Stocks — 122.6% | ||
| Aerospace & Defense — 2.8% | ||
| Howmet Aerospace, Inc. |
381 |
20,608 |
| Northrop Grumman Corp. (a) |
19 |
9,100 |
| RTX Corp. |
157 |
13,212 |
| TransDigm Group, Inc. |
1 |
884 |
| |
|
43,804 |
| Air Freight & Logistics — 0.6% | ||
| United Parcel Service, Inc., Class B |
62 |
9,761 |
| Banks — 4.8% | ||
| Bank of America Corp. (a) |
564 |
18,992 |
| Fifth Third Bancorp |
405 |
13,964 |
| First Citizens BancShares, Inc., Class A |
1 |
1,433 |
| Truist Financial Corp. |
315 |
11,616 |
| Wells Fargo & Co. (a) |
623 |
30,670 |
| |
|
76,675 |
| Beverages — 2.6% | ||
| Coca-Cola Co. (The) (a) |
202 |
11,903 |
| Keurig Dr Pepper, Inc. |
44 |
1,466 |
| Monster Beverage Corp. * |
295 |
16,973 |
| PepsiCo, Inc. (a) |
65 |
11,102 |
| |
|
41,444 |
| Biotechnology — 4.9% | ||
| AbbVie, Inc. (a) |
168 |
26,038 |
| Biogen, Inc. * |
42 |
10,781 |
| BioMarin Pharmaceutical, Inc. * |
61 |
5,933 |
| Regeneron Pharmaceuticals, Inc. * |
18 |
15,717 |
| Sarepta Therapeutics, Inc. * |
53 |
5,134 |
| Vertex Pharmaceuticals, Inc. * |
37 |
14,918 |
| |
|
78,521 |
| Broadline Retail — 5.0% | ||
| Amazon.com, Inc. * (a) |
524 |
79,618 |
| Building Products — 1.4% | ||
| Trane Technologies plc |
93 |
22,676 |
| Capital Markets — 2.7% | ||
| Ameriprise Financial, Inc. |
2 |
803 |
| Charles Schwab Corp. (The) |
285 |
19,627 |
| Intercontinental Exchange, Inc. |
25 |
3,224 |
| Morgan Stanley (a) |
56 |
5,201 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| | ||
| Capital Markets — continued | ||
| Raymond James Financial, Inc. |
32 |
3,585 |
| S&P Global, Inc. |
26 |
11,183 |
| |
|
43,623 |
| Chemicals — 1.6% | ||
| Air Products and Chemicals, Inc. |
14 |
3,906 |
| Dow, Inc. |
59 |
3,220 |
| Linde plc |
44 |
17,964 |
| |
|
25,090 |
| Commercial Services & Supplies — 0.3% | ||
| Waste Connections, Inc. |
37 |
5,508 |
| Communications Equipment — 0.1% | ||
| Arista Networks, Inc. * |
5 |
1,097 |
| Construction Materials — 0.7% | ||
| Martin Marietta Materials, Inc. |
22 |
11,083 |
| Consumer Staples Distribution & Retail — 0.8% | ||
| Costco Wholesale Corp. |
20 |
13,276 |
| Electric Utilities — 3.0% | ||
| Entergy Corp. |
14 |
1,469 |
| NextEra Energy, Inc. (a) |
278 |
16,872 |
| PG&E Corp. |
889 |
16,027 |
| Southern Co. (The) |
201 |
14,119 |
| |
|
48,487 |
| Electrical Equipment — 1.2% | ||
| Eaton Corp. plc |
76 |
18,272 |
| Electronic Equipment, Instruments & Components — 0.5% | ||
| Corning, Inc. |
125 |
3,788 |
| Keysight Technologies, Inc. * |
29 |
4,652 |
| |
|
8,440 |
| Energy Equipment & Services — 0.8% | ||
| Baker Hughes Co. (a) |
325 |
11,122 |
| Schlumberger NV |
40 |
2,050 |
| |
|
13,172 |
| Entertainment — 1.4% | ||
| Endeavor Group Holdings, Inc., Class A |
678 |
16,081 |
| Take-Two Interactive Software, Inc. * |
25 |
4,063 |
| Warner Bros Discovery, Inc. * |
162 |
1,841 |
| |
|
21,985 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 94 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Long Positions — continued | ||
| Common Stocks — continued | ||
| Financial Services — 6.1% | ||
| Berkshire Hathaway, Inc., Class B * |
24 |
8,449 |
| Block, Inc. * |
133 |
10,307 |
| Fidelity National Information Services, Inc. |
61 |
3,691 |
| Fiserv, Inc. * |
87 |
11,589 |
| FleetCor Technologies, Inc. * |
28 |
7,892 |
| Mastercard, Inc., Class A (a) |
115 |
48,928 |
| WEX, Inc. * |
31 |
6,085 |
| |
|
96,941 |
| Food Products — 0.7% | ||
| Mondelez International, Inc., Class A (a) |
149 |
10,774 |
| Ground Transportation — 2.3% | ||
| CSX Corp. |
93 |
3,211 |
| Norfolk Southern Corp. (a) |
38 |
9,073 |
| Old Dominion Freight Line, Inc. |
8 |
3,214 |
| Uber Technologies, Inc. * |
184 |
11,318 |
| Union Pacific Corp. (a) |
31 |
7,524 |
| XPO, Inc. * |
23 |
2,067 |
| |
|
36,407 |
| Health Care Equipment & Supplies — 3.4% | ||
| Boston Scientific Corp. * (a) |
375 |
21,691 |
| Intuitive Surgical, Inc. * |
26 |
8,663 |
| Medtronic plc |
46 |
3,805 |
| Stryker Corp. |
66 |
19,822 |
| |
|
53,981 |
| Health Care Providers & Services — 3.0% | ||
| HCA Healthcare, Inc. |
8 |
2,109 |
| UnitedHealth Group, Inc. (a) |
86 |
45,359 |
| |
|
47,468 |
| Hotels, Restaurants & Leisure — 5.4% | ||
| Booking Holdings, Inc. * |
4 |
14,221 |
| Chipotle Mexican Grill, Inc. * |
7 |
16,498 |
| Expedia Group, Inc. * |
63 |
9,515 |
| Hilton Worldwide Holdings, Inc. |
49 |
9,036 |
| McDonald's Corp. (a) |
34 |
10,216 |
| Royal Caribbean Cruises Ltd. * |
53 |
6,835 |
| Yum! Brands, Inc. (a) |
154 |
20,078 |
| |
|
86,399 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| | ||
| Household Products — 1.0% | ||
| Church & Dwight Co., Inc. |
136 |
12,859 |
| Procter & Gamble Co. (The) (a) |
25 |
3,712 |
| |
|
16,571 |
| Industrial Conglomerates — 1.3% | ||
| Honeywell International, Inc. (a) |
95 |
19,990 |
| Industrial REITs — 0.7% | ||
| Prologis, Inc. |
80 |
10,618 |
| Insurance — 3.2% | ||
| Arthur J Gallagher & Co. |
19 |
4,257 |
| Globe Life, Inc. |
102 |
12,448 |
| MetLife, Inc. |
28 |
1,835 |
| Progressive Corp. (The) (a) |
142 |
22,655 |
| Travelers Cos., Inc. (The) |
51 |
9,697 |
| |
|
50,892 |
| Interactive Media & Services — 7.6% | ||
| Alphabet, Inc., Class C * |
67 |
9,402 |
| Alphabet, Inc., Class A * (a) |
395 |
55,241 |
| Meta Platforms, Inc., Class A * (a) |
150 |
53,189 |
| Pinterest, Inc., Class A * |
93 |
3,442 |
| |
|
121,274 |
| IT Services — 0.1% | ||
| Cognizant Technology Solutions Corp., Class A |
19 |
1,459 |
| Life Sciences Tools & Services — 1.4% | ||
| Danaher Corp. |
59 |
13,731 |
| Thermo Fisher Scientific, Inc. (a) |
18 |
9,323 |
| |
|
23,054 |
| Machinery — 2.7% | ||
| Deere & Co. (a) |
43 |
17,286 |
| Dover Corp. |
38 |
5,850 |
| Ingersoll Rand, Inc. |
227 |
17,537 |
| Otis Worldwide Corp. |
26 |
2,333 |
| |
|
43,006 |
| Media — 1.6% | ||
| Charter Communications, Inc., Class A * (a) |
12 |
4,749 |
| Comcast Corp., Class A (a) |
170 |
7,445 |
| Liberty Media Corp-Liberty SiriusXM * |
191 |
5,502 |
| Liberty Media Corp-Liberty SiriusXM, Class A * |
286 |
8,207 |
| |
|
25,903 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
95 |
JPMorgan U.S. Large Cap
Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Long Positions — continued | ||
| Common Stocks — continued | ||
| Multi-Utilities — 0.7% | ||
| CMS Energy Corp. |
64 |
3,734 |
| DTE Energy Co. |
30 |
3,270 |
| Public Service Enterprise Group, Inc. |
65 |
4,005 |
| |
|
11,009 |
| Oil, Gas & Consumable Fuels — 4.9% | ||
| Cheniere Energy, Inc. |
8 |
1,404 |
| ConocoPhillips (a) |
153 |
17,777 |
| Diamondback Energy, Inc. |
45 |
7,002 |
| EOG Resources, Inc. |
92 |
11,053 |
| Exxon Mobil Corp. (a) |
296 |
29,576 |
| Hess Corp. |
44 |
6,370 |
| Marathon Oil Corp. |
137 |
3,298 |
| Targa Resources Corp. |
26 |
2,290 |
| |
|
78,770 |
| Personal Care Products — 0.8% | ||
| Estee Lauder Cos., Inc. (The), Class A |
42 |
6,124 |
| Kenvue, Inc. |
335 |
7,227 |
| |
|
13,351 |
| Pharmaceuticals — 2.4% | ||
| Bristol-Myers Squibb Co. (a) |
267 |
13,703 |
| Elanco Animal Health, Inc. * |
108 |
1,604 |
| Eli Lilly & Co. (a) |
29 |
16,937 |
| Johnson & Johnson |
39 |
6,105 |
| |
|
38,349 |
| Professional Services — 0.4% | ||
| Booz Allen Hamilton Holding Corp. |
55 |
7,047 |
| Residential REITs — 0.1% | ||
| American Homes 4 Rent, Class A |
42 |
1,524 |
| Semiconductors & Semiconductor Equipment — 14.3% | ||
| Advanced Micro Devices, Inc. * |
150 |
22,153 |
| Analog Devices, Inc. (a) |
83 |
16,409 |
| ASML Holding NV (Registered), NYRS (Netherlands) |
19 |
14,335 |
| Microchip Technology, Inc. |
35 |
3,135 |
| Micron Technology, Inc. |
37 |
3,178 |
| NVIDIA Corp. (a) |
132 |
65,501 |
| NXP Semiconductors NV (China) |
168 |
38,637 |
| Qorvo, Inc. * |
19 |
2,140 |
| Skyworks Solutions, Inc. |
16 |
1,799 |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) |
291 |
30,250 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| | ||
| Semiconductors & Semiconductor Equipment — continued | ||
| Teradyne, Inc. |
86 |
9,287 |
| Texas Instruments, Inc. (a) |
110 |
18,740 |
| Universal Display Corp. |
9 |
1,770 |
| |
|
227,334 |
| Software — 11.9% | ||
| Adobe, Inc. * |
32 |
19,059 |
| Intuit, Inc. |
29 |
18,452 |
| Microsoft Corp. (a) |
341 |
128,270 |
| Roper Technologies, Inc. |
12 |
6,388 |
| ServiceNow, Inc. * |
26 |
18,086 |
| |
|
190,255 |
| Specialized REITs — 1.7% | ||
| American Tower Corp. |
7 |
1,382 |
| Digital Realty Trust, Inc. |
168 |
22,636 |
| Equinix, Inc. |
2 |
1,529 |
| SBA Communications Corp. |
6 |
1,554 |
| |
|
27,101 |
| Specialty Retail — 3.5% | ||
| AutoNation, Inc. * |
14 |
2,092 |
| Best Buy Co., Inc. |
58 |
4,559 |
| Burlington Stores, Inc. * |
69 |
13,447 |
| Lowe's Cos., Inc. (a) |
81 |
17,938 |
| O'Reilly Automotive, Inc. * (a) |
13 |
12,304 |
| TJX Cos., Inc. (The) |
51 |
4,761 |
| |
|
55,101 |
| Technology Hardware, Storage & Peripherals — 5.6% | ||
| Apple, Inc. (a) |
345 |
66,501 |
| Dell Technologies, Inc., Class C |
50 |
3,854 |
| Seagate Technology Holdings plc |
198 |
16,854 |
| Western Digital Corp. * |
35 |
1,817 |
| |
|
89,026 |
| Trading Companies & Distributors — 0.1% | ||
| WW Grainger, Inc. |
2 |
1,740 |
| Wireless Telecommunication Services — 0.5% | ||
| T-Mobile US, Inc. |
45 |
7,181 |
| Total Common Stocks (Cost $1,047,711) |
|
1,955,057 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 96 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Long Positions — continued | ||
| Short-Term Investments — 3.1% | ||
| Investment Companies — 3.1% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (b) (c)(Cost $48,721) |
48,695 |
48,734 |
| Total Long Positions (Cost $1,096,432) |
|
2,003,791 |
| Short Positions — (25.9)% | ||
| Common Stocks — (25.9)% | ||
| Aerospace & Defense — (1.2)% | ||
| Boeing Co. (The) * |
(19 ) |
(4,970 ) |
| General Dynamics Corp. |
(28 ) |
(7,188 ) |
| Huntington Ingalls Industries, Inc. |
(19 ) |
(5,022 ) |
| Spirit AeroSystems Holdings, Inc., Class A * |
(69 ) |
(2,196 ) |
| |
|
(19,376 ) |
| Air Freight & Logistics — (0.3)% | ||
| Expeditors International of Washington, Inc. |
(34 ) |
(4,319 ) |
| Automobiles — (0.4)% | ||
| Ford Motor Co. |
(490 ) |
(5,973 ) |
| Banks — (0.4)% | ||
| Huntington Bancshares, Inc. |
(187 ) |
(2,374 ) |
| PNC Financial Services Group, Inc. (The) |
(26 ) |
(4,035 ) |
| |
|
(6,409 ) |
| Beverages — (0.2)% | ||
| Molson Coors Beverage Co., Class B |
(46 ) |
(2,805 ) |
| Biotechnology — (0.4)% | ||
| Amgen, Inc. |
(11 ) |
(3,139 ) |
| Gilead Sciences, Inc. |
(24 ) |
(1,895 ) |
| Moderna, Inc. * |
(21 ) |
(2,107 ) |
| |
|
(7,141 ) |
| Broadline Retail — (0.2)% | ||
| eBay, Inc. |
(65 ) |
(2,823 ) |
| Building Products — (0.2)% | ||
| Johnson Controls International plc |
(63 ) |
(3,634 ) |
| Capital Markets — (1.8)% | ||
| Bank of New York Mellon Corp. (The) |
(77 ) |
(4,020 ) |
| BlackRock, Inc. |
(2 ) |
(1,615 ) |
| Coinbase Global, Inc., Class A * |
(17 ) |
(3,005 ) |
| FactSet Research Systems, Inc. |
(10 ) |
(4,534 ) |
| Franklin Resources, Inc. |
(61 ) |
(1,821 ) |
| Goldman Sachs Group, Inc. (The) |
(7 ) |
(2,546 ) |
| LPL Financial Holdings, Inc. |
(18 ) |
(4,063 ) |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| | ||
| Capital Markets — continued | ||
| MSCI, Inc. |
(2 ) |
(1,252 ) |
| Nasdaq, Inc. |
(71 ) |
(4,153 ) |
| T. Rowe Price Group, Inc. |
(9 ) |
(945 ) |
| |
|
(27,954 ) |
| Communications Equipment — (0.9)% | ||
| Cisco Systems, Inc. |
(188 ) |
(9,486 ) |
| Juniper Networks, Inc. |
(155 ) |
(4,573 ) |
| |
|
(14,059 ) |
| Consumer Finance — (0.3)% | ||
| Synchrony Financial |
(106 ) |
(4,028 ) |
| Consumer Staples Distribution & Retail — (0.9)% | ||
| Kroger Co. (The) |
(97 ) |
(4,448 ) |
| Sysco Corp. |
(92 ) |
(6,725 ) |
| Walgreens Boots Alliance, Inc. |
(135 ) |
(3,528 ) |
| |
|
(14,701 ) |
| Containers & Packaging — (0.2)% | ||
| International Paper Co. |
(111 ) |
(4,009 ) |
| Diversified Telecommunication Services — (0.3)% | ||
| AT&T, Inc. |
(119 ) |
(2,004 ) |
| Verizon Communications, Inc. |
(76 ) |
(2,857 ) |
| |
|
(4,861 ) |
| Electric Utilities — (1.3)% | ||
| American Electric Power Co., Inc. |
(52 ) |
(4,214 ) |
| Duke Energy Corp. |
(16 ) |
(1,550 ) |
| Edison International |
(66 ) |
(4,756 ) |
| Exelon Corp. |
(105 ) |
(3,772 ) |
| FirstEnergy Corp. |
(103 ) |
(3,787 ) |
| Xcel Energy, Inc. |
(47 ) |
(2,889 ) |
| |
|
(20,968 ) |
| Electrical Equipment — (0.3)% | ||
| Acuity Brands, Inc. |
(23 ) |
(4,782 ) |
| Energy Equipment & Services — (0.2)% | ||
| Halliburton Co. |
(80 ) |
(2,902 ) |
| Entertainment — (0.3)% | ||
| Electronic Arts, Inc. |
(34 ) |
(4,582 ) |
| Financial Services — (1.7)% | ||
| Affirm Holdings, Inc. * |
(32 ) |
(1,562 ) |
| Global Payments, Inc. |
(28 ) |
(3,561 ) |
| PayPal Holdings, Inc. * |
(86 ) |
(5,279 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
97 |
JPMorgan U.S. Large Cap
Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short Positions — continued | ||
| Common Stocks — continued | ||
| Financial Services — continued | ||
| Toast, Inc., Class A * |
(290 ) |
(5,293 ) |
| Voya Financial, Inc. |
(65 ) |
(4,781 ) |
| Western Union Co. (The) |
(557 ) |
(6,640 ) |
| |
|
(27,116 ) |
| Food Products — (0.7)% | ||
| Campbell Soup Co. |
(102 ) |
(4,406 ) |
| General Mills, Inc. |
(56 ) |
(3,629 ) |
| Kraft Heinz Co. (The) |
(67 ) |
(2,489 ) |
| |
|
(10,524 ) |
| Gas Utilities — (0.1)% | ||
| National Fuel Gas Co. |
(33 ) |
(1,652 ) |
| Ground Transportation — (0.0)% ^ | ||
| Werner Enterprises, Inc. |
(15 ) |
(614 ) |
| Health Care Equipment & Supplies — (0.4)% | ||
| Abbott Laboratories |
(21 ) |
(2,308 ) |
| Dentsply Sirona, Inc. |
(44 ) |
(1,559 ) |
| Zimmer Biomet Holdings, Inc. |
(25 ) |
(3,123 ) |
| |
|
(6,990 ) |
| Health Care Providers & Services — (0.3)% | ||
| Henry Schein, Inc. * |
(31 ) |
(2,334 ) |
| Quest Diagnostics, Inc. |
(14 ) |
(1,985 ) |
| |
|
(4,319 ) |
| Hotels, Restaurants & Leisure — (0.5)% | ||
| Carnival Corp. * |
(116 ) |
(2,141 ) |
| Starbucks Corp. |
(57 ) |
(5,493 ) |
| |
|
(7,634 ) |
| Industrial Conglomerates — (0.2)% | ||
| 3M Co. |
(31 ) |
(3,381 ) |
| Insurance — (1.0)% | ||
| Aflac, Inc. |
(17 ) |
(1,388 ) |
| Allstate Corp. (The) |
(33 ) |
(4,652 ) |
| American International Group, Inc. |
(12 ) |
(813 ) |
| Aon plc, Class A |
(13 ) |
(3,731 ) |
| Kinsale Capital Group, Inc. |
(8 ) |
(2,581 ) |
| Marsh & McLennan Cos., Inc. |
(7 ) |
(1,402 ) |
| WR Berkley Corp. |
(12 ) |
(831 ) |
| |
|
(15,398 ) |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| | ||
| IT Services — (0.6)% | ||
| EPAM Systems, Inc. * |
(13 ) |
(3,717 ) |
| International Business Machines Corp. |
(38 ) |
(6,276 ) |
| |
|
(9,993 ) |
| Life Sciences Tools & Services — (0.8)% | ||
| Agilent Technologies, Inc. |
(26 ) |
(3,578 ) |
| Bruker Corp. |
(58 ) |
(4,249 ) |
| Waters Corp. * |
(16 ) |
(5,281 ) |
| |
|
(13,108 ) |
| Machinery — (1.2)% | ||
| Donaldson Co., Inc. |
(84 ) |
(5,462 ) |
| IDEX Corp. |
(19 ) |
(4,228 ) |
| Illinois Tool Works, Inc. |
(21 ) |
(5,545 ) |
| PACCAR, Inc. * |
(15 ) |
(1,517 ) |
| Stanley Black & Decker, Inc. |
(27 ) |
(2,613 ) |
| |
|
(19,365 ) |
| Media — (1.1)% | ||
| Fox Corp., Class A |
(199 ) |
(5,892 ) |
| Interpublic Group of Cos., Inc. (The) |
(67 ) |
(2,204 ) |
| Omnicom Group, Inc. |
(45 ) |
(3,880 ) |
| Paramount Global, Class B |
(378 ) |
(5,596 ) |
| |
|
(17,572 ) |
| Multi-Utilities — (0.1)% | ||
| Consolidated Edison, Inc. |
(16 ) |
(1,431 ) |
| Office REITs — (0.2)% | ||
| SL Green Realty Corp. |
(33 ) |
(1,480 ) |
| Vornado Realty Trust |
(50 ) |
(1,428 ) |
| |
|
(2,908 ) |
| Oil, Gas & Consumable Fuels — (1.2)% | ||
| APA Corp. |
(81 ) |
(2,892 ) |
| Coterra Energy, Inc. |
(30 ) |
(757 ) |
| Devon Energy Corp. |
(74 ) |
(3,359 ) |
| Enbridge, Inc. (Canada) |
(115 ) |
(4,164 ) |
| Kinder Morgan, Inc. |
(120 ) |
(2,117 ) |
| Marathon Petroleum Corp. |
(9 ) |
(1,301 ) |
| ONEOK, Inc. |
(18 ) |
(1,252 ) |
| Valero Energy Corp. |
(21 ) |
(2,788 ) |
| |
|
(18,630 ) |
| Passenger Airlines — (0.4)% | ||
| American Airlines Group, Inc. * |
(106 ) |
(1,463 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 98 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short Positions — continued | ||
| Common Stocks — continued | ||
| Passenger Airlines — continued | ||
| Delta Air Lines, Inc. |
(41 ) |
(1,631 ) |
| Southwest Airlines Co. |
(87 ) |
(2,515 ) |
| |
|
(5,609 ) |
| Professional Services — (0.6)% | ||
| Ceridian HCM Holding, Inc. * |
(60 ) |
(4,009 ) |
| Equifax, Inc. |
(4 ) |
(971 ) |
| Paychex, Inc. |
(26 ) |
(3,062 ) |
| Paycom Software, Inc. |
(9 ) |
(1,983 ) |
| |
|
(10,025 ) |
| Retail REITs — (0.5)% | ||
| NNN REIT, Inc. |
(30 ) |
(1,285 ) |
| Simon Property Group, Inc. |
(50 ) |
(7,087 ) |
| |
|
(8,372 ) |
| Semiconductors & Semiconductor Equipment — (2.1)% | ||
| Applied Materials, Inc. |
(78 ) |
(12,623 ) |
| ARM Holdings plc * |
(26 ) |
(1,967 ) |
| Broadcom, Inc. |
(1 ) |
(1,498 ) |
| Intel Corp. |
(179 ) |
(8,972 ) |
| KLA Corp. |
(3 ) |
(1,907 ) |
| QUALCOMM, Inc. |
(50 ) |
(7,267 ) |
| |
|
(34,234 ) |
| Software — (0.2)% | ||
| Workday, Inc., Class A * |
(12 ) |
(3,312 ) |
| Specialized REITs — (0.1)% | ||
| Iron Mountain, Inc. |
(25 ) |
(1,749 ) |
| Specialty Retail — (0.6)% | ||
| CarMax, Inc. * |
(19 ) |
(1,420 ) |
| Home Depot, Inc. (The) |
(20 ) |
(7,068 ) |
| Ulta Beauty, Inc. * |
(2 ) |
(867 ) |
| |
|
(9,355 ) |
| Technology Hardware, Storage & Peripherals — (1.0)% | ||
| Hewlett Packard Enterprise Co. |
(308 ) |
(5,236 ) |
| NetApp, Inc. |
(106 ) |
(9,321 ) |
| Xerox Holdings Corp. |
(48 ) |
(884 ) |
| |
|
(15,441 ) |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| | ||
| Textiles, Apparel & Luxury Goods — (0.1)% | ||
| NIKE, Inc., Class B |
(15 ) |
(1,626 ) |
| On Holding AG (Switzerland), Class A * |
(26 ) |
(698 ) |
| |
|
(2,324 ) |
| Trading Companies & Distributors — (0.4)% | ||
| Fastenal Co. |
(100 ) |
(6,506 ) |
| Total Common Stocks
(Proceeds $(414,795)) |
|
(412,888
) |
| Total Short Positions (Proceeds $(414,795)) |
|
(412,888
) |
| Total Investments — 99.8% (Cost $681,637) |
|
1,590,903 |
| Other Assets Less Liabilities — 0.2% |
|
3,181 |
| Net Assets — 100.0% |
|
1,594,084 |
| Percentages indicated are based on net assets. | ||
| Amounts presented as a dash ("-") represent amounts that round to less than a thousand. |
| Abbreviations |
|
| ADR |
American Depositary Receipt |
| NYRS |
New
York Registry Shares |
| REIT |
Real
Estate Investment Trust |
| ^ |
Amount rounds to less than 0.1% of net assets. | |
| * |
Non-income producing security. |
|
| (a) |
All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is $561,165. |
|
| (b) |
Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
|
| (c) |
The rate shown is the current yield as of December 31, 2023. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
99 |
JPMorgan U.S. Large Cap
Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
Futures contracts outstanding as of December 31, 2023 (amounts in thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
93 |
03/15/2024 |
USD |
22,407 |
113 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 100 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan U.S. Research
Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 99.1% | ||
| Aerospace & Defense — 1.4% | ||
| Howmet Aerospace, Inc. |
466 |
25,229 |
| RTX Corp. |
608 |
51,153 |
| Textron, Inc. |
377 |
30,281 |
| |
|
106,663 |
| Air Freight & Logistics — 1.1% | ||
| FedEx Corp. |
89 |
22,562 |
| United Parcel Service, Inc., Class B |
386 |
60,671 |
| |
|
83,233 |
| Automobile Components — 0.2% | ||
| Aptiv plc * |
170 |
15,262 |
| BorgWarner, Inc. |
43 |
1,556 |
| |
|
16,818 |
| Automobiles — 1.5% | ||
| Tesla, Inc. * |
480 |
119,404 |
| Banks — 3.4% | ||
| Bank of America Corp. |
2,665 |
89,737 |
| Fifth Third Bancorp |
667 |
23,012 |
| Truist Financial Corp. |
1,111 |
41,000 |
| US Bancorp |
995 |
43,068 |
| Wells Fargo & Co. |
1,280 |
62,997 |
| |
|
259,814 |
| Beverages — 2.0% | ||
| Coca-Cola Co. (The) |
1,207 |
71,132 |
| Constellation Brands, Inc., Class A |
27 |
6,554 |
| Monster Beverage Corp. * |
168 |
9,680 |
| PepsiCo, Inc. |
396 |
67,158 |
| |
|
154,524 |
| Biotechnology — 2.9% | ||
| AbbVie, Inc. |
604 |
93,638 |
| Biogen, Inc. * |
93 |
24,188 |
| BioMarin Pharmaceutical, Inc. * |
74 |
7,138 |
| Neurocrine Biosciences, Inc. * |
41 |
5,383 |
| Regeneron Pharmaceuticals, Inc. * |
54 |
47,034 |
| Sarepta Therapeutics, Inc. * |
29 |
2,749 |
| Vertex Pharmaceuticals, Inc. * |
118 |
48,105 |
| |
|
228,235 |
| Broadline Retail — 4.0% | ||
| Amazon.com, Inc. * |
2,041 |
310,123 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Building Products — 1.0% | ||
| Masco Corp. |
296 |
19,824 |
| Trane Technologies plc |
232 |
56,546 |
| |
|
76,370 |
| Capital Markets — 2.8% | ||
| Blackstone, Inc. |
56 |
7,372 |
| Charles Schwab Corp. (The) |
480 |
33,046 |
| CME Group, Inc. |
138 |
29,048 |
| Goldman Sachs Group, Inc. (The) |
74 |
28,393 |
| Intercontinental Exchange, Inc. |
323 |
41,530 |
| Morgan Stanley |
468 |
43,633 |
| S&P Global, Inc. |
69 |
30,119 |
| |
|
213,141 |
| Chemicals — 2.1% | ||
| Air Products and Chemicals, Inc. |
75 |
20,589 |
| Dow, Inc. |
654 |
35,852 |
| Eastman Chemical Co. |
220 |
19,785 |
| Linde plc |
133 |
54,795 |
| LyondellBasell Industries NV, Class A |
190 |
18,012 |
| PPG Industries, Inc. |
104 |
15,586 |
| |
|
164,619 |
| Commercial Services & Supplies — 0.1% | ||
| Cintas Corp. |
13 |
8,110 |
| Communications Equipment — 0.2% | ||
| Motorola Solutions, Inc. |
44 |
13,715 |
| Consumer Finance — 0.1% | ||
| American Express Co. |
34 |
6,359 |
| Consumer Staples Distribution & Retail — 2.1% | ||
| Costco Wholesale Corp. |
113 |
74,625 |
| Dollar Tree, Inc. * |
70 |
9,958 |
| Target Corp. |
245 |
34,878 |
| Walmart, Inc. |
260 |
40,951 |
| |
|
160,412 |
| Distributors — 0.1% | ||
| LKQ Corp. |
134 |
6,383 |
| Electric Utilities — 1.9% | ||
| Constellation Energy Corp. |
86 |
9,974 |
| NextEra Energy, Inc. |
758 |
46,057 |
| PG&E Corp. |
2,438 |
43,960 |
| Southern Co. (The) |
713 |
49,988 |
| |
|
149,979 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
101 |
JPMorgan U.S. Research
Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Electrical Equipment — 0.6% | ||
| Eaton Corp. plc |
207 |
49,813 |
| Electronic Equipment, Instruments & Components — 0.3% | ||
| Corning, Inc. |
241 |
7,346 |
| Keysight Technologies, Inc. * |
127 |
20,093 |
| |
|
27,439 |
| Energy Equipment & Services — 0.1% | ||
| Baker Hughes Co. |
276 |
9,451 |
| Entertainment — 0.5% | ||
| Netflix, Inc. * |
76 |
36,961 |
| Warner Bros Discovery, Inc. * |
532 |
6,056 |
| |
|
43,017 |
| Financial Services — 4.7% | ||
| Berkshire Hathaway, Inc., Class B * |
287 |
102,285 |
| Block, Inc. * |
51 |
3,922 |
| Fiserv, Inc. * |
84 |
11,238 |
| FleetCor Technologies, Inc. * |
105 |
29,776 |
| Mastercard, Inc., Class A |
284 |
121,235 |
| Visa, Inc., Class A |
364 |
94,700 |
| |
|
363,156 |
| Food Products — 0.7% | ||
| Mondelez International, Inc., Class A |
789 |
57,137 |
| Ground Transportation — 1.1% | ||
| CSX Corp. |
454 |
15,743 |
| Norfolk Southern Corp. |
85 |
20,090 |
| Uber Technologies, Inc. * |
466 |
28,700 |
| Union Pacific Corp. |
92 |
22,443 |
| |
|
86,976 |
| Health Care Equipment & Supplies — 2.4% | ||
| Baxter International, Inc. |
299 |
11,557 |
| Becton Dickinson & Co. |
54 |
13,176 |
| Boston Scientific Corp. * |
952 |
55,051 |
| Dexcom, Inc. * |
74 |
9,156 |
| Intuitive Surgical, Inc. * |
47 |
15,699 |
| Medtronic plc |
505 |
41,635 |
| Stryker Corp. |
120 |
36,023 |
| |
|
182,297 |
| Health Care Providers & Services — 2.8% | ||
| Centene Corp. * |
308 |
22,832 |
| CVS Health Corp. |
142 |
11,250 |
| Elevance Health, Inc. |
72 |
33,790 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Health Care Providers & Services — continued | ||
| Humana, Inc. |
39 |
17,862 |
| McKesson Corp. |
25 |
11,644 |
| UnitedHealth Group, Inc. |
230 |
121,349 |
| |
|
218,727 |
| Health Care REITs — 0.5% | ||
| Ventas, Inc. |
534 |
26,594 |
| Welltower, Inc. |
102 |
9,207 |
| |
|
35,801 |
| Hotels, Restaurants & Leisure — 2.7% | ||
| Booking Holdings, Inc. * |
16 |
55,141 |
| Chipotle Mexican Grill, Inc. * |
20 |
45,051 |
| Expedia Group, Inc. * |
211 |
32,093 |
| Marriott International, Inc., Class A |
100 |
22,517 |
| Royal Caribbean Cruises Ltd. * |
182 |
23,590 |
| Yum! Brands, Inc. |
253 |
33,122 |
| |
|
211,514 |
| Household Durables — 0.3% | ||
| Lennar Corp., Class A |
72 |
10,754 |
| Toll Brothers, Inc. |
91 |
9,297 |
| |
|
20,051 |
| Household Products — 0.8% | ||
| Church & Dwight Co., Inc. |
221 |
20,917 |
| Procter & Gamble Co. (The) |
281 |
41,141 |
| |
|
62,058 |
| Industrial Conglomerates — 1.1% | ||
| Honeywell International, Inc. |
393 |
82,522 |
| Industrial REITs — 0.8% | ||
| Prologis, Inc. |
441 |
58,789 |
| Insurance — 2.2% | ||
| Aflac, Inc. |
232 |
19,145 |
| Chubb Ltd. |
110 |
24,810 |
| Globe Life, Inc. |
152 |
18,524 |
| MetLife, Inc. |
254 |
16,764 |
| Progressive Corp. (The) |
290 |
46,216 |
| Travelers Cos., Inc. (The) |
238 |
45,316 |
| |
|
170,775 |
| Interactive Media & Services — 5.8% | ||
| Alphabet, Inc., Class A * |
1,135 |
158,651 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 102 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Interactive Media & Services — continued | ||
| Alphabet, Inc., Class C * |
797 |
112,307 |
| Meta Platforms, Inc., Class A * |
511 |
180,805 |
| |
|
451,763 |
| IT Services — 1.3% | ||
| Accenture plc, Class A |
183 |
64,211 |
| Cognizant Technology Solutions Corp., Class A |
463 |
34,947 |
| |
|
99,158 |
| Life Sciences Tools & Services — 1.3% | ||
| Danaher Corp. |
210 |
48,558 |
| Thermo Fisher Scientific, Inc. |
97 |
51,491 |
| |
|
100,049 |
| Machinery — 1.7% | ||
| Deere & Co. |
164 |
65,585 |
| Dover Corp. |
115 |
17,688 |
| Ingersoll Rand, Inc. |
81 |
6,288 |
| Otis Worldwide Corp. |
451 |
40,322 |
| |
|
129,883 |
| Media — 1.3% | ||
| Charter Communications, Inc., Class A * |
76 |
29,662 |
| Comcast Corp., Class A |
1,477 |
64,744 |
| Liberty Media Corp-Liberty SiriusXM, Class A * |
138 |
3,960 |
| |
|
98,366 |
| Metals & Mining — 0.2% | ||
| Nucor Corp. |
70 |
12,146 |
| Multi-Utilities — 0.4% | ||
| DTE Energy Co. |
34 |
3,815 |
| Public Service Enterprise Group, Inc. |
476 |
29,091 |
| |
|
32,906 |
| Oil, Gas & Consumable Fuels — 3.8% | ||
| Chevron Corp. |
214 |
31,903 |
| ConocoPhillips |
450 |
52,224 |
| Diamondback Energy, Inc. |
204 |
31,665 |
| EOG Resources, Inc. |
430 |
52,093 |
| Exxon Mobil Corp. |
1,184 |
118,361 |
| Marathon Oil Corp. |
219 |
5,291 |
| |
|
291,537 |
| Passenger Airlines — 0.1% | ||
| Delta Air Lines, Inc. |
277 |
11,148 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Personal Care Products — 0.3% | ||
| Kenvue, Inc. |
959 |
20,651 |
| Pharmaceuticals — 3.1% | ||
| Bristol-Myers Squibb Co. |
1,070 |
54,894 |
| Eli Lilly & Co. |
140 |
81,470 |
| Johnson & Johnson |
377 |
59,176 |
| Merck & Co., Inc. |
375 |
40,875 |
| |
|
236,415 |
| Professional Services — 0.2% | ||
| Leidos Holdings, Inc. |
164 |
17,783 |
| Residential REITs — 0.4% | ||
| Equity LifeStyle Properties, Inc. |
191 |
13,497 |
| Sun Communities, Inc. |
68 |
9,089 |
| UDR, Inc. |
175 |
6,688 |
| |
|
29,274 |
| Semiconductors & Semiconductor Equipment — 8.7% | ||
| Advanced Micro Devices, Inc. * |
462 |
68,051 |
| Analog Devices, Inc. |
301 |
59,886 |
| Broadcom, Inc. |
33 |
37,283 |
| Lam Research Corp. |
94 |
73,451 |
| NVIDIA Corp. |
526 |
260,709 |
| NXP Semiconductors NV (China) |
305 |
69,976 |
| Qorvo, Inc. * |
108 |
12,129 |
| Teradyne, Inc. |
167 |
18,099 |
| Texas Instruments, Inc. |
436 |
74,343 |
| |
|
673,927 |
| Software — 10.6% | ||
| Adobe, Inc. * |
142 |
84,601 |
| Cadence Design Systems, Inc. * |
53 |
14,396 |
| Intuit, Inc. |
94 |
58,839 |
| Microsoft Corp. |
1,548 |
582,173 |
| Oracle Corp. |
230 |
24,305 |
| ServiceNow, Inc. * |
74 |
52,108 |
| |
|
816,422 |
| Specialized REITs — 0.7% | ||
| Digital Realty Trust, Inc. |
206 |
27,691 |
| SBA Communications Corp. |
106 |
26,975 |
| |
|
54,666 |
| Specialty Retail — 2.6% | ||
| AutoNation, Inc. * |
82 |
12,271 |
| AutoZone, Inc. * |
16 |
42,709 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
103 |
JPMorgan U.S. Research
Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Specialty Retail — continued | ||
| Best Buy Co., Inc. |
307 |
24,028 |
| Burlington Stores, Inc. * |
83 |
16,087 |
| Lowe's Cos., Inc. |
336 |
74,726 |
| O'Reilly Automotive, Inc. * |
10 |
9,978 |
| TJX Cos., Inc. (The) |
258 |
24,174 |
| |
|
203,973 |
| Technology Hardware, Storage & Peripherals — 7.3% | ||
| Apple, Inc. |
2,756 |
530,522 |
| Seagate Technology Holdings plc |
374 |
31,942 |
| |
|
562,464 |
| Tobacco — 0.4% | ||
| Altria Group, Inc. |
203 |
8,169 |
| Philip Morris International, Inc. |
210 |
19,778 |
| |
|
27,947 |
| Trading Companies & Distributors — 0.2% | ||
| United Rentals, Inc. |
24 |
13,991 |
| Wireless Telecommunication Services — 0.2% | ||
| T-Mobile US, Inc. |
79 |
12,634 |
| Total Common Stocks (Cost $4,519,798) |
|
7,654,528 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short-Term Investments — 0.8% | ||
| Investment Companies — 0.8% | ||
| JPMorgan Prime Money Market Fund Class IM Shares,
5.51% (a) (b)
(Cost $62,266) |
62,250 |
62,299 |
| Total Investments — 99.9% (Cost $4,582,064) |
|
7,716,827 |
| Other Assets Less Liabilities —
0.1% |
|
8,440 |
| NET ASSETS — 100.0% |
|
7,725,267 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc. |
| (b) |
The
rate shown is the current yield as of December 31, 2023. |
Futures contracts outstanding as of December 31, 2023 (amounts in
thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini Index |
253 |
03/15/2024 |
USD |
60,957 |
2,013 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 104 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
JPMorgan U.S. Sustainable
Leaders Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 98.3% | ||
| Automobile Components — 0.6% | ||
| Aptiv plc * |
13 |
1,131 |
| Automobiles — 1.0% | ||
| Tesla, Inc. * |
8 |
1,928 |
| Banks — 3.9% | ||
| Bank of America Corp. |
118 |
3,975 |
| Fifth Third Bancorp |
63 |
2,187 |
| Truist Financial Corp. |
34 |
1,242 |
| |
|
7,404 |
| Biotechnology — 2.8% | ||
| Amgen, Inc. |
5 |
1,441 |
| Regeneron Pharmaceuticals, Inc. * |
3 |
2,077 |
| Vertex Pharmaceuticals, Inc. * |
4 |
1,695 |
| |
|
5,213 |
| Broadline Retail — 3.8% | ||
| Amazon.com, Inc. * |
47 |
7,169 |
| Building Products — 1.6% | ||
| Trane Technologies plc |
12 |
2,961 |
| Capital Markets — 4.0% | ||
| Charles Schwab Corp. (The) |
31 |
2,156 |
| CME Group, Inc. |
6 |
1,230 |
| Morgan Stanley |
15 |
1,376 |
| S&P Global, Inc. |
6 |
2,860 |
| |
|
7,622 |
| Chemicals — 2.1% | ||
| Ecolab, Inc. |
8 |
1,478 |
| Linde plc |
6 |
2,586 |
| |
|
4,064 |
| Commercial Services & Supplies — 1.1% | ||
| Waste Management, Inc. |
12 |
2,169 |
| Consumer Staples Distribution & Retail — 3.0% | ||
| Costco Wholesale Corp. |
7 |
4,794 |
| Target Corp. |
6 |
801 |
| |
|
5,595 |
| Containers & Packaging — 0.5% | ||
| Ball Corp. |
18 |
1,024 |
| Diversified Telecommunication Services — 0.8% | ||
| Verizon Communications, Inc. |
41 |
1,538 |
| Electric Utilities — 3.2% | ||
| NextEra Energy, Inc. |
40 |
2,414 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Electric Utilities — continued | ||
| PG&E Corp. |
102 |
1,847 |
| Xcel Energy, Inc. |
29 |
1,786 |
| |
|
6,047 |
| Electrical Equipment — 1.6% | ||
| Eaton Corp. plc |
12 |
2,943 |
| Energy Equipment & Services — 1.8% | ||
| Baker Hughes Co. |
100 |
3,423 |
| Entertainment — 1.5% | ||
| Netflix, Inc. * |
3 |
1,201 |
| Walt Disney Co. (The) * |
18 |
1,626 |
| |
|
2,827 |
| Financial Services — 3.6% | ||
| Mastercard, Inc., Class A |
16 |
6,904 |
| Food Products — 0.8% | ||
| General Mills, Inc. |
23 |
1,479 |
| Ground Transportation — 1.5% | ||
| Union Pacific Corp. |
12 |
2,882 |
| Health Care Equipment & Supplies — 2.6% | ||
| Boston Scientific Corp. * |
61 |
3,496 |
| Hologic, Inc. * |
21 |
1,514 |
| |
|
5,010 |
| Health Care Providers & Services — 3.2% | ||
| Elevance Health, Inc. |
3 |
1,409 |
| UnitedHealth Group, Inc. |
9 |
4,750 |
| |
|
6,159 |
| Industrial REITs — 1.7% | ||
| Prologis, Inc. |
24 |
3,187 |
| Insurance — 3.7% | ||
| Marsh & McLennan Cos., Inc. |
7 |
1,362 |
| MetLife, Inc. |
21 |
1,402 |
| Progressive Corp. (The) |
15 |
2,286 |
| Travelers Cos., Inc. (The) |
10 |
1,922 |
| |
|
6,972 |
| Interactive Media & Services — 4.7% | ||
| Alphabet, Inc., Class A * |
63 |
8,844 |
| IT Services — 0.6% | ||
| Accenture plc, Class A |
3 |
1,060 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
105 |
JPMorgan U.S. Sustainable
Leaders Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Life Sciences Tools & Services — 2.9% | ||
| IQVIA Holdings, Inc. * |
11 |
2,483 |
| Thermo Fisher Scientific, Inc. |
5 |
3,033 |
| |
|
5,516 |
| Machinery — 1.9% | ||
| Deere & Co. |
5 |
1,987 |
| Ingersoll Rand, Inc. |
21 |
1,633 |
| |
|
3,620 |
| Media — 0.5% | ||
| Charter Communications, Inc., Class A * |
2 |
942 |
| Metals & Mining — 0.2% | ||
| Alcoa Corp. |
13 |
455 |
| Personal Care Products — 0.4% | ||
| Estee Lauder Cos., Inc. (The), Class A |
5 |
744 |
| Pharmaceuticals — 3.1% | ||
| Bristol-Myers Squibb Co. |
36 |
1,862 |
| Eli Lilly & Co. |
3 |
1,515 |
| Merck & Co., Inc. |
23 |
2,568 |
| |
|
5,945 |
| Semiconductors & Semiconductor Equipment — 6.9% | ||
| Advanced Micro Devices, Inc. * |
13 |
1,883 |
| Lam Research Corp. |
2 |
1,511 |
| NVIDIA Corp. |
13 |
6,315 |
| NXP Semiconductors NV (China) |
7 |
1,652 |
| Texas Instruments, Inc. |
10 |
1,800 |
| |
|
13,161 |
| Software — 14.2% | ||
| Adobe, Inc. * |
3 |
1,595 |
| Autodesk, Inc. * |
4 |
995 |
| Cadence Design Systems, Inc. * |
8 |
2,281 |
| Crowdstrike Holdings, Inc., Class A * |
4 |
1,011 |
| Intuit, Inc. |
4 |
2,484 |
| Microsoft Corp. |
41 |
15,491 |
| Oracle Corp. |
19 |
1,956 |
| Palo Alto Networks, Inc. * |
4 |
1,079 |
| |
|
26,892 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Specialized REITs — 1.2% | ||
| Equinix, Inc. |
1 |
1,146 |
| Weyerhaeuser Co. |
30 |
1,032 |
| |
|
2,178 |
| Specialty Retail — 4.3% | ||
| Best Buy Co., Inc. |
14 |
1,101 |
| Lowe's Cos., Inc. |
13 |
3,018 |
| TJX Cos., Inc. (The) |
34 |
3,199 |
| Tractor Supply Co. |
4 |
793 |
| |
|
8,111 |
| Technology Hardware, Storage & Peripherals — 7.0% | ||
| Apple, Inc. |
62 |
11,916 |
| Seagate Technology Holdings plc |
16 |
1,354 |
| |
|
13,270 |
| Total Common Stocks
(Cost $138,156) |
|
186,389 |
| Short-Term Investments — 1.5% | ||
| Investment Companies — 1.5% | ||
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) (Cost $2,901) |
2,900 |
2,903 |
| Total Investments — 99.8% (Cost $141,057) |
|
189,292 |
| Other Assets Less Liabilities —
0.2% |
|
396 |
| NET ASSETS — 100.0% |
|
189,688 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| * |
Non-income producing security. |
| (a) |
Investment in an affiliated fund, which is registered under the
Investment Company Act of 1940, as amended, and is advised by
J.P. Morgan Investment Management Inc. |
| (b) |
The
rate shown is the current yield as of December 31, 2023. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 106 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
Futures contracts outstanding as of December 31, 2023 (amounts in thousands, except number of contracts):
| DESCRIPTION |
NUMBER OF
CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL
AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
| Long Contracts |
|
|
|
|
|
| S&P 500 E-Mini ESG Equity Index |
14 |
03/15/2024 |
USD |
2,991 |
88 |
| Abbreviations |
|
| USD |
United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
107 |
JPMorgan U.S. Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — 98.6% | ||
| Aerospace & Defense — 3.5% | ||
| General Dynamics Corp. |
245 |
63,625 |
| Northrop Grumman Corp. |
134 |
62,834 |
| RTX Corp. |
720 |
60,575 |
| |
|
187,034 |
| Air Freight & Logistics — 1.9% | ||
| United Parcel Service, Inc., Class B |
640 |
100,601 |
| Banks — 7.6% | ||
| Bank of America Corp. |
2,959 |
99,640 |
| M&T Bank Corp. |
367 |
50,328 |
| PNC Financial Services Group, Inc. (The) |
360 |
55,748 |
| US Bancorp |
1,446 |
62,557 |
| Wells Fargo & Co. |
2,752 |
135,454 |
| |
|
403,727 |
| Beverages — 0.8% | ||
| PepsiCo, Inc. |
239 |
40,559 |
| Biotechnology — 3.9% | ||
| AbbVie, Inc. |
534 |
82,705 |
| Biogen, Inc. * |
67 |
17,206 |
| Regeneron Pharmaceuticals, Inc. * |
47 |
41,685 |
| Vertex Pharmaceuticals, Inc. * |
169 |
68,732 |
| |
|
210,328 |
| Building Products — 1.2% | ||
| Carrier Global Corp. |
1,105 |
63,455 |
| Capital Markets — 7.5% | ||
| BlackRock, Inc. |
136 |
110,044 |
| Charles Schwab Corp. (The) |
1,113 |
76,584 |
| Goldman Sachs Group, Inc. (The) |
170 |
65,608 |
| Morgan Stanley |
1,115 |
103,974 |
| S&P Global, Inc. |
95 |
41,968 |
| |
|
398,178 |
| Chemicals — 3.8% | ||
| Air Products and Chemicals, Inc. |
352 |
96,463 |
| Axalta Coating Systems Ltd. * |
3,138 |
106,590 |
| |
|
203,053 |
| Commercial Services & Supplies — 0.9% | ||
| Republic Services, Inc. |
298 |
49,090 |
| Construction Materials — 1.4% | ||
| Vulcan Materials Co. |
326 |
74,107 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Consumer Finance — 1.6% | ||
| American Express Co. |
355 |
66,571 |
| Capital One Financial Corp. |
146 |
19,109 |
| |
|
85,680 |
| Consumer Staples Distribution & Retail — 1.8% | ||
| Dollar General Corp. |
250 |
33,950 |
| Walmart, Inc. |
386 |
60,953 |
| |
|
94,903 |
| Containers & Packaging — 0.4% | ||
| Ball Corp. |
383 |
22,010 |
| Electric Utilities — 2.2% | ||
| Entergy Corp. |
167 |
16,916 |
| NextEra Energy, Inc. |
953 |
57,877 |
| Xcel Energy, Inc. |
685 |
42,425 |
| |
|
117,218 |
| Electrical Equipment — 1.4% | ||
| Eaton Corp. plc |
312 |
75,259 |
| Entertainment — 0.6% | ||
| Walt Disney Co. (The) * |
333 |
30,104 |
| Financial Services — 2.1% | ||
| Berkshire Hathaway, Inc., Class B * |
311 |
110,747 |
| Food Products — 0.8% | ||
| Mondelez International, Inc., Class A |
621 |
44,957 |
| Ground Transportation — 2.1% | ||
| CSX Corp. |
2,647 |
91,753 |
| Union Pacific Corp. |
88 |
21,688 |
| |
|
113,441 |
| Health Care Equipment & Supplies — 3.4% | ||
| Becton Dickinson & Co. |
163 |
39,766 |
| Boston Scientific Corp. * |
1,013 |
58,539 |
| Medtronic plc |
590 |
48,589 |
| Zimmer Biomet Holdings, Inc. |
308 |
37,483 |
| |
|
184,377 |
| Health Care Providers & Services — 4.6% | ||
| Cigna Group (The) |
164 |
49,003 |
| Elevance Health, Inc. |
61 |
28,677 |
| Humana, Inc. |
63 |
28,865 |
| UnitedHealth Group, Inc. |
218 |
114,957 |
| Universal Health Services, Inc., Class B |
147 |
22,506 |
| |
|
244,008 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 108 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Common Stocks — continued | ||
| Health Care REITs — 0.4% | ||
| Ventas, Inc. |
476 |
23,709 |
| Hotel & Resort REITs — 0.6% | ||
| Host Hotels & Resorts, Inc. |
1,514 |
29,471 |
| Hotels, Restaurants & Leisure — 1.6% | ||
| Booking Holdings, Inc. * |
8 |
26,601 |
| McDonald's Corp. |
201 |
59,738 |
| |
|
86,339 |
| Household Products — 1.2% | ||
| Procter & Gamble Co. (The) |
448 |
65,630 |
| Insurance — 3.9% | ||
| Chubb Ltd. |
251 |
56,646 |
| Hartford Financial Services Group, Inc. (The) |
661 |
53,162 |
| Marsh & McLennan Cos., Inc. |
151 |
28,532 |
| MetLife, Inc. |
671 |
44,394 |
| Prudential Financial, Inc. |
235 |
24,376 |
| |
|
207,110 |
| Interactive Media & Services — 2.1% | ||
| Alphabet, Inc., Class C * |
385 |
54,307 |
| Meta Platforms, Inc., Class A * |
161 |
56,804 |
| |
|
111,111 |
| IT Services — 0.7% | ||
| International Business Machines Corp. |
243 |
39,735 |
| Machinery — 2.4% | ||
| Dover Corp. |
512 |
78,725 |
| Parker-Hannifin Corp. |
107 |
49,275 |
| |
|
128,000 |
| Media — 1.6% | ||
| Comcast Corp., Class A |
1,899 |
83,282 |
| Multi-Utilities — 1.9% | ||
| CMS Energy Corp. |
875 |
50,809 |
| Public Service Enterprise Group, Inc. |
801 |
48,972 |
| |
|
99,781 |
| Oil, Gas & Consumable Fuels — 8.2% | ||
| Chevron Corp. |
750 |
111,932 |
| ConocoPhillips |
1,214 |
140,845 |
| EOG Resources, Inc. |
668 |
80,842 |
| Exxon Mobil Corp. |
1,061 |
106,048 |
| |
|
439,667 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| | ||
| Pharmaceuticals — 4.3% | ||
| Bristol-Myers Squibb Co. |
1,539 |
78,972 |
| Eli Lilly & Co. |
44 |
25,778 |
| Johnson & Johnson |
523 |
82,005 |
| Merck & Co., Inc. |
178 |
19,354 |
| Pfizer, Inc. |
873 |
25,144 |
| |
|
231,253 |
| Residential REITs — 0.3% | ||
| AvalonBay Communities, Inc. |
94 |
17,580 |
| Semiconductors & Semiconductor Equipment — 6.1% | ||
| Advanced Micro Devices, Inc. * |
304 |
44,765 |
| Analog Devices, Inc. |
437 |
86,718 |
| NXP Semiconductors NV (China) |
407 |
93,573 |
| Teradyne, Inc. |
305 |
33,109 |
| Texas Instruments, Inc. |
395 |
67,370 |
| |
|
325,535 |
| Software — 1.5% | ||
| Microsoft Corp. |
216 |
81,383 |
| Specialty Retail — 5.5% | ||
| AutoZone, Inc. * |
21 |
54,422 |
| Home Depot, Inc. (The) |
178 |
61,596 |
| Lowe's Cos., Inc. |
286 |
63,749 |
| O'Reilly Automotive, Inc. * |
33 |
31,534 |
| TJX Cos., Inc. (The) |
882 |
82,713 |
| |
|
294,014 |
| Textiles, Apparel & Luxury Goods — 0.8% | ||
| NIKE, Inc., Class B |
375 |
40,757 |
| Tobacco — 1.5% | ||
| Philip Morris International, Inc. |
863 |
81,206 |
| Wireless Telecommunication Services — 0.5% | ||
| T-Mobile US, Inc. |
178 |
28,593 |
| Total Common Stocks
(Cost $4,352,811) |
|
5,266,992 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
109 |
JPMorgan U.S. Value
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited) (continued)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Short-Term Investments — 1.4% | ||
| Investment Companies — 1.4% | ||
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) (Cost $74,664) |
74,654 |
74,714 |
| Total Investments — 100.0% (Cost $4,427,475) |
|
5,341,706 |
| Other Assets Less Liabilities — 0.0%
^ |
|
815 |
| NET ASSETS — 100.0% |
|
5,342,521 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| REIT |
Real
Estate Investment Trust |
| ^ |
Amount rounds to less than 0.1% of net assets. | |
| * |
Non-income producing security. |
|
| (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, 2023. |
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 110 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (Unaudited)
(Amounts in thousands, except per share amounts)
| |
JPMorgan
Equity Income
Fund |
JPMorgan
Equity Index
Fund |
JPMorgan
Equity Premium
Income Fund |
JPMorgan Hedged Equity Fund |
| ASSETS: |
|
|
|
|
| Investments in non-affiliates, at value |
$46,229,931 |
$8,659,099 |
$5,810,449 |
$16,650,856
|
| Investments in affiliates, at value |
145,245 |
145,901 |
— |
648,540 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C.) |
— |
74,650 |
70,342 |
— |
| Options purchased, at value |
— |
— |
— |
138,466 |
| Cash |
1,413 |
— |
39,487 |
1,133 |
| Deposits at broker for futures contracts |
— |
2,429 |
340 |
46,809 |
| Receivables: |
|
|
|
|
| Investment securities sold |
— |
— |
128,828 |
656,769 |
| Fund shares sold |
32,102 |
42,253 |
6,143 |
39,971 |
| Interest from non-affiliates |
— |
— |
17,585 |
— |
| Dividends from non-affiliates |
82,740 |
8,107 |
8,112 |
18,243 |
| Dividends from affiliates |
22 |
166 |
— |
1,301 |
| Securities lending income (See Note 2.C.) |
— |
22 |
10 |
— |
| Due from adviser |
— |
10
|
— |
— |
| Total Assets |
46,491,453 |
8,932,637 |
6,081,296 |
18,202,088 |
| LIABILITIES: |
|
|
|
|
| Payables: |
|
|
|
|
| Due to custodian |
— |
1 |
— |
— |
| Distributions |
— |
— |
1,379 |
— |
| Investment securities purchased |
24,233 |
37,893 |
114,000 |
1,115,828 |
| Collateral received on securities loaned (See Note 2.C.) |
— |
74,650 |
70,342 |
— |
| Fund shares redeemed |
72,503 |
13,628 |
25,277 |
14,781 |
| Variation margin on futures contracts |
— |
129 |
13 |
3,203 |
| Outstanding options written, at fair value |
— |
— |
— |
144,301 |
| Accrued liabilities: |
|
|
|
|
| Investment advisory fees |
15,532 |
— |
1,234 |
3,517 |
| Administration fees |
1,393 |
267 |
372 |
924 |
| Distribution fees |
1,551 |
228 |
263 |
555 |
| Service fees |
4,931 |
241 |
942 |
3,210 |
| Custodian and accounting fees |
381 |
64 |
53 |
120 |
| Trustees’ and Chief Compliance Officer’s fees |
1 |
— |
— |
— (a) |
| Other |
1,019
|
177
|
125
|
818
|
| Total Liabilities |
121,544 |
127,278 |
214,000 |
1,287,257 |
| Net Assets |
$46,369,909 |
$8,805,359 |
$5,867,296 |
$16,914,831 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
111 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| |
JPMorgan
Equity Income
Fund |
JPMorgan
Equity Index
Fund |
JPMorgan
Equity Premium
Income Fund |
JPMorgan Hedged Equity Fund |
| NET ASSETS: |
|
|
|
|
| Paid-in-Capital |
$31,450,864 |
$4,212,778 |
$6,205,123 |
$12,701,554 |
| Total distributable earnings (loss) |
14,919,045 |
4,592,581 |
(337,827 ) |
4,213,277 |
| Total Net Assets |
$46,369,909 |
$8,805,359 |
$5,867,296 |
$16,914,831 |
| Net Assets: |
|
|
|
|
| Class A |
$4,399,047 |
$829,421 |
$458,911 |
$1,299,416 |
| Class C |
855,544 |
87,116 |
267,439 |
442,817 |
| Class I |
17,221,877 |
1,103,743 |
3,763,119 |
13,514,227 |
| Class R2 |
100,745 |
— |
— |
— |
| Class R3 |
209,373 |
— |
— |
— |
| Class R4 |
214,782 |
— |
— |
— |
| Class R5 |
1,226,896 |
— |
291 |
5,707 |
| Class R6 |
22,141,645 |
6,785,079 |
1,377,536 |
1,652,664 |
| Total |
$46,369,909 |
$8,805,359 |
$5,867,296 |
$16,914,831 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
|
|
| Class A |
195,401 |
11,616 |
33,424 |
46,206 |
| Class C |
38,916 |
1,233 |
19,478 |
15,866 |
| Class I |
749,480 |
15,437 |
274,008 |
478,987 |
| Class R2 |
4,501 |
— |
— |
— |
| Class R3 |
9,309 |
— |
— |
— |
| Class R4 |
9,354 |
— |
— |
— |
| Class R5 |
53,348 |
— |
21 |
202 |
| Class R6 |
963,646 |
94,874 |
100,326 |
58,442 |
| Net Asset Value (a): |
|
|
|
|
| Class A — Redemption price per share |
$22.51 |
$71.40 |
$13.73 |
$28.12
|
| Class C — Offering price per share (b) |
21.98 |
70.64 |
13.73 |
27.91 |
| Class I — Offering and redemption price per share |
22.98 |
71.50 |
13.73 |
28.21 |
| Class R2 — Offering and redemption price per share |
22.39 |
— |
— |
— |
| Class R3 — Offering and redemption price per share |
22.49 |
— |
— |
— |
| Class R4 — Offering and redemption price per share |
22.96 |
— |
— |
— |
| Class R5 — Offering and redemption price per share |
23.00 |
— |
13.73 |
28.26 |
| Class R6 — Offering and redemption price per share |
22.98 |
71.52 |
13.73 |
28.28 |
| 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)] |
$23.76 |
$75.36 |
$14.49 |
$29.68 |
| Cost of investments in non-affiliates |
$31,704,534 |
$3,782,476 |
$5,081,081 |
$10,276,522
|
| Cost of investments in affiliates |
145,185 |
81,759 |
— |
648,540 |
| Cost of options purchased |
— |
— |
— |
141,826 |
| Investment securities on loan, at value (See Note 2.C.) |
— |
72,467 |
68,920 |
— |
| Cost of investment of cash collateral (See Note 2.C.) |
— |
74,650 |
70,337 |
— |
| Premiums received from options written |
— |
— |
— |
142,427 |
(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.
| 112 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
Hedged
Equity 2 Fund |
JPMorgan
Hedged
Equity 3 Fund |
JPMorgan
Large Cap
Growth Fund |
JPMorgan Large Cap Value Fund |
| ASSETS: |
|
|
|
|
| Investments in non-affiliates, at value |
$4,956,870 |
$2,904,300 |
$71,063,517 |
$3,605,814
|
| Investments in affiliates, at value |
78,904 |
15,876 |
1,966,566 |
30,628 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C.) |
— |
— |
— |
31,436 |
| Options purchased, at value |
1,479 |
7,195 |
— |
— |
| Cash |
361 |
243 |
8,528 |
286 |
| Deposits at broker for futures contracts |
4,448 |
932 |
— |
— |
| Receivables: |
|
|
|
|
| Investment securities sold |
5,295 |
3,121 |
— |
— |
| Fund shares sold |
5,077 |
1,672 |
118,779 |
1,930 |
| Dividends from non-affiliates |
5,217 |
3,053 |
6,259 |
4,652 |
| Dividends from affiliates |
11 |
2 |
297 |
5 |
| Securities lending income (See Note 2.C.) |
— |
— |
— (a) |
6
|
| Total Assets |
5,057,662 |
2,936,394 |
73,163,946 |
3,674,757 |
| LIABILITIES: |
|
|
|
|
| Payables: |
|
|
|
|
| Investment securities purchased |
5,796 |
3,125 |
— |
4,205 |
| Collateral received on securities loaned (See Note 2.C.) |
— |
— |
— |
31,436 |
| Fund shares redeemed |
6,012 |
12,329 |
275,322 |
14,871 |
| Variation margin on futures contracts |
235 |
45 |
— |
— |
| Outstanding options written, at fair value |
394,882 |
56,332 |
— |
— |
| Accrued liabilities: |
|
|
|
|
| Investment advisory fees |
981 |
602 |
25,375 |
1,106 |
| Administration fees |
296 |
183 |
383 |
158 |
| Distribution fees |
193 |
99 |
1,744 |
123 |
| Service fees |
871 |
537 |
5,297 |
365 |
| Custodian and accounting fees |
60 |
36 |
207 |
32 |
| Trustees’ and Chief Compliance Officer’s fees |
1 |
1 |
2 |
— (a) |
| Other |
407
|
348
|
84
|
83
|
| Total Liabilities |
409,734 |
73,637 |
308,414 |
52,379 |
| Net Assets |
$4,647,928 |
$2,862,757 |
$72,855,532 |
$3,622,378 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
113 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| |
JPMorgan
Hedged
Equity 2 Fund |
JPMorgan
Hedged
Equity 3 Fund |
JPMorgan
Large Cap
Growth Fund |
JPMorgan Large Cap Value Fund |
| NET ASSETS: |
|
|
|
|
| Paid-in-Capital |
$4,816,619 |
$2,765,497 |
$51,117,667 |
$3,126,827 |
| Total distributable earnings (loss) |
(168,691 ) |
97,260 |
21,737,865 |
495,551 |
| Total Net Assets |
$4,647,928 |
$2,862,757 |
$72,855,532 |
$3,622,378 |
| Net Assets: |
|
|
|
|
| Class A |
$251,994 |
$129,656 |
$5,293,068 |
$293,048 |
| Class C |
215,355 |
114,143 |
688,507 |
84,206 |
| Class I |
3,642,351 |
2,278,825 |
17,871,743 |
1,351,657 |
| Class R2 |
— |
— |
182,645 |
14,484 |
| Class R3 |
— |
— |
640,235 |
12,405 |
| Class R4 |
— |
— |
586,263 |
1,387 |
| Class R5 |
805 |
21 |
911,001 |
32,754 |
| Class R6 |
537,423 |
340,112 |
46,682,070 |
1,832,437 |
| Total |
$4,647,928 |
$2,862,757 |
$72,855,532 |
$3,622,378 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
|
|
| Class A |
15,927 |
7,798 |
90,443 |
15,220 |
| Class C |
13,644 |
6,883 |
17,867 |
4,629 |
| Class I |
229,938 |
136,840 |
297,171 |
71,837 |
| Class R2 |
— |
— |
3,335 |
761 |
| Class R3 |
— |
— |
10,869 |
662 |
| Class R4 |
— |
— |
9,772 |
72 |
| Class R5 |
51 |
1 |
14,617 |
1,717 |
| Class R6 |
33,908 |
20,403 |
739,612 |
96,910 |
| Net Asset Value (a): |
|
|
|
|
| Class A — Redemption price per share |
$15.82 |
$16.63 |
$58.52 |
$19.25
|
| Class C — Offering price per share (b) |
15.78 |
16.58 |
38.53 |
18.19 |
| Class I — Offering and redemption price per share |
15.84 |
16.65 |
60.14 |
18.82 |
| Class R2 — Offering and redemption price per share |
— |
— |
54.78 |
19.04 |
| Class R3 — Offering and redemption price per share |
— |
— |
58.91 |
18.76 |
| Class R4 — Offering and redemption price per share |
— |
— |
59.99 |
19.27 |
| Class R5 — Offering and redemption price per share |
15.85 |
16.67 |
62.32 |
19.07 |
| Class R6 — Offering and redemption price per share |
15.85 |
16.67 |
63.12 |
18.91 |
| 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)] |
$16.70 |
$17.55 |
$61.76 |
$20.32 |
| Cost of investments in non-affiliates |
$3,990,020 |
$2,327,953 |
$47,592,591 |
$3,150,558
|
| Cost of investments in affiliates |
78,904 |
15,876 |
1,965,567 |
30,619 |
| Cost of options purchased |
62,967 |
23,457 |
— |
— |
| Investment securities on loan, at value (See Note 2.C.) |
— |
— |
— |
29,877 |
| Cost of investment of cash collateral (See Note 2.C.) |
— |
— |
— |
31,436 |
| Premiums received from options written |
62,039 |
23,066 |
— |
— |
(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.
| 114 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Applied
Data Science
Value Fund |
JPMorgan U.S.
Equity Fund |
JPMorgan
U.S. GARP
Equity Fund |
JPMorgan U.S. Large Cap Core Plus Fund |
| ASSETS: |
|
|
|
|
| Investments in non-affiliates, at value |
$167,673 |
$25,330,313 |
$1,200,167 |
$1,955,057
|
| Investments in affiliates, at value |
872 |
290,881 |
14,184 |
48,734 |
| Investments of cash collateral received from securities loaned, at value (See Note 2.C.) |
— |
— |
7,368 |
— |
| Cash |
8 |
2,200 |
61 |
495 |
| Deposits at broker for futures contracts |
222 |
5,899 |
753 |
1,107 |
| Receivables: |
|
|
|
|
| Investment securities sold |
— |
21,951 |
— |
— |
| Fund shares sold |
53 |
52,872 |
770 |
4,315 |
| Dividends from non-affiliates |
180 |
12,786 |
738 |
1,511 |
| Dividends from affiliates |
— (a) |
44 |
2 |
7 |
| Securities lending income (See Note 2.C.) |
— |
— |
2 |
— |
| Other assets |
— |
94
|
— |
— |
| Total Assets |
169,008 |
25,717,040 |
1,224,045 |
2,011,226 |
| LIABILITIES: |
|
|
|
|
| Payables: |
|
|
|
|
| Securities sold short, at value |
— |
— |
— |
412,888 |
| Dividend expense to non-affiliates on securities sold short |
— |
— |
— |
440 |
| Investment securities purchased |
— |
179,889 |
— |
257 |
| Interest expense to non-affiliates on securities sold short |
— |
— |
— |
179 |
| Collateral received on securities loaned (See Note 2.C.) |
— |
— |
7,368 |
— |
| Fund shares redeemed |
999 |
72,179 |
328 |
2,278 |
| Variation margin on futures contracts |
3 |
456 |
34 |
63 |
| Accrued liabilities: |
|
|
|
|
| Investment advisory fees |
28 |
8,061 |
269 |
777 |
| Administration fees |
— (a) |
948 |
53 |
49 |
| Distribution fees |
12 |
865 |
51 |
79 |
| Service fees |
16 |
1,753 |
71 |
54 |
| Custodian and accounting fees |
8 |
163 |
12 |
31 |
| Trustees’ and Chief Compliance Officer’s fees |
— |
1 |
— (a) |
— (a) |
| Other |
56
|
22
|
34
|
47
|
| Total Liabilities |
1,122
|
264,337 |
8,220
|
417,142 |
| Net Assets |
$167,886 |
$25,452,703 |
$1,215,825 |
$1,594,084 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
115 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| |
JPMorgan
U.S. Applied
Data Science
Value Fund |
JPMorgan U.S.
Equity Fund |
JPMorgan
U.S. GARP
Equity Fund |
JPMorgan U.S. Large Cap Core Plus Fund |
| NET ASSETS: |
|
|
|
|
| Paid-in-Capital |
$137,641 |
$15,766,273 |
$619,122 |
$688,975 |
| Total distributable earnings (loss) |
30,245 |
9,686,430 |
596,703 |
905,109 |
| Total Net Assets |
$167,886 |
$25,452,703 |
$1,215,825 |
$1,594,084 |
| Net Assets: |
|
|
|
|
| Class A |
$42,700 |
$2,185,634 |
$128,719 |
$259,968 |
| Class C |
3,201 |
408,836 |
11,591 |
39,713 |
| Class I |
79,278 |
4,127,062 |
122,758 |
949,608 |
| Class L |
— |
2,216,031 |
— |
— |
| Class R2 |
2,382 |
267,290 |
40,699 |
6,122 |
| Class R3 |
— |
206,587 |
— |
— |
| Class R4 |
— |
80,780 |
— |
— |
| Class R5 |
3,952 |
1,151,711 |
130,970 |
34,741 |
| Class R6 |
36,373 |
14,808,772 |
781,088 |
303,932 |
| Total |
$167,886 |
$25,452,703 |
$1,215,825 |
$1,594,084 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
|
|
| Class A |
1,543 |
103,285 |
1,939 |
15,776 |
| Class C |
119 |
20,360 |
182 |
3,082 |
| Class I |
2,825 |
194,206 |
1,796 |
54,612 |
| Class L |
— |
104,003 |
— |
— |
| Class R2 |
88 |
12,810 |
641 |
425 |
| Class R3 |
— |
9,812 |
— |
— |
| Class R4 |
— |
3,808 |
— |
— |
| Class R5 |
140 |
54,026 |
1,959 |
1,964 |
| Class R6 |
1,293 |
692,767 |
11,693 |
17,201 |
| Net Asset Value (a): |
|
|
|
|
| Class A — Redemption price per share |
$27.67 |
$21.16 |
$66.40 |
$16.48
|
| Class C — Offering price per share (b) |
26.95 |
20.08 |
63.50 |
12.88 |
| Class I — Offering and redemption price per share |
28.06 |
21.25 |
68.35 |
17.39 |
| Class L — Offering and redemption price per share |
— |
21.31 |
— |
— |
| Class R2 — Offering and redemption price per share |
27.22 |
20.87 |
63.51 |
14.41 |
| Class R3 — Offering and redemption price per share |
— |
21.05 |
— |
— |
| Class R4 — Offering and redemption price per share |
— |
21.21 |
— |
— |
| Class R5 — Offering and redemption price per share |
28.14 |
21.32 |
66.84 |
17.68 |
| Class R6 — Offering and redemption price per share |
28.14 |
21.38 |
66.80 |
17.67 |
| 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)] |
$29.20 |
$22.33 |
$70.08 |
$17.39 |
| Cost of investments in non-affiliates |
$136,337 |
$15,619,531 |
$611,549 |
$1,047,711 |
| Cost of investments in affiliates |
872 |
290,768 |
14,179 |
48,721 |
| Investment securities on loan, at value (See Note 2.C.) |
— |
— |
7,213 |
— |
| Cost of investment of cash collateral (See Note 2.C.) |
— |
— |
7,368 |
— |
| Proceeds from securities sold short |
— |
— |
— |
414,795 |
(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.
| 116 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Research
Enhanced
Equity Fund |
JPMorgan
U.S. Sustainable
Leaders Fund |
JPMorgan U.S. Value Fund |
| ASSETS: |
|
|
|
| Investments in non-affiliates, at value |
$7,654,528 |
$186,389 |
$5,266,992
|
| Investments in affiliates, at value |
62,299 |
2,903 |
74,714 |
| Cash |
307 |
15 |
415 |
| Deposits at broker for futures contracts |
2,890 |
230 |
— |
| Receivables: |
|
|
|
| Investment securities sold |
8,201 |
— |
— |
| Fund shares sold |
19,467 |
184 |
6,085 |
| Dividends from non-affiliates |
8,056 |
249 |
6,775 |
| Dividends from affiliates |
9
|
— (a) |
11 |
| Total Assets |
7,755,757 |
189,970 |
5,354,992 |
| LIABILITIES: |
|
|
|
| Payables: |
|
|
|
| Investment securities purchased |
8,284 |
— |
2,791 |
| Fund shares redeemed |
20,319 |
176 |
6,739 |
| Variation margin on futures contracts |
165 |
5 |
— |
| Accrued liabilities: |
|
|
|
| Investment advisory fees |
1,264 |
33 |
1,614 |
| Administration fees |
258 |
2 |
234 |
| Distribution fees |
37 |
13 |
310 |
| Service fees |
78 |
5 |
739 |
| Custodian and accounting fees |
61 |
10 |
35 |
| Trustees’ and Chief Compliance Officer’s fees |
1 |
— (a) |
— (a) |
| Other |
23
|
38
|
9 |
| Total Liabilities |
30,490 |
282
|
12,471 |
| Net Assets |
$7,725,267 |
$189,688 |
$5,342,521 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
117 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (Unaudited) (continued)
(Amounts in thousands, except per share amounts)
| |
JPMorgan
U.S. Research
Enhanced
Equity Fund |
JPMorgan
U.S. Sustainable
Leaders Fund |
JPMorgan U.S. Value Fund |
| NET ASSETS: |
|
|
|
| Paid-in-Capital |
$4,609,391 |
$163,360 |
$4,450,366
|
| Total distributable earnings (loss) |
3,115,876 |
26,328 |
892,155 |
| Total Net Assets |
$7,725,267 |
$189,688 |
$5,342,521 |
| Net Assets: |
|
|
|
| Class A |
$175,869 |
$49,470 |
$1,145,808
|
| Class C |
— |
4,169 |
108,506 |
| Class I |
761,292 |
78,357 |
2,359,405 |
| Class R2 |
— |
— |
5,677 |
| Class R3 |
— |
— |
12,387 |
| Class R4 |
— |
— |
2,517 |
| Class R5 |
— |
— |
12,449 |
| Class R6 |
6,788,106 |
57,692 |
1,695,772 |
| Total |
$7,725,267 |
$189,688 |
$5,342,521 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
|
| Class A |
4,822 |
803 |
16,474 |
| Class C |
— |
70 |
1,775 |
| Class I |
20,594 |
1,259 |
31,838 |
| Class R2 |
— |
— |
82 |
| Class R3 |
— |
— |
167 |
| Class R4 |
— |
— |
34 |
| Class R5 |
— |
— |
167 |
| Class R6 |
183,940 |
928 |
22,690 |
| Net Asset Value (a): |
|
|
|
| Class A — Redemption price per share |
$36.47 |
$61.62 |
$69.55 |
| Class C — Offering price per share (b) |
— |
60.33 |
61.14 |
| Class I — Offering and redemption price per share |
36.97 |
62.17 |
74.11 |
| Class R2 — Offering and redemption price per share |
— |
— |
69.66 |
| Class R3 — Offering and redemption price per share |
— |
— |
73.89 |
| Class R4 — Offering and redemption price per share |
— |
— |
74.12 |
| Class R5 — Offering and redemption price per share |
— |
— |
74.70 |
| Class R6 — Offering and redemption price per share |
36.90 |
62.14 |
74.74 |
| 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)] |
$38.49 |
$65.03 |
$73.40 |
| Cost of investments in non-affiliates |
$4,519,798 |
$138,156 |
$4,352,811 |
| Cost of investments in affiliates |
62,266 |
2,901 |
74,664 |
(a)
Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b)
Redemption price for Class C Shares varies based upon length of time the shares are
held.
SEE NOTES TO FINANCIAL STATEMENTS.
| 118 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited)
(Amounts in thousands)
| |
JPMorgan
Equity Income
Fund |
JPMorgan
Equity Index
Fund |
JPMorgan
Equity Premium
Income Fund |
JPMorgan Hedged Equity Fund |
| INVESTMENT INCOME: |
|
|
|
|
| Interest income from non-affiliates |
$— |
$53 |
$192,032 |
$388
|
| Interest income from affiliates |
4 |
— |
64 |
— (a) |
| Dividend income from non-affiliates |
638,199 |
64,043 |
45,703 |
122,655 |
| Dividend income from affiliates |
8,790 |
2,181 |
1,523 |
8,502 |
| Income from securities lending (net) (See Note 2.C.) |
1,450
|
233
|
65
|
— |
| Total investment income |
648,443 |
66,510 |
239,387 |
131,545 |
| EXPENSES: |
|
|
|
|
| Investment advisory fees |
92,793 |
1,638 |
7,332 |
20,661 |
| Administration fees |
8,023 |
3,072 |
2,199 |
5,397 |
| Distribution fees: |
|
|
|
|
| Class A |
5,414 |
971 |
537 |
1,603 |
| Class C |
3,447 |
334 |
923 |
1,650 |
| Class R2 |
253 |
— |
— |
— |
| Class R3 |
264 |
— |
— |
— |
| Service fees: |
|
|
|
|
| Class A |
5,414 |
971 |
537 |
1,603 |
| Class C |
1,149 |
112 |
308 |
550 |
| Class I |
21,968 |
1,222 |
4,624 |
16,440 |
| Class R2 |
127 |
— |
— |
— |
| Class R3 |
264 |
— |
— |
— |
| Class R4 |
289 |
— |
— |
— |
| Class R5 |
606 |
— |
— (a) |
3 |
| Custodian and accounting fees |
757 |
144 |
111 |
250 |
| Interest expense to affiliates |
— |
4 |
51 |
— |
| Professional fees |
143 |
45 |
59 |
81 |
| Trustees’ and Chief Compliance Officer’s fees |
98 |
27 |
22 |
43 |
| Printing and mailing costs |
1,184 |
77 |
79 |
283 |
| Registration and filing fees |
190 |
36 |
192 |
42 |
| Transfer agency fees (See Note 2.K.) |
532 |
129 |
73 |
138 |
| Other |
215
|
41
|
37
|
54
|
| Total expenses |
143,130 |
8,823
|
17,084 |
48,798 |
| Less fees waived |
(343 ) |
(4,206 ) |
(35 ) |
(324 ) |
| Less expense reimbursements |
(4
) |
(24
) |
(1
) |
(2 ) |
| Net expenses |
142,783 |
4,593
|
17,048 |
48,472 |
| Net investment income (loss) |
505,660 |
61,917 |
222,339 |
83,073 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
119 |
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited) (continued)
(Amounts in thousands)
| |
JPMorgan
Equity Income
Fund |
JPMorgan
Equity Index
Fund |
JPMorgan
Equity Premium
Income Fund |
JPMorgan Hedged Equity Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
| Net realized gain (loss) on transactions from: |
|
|
|
|
| Investments in non-affiliates |
$725,787 |
$(3,307 ) |
$(312,612 ) |
$326,876 |
| Investments in affiliates |
211 |
137 |
26 |
— |
| Options purchased |
— |
— |
— |
(354,946 ) |
| Futures contracts |
— |
2,254 |
(2,063 ) |
10,641 |
| Options written |
— |
— |
— |
(614,693 ) |
| Net realized gain (loss) |
725,998 |
(916
) |
(314,649 ) |
(632,122 ) |
| Change in net unrealized appreciation/depreciation on: |
|
|
|
|
| Investments in non-affiliates |
966,108 |
566,418 |
317,377 |
967,620 |
| Investments in affiliates |
3 |
15,495 |
5 |
— |
| Options purchased |
— |
— |
— |
(1,650 ) |
| Futures contracts |
— |
223 |
(546 ) |
957 |
| Options written |
— |
— |
— |
5,820 |
| Change in net unrealized appreciation/depreciation |
966,111 |
582,136 |
316,836 |
972,747 |
| Net realized/unrealized gains (losses) |
1,692,109 |
581,220 |
2,187
|
340,625 |
| Change in net assets resulting from operations |
$2,197,769 |
$643,137 |
$224,526 |
$423,698 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 120 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
Hedged
Equity 2 Fund |
JPMorgan
Hedged
Equity 3 Fund |
JPMorgan
Large Cap
Growth Fund |
JPMorgan Large Cap Value Fund |
| INVESTMENT INCOME: |
|
|
|
|
| Interest income from non-affiliates |
$118 |
$64 |
$2 |
$—
|
| Interest income from affiliates |
— |
— |
— (a) |
— |
| Dividend income from non-affiliates |
34,545 |
18,827 |
197,481 |
40,069 |
| Dividend income from affiliates |
2,277 |
1,370 |
66,497 |
2,495 |
| Income from securities lending (net) (See Note 2.C.) |
— |
— |
97
|
235 |
| Total investment income |
36,940 |
20,261 |
264,077 |
42,799 |
| EXPENSES: |
|
|
|
|
| Investment advisory fees |
5,773 |
3,147 |
147,749 |
7,033 |
| Administration fees |
1,732 |
944 |
8,997 |
1,319 |
| Distribution fees: |
|
|
|
|
| Class A |
328 |
153 |
6,115 |
354 |
| Class C |
848 |
399 |
2,423 |
321 |
| Class R2 |
— |
— |
413 |
34 |
| Class R3 |
— |
— |
553 |
14 |
| Service fees: |
|
|
|
|
| Class A |
328 |
153 |
6,115 |
354 |
| Class C |
283 |
133 |
808 |
107 |
| Class I |
4,552 |
2,552 |
20,392 |
1,667 |
| Class R2 |
— |
— |
207 |
17 |
| Class R3 |
— |
— |
553 |
14 |
| Class R4 |
— |
— |
672 |
2 |
| Class R5 |
— (a) |
— (a) |
437 |
15 |
| Custodian and accounting fees |
80 |
49 |
880 |
64 |
| Interest expense to affiliates |
— |
— |
2 |
— |
| Professional fees |
55 |
50 |
142 |
35 |
| Trustees’ and Chief Compliance Officer’s fees |
21 |
18 |
126 |
19 |
| Printing and mailing costs |
157 |
83 |
858 |
101 |
| Registration and filing fees |
98 |
72 |
442 |
122 |
| Transfer agency fees (See Note 2.K.) |
31 |
14 |
540 |
93 |
| Other |
40
|
27
|
255
|
21
|
| Total expenses |
14,326 |
7,794
|
198,679 |
11,706 |
| Less fees waived |
(80 ) |
(85 ) |
(17,028 ) |
(1,135 ) |
| Less expense reimbursements |
(1
) |
(1
) |
(5
) |
(9 ) |
| Net expenses |
14,245 |
7,708
|
181,646 |
10,562 |
| Net investment income (loss) |
22,695 |
12,553 |
82,431 |
32,237 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
121 |
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited) (continued)
(Amounts in thousands)
| |
JPMorgan
Hedged
Equity 2 Fund |
JPMorgan
Hedged
Equity 3 Fund |
JPMorgan
Large Cap
Growth Fund |
JPMorgan Large Cap Value Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
| Net realized gain (loss) on transactions from: |
|
|
|
|
| Investments in non-affiliates |
$27,605 |
$17,052 |
$174,015 |
$71,786 |
| Investments in affiliates |
— |
— |
329 |
29 |
| Options purchased |
38,385 |
(61,145 ) |
— |
— |
| Futures contracts |
(2,658 ) |
4,273 |
— |
— |
| Foreign currency transactions |
— |
— |
— |
(2 ) |
| Options written |
(125,062 ) |
(15,418 ) |
— |
— |
| Net realized gain (loss) |
(61,730 ) |
(55,238 ) |
174,344 |
71,813 |
| Change in net unrealized appreciation/depreciation on: |
|
|
|
|
| Investments in non-affiliates |
357,232 |
211,839 |
5,890,285 |
125,944 |
| Investments in affiliates |
— |
— |
956 |
9 |
| Options purchased |
807 |
10,816 |
— |
— |
| Futures contracts |
1,244 |
(212 ) |
— |
— |
| Options written |
(267,846 ) |
13,706 |
— |
— |
| Change in net unrealized appreciation/depreciation |
91,437 |
236,149 |
5,891,241 |
125,953 |
| Net realized/unrealized gains (losses) |
29,707 |
180,911 |
6,065,585 |
197,766 |
| Change in net assets resulting from operations |
$52,402 |
$193,464 |
$6,148,016 |
$230,003 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 122 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Applied
Data Science
Value Fund |
JPMorgan U.S.
Equity Fund |
JPMorgan
U.S. GARP
Equity Fund |
JPMorgan U.S. Large Cap Core Plus Fund |
| INVESTMENT INCOME: |
|
|
|
|
| Interest income from non-affiliates |
$6 |
$79 |
$21 |
$73
|
| Interest income from affiliates |
— |
3 |
— |
— (a) |
| Dividend income from non-affiliates |
1,987 |
178,553 |
4,432 |
11,479 |
| Dividend income from affiliates |
69 |
6,989 |
382 |
1,117 |
| Income from securities lending (net) (See Note 2.C.) |
— |
9
|
2
|
— |
| Total investment income |
2,062
|
185,633 |
4,837
|
12,669 |
| EXPENSES: |
|
|
|
|
| Investment advisory fees |
257 |
47,156 |
1,726 |
4,796 |
| Administration fees |
64 |
6,760 |
432 |
553 |
| Distribution fees: |
|
|
|
|
| Class A |
55 |
2,508 |
148 |
298 |
| Class C |
13 |
1,493 |
43 |
127 |
| Class R2 |
6 |
637 |
95 |
15 |
| Class R3 |
— |
239 |
— |
— |
| Service fees: |
|
|
|
|
| Class A |
55 |
2,508 |
148 |
298 |
| Class C |
4 |
498 |
14 |
42 |
| Class I |
101 |
4,564 |
135 |
1,095 |
| Class L |
— |
1,055 |
— |
— |
| Class R2 |
3 |
318 |
48 |
7 |
| Class R3 |
— |
239 |
— |
— |
| Class R4 |
— |
90 |
— |
— |
| Class R5 |
2 |
553 |
61 |
16 |
| Custodian and accounting fees |
14 |
346 |
22 |
30 |
| Interest expense to affiliates |
— |
1 |
— |
— (a) |
| Professional fees |
25 |
79 |
28 |
34 |
| Trustees’ and Chief Compliance Officer’s fees |
13 |
54 |
15 |
16 |
| Printing and mailing costs |
7 |
321 |
10 |
27 |
| Registration and filing fees |
41 |
289 |
45 |
50 |
| Transfer agency fees (See Note 2.K.) |
5 |
295 |
21 |
20 |
| Dividend expense to non-affiliates on securities sold short |
— |
— |
— |
4,911 |
| Interest expense to non-affiliates on securities sold short |
— |
— |
— |
1,046 |
| Other |
7
|
114
|
10
|
11 |
| Total expenses |
672
|
70,117 |
3,001
|
13,392 |
| Less fees waived |
(208 ) |
(3,549 ) |
(356 ) |
(1,909 ) |
| Less expense reimbursements |
(1
) |
(75
) |
(3
) |
(1
) |
| Net expenses |
463
|
66,493 |
2,642
|
11,482 |
| Net investment income (loss) |
1,599
|
119,140 |
2,195
|
1,187
|
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
123 |
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited) (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. Applied
Data Science
Value Fund |
JPMorgan U.S.
Equity Fund |
JPMorgan
U.S. GARP
Equity Fund |
JPMorgan U.S. Large Cap Core Plus Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
| Net realized gain (loss) on transactions from: |
|
|
|
|
| Investments in non-affiliates |
$2,429 |
$189,806 |
$26,983 |
$41,698
|
| Investments in affiliates |
1 |
131 |
2 |
17 |
| Futures contracts |
82 |
(6,735 ) |
54 |
3,712 |
| Securities sold short |
— |
— |
— |
(4,618 ) |
| Net realized gain (loss) |
2,512
|
183,202 |
27,039 |
40,809 |
| Change in net unrealized appreciation/depreciation on: |
|
|
|
|
| Investments in non-affiliates |
7,260 |
1,786,333 |
91,509 |
120,478 |
| Investments in affiliates |
— (a) |
108 |
4 |
13 |
| Futures contracts |
(40 ) |
— |
(117 ) |
(53 ) |
| Securities sold short |
— |
— |
— |
(21,822 ) |
| Change in net unrealized appreciation/depreciation |
7,220
|
1,786,441 |
91,396 |
98,616 |
| Net realized/unrealized gains (losses) |
9,732
|
1,969,643 |
118,435 |
139,425 |
| Change in net assets resulting from operations |
$11,331 |
$2,088,783 |
$120,630 |
$140,612 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 124 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Research
Enhanced
Equity Fund |
JPMorgan
U.S. Sustainable
Leaders Fund |
JPMorgan U.S. Value Fund |
| INVESTMENT INCOME: |
|
|
|
| Interest income from non-affiliates |
$99 |
$6 |
$—
|
| Interest income from affiliates |
— (a) |
— |
— |
| Dividend income from non-affiliates |
54,689 |
1,212 |
53,504 |
| Dividend income from affiliates |
1,886 |
78 |
4,068 |
| Income from securities lending (net) (See Note 2.C.) |
— |
— |
— (a) |
| Total investment income |
56,674 |
1,296
|
57,572 |
| EXPENSES: |
|
|
|
| Investment advisory fees |
9,228 |
267 |
9,904 |
| Administration fees |
2,768 |
67 |
1,857 |
| Distribution fees: |
|
|
|
| Class A |
215 |
58 |
1,342 |
| Class C |
— |
15 |
400 |
| Class R2 |
— |
— |
13 |
| Class R3 |
— |
— |
12 |
| Service fees: |
|
|
|
| Class A |
215 |
58 |
1,342 |
| Class C |
— |
5 |
133 |
| Class I |
889 |
93 |
2,880 |
| Class R2 |
— |
— |
7 |
| Class R3 |
— |
— |
12 |
| Class R4 |
— |
— |
5 |
| Class R5 |
— |
— |
5 |
| Custodian and accounting fees |
112 |
14 |
73 |
| Professional fees |
45 |
26 |
36 |
| Trustees’ and Chief Compliance Officer’s fees |
26 |
13 |
22 |
| Printing and mailing costs |
36 |
16 |
95 |
| Registration and filing fees |
122 |
25 |
221 |
| Transfer agency fees (See Note 2.K.) |
40 |
4 |
101 |
| Other |
30
|
4
|
20 |
| Total expenses |
13,726 |
665
|
18,480 |
| Less fees waived |
(3,878 ) |
(259 ) |
(1,518 ) |
| Less expense reimbursements |
(1
) |
(1
) |
(11
) |
| Net expenses |
9,847
|
405
|
16,951 |
| Net investment income (loss) |
46,827 |
891
|
40,621 |
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
125 |
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (Unaudited) (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. Research
Enhanced
Equity Fund |
JPMorgan
U.S. Sustainable
Leaders Fund |
JPMorgan U.S. Value Fund |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
| Net realized gain (loss) on transactions from: |
|
|
|
| Investments in non-affiliates |
$108,711 |
$1,238 |
$10,368
|
| Investments in affiliates |
17 |
— (a) |
31 |
| Futures contracts |
3,048
|
(2
) |
— |
| Net realized gain (loss) |
111,776 |
1,236
|
10,399 |
| Change in net unrealized appreciation/depreciation on: |
|
|
|
| Investments in non-affiliates |
465,969 |
13,395 |
222,304 |
| Investments in affiliates |
31 |
2 |
43 |
| Futures contracts |
(325
) |
49
|
— |
| Change in net unrealized appreciation/depreciation |
465,675 |
13,446 |
222,347 |
| Net realized/unrealized gains (losses) |
577,451 |
14,682 |
232,746 |
| Change in net assets resulting from operations |
$624,278 |
$15,573 |
$273,367 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 126 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| |
JPMorgan
Equity Income Fund |
JPMorgan
Equity Index Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$505,660 |
$1,037,438 |
$61,917 |
$116,451
|
| Net realized gain (loss) |
725,998 |
490,464 |
(916 ) |
(148,590 ) |
| Change in net unrealized appreciation/depreciation |
966,111 |
1,891,205 |
582,136 |
1,370,519 |
| Change in net assets resulting from operations |
2,197,769 |
3,419,107 |
643,137 |
1,338,380 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(74,872 ) |
(168,036 ) |
(4,948 ) |
(8,879 ) |
| Class C |
(13,421 ) |
(37,071 ) |
(297 ) |
(595 ) |
| Class I |
(313,493 ) |
(712,740 ) |
(7,727 ) |
(14,064 ) |
| Class R2 |
(1,618 ) |
(3,638 ) |
— |
— |
| Class R3 |
(3,614 ) |
(8,671 ) |
— |
— |
| Class R4 |
(4,012 ) |
(9,017 ) |
— |
— |
| Class R5 |
(22,869 ) |
(52,737 ) |
— |
— |
| Class R6 |
(423,513 ) |
(898,296 ) |
(53,625 ) |
(93,153 ) |
| Total distributions to shareholders |
(857,412 ) |
(1,890,206 ) |
(66,597 ) |
(116,691 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
(2,861,395 ) |
390,632 |
206,680 |
(457,334 ) |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
(1,521,038 ) |
1,919,533 |
783,220 |
764,355 |
| Beginning of period |
47,890,947 |
45,971,414 |
8,022,139 |
7,257,784 |
| End of period |
$46,369,909 |
$47,890,947 |
$8,805,359 |
$8,022,139 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
127 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Equity Premium Income Fund |
JPMorgan
Hedged Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$222,339 |
$511,995 |
$83,073 |
$158,910
|
| Net realized gain (loss) |
(314,649 ) |
(503,117 ) |
(632,122 ) |
(339,696 ) |
| Change in net unrealized appreciation/depreciation |
316,836 |
485,760 |
972,747 |
2,291,782 |
| Change in net assets resulting from operations |
224,526 |
494,638 |
423,698 |
2,110,996 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(15,841 ) |
(57,430 ) |
(5,738 ) |
(11,178 ) |
| Class C |
(8,469 ) |
(41,689 ) |
(891 ) |
(1,340 ) |
| Class I |
(140,648 ) |
(296,490 ) |
(75,736 ) |
(126,466 ) |
| Class R5 |
(22 ) |
(53 ) |
(39 ) |
(67 ) |
| Class R6 |
(58,328 ) |
(118,435 ) |
(11,574 ) |
(20,453 ) |
| Total distributions to shareholders |
(223,308 ) |
(514,097 ) |
(93,978 ) |
(159,504 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
43,960 |
2,230,986 |
575,647 |
(2,436,362 ) |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
45,178 |
2,211,527 |
905,367 |
(484,870 ) |
| Beginning of period |
5,822,118 |
3,610,591 |
16,009,464 |
16,494,334 |
| End of period |
$5,867,296 |
$5,822,118 |
$16,914,831 |
$16,009,464 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 128 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
Hedged Equity 2 Fund |
JPMorgan
Hedged Equity 3 Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$22,695 |
$48,659 |
$12,553 |
$25,477
|
| Net realized gain (loss) |
(61,730 ) |
(369,209 ) |
(55,238 ) |
(244,555 ) |
| Change in net unrealized appreciation/depreciation |
91,437 |
888,868 |
236,149 |
499,236 |
| Change in net assets resulting from operations |
52,402 |
568,318 |
193,464 |
280,158 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(1,117 ) |
(19,932 ) |
(538 ) |
(2,250 ) |
| Class C |
(398 ) |
(13,519 ) |
(202 ) |
(1,475 ) |
| Class I |
(20,617 ) |
(230,748 ) |
(11,748 ) |
(46,550 ) |
| Class R5 |
(5 ) |
(43 ) |
— (a) |
(8 ) |
| Class R6 |
(3,694 ) |
(26,056 ) |
(1,875 ) |
(3,435 ) |
| Total distributions to shareholders |
(25,831 ) |
(290,298 ) |
(14,363 ) |
(53,718 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
7,863
|
(1,287,993 ) |
350,140 |
(744,217 ) |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
34,434 |
(1,009,973 ) |
529,241 |
(517,777 ) |
| Beginning of period |
4,613,494 |
5,623,467 |
2,333,516 |
2,851,293 |
| End of period |
$4,647,928 |
$4,613,494 |
$2,862,757 |
$2,333,516 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
129 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Large Cap Growth Fund |
JPMorgan
Large Cap Value Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$82,431 |
$227,848 |
$32,237 |
$55,490
|
| Net realized gain (loss) |
174,344 |
(1,770,410 ) |
71,813 |
145,602 |
| Change in net unrealized appreciation/depreciation |
5,891,241 |
12,431,756 |
125,953 |
182,427 |
| Change in net assets resulting from operations |
6,148,016 |
10,889,194 |
230,003 |
383,519 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
— |
(117,896 ) |
(12,793 ) |
(14,725 ) |
| Class C |
— |
(24,062 ) |
(3,732 ) |
(4,711 ) |
| Class I |
(21,930 ) |
(364,265 ) |
(63,639 ) |
(79,002 ) |
| Class R2 |
— |
(3,100 ) |
(617 ) |
(706 ) |
| Class R3 |
(347 ) |
(7,437 ) |
(557 ) |
(404 ) |
| Class R4 |
(851 ) |
(6,490 ) |
(66 ) |
(34 ) |
| Class R5 |
(2,077 ) |
(20,860 ) |
(1,501 ) |
(1,559 ) |
| Class R6 |
(144,889 ) |
(676,915 ) |
(85,936 ) |
(97,557 ) |
| Total distributions to shareholders |
(170,094 ) |
(1,221,025 ) |
(168,841 ) |
(198,698 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
6,291,065 |
19,571,678 |
93,663 |
86,714 |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
12,268,987 |
29,239,847 |
154,825 |
271,535 |
| Beginning of period |
60,586,545 |
31,346,698 |
3,467,553 |
3,196,018 |
| End of period |
$72,855,532 |
$60,586,545 |
$3,622,378 |
$3,467,553 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 130 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Applied Data Science Value Fund |
JPMorgan
U.S. Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$1,599 |
$3,568 |
$119,140 |
$234,891
|
| Net realized gain (loss) |
2,512 |
10,835 |
183,202 |
619,922 |
| Change in net unrealized appreciation/depreciation |
7,220
|
4,664
|
1,786,441 |
2,704,080 |
| Change in net assets resulting from operations |
11,331 |
19,067 |
2,088,783 |
3,558,893 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(2,727 ) |
(2,983 ) |
(30,834 ) |
(77,126 ) |
| Class C |
(206 ) |
(348 ) |
(5,216 ) |
(15,439 ) |
| Class I |
(5,170 ) |
(5,805 ) |
(62,882 ) |
(111,968 ) |
| Class L |
— |
— |
(34,914 ) |
(81,148 ) |
| Class R2 |
(159 ) |
(159 ) |
(3,555 ) |
(10,023 ) |
| Class R3 |
— |
— |
(2,914 ) |
(7,635 ) |
| Class R4 |
— |
— |
(1,233 ) |
(2,803 ) |
| Class R5 |
(249 ) |
(245 ) |
(18,733 ) |
(47,765 ) |
| Class R6 |
(2,423 ) |
(2,647 ) |
(239,463 ) |
(608,833 ) |
| Total distributions to shareholders |
(10,934 ) |
(12,187 ) |
(399,744 ) |
(962,740 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
(10,090 ) |
(25,799 ) |
590,599 |
1,970,003 |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
(9,693 ) |
(18,919 ) |
2,279,638 |
4,566,156 |
| Beginning of period |
177,579 |
196,498 |
23,173,065 |
18,606,909 |
| End of period |
$167,886 |
$177,579 |
$25,452,703 |
$23,173,065 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
131 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. GARP Equity Fund |
JPMorgan
U.S. Large Cap Core Plus Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$2,195 |
$5,717 |
$1,187 |
$2,543
|
| Net realized gain (loss) |
27,039 |
(2,346 ) |
40,809 |
341,009 |
| Change in net unrealized appreciation/depreciation |
91,396 |
250,354 |
98,616 |
(28,435 ) |
| Change in net assets resulting from operations |
120,630 |
253,725 |
140,612 |
315,117 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(930 ) |
(3,541 ) |
(26,732 ) |
(57,958 ) |
| Class C |
(78 ) |
(679 ) |
(5,198 ) |
(8,148 ) |
| Class I |
(1,115 ) |
(3,403 ) |
(100,148 ) |
(214,694 ) |
| Class R2 |
(264 ) |
(1,206 ) |
(770 ) |
(1,333 ) |
| Class R5 |
(1,369 ) |
(4,404 ) |
(3,591 ) |
(6,790 ) |
| Class R6 |
(8,988 ) |
(28,012 ) |
(32,343 ) |
(78,294 ) |
| Total distributions to shareholders |
(12,744 ) |
(41,245 ) |
(168,782 ) |
(367,217 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
(38,135 ) |
(42,555 ) |
193,835 |
(156,551 ) |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
69,751 |
169,925 |
165,665 |
(208,651 ) |
| Beginning of period |
1,146,074 |
976,149 |
1,428,419 |
1,637,070 |
| End of period |
$1,215,825 |
$1,146,074 |
$1,594,084 |
$1,428,419 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 132 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Research Enhanced Equity Fund |
JPMorgan
U.S. Sustainable Leaders Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$46,827 |
$93,477 |
$891 |
$1,723
|
| Net realized gain (loss) |
111,776 |
(57,184 ) |
1,236 |
(14,145 ) |
| Change in net unrealized appreciation/depreciation |
465,675 |
1,292,065 |
13,446 |
40,696 |
| Change in net assets resulting from operations |
624,278 |
1,328,358 |
15,573 |
28,274 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(1,155 ) |
(4,208 ) |
(381 ) |
(374 ) |
| Class C |
— |
— |
(10 ) |
(16 ) |
| Class I |
(5,778 ) |
(18,484 ) |
(761 ) |
(927 ) |
| Class R6 |
(54,990 ) |
(171,013 ) |
(587
) |
(594 ) |
| Total distributions to shareholders |
(61,923 ) |
(193,705 ) |
(1,739 ) |
(1,911 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
(398,107 ) |
(324,672 ) |
(147
) |
(35,768 ) |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
164,248 |
809,981 |
13,687 |
(9,405 ) |
| Beginning of period |
7,561,019 |
6,751,038 |
176,001 |
185,406 |
| End of period |
$7,725,267 |
$7,561,019 |
$189,688 |
$176,001 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
133 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. Value Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
| Net investment income (loss) |
$40,621 |
$62,112
|
| Net realized gain (loss) |
10,399 |
(19,251 ) |
| Change in net unrealized appreciation/depreciation |
222,347 |
380,248 |
| Change in net assets resulting from operations |
273,367 |
423,109 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
| Class A |
(9,172 ) |
(15,303 ) |
| Class C |
(777 ) |
(1,362 ) |
| Class I |
(20,726 ) |
(33,217 ) |
| Class R2 |
(38 ) |
(58 ) |
| Class R3 |
(76 ) |
(138 ) |
| Class R4 |
(30 ) |
(44 ) |
| Class R5 |
(107 ) |
(132 ) |
| Class R6 |
(15,558 ) |
(18,946 ) |
| Total distributions to shareholders |
(46,484 ) |
(69,200 ) |
| CAPITAL TRANSACTIONS: |
|
|
| Change in net assets resulting from capital transactions |
410,733 |
1,536,668 |
| NET ASSETS: |
|
|
| Change in net assets |
637,616 |
1,890,577 |
| Beginning of period |
4,704,905 |
2,814,328 |
| End of period |
$5,342,521 |
$4,704,905 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 134 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
Equity Income Fund |
JPMorgan
Equity Index Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$216,316 |
$461,442 |
$54,909 |
$80,596 |
| Distributions reinvested |
69,643 |
155,671 |
4,762 |
8,557 |
| Cost of shares redeemed |
(437,827 ) |
(906,349 ) |
(55,882 ) |
(87,703 ) |
| Change in net assets resulting from Class A capital transactions |
(151,868 ) |
(289,236 ) |
3,789
|
1,450 |
| Class C |
|
|
|
|
| Proceeds from shares issued |
9,464 |
30,826 |
5,380 |
11,116 |
| Distributions reinvested |
12,368 |
34,192 |
263 |
515 |
| Cost of shares redeemed |
(186,220 ) |
(312,013 ) |
(16,449 ) |
(20,412 ) |
| Change in net assets resulting from Class C capital transactions |
(164,388 ) |
(246,995 ) |
(10,806 ) |
(8,781 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
1,131,090 |
3,998,322 |
172,040 |
250,536 |
| Distributions reinvested |
284,540 |
648,293 |
7,312 |
13,326 |
| Cost of shares redeemed |
(3,182,008 ) |
(4,342,186 ) |
(110,383 ) |
(572,728 ) |
| Change in net assets resulting from Class I capital transactions |
(1,766,378 ) |
304,429 |
68,969 |
(308,866 ) |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
5,432 |
19,183 |
— |
— |
| Distributions reinvested |
1,594 |
3,586 |
— |
— |
| Cost of shares redeemed |
(13,938 ) |
(23,483 ) |
— |
— |
| Change in net assets resulting from Class R2 capital transactions |
(6,912 ) |
(714
) |
— |
— |
| Class R3 |
|
|
|
|
| Proceeds from shares issued |
14,953 |
49,432 |
— |
— |
| Distributions reinvested |
2,950 |
6,709 |
— |
— |
| Cost of shares redeemed |
(44,847 ) |
(66,619 ) |
— |
— |
| Change in net assets resulting from Class R3 capital transactions |
(26,944 ) |
(10,478 ) |
— |
— |
| Class R4 |
|
|
|
|
| Proceeds from shares issued |
14,092 |
98,579 |
— |
— |
| Distributions reinvested |
4,012 |
9,017 |
— |
— |
| Cost of shares redeemed |
(60,979 ) |
(73,719 ) |
— |
— |
| Change in net assets resulting from Class R4 capital transactions |
(42,875 ) |
33,877 |
— |
— |
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
78,458 |
213,246 |
— |
— |
| Distributions reinvested |
22,416 |
51,510 |
— |
— |
| Cost of shares redeemed |
(157,385 ) |
(357,218 ) |
— |
— |
| Change in net assets resulting from Class R5 capital transactions |
(56,511 ) |
(92,462 ) |
— |
— |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
135 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Equity Income Fund |
JPMorgan
Equity Index Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
$1,467,017 |
$4,246,117 |
$436,969 |
$1,167,392
|
| Distributions reinvested |
408,712 |
866,095 |
53,188 |
92,124 |
| Cost of shares redeemed |
(2,521,248 ) |
(4,420,001 ) |
(345,429 ) |
(1,400,653 ) |
| Change in net assets resulting from Class R6 capital transactions |
(645,519 ) |
692,211 |
144,728 |
(141,137 ) |
| Total change in net assets resulting from capital transactions |
$(2,861,395 ) |
$390,632 |
$206,680 |
$(457,334 ) |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
10,037 |
21,135 |
819 |
1,350 |
| Reinvested |
3,179 |
7,032 |
71 |
144 |
| Redeemed |
(20,236 ) |
(41,471 ) |
(837
) |
(1,464 ) |
| Change in Class A Shares |
(7,020
) |
(13,304
) |
53
|
30 |
| Class C |
|
|
|
|
| Issued |
448 |
1,438 |
81 |
188 |
| Reinvested |
577 |
1,575 |
4 |
9 |
| Redeemed |
(8,847 ) |
(14,635 ) |
(248
) |
(346 ) |
| Change in Class C Shares |
(7,822
) |
(11,622
) |
(163
) |
(149
) |
| Class I |
|
|
|
|
| Issued |
51,157 |
179,200 |
2,521 |
4,129 |
| Reinvested |
12,744 |
28,756 |
108 |
225 |
| Redeemed |
(144,068 ) |
(195,289 ) |
(1,640 ) |
(9,646 ) |
| Change in Class I Shares |
(80,167
) |
12,667
|
989
|
(5,292 ) |
| Class R2 |
|
|
|
|
| Issued |
252 |
886 |
— |
— |
| Reinvested |
73 |
163 |
— |
— |
| Redeemed |
(652
) |
(1,085 ) |
— |
— |
| Change in Class R2 Shares |
(327
) |
(36
) |
—
|
—
|
| Class R3 |
|
|
|
|
| Issued |
685 |
2,266 |
— |
— |
| Reinvested |
135 |
303 |
— |
— |
| Redeemed |
(2,034 ) |
(3,062 ) |
— |
— |
| Change in Class R3 Shares |
(1,214
) |
(493
) |
—
|
— |
| Class R4 |
|
|
|
|
| Issued |
638 |
4,435 |
— |
— |
| Reinvested |
180 |
401 |
— |
— |
| Redeemed |
(2,809 ) |
(3,329 ) |
— |
— |
| Change in Class R4 Shares |
(1,991
) |
1,507
|
—
|
—
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 136 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
Equity Income Fund |
JPMorgan
Equity Index Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R5 |
|
|
|
|
| Issued |
3,546 |
9,554 |
— |
— |
| Reinvested |
1,003 |
2,284 |
— |
— |
| Redeemed |
(7,115 ) |
(16,199 ) |
— |
— |
| Change in Class R5 Shares |
(2,566
) |
(4,361
) |
—
|
— |
| Class R6 |
|
|
|
|
| Issued |
66,259 |
190,860 |
6,492 |
19,404 |
| Reinvested |
18,318 |
38,463 |
789 |
1,548 |
| Redeemed |
(114,045 ) |
(198,224 ) |
(5,188 ) |
(23,106 ) |
| Change in Class R6 Shares |
(29,468
) |
31,099
|
2,093
|
(2,154
) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
137 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Equity Premium Income Fund |
JPMorgan
Hedged Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$140,859 |
$269,194 |
$183,114 |
$413,623 |
| Distributions reinvested |
15,680 |
57,042 |
5,710 |
11,121 |
| Cost of shares redeemed |
(82,750 ) |
(822,646 ) |
(188,732 ) |
(949,459 ) |
| Change in net assets resulting from Class A capital transactions |
73,789 |
(496,410 ) |
92
|
(524,715 ) |
| Class C |
|
|
|
|
| Proceeds from shares issued |
53,616 |
120,242 |
49,109 |
32,667 |
| Distributions reinvested |
8,436 |
41,661 |
891 |
1,340 |
| Cost of shares redeemed |
(18,653 ) |
(673,497 ) |
(52,041 ) |
(88,050 ) |
| Change in net assets resulting from Class C capital transactions |
43,399 |
(511,594 ) |
(2,041 ) |
(54,043 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
968,135 |
3,114,570 |
2,152,852 |
2,707,387 |
| Distributions reinvested |
137,400 |
289,837 |
73,390 |
123,008 |
| Cost of shares redeemed |
(985,484 ) |
(1,606,406 ) |
(1,667,704 ) |
(4,461,761 ) |
| Change in net assets resulting from Class I capital transactions |
120,051 |
1,798,001 |
558,538 |
(1,631,366 ) |
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
259 |
537 |
381 |
698 |
| Distributions reinvested |
22 |
53 |
39 |
67 |
| Cost of shares redeemed |
(698
) |
(46
) |
(876
) |
(795 ) |
| Change in net assets resulting from Class R5 capital transactions |
(417
) |
544
|
(456
) |
(30
) |
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
62,229 |
1,672,438 |
438,203 |
363,419 |
| Distributions reinvested |
54,681 |
109,541 |
5,680 |
9,007 |
| Cost of shares redeemed |
(309,772 ) |
(341,534 ) |
(424,369 ) |
(598,634 ) |
| Change in net assets resulting from Class R6 capital transactions |
(192,862 ) |
1,440,445 |
19,514 |
(226,208 ) |
| Total change in net assets resulting from capital transactions |
$43,960 |
$2,230,986 |
$575,647 |
$(2,436,362 ) |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
10,389 |
19,716 |
6,654 |
16,545 |
| Reinvested |
1,160 |
4,202 |
208 |
447 |
| Redeemed |
(6,154 ) |
(61,516 ) |
(6,871 ) |
(38,851 ) |
| Change in Class A Shares |
5,395
|
(37,598
) |
(9
) |
(21,859
) |
| Class C |
|
|
|
|
| Issued |
3,947 |
8,815 |
1,795 |
1,266 |
| Reinvested |
625 |
3,068 |
33 |
55 |
| Redeemed |
(1,377 ) |
(50,406 ) |
(1,917 ) |
(3,555 ) |
| Change in Class C Shares |
3,195
|
(38,523
) |
(89
) |
(2,234 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 138 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
Equity Premium Income Fund |
JPMorgan
Hedged Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class I |
|
|
|
|
| Issued |
71,345 |
228,048 |
77,785 |
105,360 |
| Reinvested |
10,160 |
21,311 |
2,664 |
4,890 |
| Redeemed |
(72,934 ) |
(118,698 ) |
(60,457 ) |
(178,074 ) |
| Change in Class I Shares |
8,571
|
130,661
|
19,992
|
(67,824
) |
| Class R5 |
|
|
|
|
| Issued |
18 |
39 |
14 |
27 |
| Reinvested |
2 |
4 |
1 |
3 |
| Redeemed |
(51
) |
(3
) |
(31
) |
(31
) |
| Change in Class R5 Shares |
(31
) |
40
|
(16
) |
(1 ) |
| Class R6 |
|
|
|
|
| Issued |
4,562 |
125,253 |
16,005 |
14,409 |
| Reinvested |
4,043 |
8,022 |
206 |
357 |
| Redeemed |
(22,872 ) |
(25,171 ) |
(15,282 ) |
(23,593 ) |
| Change in Class R6 Shares |
(14,267
) |
108,104
|
929
|
(8,827
) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
139 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Hedged Equity 2 Fund |
JPMorgan
Hedged Equity 3 Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$32,726 |
$137,526 |
$22,926 |
$58,361 |
| Distributions reinvested |
1,115 |
19,929 |
536 |
2,244 |
| Cost of shares redeemed |
(52,998 ) |
(195,721 ) |
(21,139 ) |
(62,266 ) |
| Change in net assets resulting from Class A capital transactions |
(19,157 ) |
(38,266 ) |
2,323
|
(1,661 ) |
| Class C |
|
|
|
|
| Proceeds from shares issued |
16,008 |
45,876 |
18,345 |
37,075 |
| Distributions reinvested |
397 |
13,509 |
201 |
1,466 |
| Cost of shares redeemed |
(36,347 ) |
(79,358 ) |
(16,038 ) |
(39,960 ) |
| Change in net assets resulting from Class C capital transactions |
(19,942 ) |
(19,973 ) |
2,508
|
(1,419 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
914,960 |
2,380,852 |
667,740 |
1,619,694 |
| Distributions reinvested |
20,073 |
228,481 |
11,583 |
46,107 |
| Cost of shares redeemed |
(942,923 ) |
(3,279,976 ) |
(465,632 ) |
(2,185,835 ) |
| Change in net assets resulting from Class I capital transactions |
(7,890 ) |
(670,643 ) |
213,691 |
(520,034 ) |
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
25 |
159 |
— |
351 |
| Distributions reinvested |
5 |
43 |
— (a) |
8 |
| Cost of shares redeemed |
(49
) |
(62
) |
(6
) |
(470 ) |
| Change in net assets resulting from Class R5 capital transactions |
(19
) |
140
|
(6
) |
(111
) |
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
247,387 |
647,862 |
155,044 |
181,537 |
| Distributions reinvested |
3,552 |
25,748 |
1,782 |
3,314 |
| Cost of shares redeemed |
(196,068 ) |
(1,232,861 ) |
(25,202 ) |
(405,843 ) |
| Change in net assets resulting from Class R6 capital transactions |
54,871 |
(559,251 ) |
131,624 |
(220,992 ) |
| Total change in net assets resulting from capital transactions |
$7,863 |
$(1,287,993 ) |
$350,140 |
$(744,217 ) |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
2,108 |
9,036 |
1,458 |
4,028 |
| Reinvested |
72 |
1,389 |
33 |
155 |
| Redeemed |
(3,407 ) |
(13,121 ) |
(1,328 ) |
(4,278 ) |
| Change in Class A Shares |
(1,227
) |
(2,696
) |
163
|
(95
) |
| Class C |
|
|
|
|
| Issued |
1,031 |
3,079 |
1,167 |
2,567 |
| Reinvested |
26 |
946 |
13 |
101 |
| Redeemed |
(2,344 ) |
(5,360 ) |
(1,017 ) |
(2,750 ) |
| Change in Class C Shares |
(1,287
) |
(1,335
) |
163
|
(82 ) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 140 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
Hedged Equity 2 Fund |
JPMorgan
Hedged Equity 3 Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class I |
|
|
|
|
| Issued |
58,802 |
159,350 |
42,383 |
112,208 |
| Reinvested |
1,291 |
15,870 |
720 |
3,178 |
| Redeemed |
(60,646 ) |
(220,794 ) |
(29,169 ) |
(149,700 ) |
| Change in Class I Shares |
(553
) |
(45,574
) |
13,934
|
(34,314
) |
| Class R5 |
|
|
|
|
| Issued |
2 |
10 |
— |
25 |
| Reinvested |
— (a) |
3 |
— (a) |
1 |
| Redeemed |
(3
) |
(4
) |
(1
) |
(33
) |
| Change in Class R5 Shares |
(1
) |
9
|
(1
) |
(7 ) |
| Class R6 |
|
|
|
|
| Issued |
15,939 |
44,429 |
10,004 |
12,796 |
| Reinvested |
228 |
1,780 |
110 |
227 |
| Redeemed |
(12,489 ) |
(81,465 ) |
(1,568 ) |
(27,983 ) |
| Change in Class R6 Shares |
3,678
|
(35,256
) |
8,546
|
(14,960
) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
141 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Large Cap Growth Fund |
JPMorgan
Large Cap Value Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$510,284 |
$870,898 |
$23,710 |
$91,301 |
| Distributions reinvested |
— |
109,274 |
12,544 |
14,411 |
| Cost of shares redeemed |
(397,385 ) |
(804,852 ) |
(37,660 ) |
(65,188 ) |
| Change in net assets resulting from Class A capital transactions |
112,899 |
175,320 |
(1,406 ) |
40,524 |
| Class C |
|
|
|
|
| Proceeds from shares issued |
80,227 |
103,505 |
5,255 |
29,810 |
| Distributions reinvested |
— |
22,030 |
3,721 |
4,710 |
| Cost of shares redeemed |
(83,172 ) |
(149,550 ) |
(17,217 ) |
(26,960 ) |
| Change in net assets resulting from Class C capital transactions |
(2,945 ) |
(24,015 ) |
(8,241 ) |
7,560
|
| Class I |
|
|
|
|
| Proceeds from shares issued |
2,803,288 |
6,518,736 |
282,249 |
699,307 |
| Distributions reinvested |
19,621 |
336,415 |
58,518 |
74,628 |
| Cost of shares redeemed |
(2,105,681 ) |
(3,306,703 ) |
(309,822 ) |
(822,548 ) |
| Change in net assets resulting from Class I capital transactions |
717,228 |
3,548,448 |
30,945 |
(48,613 ) |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
62,758 |
41,401 |
1,188 |
3,171 |
| Distributions reinvested |
— |
3,038 |
616 |
703 |
| Cost of shares redeemed |
(22,146 ) |
(28,556 ) |
(1,305 ) |
(3,162 ) |
| Change in net assets resulting from Class R2 capital transactions |
40,612 |
15,883 |
499
|
712
|
| Class R3 |
|
|
|
|
| Proceeds from shares issued |
291,274 |
160,354 |
2,079 |
5,295 |
| Distributions reinvested |
283 |
5,057 |
557 |
404 |
| Cost of shares redeemed |
(55,994 ) |
(70,463 ) |
(1,218 ) |
(1,334 ) |
| Change in net assets resulting from Class R3 capital transactions |
235,563 |
94,948 |
1,418
|
4,365 |
| Class R4 |
|
|
|
|
| Proceeds from shares issued |
126,947 |
351,742 |
185 |
770 |
| Distributions reinvested |
826 |
6,116 |
65 |
34 |
| Cost of shares redeemed |
(76,069 ) |
(74,599 ) |
(136
) |
(80 ) |
| Change in net assets resulting from Class R4 capital transactions |
51,704 |
283,259 |
114
|
724
|
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
108,549 |
328,090 |
3,977 |
11,223 |
| Distributions reinvested |
2,028 |
20,245 |
1,409 |
1,519 |
| Cost of shares redeemed |
(234,244 ) |
(183,419 ) |
(3,241 ) |
(7,261 ) |
| Change in net assets resulting from Class R5 capital transactions |
(123,667 ) |
164,916 |
2,145
|
5,481 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 142 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
Large Cap Growth Fund |
JPMorgan
Large Cap Value Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
$8,645,761 |
$18,301,512 |
$195,186 |
$429,363
|
| Distributions reinvested |
137,456 |
651,685 |
84,065 |
94,910 |
| Cost of shares redeemed |
(3,523,546 ) |
(3,640,278 ) |
(211,062 ) |
(448,312 ) |
| Change in net assets resulting from Class R6 capital transactions |
5,259,671 |
15,312,919 |
68,189 |
75,961 |
| Total change in net assets resulting from capital transactions |
$6,291,065 |
$19,571,678 |
$93,663 |
$86,714 |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
9,386 |
18,541 |
1,263 |
4,907 |
| Reinvested |
— |
2,391 |
665 |
772 |
| Redeemed |
(7,316 ) |
(17,198 ) |
(2,002 ) |
(3,518 ) |
| Change in Class A Shares |
2,070
|
3,734
|
(74
) |
2,161 |
| Class C |
|
|
|
|
| Issued |
2,233 |
3,313 |
295 |
1,685 |
| Reinvested |
— |
728 |
208 |
266 |
| Redeemed |
(2,323 ) |
(4,826 ) |
(974
) |
(1,534 ) |
| Change in Class C Shares |
(90
) |
(785
) |
(471
) |
417
|
| Class I |
|
|
|
|
| Issued |
50,537 |
135,810 |
15,452 |
38,688 |
| Reinvested |
330 |
7,184 |
3,172 |
4,089 |
| Redeemed |
(37,836 ) |
(68,687 ) |
(16,851 ) |
(45,461 ) |
| Change in Class I Shares |
13,031
|
74,307
|
1,773
|
(2,684 ) |
| Class R2 |
|
|
|
|
| Issued |
1,218 |
944 |
65 |
173 |
| Reinvested |
— |
71 |
33 |
38 |
| Redeemed |
(436
) |
(653
) |
(70
) |
(173 ) |
| Change in Class R2 Shares |
782
|
362
|
28
|
38
|
| Class R3 |
|
|
|
|
| Issued |
5,226 |
3,392 |
116 |
289 |
| Reinvested |
5 |
110 |
30 |
22 |
| Redeemed |
(1,010 ) |
(1,484 ) |
(66
) |
(73
) |
| Change in Class R3 Shares |
4,221
|
2,018
|
80
|
238 |
| Class R4 |
|
|
|
|
| Issued |
2,282 |
7,214 |
10 |
40 |
| Reinvested |
14 |
131 |
4 |
2 |
| Redeemed |
(1,365 ) |
(1,548 ) |
(8
) |
(4 ) |
| Change in Class R4 Shares |
931
|
5,797
|
6
|
38
|
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
143 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Large Cap Growth Fund |
JPMorgan
Large Cap Value Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R5 |
|
|
|
|
| Issued |
1,881 |
6,625 |
219 |
611 |
| Reinvested |
33 |
417 |
75 |
82 |
| Redeemed |
(4,042 ) |
(3,725 ) |
(175
) |
(395
) |
| Change in Class R5 Shares |
(2,128
) |
3,317
|
119
|
298 |
| Class R6 |
|
|
|
|
| Issued |
147,599 |
361,060 |
10,671 |
23,620 |
| Reinvested |
2,206 |
13,285 |
4,534 |
5,183 |
| Redeemed |
(59,664 ) |
(71,808 ) |
(11,502 ) |
(24,411 ) |
| Change in Class R6 Shares |
90,141
|
302,537
|
3,703
|
4,392
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 144 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Applied Data Science Value Fund |
JPMorgan
U.S. Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$1,594 |
$4,640 |
$262,285 |
$447,790 |
| Distributions reinvested |
2,631 |
2,875 |
29,175 |
72,047 |
| Cost of shares redeemed |
(8,732 ) |
(12,011 ) |
(175,213 ) |
(389,511 ) |
| Change in net assets resulting from Class A capital transactions |
(4,507 ) |
(4,496 ) |
116,247 |
130,326 |
| Class C |
|
|
|
|
| Proceeds from shares issued |
33 |
132 |
56,812 |
86,563 |
| Distributions reinvested |
206 |
348 |
5,089 |
15,033 |
| Cost of shares redeemed |
(1,032 ) |
(3,889 ) |
(78,209 ) |
(99,064 ) |
| Change in net assets resulting from Class C capital transactions |
(793
) |
(3,409 ) |
(16,308 ) |
2,532
|
| Class I |
|
|
|
|
| Proceeds from shares issued |
1,309 |
8,707 |
916,826 |
1,766,425 |
| Distributions reinvested |
5,130 |
5,763 |
61,003 |
108,259 |
| Cost of shares redeemed |
(10,837 ) |
(28,654 ) |
(376,013 ) |
(791,861 ) |
| Change in net assets resulting from Class I capital transactions |
(4,398 ) |
(14,184 ) |
601,816 |
1,082,823 |
| Class L |
|
|
|
|
| Proceeds from shares issued |
— |
— |
203,291 |
652,290 |
| Distributions reinvested |
— |
— |
32,238 |
76,174 |
| Cost of shares redeemed |
— |
— |
(314,639 ) |
(394,900 ) |
| Change in net assets resulting from Class L capital transactions |
— |
— |
(79,110 ) |
333,564 |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
134 |
269 |
24,183 |
43,961 |
| Distributions reinvested |
159 |
159 |
3,549 |
10,005 |
| Cost of shares redeemed |
(417
) |
(664
) |
(34,034 ) |
(47,733 ) |
| Change in net assets resulting from Class R2 capital transactions |
(124
) |
(236
) |
(6,302 ) |
6,233 |
| Class R3 |
|
|
|
|
| Proceeds from shares issued |
— |
— |
23,374 |
34,649 |
| Distributions reinvested |
— |
— |
2,627 |
6,932 |
| Cost of shares redeemed |
— |
— |
(24,172 ) |
(29,102 ) |
| Change in net assets resulting from Class R3 capital transactions |
— |
— |
1,829
|
12,479 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
145 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. Applied Data Science Value Fund |
JPMorgan
U.S. Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
|
|
| Class R4 |
|
|
|
|
| Proceeds from shares issued |
$— |
$— |
$12,027 |
$11,525 |
| Distributions reinvested |
— |
— |
1,233 |
2,803 |
| Cost of shares redeemed |
— |
— |
(4,889 ) |
(10,175 ) |
| Change in net assets resulting from Class R4 capital transactions |
— |
— |
8,371
|
4,153 |
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
194 |
690 |
76,599 |
188,486 |
| Distributions reinvested |
248 |
245 |
17,871 |
45,328 |
| Cost of shares redeemed |
(319
) |
(890
) |
(113,078 ) |
(177,217 ) |
| Change in net assets resulting from Class R5 capital transactions |
123
|
45
|
(18,608 ) |
56,597 |
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
3,069 |
8,609 |
1,637,212 |
3,077,550 |
| Distributions reinvested |
2,423 |
2,647 |
232,729 |
593,789 |
| Cost of shares redeemed |
(5,883 ) |
(14,775 ) |
(1,887,277 ) |
(3,330,043 ) |
| Change in net assets resulting from Class R6 capital transactions |
(391
) |
(3,519 ) |
(17,336 ) |
341,296 |
| Total change in net assets resulting from capital transactions |
$(10,090 ) |
$(25,799 ) |
$590,599 |
$1,970,003 |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
59 |
170 |
13,148 |
24,678 |
| Reinvested |
96 |
106 |
1,411 |
4,026 |
| Redeemed |
(322
) |
(445
) |
(8,754 ) |
(21,468 ) |
| Change in Class A Shares |
(167
) |
(169
) |
5,805
|
7,236
|
| Class C |
|
|
|
|
| Issued |
1 |
5 |
2,994 |
5,013 |
| Reinvested |
8 |
13 |
258 |
885 |
| Redeemed |
(38
) |
(146
) |
(4,149 ) |
(5,767 ) |
| Change in Class C Shares |
(29
) |
(128
) |
(897
) |
131 |
| Class I |
|
|
|
|
| Issued |
46 |
320 |
46,093 |
95,392 |
| Reinvested |
186 |
210 |
2,946 |
6,018 |
| Redeemed |
(388
) |
(1,055 ) |
(18,716 ) |
(43,699 ) |
| Change in Class I Shares |
(156
) |
(525
) |
30,323
|
57,711
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 146 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Applied Data Science Value Fund |
JPMorgan
U.S. Equity Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class L |
|
|
|
|
| Issued |
— |
— |
10,036 |
35,876 |
| Reinvested |
— |
— |
1,555 |
4,224 |
| Redeemed |
— |
— |
(15,698 ) |
(21,679 ) |
| Change in Class L Shares |
—
|
—
|
(4,107
) |
18,421 |
| Class R2 |
|
|
|
|
| Issued |
6 |
10 |
1,227 |
2,468 |
| Reinvested |
6 |
6 |
174 |
567 |
| Redeemed |
(16
) |
(25
) |
(1,723 ) |
(2,652 ) |
| Change in Class R2 Shares |
(4
) |
(9
) |
(322
) |
383
|
| Class R3 |
|
|
|
|
| Issued |
— |
— |
1,172 |
1,914 |
| Reinvested |
— |
— |
128 |
389 |
| Redeemed |
— |
— |
(1,214 ) |
(1,610 ) |
| Change in Class R3 Shares |
—
|
—
|
86
|
693 |
| Class R4 |
|
|
|
|
| Issued |
— |
— |
601 |
637 |
| Reinvested |
— |
— |
60 |
156 |
| Redeemed |
— |
— |
(245
) |
(556 ) |
| Change in Class R4 Shares |
—
|
—
|
416
|
237
|
| Class R5 |
|
|
|
|
| Issued |
6 |
25 |
3,779 |
10,332 |
| Reinvested |
9 |
9 |
862 |
2,514 |
| Redeemed |
(11
) |
(32
) |
(5,570 ) |
(9,698 ) |
| Change in Class R5 Shares |
4
|
2
|
(929
) |
3,148 |
| Class R6 |
|
|
|
|
| Issued |
110 |
308 |
81,360 |
168,222 |
| Reinvested |
87 |
96 |
11,201 |
32,849 |
| Redeemed |
(213
) |
(539
) |
(93,686 ) |
(180,944 ) |
| Change in Class R6 Shares |
(16
) |
(135
) |
(1,125
) |
20,127
|
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
147 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. GARP Equity Fund |
JPMorgan
U.S. Large Cap Core Plus Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$10,269 |
$15,107 |
$33,163 |
$28,119 |
| Distributions reinvested |
694 |
2,539 |
24,938 |
53,749 |
| Cost of shares redeemed |
(8,843 ) |
(15,249 ) |
(30,598 ) |
(76,362 ) |
| Change in net assets resulting from Class A capital transactions |
2,120
|
2,397
|
27,503 |
5,506 |
| Class C |
|
|
|
|
| Proceeds from shares issued |
1,622 |
932 |
10,995 |
7,658 |
| Distributions reinvested |
73 |
635 |
5,042 |
7,861 |
| Cost of shares redeemed |
(2,981 ) |
(11,538 ) |
(5,541 ) |
(10,466 ) |
| Change in net assets resulting from Class C capital transactions |
(1,286 ) |
(9,971 ) |
10,496 |
5,053
|
| Class I |
|
|
|
|
| Proceeds from shares issued |
17,457 |
14,330 |
155,021 |
190,588 |
| Distributions reinvested |
928 |
3,062 |
97,364 |
207,578 |
| Cost of shares redeemed |
(7,871 ) |
(20,892 ) |
(124,603 ) |
(502,036 ) |
| Change in net assets resulting from Class I capital transactions |
10,514 |
(3,500 ) |
127,782 |
(103,870 ) |
| Class R2 |
|
|
|
|
| Proceeds from shares issued |
3,711 |
6,941 |
289 |
932 |
| Distributions reinvested |
263 |
1,201 |
770 |
1,322 |
| Cost of shares redeemed |
(4,244 ) |
(9,408 ) |
(458
) |
(776 ) |
| Change in net assets resulting from Class R2 capital transactions |
(270
) |
(1,266 ) |
601
|
1,478
|
| Class R5 |
|
|
|
|
| Proceeds from shares issued |
9,218 |
9,640 |
4,771 |
6,570 |
| Distributions reinvested |
1,369 |
4,399 |
3,428 |
6,610 |
| Cost of shares redeemed |
(11,107 ) |
(19,110 ) |
(3,576 ) |
(9,338 ) |
| Change in net assets resulting from Class R5 capital transactions |
(520
) |
(5,071 ) |
4,623
|
3,842 |
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
17,995 |
30,435 |
54,032 |
55,234 |
| Distributions reinvested |
8,688 |
27,159 |
23,448 |
60,993 |
| Cost of shares redeemed |
(75,376 ) |
(82,738 ) |
(54,650 ) |
(184,787 ) |
| Change in net assets resulting from Class R6 capital transactions |
(48,693 ) |
(25,144 ) |
22,830 |
(68,560 ) |
| Total change in net assets resulting from capital transactions |
$(38,135 ) |
$(42,555 ) |
$193,835 |
$(156,551 ) |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
164 |
289 |
2,007 |
1,779 |
| Reinvested |
11 |
50 |
1,535 |
3,614 |
| Redeemed |
(144
) |
(292
) |
(1,809 ) |
(4,676 ) |
| Change in Class A Shares |
31
|
47
|
1,733
|
717 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 148 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. GARP Equity Fund |
JPMorgan
U.S. Large Cap Core Plus Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class C |
|
|
|
|
| Issued |
27 |
19 |
810 |
586 |
| Reinvested |
1 |
13 |
397 |
653 |
| Redeemed |
(51
) |
(235
) |
(411
) |
(781 ) |
| Change in Class C Shares |
(23
) |
(203
) |
796
|
458
|
| Class I |
|
|
|
|
| Issued |
277 |
260 |
8,711 |
10,925 |
| Reinvested |
14 |
59 |
5,665 |
13,301 |
| Redeemed |
(124
) |
(388
) |
(7,004 ) |
(28,938 ) |
| Change in Class I Shares |
167
|
(69
) |
7,372
|
(4,712 ) |
| Class R2 |
|
|
|
|
| Issued |
63 |
140 |
19 |
62 |
| Reinvested |
4 |
25 |
54 |
100 |
| Redeemed |
(71
) |
(186
) |
(31
) |
(56 ) |
| Change in Class R2 Shares |
(4
) |
(21
) |
42
|
106
|
| Class R5 |
|
|
|
|
| Issued |
146 |
181 |
262 |
380 |
| Reinvested |
21 |
87 |
196 |
417 |
| Redeemed |
(179
) |
(356
) |
(198
) |
(550
) |
| Change in Class R5 Shares |
(12
) |
(88
) |
260
|
247 |
| Class R6 |
|
|
|
|
| Issued |
290 |
577 |
3,012 |
3,259 |
| Reinvested |
131 |
539 |
1,342 |
3,845 |
| Redeemed |
(1,199 ) |
(1,499 ) |
(3,043 ) |
(10,572 ) |
| Change in Class R6 Shares |
(778
) |
(383
) |
1,311
|
(3,468
) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
149 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. Research Enhanced Equity Fund |
JPMorgan
U.S. Sustainable Leaders Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$19,237 |
$59,435 |
$5,033 |
$9,354 |
| Distributions reinvested |
1,149 |
4,183 |
376 |
369 |
| Cost of shares redeemed |
(31,806 ) |
(60,266 ) |
(4,457 ) |
(8,610 ) |
| Change in net assets resulting from Class A capital transactions |
(11,420 ) |
3,352
|
952
|
1,113 |
| Class C |
|
|
|
|
| Proceeds from shares issued |
— |
— |
294 |
539 |
| Distributions reinvested |
— |
— |
10 |
16 |
| Cost of shares redeemed |
— |
— |
(775
) |
(1,594 ) |
| Change in net assets resulting from Class C capital transactions |
— |
— |
(471
) |
(1,039 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
100,325 |
191,101 |
6,787 |
20,832 |
| Distributions reinvested |
4,258 |
13,147 |
726 |
878 |
| Cost of shares redeemed |
(110,452 ) |
(207,381 ) |
(9,114 ) |
(57,225 ) |
| Change in net assets resulting from Class I capital transactions |
(5,869 ) |
(3,133 ) |
(1,601 ) |
(35,515 ) |
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
319,937 |
1,057,579 |
5,194 |
8,925 |
| Distributions reinvested |
54,618 |
170,226 |
587 |
594 |
| Cost of shares redeemed |
(755,373 ) |
(1,552,696 ) |
(4,808 ) |
(9,846 ) |
| Change in net assets resulting from Class R6 capital transactions |
(380,818 ) |
(324,891 ) |
973
|
(327
) |
| Total change in net assets resulting from capital transactions |
$(398,107 ) |
$(324,672 ) |
$(147 ) |
$(35,768 ) |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
565 |
1,955 |
87 |
180 |
| Reinvested |
33 |
139 |
6 |
7 |
| Redeemed |
(930
) |
(1,984 ) |
(77
) |
(167
) |
| Change in Class A Shares |
(332
) |
110
|
16
|
20 |
| Class C |
|
|
|
|
| Issued |
— |
— |
6 |
11 |
| Reinvested |
— |
— |
— (a) |
— (a) |
| Redeemed |
— |
— |
(14
) |
(31 ) |
| Change in Class C Shares |
—
|
—
|
(8
) |
(20
) |
| Class I |
|
|
|
|
| Issued |
2,914 |
6,178 |
116 |
394 |
| Reinvested |
121 |
430 |
12 |
18 |
| Redeemed |
(3,175 ) |
(6,761 ) |
(158
) |
(1,115 ) |
| Change in Class I Shares |
(140
) |
(153
) |
(30
) |
(703 ) |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| 150 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Research Enhanced Equity Fund |
JPMorgan
U.S. Sustainable Leaders Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Issued |
9,276 |
34,312 |
87 |
172 |
| Reinvested |
1,557 |
5,576 |
10 |
12 |
| Redeemed |
(21,836 ) |
(50,162 ) |
(83
) |
(187 ) |
| Change in Class R6 Shares |
(11,003
) |
(10,274
) |
14
|
(3
) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
151 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. Value Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
| Class A |
|
|
| Proceeds from shares issued |
$130,779 |
$363,877 |
| Distributions reinvested |
8,611 |
14,245 |
| Cost of shares redeemed |
(88,717 ) |
(140,778 ) |
| Change in net assets resulting from Class A capital transactions |
50,673 |
237,344 |
| Class C |
|
|
| Proceeds from shares issued |
12,305 |
45,980 |
| Distributions reinvested |
712 |
1,236 |
| Cost of shares redeemed |
(16,145 ) |
(20,110 ) |
| Change in net assets resulting from Class C capital transactions |
(3,128 ) |
27,106 |
| Class I |
|
|
| Proceeds from shares issued |
466,994 |
1,253,780 |
| Distributions reinvested |
19,452 |
30,966 |
| Cost of shares redeemed |
(432,051 ) |
(693,499 ) |
| Change in net assets resulting from Class I capital transactions |
54,395 |
591,247 |
| Class R2 |
|
|
| Proceeds from shares issued |
439 |
3,112 |
| Distributions reinvested |
38 |
58 |
| Cost of shares redeemed |
(425
) |
(1,755 ) |
| Change in net assets resulting from Class R2 capital transactions |
52
|
1,415
|
| Class R3 |
|
|
| Proceeds from shares issued |
4,298 |
3,676 |
| Distributions reinvested |
44 |
99 |
| Cost of shares redeemed |
(628
) |
(5,504 ) |
| Change in net assets resulting from Class R3 capital transactions |
3,714
|
(1,729 ) |
| Class R4 |
|
|
| Proceeds from shares issued |
532 |
4,367 |
| Distributions reinvested |
30 |
44 |
| Cost of shares redeemed |
(2,727 ) |
(169 ) |
| Change in net assets resulting from Class R4 capital transactions |
(2,165 ) |
4,242
|
| Class R5 |
|
|
| Proceeds from shares issued |
3,968 |
4,305 |
| Distributions reinvested |
102 |
121 |
| Cost of shares redeemed |
(986
) |
(740
) |
| Change in net assets resulting from Class R5 capital transactions |
3,084
|
3,686 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 152 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
JPMorgan
U.S. Value Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: (continued) |
|
|
| Class R6 |
|
|
| Proceeds from shares issued |
$436,638 |
$852,611
|
| Distributions reinvested |
15,182 |
18,413 |
| Cost of shares redeemed |
(147,712 ) |
(197,667 ) |
| Change in net assets resulting from Class R6 capital transactions |
304,108 |
673,357 |
| Total change in net assets resulting from capital transactions |
$410,733 |
$1,536,668 |
| SHARE TRANSACTIONS: |
|
|
| Class A |
|
|
| Issued |
1,974 |
5,665 |
| Reinvested |
129 |
224 |
| Redeemed |
(1,339 ) |
(2,191 ) |
| Change in Class A Shares |
764
|
3,698 |
| Class C |
|
|
| Issued |
211 |
813 |
| Reinvested |
12 |
22 |
| Redeemed |
(277
) |
(356 ) |
| Change in Class C Shares |
(54
) |
479
|
| Class I |
|
|
| Issued |
6,610 |
18,365 |
| Reinvested |
275 |
458 |
| Redeemed |
(6,160 ) |
(10,212 ) |
| Change in Class I Shares |
725
|
8,611 |
| Class R2 |
|
|
| Issued |
7 |
47 |
| Reinvested |
1 |
1 |
| Redeemed |
(6
) |
(27 ) |
| Change in Class R2 Shares |
2
|
21
|
| Class R3 |
|
|
| Issued |
60 |
57 |
| Reinvested |
1 |
1 |
| Redeemed |
(9
) |
(79
) |
| Change in Class R3 Shares |
52
|
(21 ) |
| Class R4 |
|
|
| Issued |
8 |
62 |
| Reinvested |
— (a) |
1 |
| Redeemed |
(39
) |
(2 ) |
| Change in Class R4 Shares |
(31
) |
61
|
(a)
Amount rounds to less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
153 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
U.S. Value Fund | |
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
| Class R5 |
|
|
| Issued |
57 |
64 |
| Reinvested |
1 |
2 |
| Redeemed |
(14
) |
(11
) |
| Change in Class R5 Shares |
44
|
55 |
| Class R6 |
|
|
| Issued |
6,094 |
12,341 |
| Reinvested |
212 |
269 |
| Redeemed |
(2,074 ) |
(2,856 ) |
| Change in Class R6 Shares |
4,232
|
9,754
|
SEE NOTES TO FINANCIAL STATEMENTS.
| 154 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
STATEMENT
OF CASH FLOWS
FOR THE PERIOD ENDED December 31, 2023
(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 |
$140,612 |
| Adjustments to reconcile net increase/decrease in net assets resulting
from operations to net cash provided (used) by operating activities:
|
|
| Purchases of investment securities |
(574,637 ) |
| Proceeds from disposition of investment securities |
504,912 |
| Covers of investment securities sold short |
(347,019 ) |
| Proceeds from investment securities sold short |
408,217 |
| Purchases of short-term investments — affiliates, net |
(18,045 ) |
| Change in unrealized (appreciation)/depreciation on investments in non-affiliates |
(120,478 ) |
| Change in unrealized (appreciation)/depreciation on investments in affiliates |
(13 ) |
| Change in unrealized (appreciation)/depreciation on investment securities sold short |
21,822 |
| Net realized (gain)/loss on investments in non-affiliates |
(41,698 ) |
| Net realized (gain)/loss on investments in affiliates |
(17 ) |
| Net realized (gain)/loss on securities sold short |
4,618 |
| Increase in dividends receivable from affiliates |
(3 ) |
| Increase in dividends receivable from non-affiliates |
(450 ) |
| Decrease in variation margin receivable |
130 |
| Increase in dividend expense payable to non-affiliates on securities sold short |
6 |
| Increase in interest expense payable to non-affiliates on securities sold short |
39 |
| Increase in variation margin payable |
63 |
| Increase in investment advisory fees payable |
113 |
| Increase in administration fees payable |
14 |
| Increase in distribution fees payable |
11 |
| Increase in service fees payable |
9 |
| Decrease in custodian and accounting fees payable |
(1 ) |
| Decrease in other accrued expenses payable |
(56
) |
| Net cash provided (used) by operating activities |
(21,851 ) |
| Cash flows provided (used) by financing activities: |
|
| Proceeds from shares issued |
255,096 |
| Payment for shares redeemed |
(218,535 ) |
| Cash distributions paid to shareholders (net of reinvestments $154,990) |
(13,792 ) |
| Net cash provided (used) by financing activities |
22,769 |
| Cash: |
|
| Net increase (decrease) in unrestricted and restricted cash, foreign currency and deposits at broker |
918 |
| Restricted and unrestricted cash and foreign currency at beginning of period |
684 |
| Restricted and unrestricted cash and foreign currency at end of period |
$1,602 |
Supplemental disclosure of cash flow information:
For the period ended December 31, 2023 the Fund paid approximately $1,007 in interest
expense.
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.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
155 |
STATEMENT
OF CASH FLOWS
FOR THE PERIOD ENDED December 31, 2023 (continued)
(Amounts in thousands)
Reconciliation of restricted and unrestricted cash and
foreign currency at the end of period to the Statements of Assets and Liabilities:
| |
JPMorgan U.S. Large Cap
Core Plus Fund |
JPMorgan U.S. Large Cap
Core Plus Fund |
| |
June 30, 2023 |
December 31, 2023 |
| Cash |
$80 |
$495 |
| Deposits at broker: |
|
|
| Futures contracts |
604
|
1,107
|
| |
$684 |
$1,602 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 156 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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 Income Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$21.85 |
$0.20 |
$0.84 |
$1.04 |
$(0.22 ) |
$(0.16 ) |
$(0.38 ) |
| Year Ended June 30, 2023 |
21.15 |
0.40 |
1.11 |
1.51 |
(0.42 ) |
(0.39 ) |
(0.81 ) |
| Year Ended June 30, 2022 |
22.34 |
0.34 |
(0.76 ) |
(0.42 ) |
(0.33 ) |
(0.44 ) |
(0.77 ) |
| Year Ended June 30, 2021 |
16.22 |
0.29 |
6.12 |
6.41 |
(0.29 ) |
— |
(0.29 ) |
| Year Ended June 30, 2020 |
17.83 |
0.32 |
(1.42 ) |
(1.10 ) |
(0.32 ) |
(0.19 ) |
(0.51 ) |
| Year Ended June 30, 2019 |
16.82 |
0.32 |
1.48 |
1.80 |
(0.33 ) |
(0.46 ) |
(0.79 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
21.35 |
0.14 |
0.82 |
0.96 |
(0.17 ) |
(0.16 ) |
(0.33 ) |
| Year Ended June 30, 2023 |
20.68 |
0.28 |
1.09 |
1.37 |
(0.31 ) |
(0.39 ) |
(0.70 ) |
| Year Ended June 30, 2022 |
21.87 |
0.22 |
(0.75 ) |
(0.53 ) |
(0.22 ) |
(0.44 ) |
(0.66 ) |
| Year Ended June 30, 2021 |
15.88 |
0.19 |
6.00 |
6.19 |
(0.20 ) |
— |
(0.20 ) |
| Year Ended June 30, 2020 |
17.47 |
0.23 |
(1.39 ) |
(1.16 ) |
(0.24 ) |
(0.19 ) |
(0.43 ) |
| Year Ended June 30, 2019 |
16.50 |
0.23 |
1.46 |
1.69 |
(0.26 ) |
(0.46 ) |
(0.72 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
22.29 |
0.23 |
0.87 |
1.10 |
(0.25 ) |
(0.16 ) |
(0.41 ) |
| Year Ended June 30, 2023 |
21.56 |
0.46 |
1.13 |
1.59 |
(0.47 ) |
(0.39 ) |
(0.86 ) |
| Year Ended June 30, 2022 |
22.76 |
0.40 |
(0.77 ) |
(0.37 ) |
(0.39 ) |
(0.44 ) |
(0.83 ) |
| Year Ended June 30, 2021 |
16.52 |
0.35 |
6.23 |
6.58 |
(0.34 ) |
— |
(0.34 ) |
| Year Ended June 30, 2020 |
18.14 |
0.37 |
(1.43 ) |
(1.06 ) |
(0.37 ) |
(0.19 ) |
(0.56 ) |
| Year Ended June 30, 2019 |
17.10 |
0.37 |
1.51 |
1.88 |
(0.38 ) |
(0.46 ) |
(0.84 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
21.73 |
0.17 |
0.84 |
1.01 |
(0.19 ) |
(0.16 ) |
(0.35 ) |
| Year Ended June 30, 2023 |
21.04 |
0.34 |
1.10 |
1.44 |
(0.36 ) |
(0.39 ) |
(0.75 ) |
| Year Ended June 30, 2022 |
22.23 |
0.29 |
(0.77 ) |
(0.48 ) |
(0.27 ) |
(0.44 ) |
(0.71 ) |
| Year Ended June 30, 2021 |
16.14 |
0.23 |
6.10 |
6.33 |
(0.24 ) |
— |
(0.24 ) |
| Year Ended June 30, 2020 |
17.74 |
0.27 |
(1.40 ) |
(1.13 ) |
(0.28 ) |
(0.19 ) |
(0.47 ) |
| Year Ended June 30, 2019 |
16.74 |
0.28 |
1.47 |
1.75 |
(0.29 ) |
(0.46 ) |
(0.75 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
21.83 |
0.20 |
0.84 |
1.04 |
(0.22 ) |
(0.16 ) |
(0.38 ) |
| Year Ended June 30, 2023 |
21.13 |
0.40 |
1.11 |
1.51 |
(0.42 ) |
(0.39 ) |
(0.81 ) |
| Year Ended June 30, 2022 |
22.32 |
0.33 |
(0.75 ) |
(0.42 ) |
(0.33 ) |
(0.44 ) |
(0.77 ) |
| Year Ended June 30, 2021 |
16.21 |
0.29 |
6.11 |
6.40 |
(0.29 ) |
— |
(0.29 ) |
| Year Ended June 30, 2020 |
17.81 |
0.32 |
(1.41 ) |
(1.09 ) |
(0.32 ) |
(0.19 ) |
(0.51 ) |
| Year Ended June 30, 2019 |
16.80 |
0.32 |
1.49 |
1.81 |
(0.34 ) |
(0.46 ) |
(0.80 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
22.28 |
0.23 |
0.86 |
1.09 |
(0.25 ) |
(0.16 ) |
(0.41 ) |
| Year Ended June 30, 2023 |
21.54 |
0.46 |
1.14 |
1.60 |
(0.47 ) |
(0.39 ) |
(0.86 ) |
| Year Ended June 30, 2022 |
22.75 |
0.40 |
(0.78 ) |
(0.38 ) |
(0.39 ) |
(0.44 ) |
(0.83 ) |
| Year Ended June 30, 2021 |
16.51 |
0.35 |
6.23 |
6.58 |
(0.34 ) |
— |
(0.34 ) |
| Year Ended June 30, 2020 |
18.13 |
0.37 |
(1.43 ) |
(1.06 ) |
(0.37 ) |
(0.19 ) |
(0.56 ) |
| Year Ended June 30, 2019 |
17.09 |
0.36 |
1.52 |
1.88 |
(0.38 ) |
(0.46 ) |
(0.84 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 158 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $22.51 |
4.83 % |
$4,399,047 |
0.95 % |
1.85 % |
0.95 % |
9 % |
| 21.85 |
7.12 |
4,423,141 |
0.95 |
1.83 |
0.95 |
8 |
| 21.15 |
(2.10 ) |
4,562,270 |
0.95 |
1.49 |
0.95 |
15 |
| 22.34 |
39.81 |
4,715,916 |
0.96 |
1.48 |
0.96 |
16 |
| 16.22 |
(6.36 ) |
3,234,850 |
0.98 |
1.83 |
0.98 |
22 |
| 17.83 |
11.17 |
3,277,249 |
0.99 |
1.90 |
1.00 |
23 |
| |
|
|
|
|
|
|
| 21.98 |
4.53 |
855,544 |
1.45 |
1.34 |
1.45 |
9 |
| 21.35 |
6.60 |
997,751 |
1.45 |
1.32 |
1.45 |
8 |
| 20.68 |
(2.63 ) |
1,206,824 |
1.45 |
0.97 |
1.45 |
15 |
| 21.87 |
39.19 |
1,493,408 |
1.45 |
0.99 |
1.46 |
16 |
| 15.88 |
(6.83 ) |
1,350,402 |
1.47 |
1.34 |
1.47 |
22 |
| 17.47 |
10.66 |
1,434,793 |
1.48 |
1.39 |
1.49 |
23 |
| |
|
|
|
|
|
|
| 22.98 |
4.99 |
17,221,877 |
0.70 |
2.10 |
0.70 |
9 |
| 22.29 |
7.38 |
18,495,976 |
0.70 |
2.08 |
0.70 |
8 |
| 21.56 |
(1.87 ) |
17,614,254 |
0.70 |
1.74 |
0.70 |
15 |
| 22.76 |
40.16 |
17,980,353 |
0.70 |
1.73 |
0.71 |
16 |
| 16.52 |
(6.06 ) |
10,727,252 |
0.71 |
2.11 |
0.72 |
22 |
| 18.14 |
11.45 |
9,013,293 |
0.73 |
2.12 |
0.74 |
23 |
| |
|
|
|
|
|
|
| 22.39 |
4.72 |
100,745 |
1.21 |
1.59 |
1.21 |
9 |
| 21.73 |
6.84 |
104,930 |
1.20 |
1.57 |
1.21 |
8 |
| 21.04 |
(2.36 ) |
102,353 |
1.21 |
1.28 |
1.21 |
15 |
| 22.23 |
39.47 |
77,859 |
1.22 |
1.22 |
1.22 |
16 |
| 16.14 |
(6.57 ) |
72,182 |
1.23 |
1.56 |
1.23 |
22 |
| 17.74 |
10.90 |
93,453 |
1.24 |
1.64 |
1.25 |
23 |
| |
|
|
|
|
|
|
| 22.49 |
4.83 |
209,373 |
0.95 |
1.84 |
0.95 |
9 |
| 21.83 |
7.13 |
229,745 |
0.95 |
1.83 |
0.95 |
8 |
| 21.13 |
(2.10 ) |
232,772 |
0.95 |
1.47 |
0.95 |
15 |
| 22.32 |
39.79 |
280,991 |
0.95 |
1.49 |
0.96 |
16 |
| 16.21 |
(6.29 ) |
170,246 |
0.97 |
1.86 |
0.97 |
22 |
| 17.81 |
11.20 |
137,142 |
0.98 |
1.87 |
0.99 |
23 |
| |
|
|
|
|
|
|
| 22.96 |
4.95 |
214,782 |
0.70 |
2.09 |
0.70 |
9 |
| 22.28 |
7.44 |
252,731 |
0.70 |
2.09 |
0.70 |
8 |
| 21.54 |
(1.91 ) |
211,963 |
0.70 |
1.73 |
0.70 |
15 |
| 22.75 |
40.19 |
249,525 |
0.70 |
1.73 |
0.70 |
16 |
| 16.51 |
(6.07 ) |
106,277 |
0.72 |
2.12 |
0.72 |
22 |
| 18.13 |
11.46 |
66,602 |
0.73 |
2.08 |
0.74 |
23 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
159 |
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 Equity Income Fund (continued) |
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$22.31 |
$0.25 |
$0.86 |
$1.11 |
$(0.26 ) |
$(0.16 ) |
$(0.42 ) |
| Year Ended June 30, 2023 |
21.58 |
0.50 |
1.12 |
1.62 |
(0.50 ) |
(0.39 ) |
(0.89 ) |
| Year Ended June 30, 2022 |
22.78 |
0.43 |
(0.77 ) |
(0.34 ) |
(0.42 ) |
(0.44 ) |
(0.86 ) |
| Year Ended June 30, 2021 |
16.53 |
0.37 |
6.25 |
6.62 |
(0.37 ) |
— |
(0.37 ) |
| Year Ended June 30, 2020 |
18.16 |
0.40 |
(1.45 ) |
(1.05 ) |
(0.39 ) |
(0.19 ) |
(0.58 ) |
| Year Ended June 30, 2019 |
17.11 |
0.40 |
1.51 |
1.91 |
(0.40 ) |
(0.46 ) |
(0.86 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
22.29 |
0.26 |
0.86 |
1.12 |
(0.27 ) |
(0.16 ) |
(0.43 ) |
| Year Ended June 30, 2023 |
21.56 |
0.52 |
1.13 |
1.65 |
(0.53 ) |
(0.39 ) |
(0.92 ) |
| Year Ended June 30, 2022 |
22.76 |
0.46 |
(0.77 ) |
(0.31 ) |
(0.45 ) |
(0.44 ) |
(0.89 ) |
| Year Ended June 30, 2021 |
16.52 |
0.39 |
6.24 |
6.63 |
(0.39 ) |
— |
(0.39 ) |
| Year Ended June 30, 2020 |
18.14 |
0.42 |
(1.44 ) |
(1.02 ) |
(0.41 ) |
(0.19 ) |
(0.60 ) |
| Year Ended June 30, 2019 |
17.10 |
0.42 |
1.50 |
1.92 |
(0.42 ) |
(0.46 ) |
(0.88 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 160 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio turnover
rate(c)
|
| | ||||||
| |
|
|
|
|
|
|
| $23.00 |
5.07 % |
$1,226,896 |
0.55 % |
2.26 % |
0.55 % |
9 % |
| 22.31 |
7.54 |
1,247,583 |
0.55 |
2.23 |
0.55 |
8 |
| 21.58 |
(1.72 ) |
1,300,595 |
0.55 |
1.87 |
0.55 |
15 |
| 22.78 |
40.41 |
1,655,531 |
0.55 |
1.88 |
0.56 |
16 |
| 16.53 |
(5.98 ) |
1,230,147 |
0.56 |
2.24 |
0.57 |
22 |
| 18.16 |
11.67 |
1,422,483 |
0.58 |
2.29 |
0.59 |
23 |
| |
|
|
|
|
|
|
| 22.98 |
5.13 |
22,141,645 |
0.45 |
2.36 |
0.45 |
9 |
| 22.29 |
7.65 |
22,139,090 |
0.45 |
2.34 |
0.45 |
8 |
| 21.56 |
(1.62 ) |
20,740,383 |
0.45 |
1.99 |
0.45 |
15 |
| 22.76 |
40.51 |
19,952,074 |
0.45 |
1.98 |
0.46 |
16 |
| 16.52 |
(5.83 ) |
12,663,581 |
0.46 |
2.38 |
0.47 |
22 |
| 18.14 |
11.72 |
8,217,432 |
0.48 |
2.38 |
0.49 |
23 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
161 |
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, 2023 (Unaudited) |
$66.66 |
$0.40 |
$4.77 |
$5.17 |
$(0.43 ) |
$— |
$(0.43 ) |
| Year Ended June 30, 2023 |
56.74 |
0.75 |
9.94 |
10.69 |
(0.76 ) |
(0.01 ) |
(0.77 ) |
| Year Ended June 30, 2022 |
65.24 |
0.65 |
(7.60 ) |
(6.95 ) |
(0.62 ) |
(0.93 ) |
(1.55 ) |
| Year Ended June 30, 2021 |
47.11 |
0.62 |
18.24 |
18.86 |
(0.73 ) |
— |
(0.73 ) |
| Year Ended June 30, 2020 |
44.90 |
0.91 |
2.20 |
3.11 |
(0.81 ) |
(0.09 ) |
(0.90 ) |
| Year Ended June 30, 2019 |
41.64 |
0.72 |
3.33 |
4.05 |
(0.65 ) |
(0.14 ) |
(0.79 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
65.96 |
0.19 |
4.72 |
4.91 |
(0.23 ) |
— |
(0.23 ) |
| Year Ended June 30, 2023 |
56.14 |
0.39 |
9.83 |
10.22 |
(0.39 ) |
(0.01 ) |
(0.40 ) |
| Year Ended June 30, 2022 |
64.55 |
0.25 |
(7.51 ) |
(7.26 ) |
(0.22 ) |
(0.93 ) |
(1.15 ) |
| Year Ended June 30, 2021 |
46.65 |
0.28 |
18.00 |
18.28 |
(0.38 ) |
— |
(0.38 ) |
| Year Ended June 30, 2020 |
44.45 |
0.62 |
2.21 |
2.83 |
(0.54 ) |
(0.09 ) |
(0.63 ) |
| Year Ended June 30, 2019 |
41.27 |
0.46 |
3.30 |
3.76 |
(0.44 ) |
(0.14 ) |
(0.58 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
66.76 |
0.48 |
4.78 |
5.26 |
(0.52 ) |
— |
(0.52 ) |
| Year Ended June 30, 2023 |
56.81 |
0.90 |
9.96 |
10.86 |
(0.90 ) |
(0.01 ) |
(0.91 ) |
| Year Ended June 30, 2022 |
65.33 |
0.81 |
(7.62 ) |
(6.81 ) |
(0.78 ) |
(0.93 ) |
(1.71 ) |
| Year Ended June 30, 2021 |
47.22 |
0.77 |
18.21 |
18.98 |
(0.87 ) |
— |
(0.87 ) |
| Year Ended June 30, 2020 |
44.97 |
1.02 |
2.25 |
3.27 |
(0.93 ) |
(0.09 ) |
(1.02 ) |
| Year Ended June 30, 2019 |
41.68 |
0.83 |
3.34 |
4.17 |
(0.74 ) |
(0.14 ) |
(0.88 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
66.77 |
0.53 |
4.79 |
5.32 |
(0.57 ) |
— |
(0.57 ) |
| Year Ended June 30, 2023 |
56.83 |
1.00 |
9.95 |
10.95 |
(1.00 ) |
(0.01 ) |
(1.01 ) |
| Year Ended June 30, 2022 |
65.35 |
0.92 |
(7.62 ) |
(6.70 ) |
(0.89 ) |
(0.93 ) |
(1.82 ) |
| Year Ended June 30, 2021 |
47.21 |
0.85 |
18.25 |
19.10 |
(0.96 ) |
— |
(0.96 ) |
| Year Ended June 30, 2020 |
44.98 |
1.10 |
2.22 |
3.32 |
(1.00 ) |
(0.09 ) |
(1.09 ) |
| Year Ended June 30, 2019 |
41.68 |
0.90 |
3.33 |
4.23 |
(0.79 ) |
(0.14 ) |
(0.93 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) |
Net expenses for Class R6 Shares are 0.044% for the six months ended December 31, 2023, 0.045% for the year ended June 30, 2023, 0.045% for the year ended
June 30, 2022, 0.044% for the year ended June 30, 2021, 0.044% for the year ended June 30, 2020
and 0.043% for the year ended June 30, 2019. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 162 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $71.40 |
7.80 % |
$829,421 |
0.45 % |
1.18 % |
0.65 % |
3 % |
| 66.66 |
19.01 |
770,835 |
0.45 |
1.25 |
0.65 |
15 |
| 56.74 |
(11.02 ) |
654,422 |
0.45 |
0.98 |
0.65 |
11 |
| 65.24 |
40.28 |
749,440 |
0.45 |
1.10 |
0.66 |
26 |
| 47.11 |
7.02 |
572,292 |
0.45 |
1.97 |
0.66 |
15 |
| 44.90 |
9.87 |
602,186 |
0.45 |
1.68 |
0.66 |
6 |
| |
|
|
|
|
|
|
| 70.64 |
7.46 |
87,116 |
1.05 |
0.57 |
1.13 |
3 |
| 65.96 |
18.31 |
92,084 |
1.05 |
0.65 |
1.13 |
15 |
| 56.14 |
(11.55 ) |
86,737 |
1.05 |
0.37 |
1.13 |
11 |
| 64.55 |
39.35 |
110,184 |
1.05 |
0.50 |
1.13 |
26 |
| 46.65 |
6.42 |
102,864 |
1.05 |
1.37 |
1.14 |
15 |
| 44.45 |
9.23 |
96,605 |
1.05 |
1.10 |
1.13 |
6 |
| |
|
|
|
|
|
|
| 71.50 |
7.92 |
1,103,743 |
0.20 |
1.43 |
0.38 |
3 |
| 66.76 |
19.34 |
964,430 |
0.20 |
1.50 |
0.38 |
15 |
| 56.81 |
(10.81 ) |
1,121,519 |
0.20 |
1.22 |
0.38 |
11 |
| 65.33 |
40.48 |
991,703 |
0.20 |
1.37 |
0.38 |
26 |
| 47.22 |
7.40 |
1,022,318 |
0.20 |
2.21 |
0.38 |
15 |
| 44.97 |
10.16 |
791,881 |
0.20 |
1.94 |
0.38 |
6 |
| |
|
|
|
|
|
|
| 71.52 |
8.02 |
6,785,079 |
0.04 (f) |
1.58 |
0.13 |
3 |
| 66.77 |
19.51 |
6,194,790 |
0.05 (f) |
1.65 |
0.13 |
15 |
| 56.83 |
(10.67 ) |
5,395,106 |
0.05 (f) |
1.39 |
0.13 |
11 |
| 65.35 |
40.77 |
4,793,114 |
0.04 (f) |
1.49 |
0.13 |
26 |
| 47.21 |
7.52 |
3,306,397 |
0.04 (f) |
2.38 |
0.13 |
15 |
| 44.98 |
10.33 |
3,019,734 |
0.04 (f) |
2.11 |
0.13 |
6 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
163 |
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 asset
value,
end of
period |
| JPMorgan Equity Premium Income Fund |
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$13.72 |
$0.50 |
$0.01 |
$0.51 |
$(0.50 ) |
$13.73 |
| Year Ended June 30, 2023 |
13.79 |
1.53 |
(0.13 ) |
1.40 |
(1.47 ) |
13.72 |
| Year Ended June 30, 2022 |
15.23 |
1.46 |
(1.56 ) |
(0.10 ) |
(1.34 ) |
13.79 |
| Year Ended June 30, 2021 |
12.96 |
1.26 |
2.40 |
3.66 |
(1.39 ) |
15.23 |
| Year Ended June 30, 2020 |
14.92 |
1.88 |
(2.42 ) |
(0.54 ) |
(1.42 ) |
12.96 |
| August 31, 2018 (f) through June 30, 2019 |
15.00 |
0.95 |
(0.11 ) |
0.84 |
(0.92 ) |
14.92 |
| Class C |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
13.72 |
0.47 |
0.01 |
0.48 |
(0.47 ) |
13.73 |
| Year Ended June 30, 2023 |
13.79 |
1.48 |
(0.15 ) |
1.33 |
(1.40 ) |
13.72 |
| Year Ended June 30, 2022 |
15.23 |
1.38 |
(1.56 ) |
(0.18 ) |
(1.26 ) |
13.79 |
| Year Ended June 30, 2021 |
12.96 |
1.15 |
2.44 |
3.59 |
(1.32 ) |
15.23 |
| Year Ended June 30, 2020 |
14.92 |
1.61 |
(2.22 ) |
(0.61 ) |
(1.35 ) |
12.96 |
| August 31, 2018 (f) through June 30, 2019 |
15.00 |
0.85 |
(0.07 ) |
0.78 |
(0.86 ) |
14.92 |
| Class I |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
13.72 |
0.52 |
0.01 |
0.53 |
(0.52 ) |
13.73 |
| Year Ended June 30, 2023 |
13.80 |
1.46 |
(0.03 ) |
1.43 |
(1.51 ) |
13.72 |
| Year Ended June 30, 2022 |
15.23 |
1.48 |
(1.54 ) |
(0.06 ) |
(1.37 ) |
13.80 |
| Year Ended June 30, 2021 |
12.96 |
1.38 |
2.32 |
3.70 |
(1.43 ) |
15.23 |
| Year Ended June 30, 2020 |
14.92 |
1.59 |
(2.10 ) |
(0.51 ) |
(1.45 ) |
12.96 |
| August 31, 2018 (f) through June 30, 2019 |
15.00 |
0.94 |
(0.07 ) |
0.87 |
(0.95 ) |
14.92 |
| Class R5 |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
13.72 |
0.52 |
0.02 |
0.54 |
(0.53 ) |
13.73 |
| Year Ended June 30, 2023 |
13.79 |
1.45 |
0.01 |
1.46 |
(1.53 ) |
13.72 |
| Year Ended June 30, 2022 |
15.23 |
1.48 |
(1.52 ) |
(0.04 ) |
(1.40 ) |
13.79 |
| Year Ended June 30, 2021 |
12.96 |
1.37 |
2.35 |
3.72 |
(1.45 ) |
15.23 |
| Year Ended June 30, 2020 |
14.92 |
1.48 |
(1.96 ) |
(0.48 ) |
(1.48 ) |
12.96 |
| August 31, 2018 (f) through June 30, 2019 |
15.00 |
0.96 |
(0.08 ) |
0.88 |
(0.96 ) |
14.92 |
| Class R6 |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
13.72 |
0.53 |
0.02 |
0.55 |
(0.54 ) |
13.73 |
| Year Ended June 30, 2023 |
13.80 |
1.45 |
0.01 |
1.46 |
(1.54 ) |
13.72 |
| Year Ended June 30, 2022 |
15.23 |
1.50 |
(1.52 ) |
(0.02 ) |
(1.41 ) |
13.80 |
| Year Ended June 30, 2021 |
12.96 |
1.43 |
2.30 |
3.73 |
(1.46 ) |
15.23 |
| Year Ended June 30, 2020 |
14.92 |
1.83 |
(2.30 ) |
(0.47 ) |
(1.49 ) |
12.96 |
| August 31, 2018 (f) through June 30, 2019 |
15.00 |
0.97 |
(0.07 ) |
0.90 |
(0.98 ) |
14.92 |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) |
Commencement of operations. |
| (g) |
Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 164 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| Ratios/Supplemental data | |||||
| |
|
Ratios to average net
assets(a) | |||
| Total return
(excludes
sales
charge)(c)(d) |
Net assets,
end of
period
(000's) |
Net
expenses(e)
|
Net
investment
income
(loss) |
Expenses without
waivers and reimbursements |
Portfolio turnover
rate(c)
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| 3.85 % |
$458,911 |
0.85 % |
7.37 % |
0.85 % |
88 % |
| 10.79 |
384,446 |
0.85 |
11.18 |
0.85 |
189 |
| (1.05 ) |
905,284 |
0.85 |
9.76 |
0.88 |
188 |
| 29.67 |
174,085 |
0.85 |
8.61 |
0.91 |
217 |
| (3.78 ) |
12,904 |
0.85 |
14.21 |
1.11 |
236 |
| 5.95 |
125 |
0.85 (g) |
7.90 (g) |
1.80 (g) |
43 |
| |
|
|
|
|
|
| 3.59 |
267,439 |
1.35 |
6.87 |
1.35 |
88 |
| 10.24 |
223,339 |
1.35 |
10.84 |
1.35 |
189 |
| (1.54 ) |
756,008 |
1.35 |
9.19 |
1.38 |
188 |
| 29.03 |
158,340 |
1.34 |
7.76 |
1.40 |
217 |
| (4.26 ) |
4,710 |
1.35 |
11.77 |
1.61 |
236 |
| 5.50 |
21 |
1.35 (g) |
7.14 (g) |
2.26 (g) |
43 |
| |
|
|
|
|
|
| 3.98 |
3,763,119 |
0.60 |
7.59 |
0.60 |
88 |
| 10.98 |
3,641,748 |
0.60 |
10.72 |
0.61 |
189 |
| (0.73 ) |
1,859,617 |
0.60 |
9.83 |
0.63 |
188 |
| 29.97 |
519,976 |
0.60 |
9.62 |
0.69 |
217 |
| (3.57 ) |
173,409 |
0.60 |
11.40 |
0.91 |
236 |
| 6.15 |
54,045 |
0.60 (g) |
7.89 (g) |
1.13 (g) |
43 |
| |
|
|
|
|
|
| 4.06 |
291 |
0.45 |
7.66 |
0.47 |
88 |
| 11.23 |
712 |
0.45 |
10.69 |
0.46 |
189 |
| (0.66 ) |
160 |
0.45 |
9.82 |
0.50 |
188 |
| 30.16 |
88 |
0.45 |
9.54 |
0.56 |
217 |
| (3.43 ) |
21 |
0.45 |
10.37 |
0.83 |
236 |
| 6.28 |
21 |
0.45 (g) |
8.04 (g) |
1.36 (g) |
43 |
| |
|
|
|
|
|
| 4.11 |
1,377,536 |
0.34 |
7.82 |
0.35 |
88 |
| 11.26 |
1,571,873 |
0.35 |
10.68 |
0.35 |
189 |
| (0.49 ) |
89,522 |
0.35 |
9.93 |
0.37 |
188 |
| 30.29 |
48,315 |
0.35 |
9.99 |
0.44 |
217 |
| (3.33 ) |
686 |
0.35 |
13.60 |
0.59 |
236 |
| 6.37 |
21 |
0.35 (g) |
8.14 (g) |
1.26 (g) |
43 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
165 |
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 asset
value,
end of
period |
| JPMorgan Hedged Equity Fund |
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$27.57 |
$0.11 |
$0.56 |
$0.67 |
$(0.12 ) |
$28.12 |
| Year Ended June 30, 2023 |
24.20 |
0.20 |
3.38 |
3.58 |
(0.21 ) |
27.57 |
| Year Ended June 30, 2022 |
25.90 |
0.13 |
(1.70 ) |
(1.57 ) |
(0.13 ) |
24.20 |
| Year Ended June 30, 2021 |
21.83 |
0.15 |
4.11 |
4.26 |
(0.19 ) |
25.90 |
| Year Ended June 30, 2020 |
20.23 |
0.28 |
1.51 |
1.79 |
(0.19 ) |
21.83 |
| Year Ended June 30, 2019 |
19.43 |
0.20 |
0.79 |
0.99 |
(0.19 ) |
20.23 |
| Class C |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
27.37 |
0.04 |
0.56 |
0.60 |
(0.06 ) |
27.91 |
| Year Ended June 30, 2023 |
24.02 |
0.08 |
3.35 |
3.43 |
(0.08 ) |
27.37 |
| Year Ended June 30, 2022 |
25.72 |
— |
(1.68 ) |
(1.68 ) |
(0.02 ) |
24.02 |
| Year Ended June 30, 2021 |
21.70 |
0.03 |
4.07 |
4.10 |
(0.08 ) |
25.72 |
| Year Ended June 30, 2020 |
20.10 |
0.17 |
1.52 |
1.69 |
(0.09 ) |
21.70 |
| Year Ended June 30, 2019 |
19.33 |
0.11 |
0.77 |
0.88 |
(0.11 ) |
20.10 |
| Class I |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
27.66 |
0.14 |
0.57 |
0.71 |
(0.16 ) |
28.21 |
| Year Ended June 30, 2023 |
24.28 |
0.27 |
3.38 |
3.65 |
(0.27 ) |
27.66 |
| Year Ended June 30, 2022 |
25.98 |
0.20 |
(1.70 ) |
(1.50 ) |
(0.20 ) |
24.28 |
| Year Ended June 30, 2021 |
21.90 |
0.21 |
4.11 |
4.32 |
(0.24 ) |
25.98 |
| Year Ended June 30, 2020 |
20.28 |
0.33 |
1.53 |
1.86 |
(0.24 ) |
21.90 |
| Year Ended June 30, 2019 |
19.47 |
0.26 |
0.78 |
1.04 |
(0.23 ) |
20.28 |
| Class R5 |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
27.71 |
0.16 |
0.57 |
0.73 |
(0.18 ) |
28.26 |
| Year Ended June 30, 2023 |
24.32 |
0.31 |
3.39 |
3.70 |
(0.31 ) |
27.71 |
| Year Ended June 30, 2022 |
26.02 |
0.24 |
(1.70 ) |
(1.46 ) |
(0.24 ) |
24.32 |
| Year Ended June 30, 2021 |
21.93 |
0.25 |
4.11 |
4.36 |
(0.27 ) |
26.02 |
| Year Ended June 30, 2020 |
20.32 |
0.36 |
1.52 |
1.88 |
(0.27 ) |
21.93 |
| Year Ended June 30, 2019 |
19.50 |
0.29 |
0.79 |
1.08 |
(0.26 ) |
20.32 |
| Class R6 |
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
27.73 |
0.18 |
0.56 |
0.74 |
(0.19 ) |
28.28 |
| Year Ended June 30, 2023 |
24.33 |
0.33 |
3.40 |
3.73 |
(0.33 ) |
27.73 |
| Year Ended June 30, 2022 |
26.04 |
0.27 |
(1.72 ) |
(1.45 ) |
(0.26 ) |
24.33 |
| Year Ended June 30, 2021 |
21.95 |
0.28 |
4.11 |
4.39 |
(0.30 ) |
26.04 |
| Year Ended June 30, 2020 |
20.32 |
0.39 |
1.53 |
1.92 |
(0.29 ) |
21.95 |
| Year Ended June 30, 2019 |
19.49 |
0.31 |
0.79 |
1.10 |
(0.27 ) |
20.32 |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 166 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| Ratios/Supplemental data | |||||
| |
|
Ratios to average net
assets(a) | |||
| Total return
(excludes
sales
charge)(c)(d) |
Net assets,
end of
period
(000's) |
Net
expenses(e)
|
Net
investment
income
(loss) |
Expenses without
waivers and reimbursements |
Portfolio turnover
rate(c)
|
| |
|
|
|
|
|
| |
|
|
|
|
|
| 2.46 % |
$1,299,416 |
0.82 % |
0.77 % |
0.83 % |
18 % |
| 14.87 |
1,274,360 |
0.83 |
0.80 |
0.83 |
27 |
| (6.08 ) |
1,647,387 |
0.83 |
0.52 |
0.83 |
44 |
| 19.58 |
1,778,457 |
0.83 |
0.61 |
0.84 |
39 |
| 8.89 |
473,314 |
0.85 |
1.35 |
0.86 |
68 |
| 5.12 |
296,242 |
0.85 |
1.02 |
0.87 |
48 |
| |
|
|
|
|
|
| 2.18 |
442,817 |
1.33 |
0.27 |
1.33 |
18 |
| 14.32 |
436,623 |
1.33 |
0.30 |
1.33 |
27 |
| (6.53 ) |
436,891 |
1.33 |
0.02 |
1.33 |
44 |
| 18.93 |
502,120 |
1.33 |
0.14 |
1.33 |
39 |
| 8.40 |
246,741 |
1.35 |
0.84 |
1.36 |
68 |
| 4.60 |
158,602 |
1.35 |
0.55 |
1.37 |
48 |
| |
|
|
|
|
|
| 2.58 |
13,514,227 |
0.57 |
1.02 |
0.58 |
18 |
| 15.15 |
12,697,762 |
0.58 |
1.05 |
0.58 |
27 |
| (5.83 ) |
12,790,417 |
0.58 |
0.77 |
0.58 |
44 |
| 19.83 |
14,416,679 |
0.58 |
0.89 |
0.58 |
39 |
| 9.21 |
7,167,488 |
0.59 |
1.59 |
0.60 |
68 |
| 5.39 |
4,214,453 |
0.60 |
1.30 |
0.61 |
48 |
| |
|
|
|
|
|
| 2.65 |
5,707 |
0.43 |
1.16 |
0.44 |
18 |
| 15.34 |
6,044 |
0.43 |
1.21 |
0.43 |
27 |
| (5.68 ) |
5,335 |
0.43 |
0.92 |
0.43 |
44 |
| 20.01 |
6,024 |
0.44 |
1.03 |
0.45 |
39 |
| 9.30 |
2,964 |
0.45 |
1.74 |
0.59 |
68 |
| 5.57 |
1,893 |
0.45 |
1.46 |
0.95 |
48 |
| |
|
|
|
|
|
| 2.70 |
1,652,664 |
0.32 |
1.27 |
0.33 |
18 |
| 15.49 |
1,594,675 |
0.33 |
1.30 |
0.33 |
27 |
| (5.61 ) |
1,614,304 |
0.33 |
1.02 |
0.33 |
44 |
| 20.11 |
1,591,643 |
0.33 |
1.14 |
0.34 |
39 |
| 9.50 |
851,085 |
0.35 |
1.87 |
0.35 |
68 |
| 5.69 |
384,616 |
0.35 |
1.56 |
0.37 |
48 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
167 |
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 Hedged Equity 2 Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$15.74 |
$0.06 |
$0.09 |
$0.15 |
$(0.07 ) |
$— |
$(0.07 ) |
| Year Ended June 30, 2023 |
14.87 |
0.11 |
1.70 |
1.81 |
(0.12 ) |
(0.82 ) |
(0.94 ) |
| Year Ended June 30, 2022 |
15.97 |
0.09 |
(1.12 ) |
(1.03 ) |
(0.07 ) |
— |
(0.07 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
0.03 |
0.95 |
0.98 |
(0.01 ) |
— |
(0.01 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.70 |
0.02 |
0.09 |
0.11 |
(0.03 ) |
— |
(0.03 ) |
| Year Ended June 30, 2023 |
14.84 |
0.04 |
1.69 |
1.73 |
(0.05 ) |
(0.82 ) |
(0.87 ) |
| Year Ended June 30, 2022 |
15.95 |
0.01 |
(1.11 ) |
(1.10 ) |
(0.01 ) |
— |
(0.01 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
— (h) |
0.95 |
0.95 |
— (h) |
— |
— |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.76 |
0.08 |
0.09 |
0.17 |
(0.09 ) |
— |
(0.09 ) |
| Year Ended June 30, 2023 |
14.89 |
0.15 |
1.70 |
1.85 |
(0.16 ) |
(0.82 ) |
(0.98 ) |
| Year Ended June 30, 2022 |
15.98 |
0.13 |
(1.12 ) |
(0.99 ) |
(0.10 ) |
— |
(0.10 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
0.04 |
0.96 |
1.00 |
(0.02 ) |
— |
(0.02 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.76 |
0.09 |
0.10 |
0.19 |
(0.10 ) |
— |
(0.10 ) |
| Year Ended June 30, 2023 |
14.89 |
0.17 |
1.70 |
1.87 |
(0.18 ) |
(0.82 ) |
(1.00 ) |
| Year Ended June 30, 2022 |
15.98 |
0.15 |
(1.12 ) |
(0.97 ) |
(0.12 ) |
— |
(0.12 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
0.05 |
0.95 |
1.00 |
(0.02 ) |
— |
(0.02 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.77 |
0.10 |
0.09 |
0.19 |
(0.11 ) |
— |
(0.11 ) |
| Year Ended June 30, 2023 |
14.90 |
0.18 |
1.70 |
1.88 |
(0.19 ) |
(0.82 ) |
(1.01 ) |
| Year Ended June 30, 2022 |
15.99 |
0.18 |
(1.13 ) |
(0.95 ) |
(0.14 ) |
— |
(0.14 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
0.05 |
0.96 |
1.01 |
(0.02 ) |
— |
(0.02 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) |
Commencement of operations. |
| (g) |
Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (h) |
Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 168 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $15.82 |
0.95 % |
$251,994 |
0.85 % |
0.75 % |
0.85 % |
24 % |
| 15.74 |
12.79 |
269,965 |
0.85 |
0.76 |
0.86 |
35 |
| 14.87 |
(6.49 ) |
295,220 |
0.85 |
0.57 |
0.88 |
39 |
| 15.97 |
6.54 |
52,880 |
0.85 (g) |
0.57 (g) |
0.92 (g) |
6 |
| |
|
|
|
|
|
|
| 15.78 |
0.69 |
215,355 |
1.35 |
0.25 |
1.35 |
24 |
| 15.70 |
12.21 |
234,378 |
1.35 |
0.25 |
1.36 |
35 |
| 14.84 |
(6.90 ) |
241,375 |
1.35 |
0.07 |
1.38 |
39 |
| 15.95 |
6.36 |
57,423 |
1.35 (g) |
0.05 (g) |
1.43 (g) |
6 |
| |
|
|
|
|
|
|
| 15.84 |
1.08 |
3,642,351 |
0.59 |
1.01 |
0.60 |
24 |
| 15.76 |
13.06 |
3,631,690 |
0.60 |
1.00 |
0.61 |
35 |
| 14.89 |
(6.22 ) |
4,110,283 |
0.60 |
0.81 |
0.62 |
39 |
| 15.98 |
6.63 |
1,018,781 |
0.60 (g) |
0.80 (g) |
0.70 (g) |
6 |
| |
|
|
|
|
|
|
| 15.85 |
1.22 |
805 |
0.44 |
1.15 |
0.47 |
24 |
| 15.76 |
13.24 |
820 |
0.45 |
1.16 |
0.46 |
35 |
| 14.89 |
(6.10 ) |
636 |
0.45 |
0.92 |
0.47 |
39 |
| 15.98 |
6.66 |
536 |
0.45 (g) |
0.99 (g) |
0.88 (g) |
6 |
| |
|
|
|
|
|
|
| 15.85 |
1.21 |
537,423 |
0.34 |
1.28 |
0.35 |
24 |
| 15.77 |
13.34 |
476,641 |
0.35 |
1.20 |
0.36 |
35 |
| 14.90 |
(6.01 ) |
975,953 |
0.35 |
1.12 |
0.38 |
39 |
| 15.99 |
6.75 |
262,248 |
0.35 (g) |
1.04 (g) |
0.43 (g) |
6 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
169 |
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 Hedged Equity 3 Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$15.63 |
$0.06 |
$1.01 |
$1.07 |
$(0.07 ) |
$— |
$(0.07 ) |
| Year Ended June 30, 2023 |
14.34 |
0.11 |
1.45 |
1.56 |
(0.12 ) |
(0.15 ) |
(0.27 ) |
| Year Ended June 30, 2022 |
15.96 |
0.09 |
(1.65 ) |
(1.56 ) |
(0.06 ) |
— |
(0.06 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
0.03 |
0.95 |
0.98 |
(0.02 ) |
— |
(0.02 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.59 |
0.02 |
1.00 |
1.02 |
(0.03 ) |
— |
(0.03 ) |
| Year Ended June 30, 2023 |
14.30 |
0.04 |
1.44 |
1.48 |
(0.04 ) |
(0.15 ) |
(0.19 ) |
| Year Ended June 30, 2022 |
15.95 |
0.01 |
(1.65 ) |
(1.64 ) |
(0.01 ) |
— |
(0.01 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
— (h) |
0.96 |
0.96 |
(0.01 ) |
— |
(0.01 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.65 |
0.08 |
1.01 |
1.09 |
(0.09 ) |
— |
(0.09 ) |
| Year Ended June 30, 2023 |
14.36 |
0.15 |
1.44 |
1.59 |
(0.15 ) |
(0.15 ) |
(0.30 ) |
| Year Ended June 30, 2022 |
15.98 |
0.13 |
(1.65 ) |
(1.52 ) |
(0.10 ) |
— |
(0.10 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
0.04 |
0.96 |
1.00 |
(0.02 ) |
— |
(0.02 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.67 |
0.09 |
1.01 |
1.10 |
(0.10 ) |
— |
(0.10 ) |
| Year Ended June 30, 2023 |
14.37 |
0.16 |
1.46 |
1.62 |
(0.17 ) |
(0.15 ) |
(0.32 ) |
| Year Ended June 30, 2022 |
15.98 |
0.17 |
(1.66 ) |
(1.49 ) |
(0.12 ) |
— |
(0.12 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
0.05 |
0.95 |
1.00 |
(0.02 ) |
— |
(0.02 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.67 |
0.11 |
1.00 |
1.11 |
(0.11 ) |
— |
(0.11 ) |
| Year Ended June 30, 2023 |
14.37 |
0.18 |
1.46 |
1.64 |
(0.19 ) |
(0.15 ) |
(0.34 ) |
| Year Ended June 30, 2022 |
15.98 |
0.17 |
(1.65 ) |
(1.48 ) |
(0.13 ) |
— |
(0.13 ) |
| February 26, 2021 (f) through June 30, 2021 |
15.00 |
0.06 |
0.94 |
1.00 |
(0.02 ) |
— |
(0.02 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) |
Commencement of operations. |
| (g) |
Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (h) |
Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 170 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $16.63 |
6.86 % |
$129,656 |
0.85 % |
0.76 % |
0.85 % |
21 % |
| 15.63 |
10.99 |
119,334 |
0.85 |
0.75 |
0.87 |
48 |
| 14.34 |
(9.78 ) |
110,840 |
0.85 |
0.57 |
0.89 |
29 |
| 15.96 |
6.50 |
21,446 |
0.85 (g) |
0.60 (g) |
1.00 (g) |
7 |
| |
|
|
|
|
|
|
| 16.58 |
6.55 |
114,143 |
1.35 |
0.25 |
1.35 |
21 |
| 15.59 |
10.46 |
104,736 |
1.35 |
0.25 |
1.36 |
48 |
| 14.30 |
(10.28 ) |
97,285 |
1.35 |
0.07 |
1.39 |
29 |
| 15.95 |
6.37 |
19,229 |
1.35 (g) |
0.09 (g) |
1.51 (g) |
7 |
| |
|
|
|
|
|
|
| 16.65 |
6.99 |
2,278,825 |
0.59 |
1.01 |
0.60 |
21 |
| 15.65 |
11.24 |
1,923,674 |
0.60 |
1.00 |
0.61 |
48 |
| 14.36 |
(9.58 ) |
2,257,577 |
0.60 |
0.82 |
0.63 |
29 |
| 15.98 |
6.64 |
524,074 |
0.60 (g) |
0.81 (g) |
0.80 (g) |
7 |
| |
|
|
|
|
|
|
| 16.67 |
7.05 |
21 |
0.45 |
1.13 |
0.72 |
21 |
| 15.67 |
11.44 |
26 |
0.45 |
1.13 |
0.46 |
48 |
| 14.37 |
(9.41 ) |
128 |
0.45 |
1.09 |
0.50 |
29 |
| 15.98 |
6.64 |
21 |
0.45 (g) |
0.96 (g) |
3.22 (g) |
7 |
| |
|
|
|
|
|
|
| 16.67 |
7.11 |
340,112 |
0.34 |
1.32 |
0.35 |
21 |
| 15.67 |
11.59 |
185,746 |
0.35 |
1.21 |
0.36 |
48 |
| 14.37 |
(9.33 ) |
385,463 |
0.35 |
1.03 |
0.38 |
29 |
| 15.98 |
6.68 |
1,796 |
0.35 (g) |
1.10 (g) |
0.64 (g) |
7 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
171 |
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 Large Cap Growth Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$53.66 |
$(0.04 )(f) |
$4.90 |
$4.86 |
$— |
$— |
$— |
| Year Ended June 30, 2023 |
44.12 |
0.11 |
10.83 |
10.94 |
(0.05 ) |
(1.35 ) |
(1.40 ) |
| Year Ended June 30, 2022 |
64.22 |
(0.12 ) |
(10.74 ) |
(10.86 ) |
— |
(9.24 ) |
(9.24 ) |
| Year Ended June 30, 2021 |
48.04 |
(0.27 ) |
19.59 |
19.32 |
— |
(3.14 ) |
(3.14 ) |
| Year Ended June 30, 2020 |
41.87 |
(0.01 ) |
11.39 |
11.38 |
— |
(5.21 ) |
(5.21 ) |
| Year Ended June 30, 2019 |
42.44 |
(0.09 ) |
4.80 |
4.71 |
— |
(5.28 ) |
(5.28 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
35.42 |
(0.11 )(f) |
3.22 |
3.11 |
— |
— |
— |
| Year Ended June 30, 2023 |
29.67 |
(0.08 ) |
7.18 |
7.10 |
— |
(1.35 ) |
(1.35 ) |
| Year Ended June 30, 2022 |
46.21 |
(0.29 ) |
(7.01 ) |
(7.30 ) |
— |
(9.24 ) |
(9.24 ) |
| Year Ended June 30, 2021 |
35.43 |
(0.41 ) |
14.33 |
13.92 |
— |
(3.14 ) |
(3.14 ) |
| Year Ended June 30, 2020 |
32.33 |
(0.17 ) |
8.48 |
8.31 |
— |
(5.21 ) |
(5.21 ) |
| Year Ended June 30, 2019 |
34.20 |
(0.23 ) |
3.64 |
3.41 |
— |
(5.28 ) |
(5.28 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
55.14 |
0.03 |
5.04 |
5.07 |
(0.07 ) |
— |
(0.07 ) |
| Year Ended June 30, 2023 |
45.32 |
0.22 |
11.13 |
11.35 |
(0.18 ) |
(1.35 ) |
(1.53 ) |
| Year Ended June 30, 2022 |
65.59 |
0.03 |
(11.06 ) |
(11.03 ) |
— |
(9.24 ) |
(9.24 ) |
| Year Ended June 30, 2021 |
48.91 |
(0.12 ) |
19.97 |
19.85 |
(0.03 ) |
(3.14 ) |
(3.17 ) |
| Year Ended June 30, 2020 |
42.46 |
0.09 |
11.59 |
11.68 |
(0.02 ) |
(5.21 ) |
(5.23 ) |
| Year Ended June 30, 2019 |
42.86 |
0.01 |
4.87 |
4.88 |
— |
(5.28 ) |
(5.28 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
50.29 |
(0.10 )(f) |
4.59 |
4.49 |
— |
— |
— |
| Year Ended June 30, 2023 |
41.49 |
(0.01 ) |
10.16 |
10.15 |
— |
(1.35 ) |
(1.35 ) |
| Year Ended June 30, 2022 |
61.05 |
(0.26 ) |
(10.06 ) |
(10.32 ) |
— |
(9.24 ) |
(9.24 ) |
| Year Ended June 30, 2021 |
45.90 |
(0.39 ) |
18.68 |
18.29 |
— |
(3.14 ) |
(3.14 ) |
| Year Ended June 30, 2020 |
40.32 |
(0.11 ) |
10.90 |
10.79 |
— |
(5.21 ) |
(5.21 ) |
| Year Ended June 30, 2019 |
41.17 |
(0.18 ) |
4.61 |
4.43 |
— |
(5.28 ) |
(5.28 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
54.04 |
(0.05 )(f) |
4.95 |
4.90 |
(0.03 ) |
— |
(0.03 ) |
| Year Ended June 30, 2023 |
44.45 |
0.10 |
10.91 |
11.01 |
(0.07 ) |
(1.35 ) |
(1.42 ) |
| Year Ended June 30, 2022 |
64.64 |
(0.12 ) |
(10.83 ) |
(10.95 ) |
— |
(9.24 ) |
(9.24 ) |
| Year Ended June 30, 2021 |
48.34 |
(0.27 ) |
19.72 |
19.45 |
(0.01 ) |
(3.14 ) |
(3.15 ) |
| Year Ended June 30, 2020 |
42.10 |
(0.01 ) |
11.46 |
11.45 |
— |
(5.21 ) |
(5.21 ) |
| Year Ended June 30, 2019 |
42.64 |
(0.08 ) |
4.82 |
4.74 |
— |
(5.28 ) |
(5.28 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
55.02 |
0.03 |
5.03 |
5.06 |
(0.09 ) |
— |
(0.09 ) |
| Year Ended June 30, 2023 |
45.23 |
0.19 |
11.13 |
11.32 |
(0.18 ) |
(1.35 ) |
(1.53 ) |
| Year Ended June 30, 2022 |
65.47 |
0.02 |
(11.02 ) |
(11.00 ) |
— |
(9.24 ) |
(9.24 ) |
| Year Ended June 30, 2021 |
48.84 |
(0.12 ) |
19.94 |
19.82 |
(0.05 ) |
(3.14 ) |
(3.19 ) |
| Year Ended June 30, 2020 |
42.45 |
0.08 |
11.58 |
11.66 |
(0.06 ) |
(5.21 ) |
(5.27 ) |
| Year Ended June 30, 2019 |
42.85 |
0.01 |
4.87 |
4.88 |
— |
(5.28 ) |
(5.28 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 172 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $58.52 |
9.06 % |
$5,293,068 |
0.94 % |
(0.13 )%(f)
|
0.99 % |
21 % |
| 53.66 |
25.34 |
4,742,066 |
0.93 |
0.23 |
1.01 |
42 |
| 44.12 |
(20.68 ) |
3,734,120 |
0.94 |
(0.20 ) |
1.01 |
50 |
| 64.22 |
41.00 |
4,970,767 |
0.93 |
(0.46 ) |
1.02 |
58 |
| 48.04 |
30.09 |
3,280,463 |
0.94 |
(0.03 ) |
1.04 |
47 |
| 41.87 |
13.67 |
2,466,910 |
0.93 |
(0.23 ) |
1.10 |
50 |
| |
|
|
|
|
|
|
| 38.53 |
8.78 |
688,507 |
1.44 |
(0.64 )(f) |
1.49 |
21 |
| 35.42 |
24.71 |
636,054 |
1.43 |
(0.26 ) |
1.51 |
42 |
| 29.67 |
(21.07 ) |
556,002 |
1.44 |
(0.71 ) |
1.51 |
50 |
| 46.21 |
40.32 |
780,132 |
1.43 |
(0.96 ) |
1.51 |
58 |
| 35.43 |
29.42 |
701,820 |
1.44 |
(0.53 ) |
1.54 |
47 |
| 32.33 |
13.11 |
518,116 |
1.43 |
(0.73 ) |
1.59 |
50 |
| |
|
|
|
|
|
|
| 60.14 |
9.20 |
17,871,743 |
0.69 |
0.12 |
0.74 |
21 |
| 55.14 |
25.66 |
15,667,641 |
0.68 |
0.46 |
0.76 |
42 |
| 45.32 |
(20.49 ) |
9,509,669 |
0.69 |
0.05 |
0.76 |
50 |
| 65.59 |
41.37 |
10,983,173 |
0.68 |
(0.21 ) |
0.76 |
58 |
| 48.91 |
30.40 |
7,058,308 |
0.69 |
0.22 |
0.78 |
47 |
| 42.46 |
13.95 |
4,691,515 |
0.68 |
0.02 |
0.84 |
50 |
| |
|
|
|
|
|
|
| 54.78 |
8.93 |
182,645 |
1.19 |
(0.38 )(f) |
1.25 |
21 |
| 50.29 |
25.02 |
128,368 |
1.18 |
(0.03 ) |
1.27 |
42 |
| 41.49 |
(20.88 ) |
90,916 |
1.19 |
(0.46 ) |
1.26 |
50 |
| 61.05 |
40.65 |
129,541 |
1.18 |
(0.71 ) |
1.26 |
58 |
| 45.90 |
29.76 |
118,628 |
1.19 |
(0.27 ) |
1.29 |
47 |
| 40.32 |
13.39 |
138,030 |
1.18 |
(0.47 ) |
1.34 |
50 |
| |
|
|
|
|
|
|
| 58.91 |
9.07 |
640,235 |
0.94 |
(0.17 )(f) |
0.99 |
21 |
| 54.04 |
25.33 |
359,223 |
0.93 |
0.21 |
1.01 |
42 |
| 44.45 |
(20.68 ) |
205,831 |
0.94 |
(0.21 ) |
1.01 |
50 |
| 64.64 |
41.01 |
264,318 |
0.93 |
(0.45 ) |
1.01 |
58 |
| 48.34 |
30.09 |
90,107 |
0.94 |
(0.02 ) |
1.03 |
47 |
| 42.10 |
13.68 |
45,376 |
0.93 |
(0.21 ) |
1.08 |
50 |
| |
|
|
|
|
|
|
| 59.99 |
9.19 |
586,263 |
0.69 |
0.12 |
0.74 |
21 |
| 55.02 |
25.65 |
486,413 |
0.68 |
0.40 |
0.76 |
42 |
| 45.23 |
(20.48 ) |
137,633 |
0.69 |
0.03 |
0.76 |
50 |
| 65.47 |
41.37 |
204,814 |
0.68 |
(0.20 ) |
0.76 |
58 |
| 48.84 |
30.40 |
64,792 |
0.69 |
0.19 |
0.78 |
47 |
| 42.45 |
13.96 |
10,740 |
0.68 |
0.02 |
0.83 |
50 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
173 |
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 (continued)
|
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$57.16 |
$0.08 |
$5.22 |
$5.30 |
$(0.14 ) |
$— |
$(0.14 ) |
| Year Ended June 30, 2023 |
46.91 |
0.30 |
11.53 |
11.83 |
(0.23 ) |
(1.35 ) |
(1.58 ) |
| Year Ended June 30, 2022 |
67.49 |
0.12 |
(11.46 ) |
(11.34 ) |
— |
(9.24 ) |
(9.24 ) |
| Year Ended June 30, 2021 |
50.20 |
(0.04 ) |
20.52 |
20.48 |
(0.05 ) |
(3.14 ) |
(3.19 ) |
| Year Ended June 30, 2020 |
43.44 |
0.16 |
11.88 |
12.04 |
(0.07 ) |
(5.21 ) |
(5.28 ) |
| Year Ended June 30, 2019 |
43.65 |
0.07 |
5.00 |
5.07 |
— |
(5.28 ) |
(5.28 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
57.91 |
0.11 |
5.30 |
5.41 |
(0.20 ) |
— |
(0.20 ) |
| Year Ended June 30, 2023 |
47.51 |
0.35 |
11.69 |
12.04 |
(0.29 ) |
(1.35 ) |
(1.64 ) |
| Year Ended June 30, 2022 |
68.18 |
0.19 |
(11.62 ) |
(11.43 ) |
— |
(9.24 ) |
(9.24 ) |
| Year Ended June 30, 2021 |
50.66 |
0.03 |
20.71 |
20.74 |
(0.08 ) |
(3.14 ) |
(3.22 ) |
| Year Ended June 30, 2020 |
43.78 |
0.21 |
11.99 |
12.20 |
(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 ) |
| |
|
| (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 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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 174 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio turnover
rate(c)
|
| | ||||||
| |
|
|
|
|
|
|
| $62.32 |
9.28 % |
$911,001 |
0.54 % |
0.26 % |
0.59 % |
21 % |
| 57.16 |
25.85 |
957,188 |
0.53 |
0.61 |
0.61 |
42 |
| 46.91 |
(20.37 ) |
629,918 |
0.54 |
0.19 |
0.61 |
50 |
| 67.49 |
41.57 |
956,386 |
0.53 |
(0.06 ) |
0.61 |
58 |
| 50.20 |
30.59 |
781,380 |
0.54 |
0.38 |
0.63 |
47 |
| 43.44 |
14.15 |
702,536 |
0.53 |
0.17 |
0.69 |
50 |
| |
|
|
|
|
|
|
| 63.12 |
9.34 |
46,682,070 |
0.44 |
0.37 |
0.49 |
21 |
| 57.91 |
25.98 |
37,609,592 |
0.43 |
0.68 |
0.51 |
42 |
| 47.51 |
(20.29 ) |
16,482,609 |
0.44 |
0.30 |
0.51 |
50 |
| 68.18 |
41.70 |
19,127,249 |
0.43 |
0.04 |
0.51 |
58 |
| 50.66 |
30.75 |
11,169,668 |
0.44 |
0.47 |
0.53 |
47 |
| 43.78 |
14.23 |
7,339,387 |
0.43 |
0.27 |
0.58 |
50 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
175 |
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 Large Cap Value Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$18.93 |
$0.14 |
$1.05 |
$1.19 |
$(0.16 ) |
$(0.71 ) |
$(0.87 ) |
| Year Ended June 30, 2023 |
17.90 |
0.24 |
1.82 |
2.06 |
(0.24 ) |
(0.79 ) |
(1.03 ) |
| Year Ended June 30, 2022 |
20.48 |
0.19 |
(1.21 ) |
(1.02 ) |
(0.18 ) |
(1.38 ) |
(1.56 ) |
| Year Ended June 30, 2021 |
12.72 |
0.11 |
7.73 |
7.84 |
(0.08 ) |
— |
(0.08 ) |
| Year Ended June 30, 2020 |
14.11 |
0.18 |
(1.40 ) |
(1.22 ) |
(0.17 ) |
— |
(0.17 ) |
| Year Ended June 30, 2019 |
15.11 |
0.17 |
(0.09 ) |
0.08 |
(0.17 ) |
(0.91 ) |
(1.08 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
17.93 |
0.09 |
0.99 |
1.08 |
(0.11 ) |
(0.71 ) |
(0.82 ) |
| Year Ended June 30, 2023 |
17.01 |
0.14 |
1.72 |
1.86 |
(0.15 ) |
(0.79 ) |
(0.94 ) |
| Year Ended June 30, 2022 |
19.55 |
0.09 |
(1.16 ) |
(1.07 ) |
(0.09 ) |
(1.38 ) |
(1.47 ) |
| Year Ended June 30, 2021 |
12.17 |
0.02 |
7.39 |
7.41 |
(0.03 ) |
— |
(0.03 ) |
| Year Ended June 30, 2020 |
13.49 |
0.11 |
(1.32 ) |
(1.21 ) |
(0.11 ) |
— |
(0.11 ) |
| Year Ended June 30, 2019 |
14.51 |
0.10 |
(0.10 ) |
— (f) |
(0.11 ) |
(0.91 ) |
(1.02 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
18.51 |
0.16 |
1.04 |
1.20 |
(0.18 ) |
(0.71 ) |
(0.89 ) |
| Year Ended June 30, 2023 |
17.53 |
0.28 |
1.77 |
2.05 |
(0.28 ) |
(0.79 ) |
(1.07 ) |
| Year Ended June 30, 2022 |
20.10 |
0.23 |
(1.19 ) |
(0.96 ) |
(0.23 ) |
(1.38 ) |
(1.61 ) |
| Year Ended June 30, 2021 |
12.49 |
0.15 |
7.59 |
7.74 |
(0.13 ) |
— |
(0.13 ) |
| Year Ended June 30, 2020 |
13.85 |
0.21 |
(1.36 ) |
(1.15 ) |
(0.21 ) |
— |
(0.21 ) |
| Year Ended June 30, 2019 |
14.85 |
0.20 |
(0.09 ) |
0.11 |
(0.20 ) |
(0.91 ) |
(1.11 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
18.73 |
0.12 |
1.03 |
1.15 |
(0.13 ) |
(0.71 ) |
(0.84 ) |
| Year Ended June 30, 2023 |
17.72 |
0.19 |
1.80 |
1.99 |
(0.19 ) |
(0.79 ) |
(0.98 ) |
| Year Ended June 30, 2022 |
20.30 |
0.14 |
(1.21 ) |
(1.07 ) |
(0.13 ) |
(1.38 ) |
(1.51 ) |
| Year Ended June 30, 2021 |
12.61 |
0.06 |
7.67 |
7.73 |
(0.04 ) |
— |
(0.04 ) |
| Year Ended June 30, 2020 |
13.98 |
0.15 |
(1.38 ) |
(1.23 ) |
(0.14 ) |
— |
(0.14 ) |
| Year Ended June 30, 2019 |
14.99 |
0.14 |
(0.10 ) |
0.04 |
(0.14 ) |
(0.91 ) |
(1.05 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
18.47 |
0.14 |
1.02 |
1.16 |
(0.16 ) |
(0.71 ) |
(0.87 ) |
| Year Ended June 30, 2023 |
17.49 |
0.24 |
1.77 |
2.01 |
(0.24 ) |
(0.79 ) |
(1.03 ) |
| Year Ended June 30, 2022 |
20.09 |
0.20 |
(1.21 ) |
(1.01 ) |
(0.21 ) |
(1.38 ) |
(1.59 ) |
| Year Ended June 30, 2021 |
12.48 |
0.10 |
7.59 |
7.69 |
(0.08 ) |
— |
(0.08 ) |
| Year Ended June 30, 2020 |
13.84 |
0.18 |
(1.36 ) |
(1.18 ) |
(0.18 ) |
— |
(0.18 ) |
| 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, 2023 (Unaudited) |
18.94 |
0.17 |
1.05 |
1.22 |
(0.18 ) |
(0.71 ) |
(0.89 ) |
| Year Ended June 30, 2023 |
17.92 |
0.30 |
1.80 |
2.10 |
(0.29 ) |
(0.79 ) |
(1.08 ) |
| Year Ended June 30, 2022 |
20.50 |
0.26 |
(1.23 ) |
(0.97 ) |
(0.23 ) |
(1.38 ) |
(1.61 ) |
| Year Ended June 30, 2021 |
12.73 |
0.12 |
7.77 |
7.89 |
(0.12 ) |
— |
(0.12 ) |
| Year Ended June 30, 2020 |
14.11 |
0.22 |
(1.39 ) |
(1.17 ) |
(0.21 ) |
— |
(0.21 ) |
| October 1, 2018 (g) through June 30, 2019 |
15.90 |
0.16 |
(0.89 ) |
(0.73 ) |
(0.15 ) |
(0.91 ) |
(1.06 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 176 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $19.25 |
6.40 % |
$293,048 |
0.93 % |
1.50 % |
1.01 % |
78 % |
| 18.93 |
11.63 |
289,456 |
0.93 |
1.31 |
1.01 |
143 |
| 17.90 |
(5.22 ) |
235,054 |
0.93 |
0.97 |
1.01 |
121 |
| 20.48 |
61.86 |
218,302 |
0.93 |
0.62 |
1.04 |
93 |
| 12.72 |
(8.66 ) |
119,402 |
0.93 |
1.33 |
1.04 |
177 |
| 14.11 |
1.07 |
153,809 |
0.93 |
1.19 |
1.04 |
162 |
| |
|
|
|
|
|
|
| 18.19 |
6.15 |
84,206 |
1.44 |
0.99 |
1.50 |
78 |
| 17.93 |
11.05 |
91,445 |
1.44 |
0.80 |
1.50 |
143 |
| 17.01 |
(5.70 ) |
79,663 |
1.44 |
0.48 |
1.51 |
121 |
| 19.55 |
60.96 |
62,488 |
1.43 |
0.11 |
1.50 |
93 |
| 12.17 |
(9.04 ) |
33,769 |
1.44 |
0.81 |
1.52 |
177 |
| 13.49 |
0.57 |
55,009 |
1.44 |
0.70 |
1.52 |
162 |
| |
|
|
|
|
|
|
| 18.82 |
6.62 |
1,351,657 |
0.69 |
1.76 |
0.76 |
78 |
| 18.51 |
11.87 |
1,297,201 |
0.69 |
1.54 |
0.76 |
143 |
| 17.53 |
(5.04 ) |
1,275,387 |
0.69 |
1.20 |
0.77 |
121 |
| 20.10 |
62.22 |
1,418,653 |
0.69 |
0.84 |
0.76 |
93 |
| 12.49 |
(8.35 ) |
262,414 |
0.69 |
1.57 |
0.76 |
177 |
| 13.85 |
1.31 |
301,663 |
0.69 |
1.44 |
0.77 |
162 |
| |
|
|
|
|
|
|
| 19.04 |
6.28 |
14,484 |
1.19 |
1.25 |
1.27 |
78 |
| 18.73 |
11.35 |
13,722 |
1.19 |
1.05 |
1.27 |
143 |
| 17.72 |
(5.50 ) |
12,323 |
1.19 |
0.71 |
1.27 |
121 |
| 20.30 |
61.40 |
11,175 |
1.18 |
0.38 |
1.27 |
93 |
| 12.61 |
(8.83 ) |
17,777 |
1.19 |
1.09 |
1.28 |
177 |
| 13.98 |
0.83 |
21,489 |
1.19 |
0.97 |
1.29 |
162 |
| |
|
|
|
|
|
|
| 18.76 |
6.40 |
12,405 |
0.94 |
1.51 |
1.00 |
78 |
| 18.47 |
11.65 |
10,744 |
0.94 |
1.34 |
1.00 |
143 |
| 17.49 |
(5.26 ) |
6,010 |
0.94 |
1.06 |
1.01 |
121 |
| 20.09 |
61.83 |
16 |
0.94 |
0.63 |
1.04 |
93 |
| 12.48 |
(8.59 ) |
18 |
0.94 |
1.36 |
2.24 |
177 |
| 13.84 |
(4.25 ) |
19 |
0.94 |
1.28 |
1.17 |
162 |
| |
|
|
|
|
|
|
| 19.27 |
6.57 |
1,387 |
0.69 |
1.76 |
0.87 |
78 |
| 18.94 |
11.85 |
1,242 |
0.69 |
1.59 |
0.76 |
143 |
| 17.92 |
(4.95 ) |
495 |
0.69 |
1.32 |
0.77 |
121 |
| 20.50 |
62.16 |
135 |
0.69 |
0.87 |
0.76 |
93 |
| 12.73 |
(8.34 ) |
11,823 |
0.69 |
1.60 |
0.76 |
177 |
| 14.11 |
(4.05 ) |
14,545 |
0.68 |
1.51 |
0.77 |
162 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
177 |
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 (continued) |
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$18.75 |
$0.18 |
$1.04 |
$1.22 |
$(0.19 ) |
$(0.71 ) |
$(0.90 ) |
| Year Ended June 30, 2023 |
17.75 |
0.31 |
1.79 |
2.10 |
(0.31 ) |
(0.79 ) |
(1.10 ) |
| Year Ended June 30, 2022 |
20.32 |
0.26 |
(1.20 ) |
(0.94 ) |
(0.25 ) |
(1.38 ) |
(1.63 ) |
| Year Ended June 30, 2021 |
12.62 |
0.17 |
7.68 |
7.85 |
(0.15 ) |
— |
(0.15 ) |
| Year Ended June 30, 2020 |
14.00 |
0.24 |
(1.39 ) |
(1.15 ) |
(0.23 ) |
— |
(0.23 ) |
| Year Ended June 30, 2019 |
14.99 |
0.23 |
(0.09 ) |
0.14 |
(0.22 ) |
(0.91 ) |
(1.13 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
18.60 |
0.19 |
1.03 |
1.22 |
(0.20 ) |
(0.71 ) |
(0.91 ) |
| Year Ended June 30, 2023 |
17.61 |
0.33 |
1.78 |
2.11 |
(0.33 ) |
(0.79 ) |
(1.12 ) |
| Year Ended June 30, 2022 |
20.18 |
0.28 |
(1.20 ) |
(0.92 ) |
(0.27 ) |
(1.38 ) |
(1.65 ) |
| Year Ended June 30, 2021 |
12.53 |
0.19 |
7.63 |
7.82 |
(0.17 ) |
— |
(0.17 ) |
| Year Ended June 30, 2020 |
13.90 |
0.25 |
(1.37 ) |
(1.12 ) |
(0.25 ) |
— |
(0.25 ) |
| Year Ended June 30, 2019 |
14.90 |
0.24 |
(0.10 ) |
0.14 |
(0.23 ) |
(0.91 ) |
(1.14 ) |
| |
|
| (a) |
Annualized for periods less than one year, unless otherwise noted. |
| (b) |
Calculated based upon average shares outstanding. |
| (c) |
Not annualized for periods less than one year. |
| (d) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial
reporting purposes and the returns based upon those net asset values may differ from
the net asset values and returns for shareholder transactions. |
| (e) |
Includes 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.
| 178 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $19.07 |
6.67 % |
$32,754 |
0.54 % |
1.90 % |
0.61 % |
78 % |
| 18.75 |
12.01 |
29,958 |
0.54 |
1.71 |
0.61 |
143 |
| 17.75 |
(4.84 ) |
23,073 |
0.54 |
1.34 |
0.61 |
121 |
| 20.32 |
62.47 |
24,668 |
0.54 |
1.02 |
0.61 |
93 |
| 12.62 |
(8.26 ) |
18,535 |
0.54 |
1.72 |
0.62 |
177 |
| 14.00 |
1.50 |
30,522 |
0.54 |
1.61 |
0.63 |
162 |
| |
|
|
|
|
|
|
| 18.91 |
6.72 |
1,832,437 |
0.44 |
2.00 |
0.50 |
78 |
| 18.60 |
12.16 |
1,733,785 |
0.44 |
1.79 |
0.50 |
143 |
| 17.61 |
(4.78 ) |
1,564,013 |
0.44 |
1.42 |
0.50 |
121 |
| 20.18 |
62.68 |
2,606,033 |
0.44 |
1.10 |
0.50 |
93 |
| 12.53 |
(8.14 ) |
796,259 |
0.44 |
1.86 |
0.51 |
177 |
| 13.90 |
1.52 |
834,072 |
0.44 |
1.70 |
0.52 |
162 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
179 |
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 U.S. Applied Data Science Value
Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$27.61 |
$0.23 |
$1.66 |
$1.89 |
$(0.27 ) |
$(1.56 ) |
$(1.83 ) |
| Year Ended June 30, 2023 |
26.56 |
0.46 |
2.32 |
2.78 |
(0.47 ) |
(1.26 ) |
(1.73 ) |
| Year Ended June 30, 2022 |
36.38 |
0.45 |
(1.10 ) |
(0.65 ) |
(0.42 ) |
(8.75 ) |
(9.17 ) |
| Year Ended June 30, 2021 |
25.83 |
0.42 |
11.10 |
11.52 |
(0.64 ) |
(0.33 ) |
(0.97 ) |
| Year Ended June 30, 2020 |
31.42 |
0.55 (f) |
(3.38 ) |
(2.83 ) |
(0.63 ) |
(2.13 ) |
(2.76 ) |
| Year Ended June 30, 2019 |
34.53 |
0.49 |
0.55 |
1.04 |
(0.51 ) |
(3.64 ) |
(4.15 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
26.93 |
0.16 |
1.62 |
1.78 |
(0.20 ) |
(1.56 ) |
(1.76 ) |
| Year Ended June 30, 2023 |
25.93 |
0.31 |
2.28 |
2.59 |
(0.33 ) |
(1.26 ) |
(1.59 ) |
| Year Ended June 30, 2022 |
35.72 |
0.27 |
(1.04 ) |
(0.77 ) |
(0.27 ) |
(8.75 ) |
(9.02 ) |
| Year Ended June 30, 2021 |
25.36 |
0.28 |
10.90 |
11.18 |
(0.49 ) |
(0.33 ) |
(0.82 ) |
| Year Ended June 30, 2020 |
30.90 |
0.40 (f) |
(3.33 ) |
(2.93 ) |
(0.48 ) |
(2.13 ) |
(2.61 ) |
| Year Ended June 30, 2019 |
34.06 |
0.32 |
0.54 |
0.86 |
(0.38 ) |
(3.64 ) |
(4.02 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
27.97 |
0.27 |
1.69 |
1.96 |
(0.31 ) |
(1.56 ) |
(1.87 ) |
| Year Ended June 30, 2023 |
26.89 |
0.53 |
2.35 |
2.88 |
(0.54 ) |
(1.26 ) |
(1.80 ) |
| Year Ended June 30, 2022 |
36.72 |
0.53 |
(1.11 ) |
(0.58 ) |
(0.50 ) |
(8.75 ) |
(9.25 ) |
| Year Ended June 30, 2021 |
25.79 |
0.50 |
11.48 |
11.98 |
(0.72 ) |
(0.33 ) |
(1.05 ) |
| Year Ended June 30, 2020 |
31.62 |
0.62 (f) |
(3.66 ) |
(3.04 ) |
(0.66 ) |
(2.13 ) |
(2.79 ) |
| Year Ended June 30, 2019 |
34.71 |
0.57 |
0.55 |
1.12 |
(0.57 ) |
(3.64 ) |
(4.21 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
27.19 |
0.18 |
1.63 |
1.81 |
(0.22 ) |
(1.56 ) |
(1.78 ) |
| Year Ended June 30, 2023 |
26.18 |
0.36 |
2.29 |
2.65 |
(0.38 ) |
(1.26 ) |
(1.64 ) |
| Year Ended June 30, 2022 |
35.99 |
0.33 |
(1.07 ) |
(0.74 ) |
(0.32 ) |
(8.75 ) |
(9.07 ) |
| Year Ended June 30, 2021 |
25.55 |
0.33 |
11.01 |
11.34 |
(0.57 ) |
(0.33 ) |
(0.90 ) |
| Year Ended June 30, 2020 |
31.12 |
0.47 (f) |
(3.35 ) |
(2.88 ) |
(0.56 ) |
(2.13 ) |
(2.69 ) |
| Year Ended June 30, 2019 |
34.26 |
0.40 |
0.54 |
0.94 |
(0.44 ) |
(3.64 ) |
(4.08 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
28.04 |
0.28 |
1.69 |
1.97 |
(0.31 ) |
(1.56 ) |
(1.87 ) |
| Year Ended June 30, 2023 |
26.95 |
0.55 |
2.35 |
2.90 |
(0.55 ) |
(1.26 ) |
(1.81 ) |
| Year Ended June 30, 2022 |
36.78 |
0.55 |
(1.11 ) |
(0.56 ) |
(0.52 ) |
(8.75 ) |
(9.27 ) |
| Year Ended June 30, 2021 |
25.66 |
0.59 |
11.63 |
12.22 |
(0.77 ) |
(0.33 ) |
(1.10 ) |
| Year Ended June 30, 2020 |
31.73 |
0.67 (f) |
(3.87 ) |
(3.20 ) |
(0.74 ) |
(2.13 ) |
(2.87 ) |
| Year Ended June 30, 2019 |
34.80 |
0.62 |
0.56 |
1.18 |
(0.61 ) |
(3.64 ) |
(4.25 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 180 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $27.67 |
7.01 % |
$42,700 |
0.73 % |
1.68 % |
1.01 % |
9 % |
| 27.61 |
10.70 |
47,209 |
0.73 |
1.69 |
0.99 |
17 |
| 26.56 |
(4.07 ) |
49,916 |
0.73 |
1.37 |
0.97 |
55 |
| 36.38 |
45.65 |
61,187 |
0.83 |
1.37 |
0.99 |
72 |
| 25.83 |
(9.96 ) |
49,876 |
0.83 |
1.88 (f) |
0.95 |
79 |
| 31.42 |
4.08 |
72,888 |
0.82 |
1.49 |
1.01 |
88 |
| |
|
|
|
|
|
|
| 26.95 |
6.75 |
3,201 |
1.23 |
1.17 |
1.54 |
9 |
| 26.93 |
10.14 |
3,991 |
1.23 |
1.19 |
1.50 |
17 |
| 25.93 |
(4.54 ) |
7,147 |
1.23 |
0.85 |
1.48 |
55 |
| 35.72 |
45.02 |
11,211 |
1.33 |
0.91 |
1.50 |
72 |
| 25.36 |
(10.46 ) |
11,038 |
1.33 |
1.37 (f) |
1.46 |
79 |
| 30.90 |
3.57 |
19,139 |
1.32 |
0.99 |
1.52 |
88 |
| |
|
|
|
|
|
|
| 28.06 |
7.15 |
79,278 |
0.49 |
1.93 |
0.76 |
9 |
| 27.97 |
10.95 |
83,385 |
0.49 |
1.93 |
0.74 |
17 |
| 26.89 |
(3.84 ) |
94,291 |
0.49 |
1.60 |
0.72 |
55 |
| 36.72 |
47.54 |
127,530 |
0.59 |
1.62 |
0.74 |
72 |
| 25.79 |
(10.69 ) |
113,316 |
0.59 |
2.01 (f) |
0.68 |
79 |
| 31.62 |
4.33 |
698,989 |
0.58 |
1.74 |
0.76 |
88 |
| |
|
|
|
|
|
|
| 27.22 |
6.81 |
2,382 |
1.09 |
1.33 |
1.31 |
9 |
| 27.19 |
10.29 |
2,505 |
1.09 |
1.33 |
1.31 |
17 |
| 26.18 |
(4.41 ) |
2,651 |
1.09 |
1.02 |
1.36 |
55 |
| 35.99 |
45.36 |
3,000 |
1.09 |
1.08 |
1.34 |
72 |
| 25.55 |
(10.24 ) |
2,664 |
1.09 |
1.62 (f) |
1.30 |
79 |
| 31.12 |
3.81 |
4,438 |
1.08 |
1.22 |
1.62 |
88 |
| |
|
|
|
|
|
|
| 28.14 |
7.20 |
3,952 |
0.44 |
1.98 |
0.61 |
9 |
| 28.04 |
11.02 |
3,806 |
0.44 |
1.98 |
0.59 |
17 |
| 26.95 |
(3.79 ) |
3,610 |
0.44 |
1.66 |
0.57 |
55 |
| 36.78 |
48.74 |
4,053 |
0.44 |
1.91 |
0.59 |
72 |
| 25.66 |
(11.16 ) |
4,269 |
0.44 |
2.16 (f) |
0.55 |
79 |
| 31.73 |
4.50 |
48,910 |
0.43 |
1.89 |
0.61 |
88 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
181 |
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. Applied Data Science Value Fund
(continued)
|
|
|
|
|
|
|
|
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$28.04 |
$0.29 |
$1.70 |
$1.99 |
$(0.33 ) |
$(1.56 ) |
$(1.89 ) |
| Year Ended June 30, 2023 |
26.95 |
0.58 |
2.35 |
2.93 |
(0.58 ) |
(1.26 ) |
(1.84 ) |
| Year Ended June 30, 2022 |
36.78 |
0.58 |
(1.11 ) |
(0.53 ) |
(0.55 ) |
(8.75 ) |
(9.30 ) |
| Year Ended June 30, 2021 |
26.06 |
0.57 |
11.28 |
11.85 |
(0.80 ) |
(0.33 ) |
(1.13 ) |
| Year Ended June 30, 2020 |
31.74 |
0.70 (f) |
(3.47 ) |
(2.77 ) |
(0.78 ) |
(2.13 ) |
(2.91 ) |
| Year Ended June 30, 2019 |
34.80 |
0.65 |
0.57 |
1.22 |
(0.64 ) |
(3.64 ) |
(4.28 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) |
Reflects special dividends paid out during the year by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income
(loss) per share would have been $0.46, $0.30, $0.53, $0.38, $0.57 and $0.60 for
Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and
the net investment income (loss) ratio would have been 1.56%, 1.05%, 1.70%, 1.30%, 1.85% and 2.04%
for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares,
respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 182 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $28.14 |
7.25 % |
$36,373 |
0.34 % |
2.08 % |
0.50 % |
9 % |
| 28.04 |
11.13 |
36,683 |
0.34 |
2.09 |
0.49 |
17 |
| 26.95 |
(3.70 ) |
38,883 |
0.34 |
1.78 |
0.47 |
55 |
| 36.78 |
46.60 |
69,298 |
0.34 |
1.82 |
0.49 |
72 |
| 26.06 |
(9.68 ) |
74,603 |
0.34 |
2.37 (f) |
0.44 |
79 |
| 31.74 |
4.63 |
133,014 |
0.33 |
1.99 |
0.51 |
88 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
183 |
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 U.S. Equity Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$19.75 |
$0.06 |
$1.65 |
$1.71 |
$(0.07 ) |
$(0.23 ) |
$(0.30 ) |
| Year Ended June 30, 2023 |
17.48 |
0.14 |
2.94 |
3.08 |
(0.14 ) |
(0.67 ) |
(0.81 ) |
| Year Ended June 30, 2022 |
21.51 |
0.08 |
(1.81 ) |
(1.73 ) |
(0.07 ) |
(2.23 ) |
(2.30 ) |
| Year Ended June 30, 2021 |
16.22 |
0.09 |
6.39 |
6.48 |
(0.08 ) |
(1.11 ) |
(1.19 ) |
| Year Ended June 30, 2020 |
15.86 |
0.11 |
1.82 |
1.93 |
(0.11 ) |
(1.46 ) |
(1.57 ) |
| Year Ended June 30, 2019 |
16.48 |
0.12 |
1.17 |
1.29 |
(0.12 ) |
(1.79 ) |
(1.91 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
18.76 |
0.01 |
1.57 |
1.58 |
(0.03 ) |
(0.23 ) |
(0.26 ) |
| Year Ended June 30, 2023 |
16.65 |
0.05 |
2.79 |
2.84 |
(0.06 ) |
(0.67 ) |
(0.73 ) |
| Year Ended June 30, 2022 |
20.61 |
(0.03 ) |
(1.69 ) |
(1.72 ) |
(0.01 ) |
(2.23 ) |
(2.24 ) |
| Year Ended June 30, 2021 |
15.60 |
(0.01 ) |
6.14 |
6.13 |
(0.01 ) |
(1.11 ) |
(1.12 ) |
| Year Ended June 30, 2020 |
15.31 |
0.03 |
1.75 |
1.78 |
(0.03 ) |
(1.46 ) |
(1.49 ) |
| Year Ended June 30, 2019 |
15.99 |
0.04 |
1.13 |
1.17 |
(0.06 ) |
(1.79 ) |
(1.85 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.83 |
0.09 |
1.66 |
1.75 |
(0.10 ) |
(0.23 ) |
(0.33 ) |
| Year Ended June 30, 2023 |
17.56 |
0.19 |
2.94 |
3.13 |
(0.19 ) |
(0.67 ) |
(0.86 ) |
| Year Ended June 30, 2022 |
21.59 |
0.13 |
(1.81 ) |
(1.68 ) |
(0.12 ) |
(2.23 ) |
(2.35 ) |
| Year Ended June 30, 2021 |
16.27 |
0.13 |
6.43 |
6.56 |
(0.13 ) |
(1.11 ) |
(1.24 ) |
| Year Ended June 30, 2020 |
15.91 |
0.15 |
1.82 |
1.97 |
(0.15 ) |
(1.46 ) |
(1.61 ) |
| Year Ended June 30, 2019 |
16.51 |
0.16 |
1.18 |
1.34 |
(0.15 ) |
(1.79 ) |
(1.94 ) |
| Class L |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.88 |
0.10 |
1.67 |
1.77 |
(0.11 ) |
(0.23 ) |
(0.34 ) |
| Year Ended June 30, 2023 |
17.60 |
0.22 |
2.94 |
3.16 |
(0.21 ) |
(0.67 ) |
(0.88 ) |
| Year Ended June 30, 2022 |
21.63 |
0.16 |
(1.81 ) |
(1.65 ) |
(0.15 ) |
(2.23 ) |
(2.38 ) |
| Year Ended June 30, 2021 |
16.30 |
0.16 |
6.44 |
6.60 |
(0.16 ) |
(1.11 ) |
(1.27 ) |
| Year Ended June 30, 2020 |
15.93 |
0.17 |
1.83 |
2.00 |
(0.17 ) |
(1.46 ) |
(1.63 ) |
| Year Ended June 30, 2019 |
16.53 |
0.18 |
1.18 |
1.36 |
(0.17 ) |
(1.79 ) |
(1.96 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.48 |
0.04 |
1.63 |
1.67 |
(0.05 ) |
(0.23 ) |
(0.28 ) |
| Year Ended June 30, 2023 |
17.25 |
0.10 |
2.90 |
3.00 |
(0.10 ) |
(0.67 ) |
(0.77 ) |
| Year Ended June 30, 2022 |
21.26 |
0.02 |
(1.78 ) |
(1.76 ) |
(0.02 ) |
(2.23 ) |
(2.25 ) |
| Year Ended June 30, 2021 |
16.04 |
0.04 |
6.33 |
6.37 |
(0.04 ) |
(1.11 ) |
(1.15 ) |
| Year Ended June 30, 2020 |
15.70 |
0.07 |
1.80 |
1.87 |
(0.07 ) |
(1.46 ) |
(1.53 ) |
| Year Ended June 30, 2019 |
16.34 |
0.08 |
1.16 |
1.24 |
(0.09 ) |
(1.79 ) |
(1.88 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.65 |
0.06 |
1.64 |
1.70 |
(0.07 ) |
(0.23 ) |
(0.30 ) |
| Year Ended June 30, 2023 |
17.40 |
0.14 |
2.92 |
3.06 |
(0.14 ) |
(0.67 ) |
(0.81 ) |
| Year Ended June 30, 2022 |
21.42 |
0.08 |
(1.80 ) |
(1.72 ) |
(0.07 ) |
(2.23 ) |
(2.30 ) |
| Year Ended June 30, 2021 |
16.15 |
0.09 |
6.38 |
6.47 |
(0.09 ) |
(1.11 ) |
(1.20 ) |
| Year Ended June 30, 2020 |
15.80 |
0.11 |
1.81 |
1.92 |
(0.11 ) |
(1.46 ) |
(1.57 ) |
| Year Ended June 30, 2019 |
16.43 |
0.12 |
1.16 |
1.28 |
(0.12 ) |
(1.79 ) |
(1.91 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 184 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $21.16 |
8.71 % |
$2,185,634 |
0.94 % |
0.64 % |
0.97 % |
23 % |
| 19.75 |
18.17 |
1,925,367 |
0.94 |
0.79 |
0.98 |
47 |
| 17.48 |
(10.04 ) |
1,577,771 |
0.94 |
0.37 |
0.98 |
53 |
| 21.51 |
41.18 |
1,642,046 |
0.94 |
0.46 |
0.98 |
60 |
| 16.22 |
12.59 |
1,869,111 |
0.94 |
0.70 |
0.99 |
84 |
| 15.86 |
9.18 |
1,556,392 |
0.94 |
0.76 |
0.99 |
91 |
| |
|
|
|
|
|
|
| 20.08 |
8.43 |
408,836 |
1.44 |
0.14 |
1.47 |
23 |
| 18.76 |
17.54 |
398,762 |
1.44 |
0.29 |
1.48 |
47 |
| 16.65 |
(10.44 ) |
351,674 |
1.44 |
(0.13 ) |
1.48 |
53 |
| 20.61 |
40.52 |
367,940 |
1.44 |
(0.05 ) |
1.47 |
60 |
| 15.60 |
12.01 |
274,741 |
1.44 |
0.19 |
1.49 |
84 |
| 15.31 |
8.63 |
289,675 |
1.44 |
0.27 |
1.49 |
91 |
| |
|
|
|
|
|
|
| 21.25 |
8.87 |
4,127,062 |
0.69 |
0.89 |
0.73 |
23 |
| 19.83 |
18.39 |
3,250,488 |
0.69 |
1.03 |
0.73 |
47 |
| 17.56 |
(9.78 ) |
1,863,855 |
0.69 |
0.63 |
0.73 |
53 |
| 21.59 |
41.64 |
1,731,572 |
0.69 |
0.69 |
0.72 |
60 |
| 16.27 |
12.82 |
1,038,998 |
0.69 |
0.94 |
0.73 |
84 |
| 15.91 |
9.47 |
1,121,609 |
0.69 |
1.03 |
0.74 |
91 |
| |
|
|
|
|
|
|
| 21.31 |
8.97 |
2,216,031 |
0.54 |
1.03 |
0.57 |
23 |
| 19.88 |
18.57 |
2,149,699 |
0.54 |
1.18 |
0.58 |
47 |
| 17.60 |
(9.63 ) |
1,578,191 |
0.54 |
0.76 |
0.57 |
53 |
| 21.63 |
41.81 |
1,907,620 |
0.54 |
0.83 |
0.58 |
60 |
| 16.30 |
13.03 |
1,309,531 |
0.55 |
1.08 |
0.59 |
84 |
| 15.93 |
9.60 |
1,552,520 |
0.55 |
1.16 |
0.60 |
91 |
| |
|
|
|
|
|
|
| 20.87 |
8.60 |
267,290 |
1.19 |
0.38 |
1.22 |
23 |
| 19.48 |
17.89 |
255,815 |
1.19 |
0.54 |
1.23 |
47 |
| 17.25 |
(10.28 ) |
219,960 |
1.19 |
0.11 |
1.23 |
53 |
| 21.26 |
40.92 |
269,266 |
1.19 |
0.20 |
1.22 |
60 |
| 16.04 |
12.29 |
216,689 |
1.19 |
0.44 |
1.23 |
84 |
| 15.70 |
8.89 |
244,356 |
1.19 |
0.52 |
1.24 |
91 |
| |
|
|
|
|
|
|
| 21.05 |
8.71 |
206,587 |
0.94 |
0.64 |
0.97 |
23 |
| 19.65 |
18.14 |
191,128 |
0.94 |
0.79 |
0.98 |
47 |
| 17.40 |
(10.04 ) |
157,177 |
0.94 |
0.37 |
0.97 |
53 |
| 21.42 |
41.30 |
174,770 |
0.94 |
0.44 |
0.97 |
60 |
| 16.15 |
12.57 |
117,991 |
0.94 |
0.70 |
0.98 |
84 |
| 15.80 |
9.14 |
111,902 |
0.94 |
0.79 |
0.99 |
91 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
185 |
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. Equity Fund (continued) |
|
|
|
|
|
|
|
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$19.80 |
$0.09 |
$1.65 |
$1.74 |
$(0.10 ) |
$(0.23 ) |
$(0.33 ) |
| Year Ended June 30, 2023 |
17.52 |
0.19 |
2.94 |
3.13 |
(0.18 ) |
(0.67 ) |
(0.85 ) |
| Year Ended June 30, 2022 |
21.55 |
0.13 |
(1.81 ) |
(1.68 ) |
(0.12 ) |
(2.23 ) |
(2.35 ) |
| Year Ended June 30, 2021 |
16.25 |
0.13 |
6.41 |
6.54 |
(0.13 ) |
(1.11 ) |
(1.24 ) |
| Year Ended June 30, 2020 |
15.89 |
0.15 |
1.82 |
1.97 |
(0.15 ) |
(1.46 ) |
(1.61 ) |
| Year Ended June 30, 2019 |
16.50 |
0.17 |
1.16 |
1.33 |
(0.15 ) |
(1.79 ) |
(1.94 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.89 |
0.10 |
1.67 |
1.77 |
(0.11 ) |
(0.23 ) |
(0.34 ) |
| Year Ended June 30, 2023 |
17.60 |
0.22 |
2.95 |
3.17 |
(0.21 ) |
(0.67 ) |
(0.88 ) |
| Year Ended June 30, 2022 |
21.64 |
0.16 |
(1.82 ) |
(1.66 ) |
(0.15 ) |
(2.23 ) |
(2.38 ) |
| Year Ended June 30, 2021 |
16.31 |
0.16 |
6.44 |
6.60 |
(0.16 ) |
(1.11 ) |
(1.27 ) |
| Year Ended June 30, 2020 |
15.94 |
0.17 |
1.83 |
2.00 |
(0.17 ) |
(1.46 ) |
(1.63 ) |
| Year Ended June 30, 2019 |
16.54 |
0.19 |
1.17 |
1.36 |
(0.17 ) |
(1.79 ) |
(1.96 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.95 |
0.12 |
1.66 |
1.78 |
(0.12 ) |
(0.23 ) |
(0.35 ) |
| Year Ended June 30, 2023 |
17.65 |
0.24 |
2.96 |
3.20 |
(0.23 ) |
(0.67 ) |
(0.90 ) |
| Year Ended June 30, 2022 |
21.69 |
0.19 |
(1.82 ) |
(1.63 ) |
(0.18 ) |
(2.23 ) |
(2.41 ) |
| Year Ended June 30, 2021 |
16.34 |
0.18 |
6.46 |
6.64 |
(0.18 ) |
(1.11 ) |
(1.29 ) |
| Year Ended June 30, 2020 |
15.97 |
0.19 |
1.83 |
2.02 |
(0.19 ) |
(1.46 ) |
(1.65 ) |
| Year Ended June 30, 2019 |
16.56 |
0.20 |
1.19 |
1.39 |
(0.19 ) |
(1.79 ) |
(1.98 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 186 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio turnover
rate(c)
|
| | ||||||
| |
|
|
|
|
|
|
| $21.21 |
8.83 % |
$80,780 |
0.69 % |
0.88 % |
0.72 % |
23 % |
| 19.80 |
18.48 |
67,141 |
0.69 |
1.04 |
0.72 |
47 |
| 17.52 |
(9.80 ) |
55,292 |
0.69 |
0.63 |
0.72 |
53 |
| 21.55 |
41.58 |
45,443 |
0.69 |
0.69 |
0.72 |
60 |
| 16.25 |
12.84 |
21,651 |
0.69 |
0.95 |
0.73 |
84 |
| 15.89 |
9.44 |
22,870 |
0.69 |
1.08 |
0.75 |
91 |
| |
|
|
|
|
|
|
| 21.32 |
8.97 |
1,151,711 |
0.54 |
1.04 |
0.57 |
23 |
| 19.89 |
18.62 |
1,093,256 |
0.54 |
1.19 |
0.57 |
47 |
| 17.60 |
(9.68 ) |
911,961 |
0.54 |
0.76 |
0.57 |
53 |
| 21.64 |
41.79 |
1,089,931 |
0.54 |
0.84 |
0.57 |
60 |
| 16.31 |
13.04 |
817,671 |
0.54 |
1.09 |
0.58 |
84 |
| 15.94 |
9.60 |
842,888 |
0.54 |
1.17 |
0.59 |
91 |
| |
|
|
|
|
|
|
| 21.38 |
8.99 |
14,808,772 |
0.44 |
1.14 |
0.47 |
23 |
| 19.95 |
18.75 |
13,841,409 |
0.44 |
1.28 |
0.47 |
47 |
| 17.65 |
(9.56 ) |
11,891,028 |
0.44 |
0.87 |
0.47 |
53 |
| 21.69 |
41.98 |
12,615,063 |
0.44 |
0.95 |
0.47 |
60 |
| 16.34 |
13.13 |
9,272,379 |
0.44 |
1.20 |
0.48 |
84 |
| 15.97 |
9.74 |
8,559,285 |
0.44 |
1.27 |
0.49 |
91 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
187 |
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 U.S. GARP Equity Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$60.47 |
$— (f) |
$6.41 |
$6.41 |
$(0.07 ) |
$(0.41 ) |
$(0.48 ) |
| Year Ended June 30, 2023 |
49.61 |
0.09 |
12.73 |
12.82 |
(0.02 ) |
(1.94 ) |
(1.96 ) |
| Year Ended June 30, 2022 |
73.40 |
(0.02 ) |
(8.99 ) |
(9.01 ) |
— |
(14.78 ) |
(14.78 ) |
| Year Ended June 30, 2021 |
57.64 |
(0.01 ) |
21.89 |
21.88 |
(0.52 ) |
(5.60 ) |
(6.12 ) |
| Year Ended June 30, 2020 |
56.61 |
0.63 (g) |
7.41 |
8.04 |
(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 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
57.93 |
(0.15 )(h) |
6.13 |
5.98 |
— |
(0.41 ) |
(0.41 ) |
| Year Ended June 30, 2023 |
47.82 |
(0.16 ) |
12.21 |
12.05 |
— |
(1.94 ) |
(1.94 ) |
| Year Ended June 30, 2022 |
71.55 |
(0.35 ) |
(8.60 ) |
(8.95 ) |
— |
(14.78 ) |
(14.78 ) |
| Year Ended June 30, 2021 |
56.26 |
(0.32 ) |
21.36 |
21.04 |
(0.15 ) |
(5.60 ) |
(5.75 ) |
| Year Ended June 30, 2020 |
55.45 |
0.35 (g) |
7.22 |
7.57 |
(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 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
62.29 |
0.08 |
6.60 |
6.68 |
(0.21 ) |
(0.41 ) |
(0.62 ) |
| Year Ended June 30, 2023 |
51.05 |
0.23 |
13.10 |
13.33 |
(0.15 ) |
(1.94 ) |
(2.09 ) |
| Year Ended June 30, 2022 |
75.08 |
0.15 |
(9.28 ) |
(9.13 ) |
(0.12 ) |
(14.78 ) |
(14.90 ) |
| Year Ended June 30, 2021 |
58.80 |
0.16 |
22.37 |
22.53 |
(0.65 ) |
(5.60 ) |
(6.25 ) |
| Year Ended June 30, 2020 |
57.60 |
0.79 (g) |
7.54 |
8.33 |
(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 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
57.87 |
(0.07 )(h) |
6.12 |
6.05 |
— |
(0.41 ) |
(0.41 ) |
| Year Ended June 30, 2023 |
47.65 |
(0.04 ) |
12.20 |
12.16 |
— |
(1.94 ) |
(1.94 ) |
| Year Ended June 30, 2022 |
71.18 |
(0.18 ) |
(8.57 ) |
(8.75 ) |
— |
(14.78 ) |
(14.78 ) |
| Year Ended June 30, 2021 |
56.08 |
(0.17 ) |
21.26 |
21.09 |
(0.39 ) |
(5.60 ) |
(5.99 ) |
| Year Ended June 30, 2020 |
55.27 |
0.48 (g) |
7.22 |
7.70 |
(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 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
60.95 |
0.13 |
6.46 |
6.59 |
(0.29 ) |
(0.41 ) |
(0.70 ) |
| Year Ended June 30, 2023 |
50.02 |
0.31 |
12.80 |
13.11 |
(0.24 ) |
(1.94 ) |
(2.18 ) |
| Year Ended June 30, 2022 |
73.80 |
0.24 |
(9.05 ) |
(8.81 ) |
(0.19 ) |
(14.78 ) |
(14.97 ) |
| Year Ended June 30, 2021 |
57.93 |
0.26 |
21.96 |
22.22 |
(0.75 ) |
(5.60 ) |
(6.35 ) |
| Year Ended June 30, 2020 |
56.82 |
0.86 (g) |
7.47 |
8.33 |
(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 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 188 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $66.40 |
10.62 % |
$128,719 |
0.84 % |
0.00 % |
0.91 % |
23 % |
| 60.47 |
26.65 |
115,322 |
0.84 |
0.18 |
0.91 |
45 |
| 49.61 |
(17.46 ) |
92,344 |
0.84 |
(0.03 ) |
0.91 |
44 |
| 73.40 |
40.08 |
119,893 |
0.84 |
(0.01 ) |
0.90 |
64 |
| 57.64 |
15.11 |
94,017 |
0.84 |
1.15 (g) |
0.94 |
96 |
| 56.61 |
7.06 |
106,993 |
0.84 |
0.79 |
1.12 |
95 |
| |
|
|
|
|
|
|
| 63.50 |
10.34 |
11,591 |
1.34 |
(0.50 )(h) |
1.41 |
23 |
| 57.93 |
26.00 |
11,852 |
1.34 |
(0.32 ) |
1.41 |
45 |
| 47.82 |
(17.87 ) |
19,522 |
1.34 |
(0.54 ) |
1.41 |
44 |
| 71.55 |
39.44 |
30,159 |
1.34 |
(0.50 ) |
1.40 |
64 |
| 56.26 |
14.50 |
31,216 |
1.34 |
0.65 (g) |
1.42 |
96 |
| 55.45 |
6.51 |
35,931 |
1.34 |
0.29 |
1.61 |
95 |
| |
|
|
|
|
|
|
| 68.35 |
10.75 |
122,758 |
0.59 |
0.26 |
0.65 |
23 |
| 62.29 |
26.95 |
101,495 |
0.59 |
0.43 |
0.66 |
45 |
| 51.05 |
(17.25 ) |
86,649 |
0.59 |
0.21 |
0.65 |
44 |
| 75.08 |
40.46 |
164,959 |
0.59 |
0.25 |
0.65 |
64 |
| 58.80 |
15.38 |
141,497 |
0.59 |
1.40 (g) |
0.67 |
96 |
| 57.60 |
7.33 |
163,324 |
0.59 |
1.04 |
0.86 |
95 |
| |
|
|
|
|
|
|
| 63.51 |
10.47 |
40,699 |
1.09 |
(0.25 )(h) |
1.20 |
23 |
| 57.87 |
26.33 |
37,350 |
1.09 |
(0.07 ) |
1.22 |
45 |
| 47.65 |
(17.66 ) |
31,751 |
1.09 |
(0.29 ) |
1.20 |
44 |
| 71.18 |
39.73 |
45,629 |
1.09 |
(0.26 ) |
1.21 |
64 |
| 56.08 |
14.84 |
40,305 |
1.09 |
0.90 (g) |
1.25 |
96 |
| 55.27 |
6.78 |
45,086 |
1.09 |
0.54 |
1.49 |
95 |
| |
|
|
|
|
|
|
| 66.84 |
10.84 |
130,970 |
0.44 |
0.40 |
0.50 |
23 |
| 60.95 |
27.14 |
120,107 |
0.44 |
0.58 |
0.50 |
45 |
| 50.02 |
(17.12 ) |
103,007 |
0.44 |
0.36 |
0.50 |
44 |
| 73.80 |
40.57 |
166,478 |
0.44 |
0.39 |
0.50 |
64 |
| 57.93 |
15.63 |
189,889 |
0.44 |
1.55 (g) |
0.52 |
96 |
| 56.82 |
7.48 |
194,550 |
0.44 |
1.19 |
0.71 |
95 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
189 |
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. GARP Equity
Fund (continued)
|
|
|
|
|
|
|
|
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$60.94 |
$0.16 |
$6.46 |
$6.62 |
$(0.35 ) |
$(0.41 ) |
$(0.76 ) |
| Year Ended June 30, 2023 |
50.02 |
0.36 |
12.80 |
13.16 |
(0.30 ) |
(1.94 ) |
(2.24 ) |
| Year Ended June 30, 2022 |
73.81 |
0.31 |
(9.04 ) |
(8.73 ) |
(0.28 ) |
(14.78 ) |
(15.06 ) |
| Year Ended June 30, 2021 |
57.93 |
0.33 |
21.96 |
22.29 |
(0.81 ) |
(5.60 ) |
(6.41 ) |
| Year Ended June 30, 2020 |
56.81 |
0.91 (g) |
7.49 |
8.40 |
(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 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) |
Amount rounds to less than $0.005. |
| (g) |
Reflects special dividends paid out during the year by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income
(loss) per share would have been $0.27, $(0.01), $0.41, $0.13, $0.49 and $0.55 for
Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares, respectively, and
the net investment income (loss) ratio would have been 0.48%, (0.02)%, 0.73%, 0.23%, 0.88% and
0.99% for Class A, Class C, Class I, Class R2, Class R5 and Class R6 Shares,
respectively. |
| (h) |
Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the
classes. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 190 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $66.80 |
10.89 % |
$781,088 |
0.34 % |
0.50 % |
0.40 % |
23 % |
| 60.94 |
27.27 |
759,948 |
0.34 |
0.68 |
0.40 |
45 |
| 50.02 |
(17.03 ) |
642,876 |
0.34 |
0.47 |
0.40 |
44 |
| 73.81 |
40.70 |
780,470 |
0.34 |
0.50 |
0.40 |
64 |
| 57.93 |
15.76 |
617,458 |
0.34 |
1.65 (g) |
0.42 |
96 |
| 56.81 |
7.59 |
602,454 |
0.34 |
1.29 |
0.61 |
95 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
191 |
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 U.S. Large Cap Core Plus Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$16.89 |
$— (g) |
$1.58 |
$1.58 |
$— (g) |
$(1.99 ) |
$(1.99 ) |
| Year Ended June 30, 2023 |
18.03 |
(0.01 ) |
3.71 |
3.70 |
— |
(4.84 ) |
(4.84 ) |
| Year Ended June 30, 2022 |
26.84 |
(0.08 ) |
(1.95 ) |
(2.03 ) |
— |
(6.78 ) |
(6.78 ) |
| Year Ended June 30, 2021 |
24.58 |
(0.10 ) |
9.21 |
9.11 |
(0.03 ) |
(6.82 ) |
(6.85 ) |
| Year Ended June 30, 2020 |
27.51 |
0.04 |
2.65 |
2.69 |
(0.03 ) |
(5.59 ) |
(5.62 ) |
| Year Ended June 30, 2019 |
30.10 |
0.05 |
1.53 |
1.58 |
(0.05 ) |
(4.12 ) |
(4.17 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
13.64 |
(0.04 )(k) |
1.27 |
1.23 |
— |
(1.99 ) |
(1.99 ) |
| Year Ended June 30, 2023 |
15.48 |
(0.07 ) |
3.07 |
3.00 |
— |
(4.84 ) |
(4.84 ) |
| Year Ended June 30, 2022 |
24.01 |
(0.17 ) |
(1.58 ) |
(1.75 ) |
— |
(6.78 ) |
(6.78 ) |
| Year Ended June 30, 2021 |
22.67 |
(0.21 ) |
8.37 |
8.16 |
— |
(6.82 ) |
(6.82 ) |
| Year Ended June 30, 2020 |
25.88 |
(0.08 ) |
2.46 |
2.38 |
— |
(5.59 ) |
(5.59 ) |
| Year Ended June 30, 2019 |
28.65 |
(0.08 ) |
1.43 |
1.35 |
— |
(4.12 ) |
(4.12 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
17.73 |
0.02 |
1.67 |
1.69 |
(0.04 ) |
(1.99 ) |
(2.03 ) |
| Year Ended June 30, 2023 |
18.68 |
0.04 |
3.87 |
3.91 |
(0.02 ) |
(4.84 ) |
(4.86 ) |
| Year Ended June 30, 2022 |
27.53 |
(0.02 ) |
(2.05 ) |
(2.07 ) |
— |
(6.78 ) |
(6.78 ) |
| Year Ended June 30, 2021 |
25.04 |
(0.03 ) |
9.41 |
9.38 |
(0.07 ) |
(6.82 ) |
(6.89 ) |
| Year Ended June 30, 2020 |
27.94 |
0.10 |
2.69 |
2.79 |
(0.10 ) |
(5.59 ) |
(5.69 ) |
| Year Ended June 30, 2019 |
30.51 |
0.13 |
1.54 |
1.67 |
(0.12 ) |
(4.12 ) |
(4.24 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
15.03 |
(0.04 )(k) |
1.41 |
1.37 |
— |
(1.99 ) |
(1.99 ) |
| Year Ended June 30, 2023 |
16.59 |
(0.07 ) |
3.35 |
3.28 |
— |
(4.84 ) |
(4.84 ) |
| Year Ended June 30, 2022 |
25.27 |
(0.15 ) |
(1.75 ) |
(1.90 ) |
— |
(6.78 ) |
(6.78 ) |
| Year Ended June 30, 2021 |
23.54 |
(0.18 ) |
8.74 |
8.56 |
(0.01 ) |
(6.82 ) |
(6.83 ) |
| Year Ended June 30, 2020 |
26.62 |
(0.04 ) |
2.55 |
2.51 |
— |
(5.59 ) |
(5.59 ) |
| Year Ended June 30, 2019 |
29.31 |
(0.04 ) |
1.47 |
1.43 |
— |
(4.12 ) |
(4.12 ) |
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
18.00 |
0.01 |
1.69 |
1.70 |
(0.03 ) |
(1.99 ) |
(2.02 ) |
| Year Ended June 30, 2023 |
18.91 |
0.04 |
3.92 |
3.96 |
(0.03 ) |
(4.84 ) |
(4.87 ) |
| Year Ended June 30, 2022 |
27.78 |
— |
(2.09 ) |
(2.09 ) |
— |
(6.78 ) |
(6.78 ) |
| Year Ended June 30, 2021 |
25.20 |
(0.02 ) |
9.49 |
9.47 |
(0.07 ) |
(6.82 ) |
(6.89 ) |
| Year Ended June 30, 2020 |
28.08 |
0.11 |
2.71 |
2.82 |
(0.11 ) |
(5.59 ) |
(5.70 ) |
| Year Ended June 30, 2019 |
30.65 |
0.14 |
1.55 |
1.69 |
(0.14 ) |
(4.12 ) |
(4.26 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 192 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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
(including dividend
and interest expense
for securities sold
short)(e)(f)
|
Net
investment
income
(loss) |
Expenses without
waivers and reimbursements
(including dividend
and interest expense
for securities sold
short)(f) |
Portfolio
turnover rate
(excluding securities
sold
short)(c) |
Portfolio turnover rate
(including securities
sold short)(c) |
| |
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| $16.48 |
9.53 % |
$259,968 |
1.76 %(h) |
(0.04 )% |
2.06 % |
27 % |
50 % |
| 16.89 |
24.17 |
237,165 |
1.79 (h) |
(0.04 ) |
2.04 |
66 |
99 |
| 18.03 |
(12.89 ) |
240,209 |
1.85 (i) |
(0.33 ) |
2.00 |
59 |
91 |
| 26.84 |
42.30 |
335,206 |
1.94 (j) |
(0.39 ) |
2.09 |
57 |
96 |
| 24.58 |
11.66 |
267,701 |
1.92 |
0.19 |
2.08 |
85 |
134 |
| 27.51 |
6.84 |
678,071 |
1.91 |
0.22 |
2.16 |
98 |
148 |
| |
|
|
|
|
|
|
|
| 12.88 |
9.20 |
39,713 |
2.26 (h) |
(0.53 )(k) |
2.57 |
27 |
50 |
| 13.64 |
23.54 |
31,189 |
2.29 (h) |
(0.54 ) |
2.54 |
66 |
99 |
| 15.48 |
(13.31 ) |
28,297 |
2.35 (i) |
(0.82 ) |
2.51 |
59 |
91 |
| 24.01 |
41.55 |
36,784 |
2.43 (j) |
(0.88 ) |
2.58 |
57 |
96 |
| 22.67 |
11.11 |
59,105 |
2.42 |
(0.32 ) |
2.58 |
85 |
134 |
| 25.88 |
6.31 |
108,332 |
2.42 |
(0.29 ) |
2.67 |
98 |
148 |
| |
|
|
|
|
|
|
|
| 17.39 |
9.69 |
949,608 |
1.51 (h) |
0.21 |
1.81 |
27 |
50 |
| 17.73 |
24.50 |
837,722 |
1.54 (h) |
0.21 |
1.78 |
66 |
99 |
| 18.68 |
(12.70 ) |
970,509 |
1.60 (i) |
(0.09 ) |
1.75 |
59 |
91 |
| 27.53 |
42.65 |
1,702,566 |
1.69 (j) |
(0.12 ) |
1.83 |
57 |
96 |
| 25.04 |
11.93 |
2,189,079 |
1.67 |
0.40 |
1.83 |
85 |
134 |
| 27.94 |
7.11 |
4,740,691 |
1.67 |
0.46 |
1.91 |
98 |
148 |
| |
|
|
|
|
|
|
|
| 14.41 |
9.28 |
6,122 |
2.21 (h) |
(0.49 )(k) |
2.33 |
27 |
50 |
| 15.03 |
23.65 |
5,757 |
2.20 (h) |
(0.45 ) |
2.30 |
66 |
99 |
| 16.59 |
(13.23 ) |
4,602 |
2.20 (i) |
(0.67 ) |
2.26 |
59 |
91 |
| 25.27 |
41.77 |
5,838 |
2.29 (j) |
(0.74 ) |
2.34 |
57 |
96 |
| 23.54 |
11.32 |
4,560 |
2.27 |
(0.13 ) |
2.34 |
85 |
134 |
| 26.62 |
6.45 |
5,304 |
2.27 |
(0.14 ) |
2.45 |
98 |
148 |
| |
|
|
|
|
|
|
|
| 17.68 |
9.61 |
34,741 |
1.56 (h) |
0.16 |
1.66 |
27 |
50 |
| 18.00 |
24.48 |
30,667 |
1.55 (h) |
0.20 |
1.64 |
66 |
99 |
| 18.91 |
(12.65 ) |
27,541 |
1.55 (i) |
(0.02 ) |
1.60 |
59 |
91 |
| 27.78 |
42.75 |
34,191 |
1.64 (j) |
(0.08 ) |
1.68 |
57 |
96 |
| 25.20 |
11.99 |
38,447 |
1.62 |
0.46 |
1.67 |
85 |
134 |
| 28.08 |
7.14 |
99,113 |
1.62 |
0.51 |
1.76 |
98 |
148 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
193 |
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. Large Cap Core Plus
Fund (continued)
|
|
|
|
|
|
|
|
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$17.99 |
$0.02 |
$1.70 |
$1.72 |
$(0.05 ) |
$(1.99 ) |
$(2.04 ) |
| Year Ended June 30, 2023 |
18.90 |
0.05 |
3.93 |
3.98 |
(0.05 ) |
(4.84 ) |
(4.89 ) |
| Year Ended June 30, 2022 |
27.75 |
0.02 |
(2.09 ) |
(2.07 ) |
— |
(6.78 ) |
(6.78 ) |
| Year Ended June 30, 2021 |
25.18 |
— (g) |
9.47 |
9.47 |
(0.08 ) |
(6.82 ) |
(6.90 ) |
| Year Ended June 30, 2020 |
28.07 |
0.14 |
2.70 |
2.84 |
(0.14 ) |
(5.59 ) |
(5.73 ) |
| Year Ended June 30, 2019 |
30.63 |
0.17 |
1.56 |
1.73 |
(0.17 ) |
(4.12 ) |
(4.29 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) |
|
| |
December 31, 2023 |
June 30, 2023 |
June 30, 2022 |
June 30, 2021 |
June 30, 2020 |
June 30, 2019 |
| Net expenses (excluding dividend and interest expense for securities sold short) |
|
|
|
|
|
|
| Class A |
0.95 % |
1.01 % |
1.10 % |
1.10 % |
1.10 % |
1.09 % |
| Class C |
1.45 |
1.51 |
1.60 |
1.59 |
1.60 |
1.60 |
| Class I |
0.70 |
0.76 |
0.85 |
0.85 |
0.85 |
0.85 |
| Class R2 |
1.40 |
1.42 |
1.45 |
1.45 |
1.45 |
1.45 |
| Class R5 |
0.75 |
0.77 |
0.80 |
0.80 |
0.80 |
0.80 |
| Class R6 |
0.65 |
0.67 |
0.70 |
0.70 |
0.70 |
0.70 |
| Expenses without waivers and reimbursements (excluding dividend and interest expense for securities sold short) |
|
|
|
|
|
|
| Class A |
1.25 |
1.26 |
1.25 |
1.25 |
1.26 |
1.34 |
| Class C |
1.76 |
1.76 |
1.76 |
1.74 |
1.76 |
1.85 |
| Class I |
1.00 |
1.00 |
1.00 |
0.99 |
1.01 |
1.09 |
| Class R2 |
1.52 |
1.52 |
1.51 |
1.50 |
1.52 |
1.63 |
| Class R5 |
0.85 |
0.86 |
0.85 |
0.84 |
0.85 |
0.94 |
| Class R6 |
0.75 |
0.75 |
0.75 |
0.74 |
0.75 |
0.85 |
| | |
| (g) |
Amount rounds to less than $0.005. |
| (h) |
Interest expense on securities sold short is 0.14%. |
| (i) |
Interest expense on securities sold short is 0.62%. |
| (j) |
Interest expense on securities sold short is 0.16%. |
| (k) |
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. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 194 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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
(including dividend
and interest expense
for securities sold
short)(e)(f)
|
Net
investment
income
(loss) |
Expenses without
waivers and reimbursements
(including dividend
and interest expense
for securities sold
short)(f) |
Portfolio
turnover rate
(excluding securities
sold
short)(c) |
Portfolio turnover rate
(including securities
sold short)(c) |
| | |||||||
| |
|
|
|
|
|
|
|
| $17.67 |
9.70 % |
$303,932 |
1.46 %(h) |
0.26 % |
1.56 % |
27 % |
50 % |
| 17.99 |
24.60 |
285,919 |
1.45 (h) |
0.30 |
1.53 |
66 |
99 |
| 18.90 |
(12.58 ) |
365,912 |
1.45 (i) |
0.07 |
1.50 |
59 |
91 |
| 27.75 |
42.86 |
536,661 |
1.54 (j) |
0.01 |
1.58 |
57 |
96 |
| 25.18 |
12.10 |
491,414 |
1.52 |
0.58 |
1.57 |
85 |
134 |
| 28.07 |
7.30 |
787,497 |
1.52 |
0.59 |
1.67 |
98 |
148 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
195 |
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 U.S. Research Enhanced Equity Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$33.84 |
$0.16 |
$2.71 |
$2.87 |
$(0.19 ) |
$(0.05 ) |
$(0.24 ) |
| Year Ended June 30, 2023 |
28.88 |
0.31 |
5.41 |
5.72 |
(0.31 ) |
(0.45 ) |
(0.76 ) |
| Year Ended June 30, 2022 |
36.46 |
0.27 |
(3.20 ) |
(2.93 ) |
(0.25 ) |
(4.40 ) |
(4.65 ) |
| Year Ended June 30, 2021 |
26.55 |
0.27 |
10.81 |
11.08 |
(0.34 ) |
(0.83 ) |
(1.17 ) |
| Year Ended June 30, 2020 |
27.38 |
0.38 |
1.80 |
2.18 |
(0.31 ) |
(2.70 ) |
(3.01 ) |
| Year Ended June 30, 2019 |
28.37 |
0.34 |
1.96 |
2.30 |
(0.36 ) |
(2.93 ) |
(3.29 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
34.30 |
0.21 |
2.75 |
2.96 |
(0.24 ) |
(0.05 ) |
(0.29 ) |
| Year Ended June 30, 2023 |
29.26 |
0.39 |
5.49 |
5.88 |
(0.39 ) |
(0.45 ) |
(0.84 ) |
| Year Ended June 30, 2022 |
36.89 |
0.36 |
(3.26 ) |
(2.90 ) |
(0.33 ) |
(4.40 ) |
(4.73 ) |
| Year Ended June 30, 2021 |
26.85 |
0.35 |
10.94 |
11.29 |
(0.42 ) |
(0.83 ) |
(1.25 ) |
| Year Ended June 30, 2020 |
27.65 |
0.45 |
1.83 |
2.28 |
(0.38 ) |
(2.70 ) |
(3.08 ) |
| Year Ended June 30, 2019 |
28.61 |
0.41 |
1.98 |
2.39 |
(0.42 ) |
(2.93 ) |
(3.35 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
34.24 |
0.22 |
2.74 |
2.96 |
(0.25 ) |
(0.05 ) |
(0.30 ) |
| Year Ended June 30, 2023 |
29.21 |
0.42 |
5.48 |
5.90 |
(0.42 ) |
(0.45 ) |
(0.87 ) |
| Year Ended June 30, 2022 |
36.84 |
0.40 |
(3.26 ) |
(2.86 ) |
(0.37 ) |
(4.40 ) |
(4.77 ) |
| Year Ended June 30, 2021 |
26.81 |
0.38 |
10.93 |
11.31 |
(0.45 ) |
(0.83 ) |
(1.28 ) |
| Year Ended June 30, 2020 |
27.62 |
0.48 |
1.81 |
2.29 |
(0.40 ) |
(2.70 ) |
(3.10 ) |
| Year Ended June 30, 2019 |
28.57 |
0.44 |
1.98 |
2.42 |
(0.44 ) |
(2.93 ) |
(3.37 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 196 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $36.47 |
8.51 % |
$175,869 |
0.60 % |
0.94 % |
0.84 % |
13 % |
| 33.84 |
20.18 |
174,430 |
0.60 |
1.02 |
0.84 |
32 |
| 28.88 |
(10.33 ) |
145,624 |
0.60 |
0.77 |
0.84 |
30 |
| 36.46 |
42.55 |
180,296 |
0.60 |
0.85 |
0.84 |
35 |
| 26.55 |
9.08 |
183,005 |
0.60 |
1.45 |
0.85 |
59 |
| 27.38 |
9.39 |
207,809 |
0.60 |
1.24 |
0.85 |
42 |
| |
|
|
|
|
|
|
| 36.97 |
8.65 |
761,292 |
0.35 |
1.19 |
0.59 |
13 |
| 34.30 |
20.48 |
711,186 |
0.35 |
1.27 |
0.58 |
32 |
| 29.26 |
(10.13 ) |
611,102 |
0.35 |
1.02 |
0.59 |
30 |
| 36.89 |
42.92 |
686,545 |
0.35 |
1.09 |
0.58 |
35 |
| 26.85 |
9.38 |
204,193 |
0.35 |
1.70 |
0.59 |
59 |
| 27.65 |
9.65 |
232,077 |
0.35 |
1.50 |
0.59 |
42 |
| |
|
|
|
|
|
|
| 36.90 |
8.69 |
6,788,106 |
0.25 |
1.29 |
0.34 |
13 |
| 34.24 |
20.61 |
6,675,403 |
0.25 |
1.37 |
0.33 |
32 |
| 29.21 |
(10.05 ) |
5,994,312 |
0.25 |
1.15 |
0.34 |
30 |
| 36.84 |
43.09 |
4,185,201 |
0.25 |
1.19 |
0.33 |
35 |
| 26.81 |
9.47 |
3,585,672 |
0.25 |
1.79 |
0.34 |
59 |
| 27.62 |
9.78 |
4,953,109 |
0.25 |
1.60 |
0.34 |
42 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
197 |
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 U.S. Sustainable Leaders Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$57.02 |
$0.24 |
$4.84 |
$5.08 |
$(0.48 ) |
$— |
$(0.48 ) |
| Year Ended June 30, 2023 |
48.80 |
0.41 |
8.30 |
8.71 |
(0.49 ) |
— |
(0.49 ) |
| Year Ended June 30, 2022 |
59.20 |
0.39 |
(8.35 ) |
(7.96 ) |
(0.23 ) |
(2.21 ) |
(2.44 ) |
| Year Ended June 30, 2021 |
42.76 |
0.42 |
16.81 |
17.23 |
(0.30 ) |
(0.49 ) |
(0.79 ) |
| Year Ended June 30, 2020 |
41.85 |
0.47 |
3.52 |
3.99 |
(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 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
55.67 |
0.09 |
4.72 |
4.81 |
(0.15 ) |
— |
(0.15 ) |
| Year Ended June 30, 2023 |
47.61 |
0.15 |
8.10 |
8.25 |
(0.19 ) |
— |
(0.19 ) |
| Year Ended June 30, 2022 |
57.87 |
0.09 |
(8.14 ) |
(8.05 ) |
— |
(2.21 ) |
(2.21 ) |
| Year Ended June 30, 2021 |
41.80 |
0.16 |
16.43 |
16.59 |
(0.03 ) |
(0.49 ) |
(0.52 ) |
| Year Ended June 30, 2020 |
40.98 |
0.25 |
3.44 |
3.69 |
(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 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
57.58 |
0.31 |
4.89 |
5.20 |
(0.61 ) |
— |
(0.61 ) |
| Year Ended June 30, 2023 |
49.27 |
0.54 |
8.38 |
8.92 |
(0.61 ) |
— |
(0.61 ) |
| Year Ended June 30, 2022 |
59.71 |
0.54 |
(8.43 ) |
(7.89 ) |
(0.34 ) |
(2.21 ) |
(2.55 ) |
| Year Ended June 30, 2021 |
43.11 |
0.55 |
16.95 |
17.50 |
(0.41 ) |
(0.49 ) |
(0.90 ) |
| Year Ended June 30, 2020 |
42.15 |
0.57 |
3.56 |
4.13 |
(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 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
57.57 |
0.33 |
4.88 |
5.21 |
(0.64 ) |
— |
(0.64 ) |
| Year Ended June 30, 2023 |
49.27 |
0.57 |
8.37 |
8.94 |
(0.64 ) |
— |
(0.64 ) |
| Year Ended June 30, 2022 |
59.69 |
0.57 |
(8.42 ) |
(7.85 ) |
(0.36 ) |
(2.21 ) |
(2.57 ) |
| September 30, 2020 (f) through June 30, 2021 |
46.79 |
0.43 |
13.40 |
13.83 |
(0.44 ) |
(0.49 ) |
(0.93 ) |
| |
|
| (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 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.
| 198 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $61.62 |
8.92 % |
$49,470 |
0.64 % |
0.82 % |
1.00 % |
11 % |
| 57.02 |
18.00 |
44,882 |
0.64 |
0.79 |
1.00 |
39 |
| 48.80 |
(14.36 ) |
37,387 |
0.64 |
0.67 |
1.03 |
39 |
| 59.20 |
40.64 |
24,169 |
0.64 |
0.80 |
1.23 |
44 |
| 42.76 |
9.57 |
11,178 |
0.82 |
1.12 |
1.53 |
99 |
| 41.85 |
9.90 |
10,828 |
0.83 |
1.22 |
1.73 |
97 |
| |
|
|
|
|
|
|
| 60.33 |
8.64 |
4,169 |
1.14 |
0.31 |
1.50 |
11 |
| 55.67 |
17.38 |
4,317 |
1.14 |
0.29 |
1.50 |
39 |
| 47.61 |
(14.77 ) |
4,668 |
1.14 |
0.16 |
1.55 |
39 |
| 57.87 |
39.94 |
3,794 |
1.13 |
0.32 |
1.72 |
44 |
| 41.80 |
9.03 |
2,735 |
1.32 |
0.62 |
2.07 |
99 |
| 40.98 |
9.34 |
2,949 |
1.33 |
0.73 |
2.22 |
97 |
| |
|
|
|
|
|
|
| 62.17 |
9.05 |
78,357 |
0.39 |
1.07 |
0.74 |
11 |
| 57.58 |
18.29 |
74,249 |
0.39 |
1.03 |
0.74 |
39 |
| 49.27 |
(14.15 ) |
98,142 |
0.39 |
0.92 |
0.77 |
39 |
| 59.71 |
40.99 |
62,431 |
0.39 |
1.06 |
0.96 |
44 |
| 43.11 |
9.86 |
26,787 |
0.57 |
1.37 |
1.25 |
99 |
| 42.15 |
10.18 |
16,908 |
0.58 |
1.46 |
1.45 |
97 |
| |
|
|
|
|
|
|
| 62.14 |
9.07 |
57,692 |
0.34 |
1.12 |
0.49 |
11 |
| 57.57 |
18.35 |
52,553 |
0.34 |
1.09 |
0.49 |
39 |
| 49.27 |
(14.09 ) |
45,209 |
0.34 |
0.97 |
0.52 |
39 |
| 59.69 |
29.93 |
25,156 |
0.34 |
1.05 |
0.70 |
44 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
199 |
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 U.S. Value Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$66.58 |
$0.46 |
$3.07 |
$3.53 |
$(0.56 ) |
$— |
$(0.56 ) |
| Year Ended June 30, 2023 |
60.21 |
0.90 |
6.53 |
7.43 |
(0.90 ) |
(0.16 ) |
(1.06 ) |
| Year Ended June 30, 2022 |
64.61 |
0.74 |
(3.22 ) |
(2.48 ) |
(0.71 ) |
(1.21 ) |
(1.92 ) |
| Year Ended June 30, 2021 |
45.62 |
0.64 |
19.59 |
20.23 |
(0.60 ) |
(0.64 ) |
(1.24 ) |
| Year Ended June 30, 2020 |
49.84 |
0.79 |
(3.18 ) |
(2.39 ) |
(0.76 ) |
(1.07 ) |
(1.83 ) |
| Year Ended June 30, 2019 |
49.77 |
0.85 |
2.21 |
3.06 |
(0.85 ) |
(2.14 ) |
(2.99 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
58.61 |
0.26 |
2.70 |
2.96 |
(0.43 ) |
— |
(0.43 ) |
| Year Ended June 30, 2023 |
53.16 |
0.51 |
5.76 |
6.27 |
(0.66 ) |
(0.16 ) |
(0.82 ) |
| Year Ended June 30, 2022 |
57.32 |
0.38 |
(2.84 ) |
(2.46 ) |
(0.49 ) |
(1.21 ) |
(1.70 ) |
| Year Ended June 30, 2021 |
40.63 |
0.32 |
17.40 |
17.72 |
(0.39 ) |
(0.64 ) |
(1.03 ) |
| Year Ended June 30, 2020 |
44.59 |
0.48 |
(2.81 ) |
(2.33 ) |
(0.56 ) |
(1.07 ) |
(1.63 ) |
| Year Ended June 30, 2019 |
44.91 |
0.53 |
1.98 |
2.51 |
(0.69 ) |
(2.14 ) |
(2.83 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
70.89 |
0.58 |
3.28 |
3.86 |
(0.64 ) |
— |
(0.64 ) |
| Year Ended June 30, 2023 |
64.02 |
1.13 |
6.94 |
8.07 |
(1.04 ) |
(0.16 ) |
(1.20 ) |
| Year Ended June 30, 2022 |
68.55 |
0.97 |
(3.43 ) |
(2.46 ) |
(0.86 ) |
(1.21 ) |
(2.07 ) |
| Year Ended June 30, 2021 |
48.34 |
0.83 |
20.76 |
21.59 |
(0.74 ) |
(0.64 ) |
(1.38 ) |
| Year Ended June 30, 2020 |
52.69 |
0.96 |
(3.36 ) |
(2.40 ) |
(0.88 ) |
(1.07 ) |
(1.95 ) |
| Year Ended June 30, 2019 |
52.41 |
1.00 |
2.36 |
3.36 |
(0.94 ) |
(2.14 ) |
(3.08 ) |
| Class R2 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
66.68 |
0.38 |
3.08 |
3.46 |
(0.48 ) |
— |
(0.48 ) |
| Year Ended June 30, 2023 |
60.30 |
0.74 |
6.53 |
7.27 |
(0.73 ) |
(0.16 ) |
(0.89 ) |
| Year Ended June 30, 2022 |
64.73 |
0.59 |
(3.24 ) |
(2.65 ) |
(0.57 ) |
(1.21 ) |
(1.78 ) |
| Year Ended June 30, 2021 |
45.72 |
0.50 |
19.63 |
20.13 |
(0.48 ) |
(0.64 ) |
(1.12 ) |
| Year Ended June 30, 2020 |
50.01 |
0.69 |
(3.19 ) |
(2.50 ) |
(0.72 ) |
(1.07 ) |
(1.79 ) |
| Year Ended June 30, 2019 |
49.98 |
0.63 |
2.31 |
2.94 |
(0.77 ) |
(2.14 ) |
(2.91 ) |
| Class R3 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
70.69 |
0.50 |
3.26 |
3.76 |
(0.56 ) |
— |
(0.56 ) |
| Year Ended June 30, 2023 |
63.83 |
0.93 |
6.95 |
7.88 |
(0.86 ) |
(0.16 ) |
(1.02 ) |
| Year Ended June 30, 2022 |
68.41 |
0.80 |
(3.44 ) |
(2.64 ) |
(0.73 ) |
(1.21 ) |
(1.94 ) |
| Year Ended June 30, 2021 |
48.25 |
0.68 |
20.73 |
21.41 |
(0.61 ) |
(0.64 ) |
(1.25 ) |
| Year Ended June 30, 2020 |
52.66 |
0.75 |
(3.29 ) |
(2.54 ) |
(0.80 ) |
(1.07 ) |
(1.87 ) |
| Year Ended June 30, 2019 |
52.41 |
0.89 |
2.33 |
3.22 |
(0.83 ) |
(2.14 ) |
(2.97 ) |
| Class R4 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
70.87 |
0.58 |
3.28 |
3.86 |
(0.61 ) |
— |
(0.61 ) |
| Year Ended June 30, 2023 |
64.04 |
1.22 |
6.85 |
8.07 |
(1.08 ) |
(0.16 ) |
(1.24 ) |
| Year Ended June 30, 2022 |
68.60 |
0.94 |
(3.41 ) |
(2.47 ) |
(0.88 ) |
(1.21 ) |
(2.09 ) |
| Year Ended June 30, 2021 |
48.31 |
0.79 |
20.81 |
21.60 |
(0.67 ) |
(0.64 ) |
(1.31 ) |
| Year Ended June 30, 2020 |
52.69 |
1.04 |
(3.46 ) |
(2.42 ) |
(0.89 ) |
(1.07 ) |
(1.96 ) |
| Year Ended June 30, 2019 |
52.41 |
1.02 |
2.34 |
3.36 |
(0.94 ) |
(2.14 ) |
(3.08 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 200 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $69.55 |
5.35 % |
$1,145,808 |
0.94 % |
1.39 % |
1.01 % |
8 % |
| 66.58 |
12.43 |
1,045,975 |
0.94 |
1.40 |
1.01 |
12 |
| 60.21 |
(4.04 ) |
723,238 |
0.94 |
1.13 |
1.03 |
22 |
| 64.61 |
44.88 |
522,230 |
0.93 |
1.17 |
1.03 |
14 |
| 45.62 |
(5.11 ) |
497,399 |
0.94 |
1.61 |
1.06 |
22 |
| 49.84 |
6.68 |
490,597 |
0.93 |
1.73 |
1.06 |
26 |
| |
|
|
|
|
|
|
| 61.14 |
5.09 |
108,506 |
1.44 |
0.89 |
1.50 |
8 |
| 58.61 |
11.86 |
107,219 |
1.44 |
0.90 |
1.50 |
12 |
| 53.16 |
(4.52 ) |
71,714 |
1.44 |
0.66 |
1.52 |
22 |
| 57.32 |
44.13 |
37,539 |
1.43 |
0.66 |
1.51 |
14 |
| 40.63 |
(5.57 ) |
26,487 |
1.44 |
1.11 |
1.53 |
22 |
| 44.59 |
6.15 |
26,032 |
1.43 |
1.21 |
1.54 |
26 |
| |
|
|
|
|
|
|
| 74.11 |
5.49 |
2,359,405 |
0.69 |
1.64 |
0.75 |
8 |
| 70.89 |
12.71 |
2,205,435 |
0.69 |
1.66 |
0.75 |
12 |
| 64.02 |
(3.80 ) |
1,440,632 |
0.69 |
1.40 |
0.76 |
22 |
| 68.55 |
45.22 |
868,339 |
0.69 |
1.35 |
0.75 |
14 |
| 48.34 |
(4.85 ) |
135,234 |
0.69 |
1.88 |
0.78 |
22 |
| 52.69 |
6.94 |
94,500 |
0.68 |
1.93 |
0.79 |
26 |
| |
|
|
|
|
|
|
| 69.66 |
5.22 |
5,677 |
1.19 |
1.14 |
1.25 |
8 |
| 66.68 |
12.14 |
5,380 |
1.19 |
1.15 |
1.25 |
12 |
| 60.30 |
(4.29 ) |
3,563 |
1.19 |
0.89 |
1.26 |
22 |
| 64.73 |
44.51 |
2,005 |
1.18 |
0.90 |
1.25 |
14 |
| 45.72 |
(5.34 ) |
1,126 |
1.19 |
1.46 |
1.98 |
22 |
| 50.01 |
6.41 |
108 |
1.18 |
1.30 |
2.77 |
26 |
| |
|
|
|
|
|
|
| 73.89 |
5.35 |
12,387 |
0.94 |
1.40 |
1.00 |
8 |
| 70.69 |
12.43 |
8,122 |
0.94 |
1.36 |
1.00 |
12 |
| 63.83 |
(4.06 ) |
8,698 |
0.94 |
1.14 |
1.01 |
22 |
| 68.41 |
44.89 |
1,402 |
0.94 |
1.15 |
1.01 |
14 |
| 48.25 |
(5.10 ) |
398 |
0.94 |
1.50 |
1.03 |
22 |
| 52.66 |
6.66 |
24 |
0.93 |
1.73 |
1.84 |
26 |
| |
|
|
|
|
|
|
| 74.12 |
5.50 |
2,517 |
0.69 |
1.64 |
0.75 |
8 |
| 70.87 |
12.71 |
4,583 |
0.69 |
1.77 |
0.76 |
12 |
| 64.04 |
(3.81 ) |
253 |
0.69 |
1.34 |
0.78 |
22 |
| 68.60 |
45.26 |
106 |
0.68 |
1.46 |
0.76 |
14 |
| 48.31 |
(4.88 ) |
1,159 |
0.69 |
2.15 |
0.77 |
22 |
| 52.69 |
6.94 |
24 |
0.68 |
1.98 |
1.60 |
26 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
201 |
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. Value Fund (continued) |
|
|
|
|
|
|
|
| Class R5 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$71.45 |
$0.65 |
$3.30 |
$3.95 |
$(0.70 ) |
$— |
$(0.70 ) |
| Year Ended June 30, 2023 |
64.52 |
1.25 |
6.98 |
8.23 |
(1.14 ) |
(0.16 ) |
(1.30 ) |
| Year Ended June 30, 2022 |
69.09 |
1.12 |
(3.51 ) |
(2.39 ) |
(0.97 ) |
(1.21 ) |
(2.18 ) |
| Year Ended June 30, 2021 |
48.69 |
0.93 |
20.93 |
21.86 |
(0.82 ) |
(0.64 ) |
(1.46 ) |
| Year Ended June 30, 2020 |
53.06 |
1.04 |
(3.39 ) |
(2.35 ) |
(0.95 ) |
(1.07 ) |
(2.02 ) |
| Year Ended June 30, 2019 |
52.74 |
1.09 |
2.38 |
3.47 |
(1.01 ) |
(2.14 ) |
(3.15 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
71.49 |
0.68 |
3.30 |
3.98 |
(0.73 ) |
— |
(0.73 ) |
| Year Ended June 30, 2023 |
64.55 |
1.33 |
6.98 |
8.31 |
(1.21 ) |
(0.16 ) |
(1.37 ) |
| Year Ended June 30, 2022 |
69.10 |
1.16 |
(3.47 ) |
(2.31 ) |
(1.03 ) |
(1.21 ) |
(2.24 ) |
| Year Ended June 30, 2021 |
48.70 |
1.02 |
20.89 |
21.91 |
(0.87 ) |
(0.64 ) |
(1.51 ) |
| Year Ended June 30, 2020 |
53.08 |
1.11 |
(3.42 ) |
(2.31 ) |
(1.00 ) |
(1.07 ) |
(2.07 ) |
| Year Ended June 30, 2019 |
52.75 |
1.16 |
2.36 |
3.52 |
(1.05 ) |
(2.14 ) |
(3.19 ) |
| |
|
| (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 interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 202 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
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 and reimbursements |
Portfolio
turnover
rate(c)
|
|
| ||||||
| |
|
|
|
|
|
|
| $74.70 |
5.57 % |
$12,449 |
0.54 % |
1.81 % |
0.60 % |
8 % |
| 71.45 |
12.88 |
8,761 |
0.54 |
1.82 |
0.60 |
12 |
| 64.52 |
(3.67 ) |
4,409 |
0.54 |
1.60 |
0.61 |
22 |
| 69.09 |
45.47 |
178 |
0.54 |
1.56 |
0.61 |
14 |
| 48.69 |
(4.72 ) |
83 |
0.54 |
2.02 |
5.20 |
22 |
| 53.06 |
7.10 |
74 |
0.53 |
2.10 |
1.01 |
26 |
| |
|
|
|
|
|
|
| 74.74 |
5.62 |
1,695,772 |
0.44 |
1.90 |
0.50 |
8 |
| 71.49 |
13.00 |
1,319,430 |
0.44 |
1.92 |
0.50 |
12 |
| 64.55 |
(3.56 ) |
561,821 |
0.44 |
1.66 |
0.51 |
22 |
| 69.10 |
45.60 |
275,186 |
0.44 |
1.74 |
0.50 |
14 |
| 48.70 |
(4.64 ) |
64,968 |
0.44 |
2.14 |
0.53 |
22 |
| 53.08 |
7.21 |
41,144 |
0.43 |
2.22 |
0.53 |
26 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
203 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited)
(Dollar values in thousands)
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 15 separate funds of the Trusts (each, a "Fund" and collectively, the "Funds") covered by this
report:
| |
Classes Offered |
Trust |
Diversification Classification |
| 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 Index Fund |
Class A, Class C, Class I and Class R6 |
JPM II |
Diversified |
| JPMorgan Equity Premium Income Fund |
Class A, Class C, Class I, Class R5 and Class R6 |
JPM IV |
Diversified |
| JPMorgan Hedged Equity Fund |
Class A, Class C, Class I, Class R5 and Class R6 |
JPM I |
Diversified |
| JPMorgan Hedged Equity 2 Fund |
Class A, Class C, Class I, Class R5 and Class R6 |
JPM IV |
Diversified |
| JPMorgan Hedged Equity 3 Fund |
Class A, Class C, Class I, Class R5 and Class R6 |
JPM IV |
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, Class R4, Class R5 and Class R6 |
JPM II |
Diversified |
| JPMorgan U.S. Applied Data Science Value Fund |
Class A, Class C, Class I, Class R2, Class R5 and Class R6 |
JPM I |
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. GARP Equity Fund |
Class A, Class C, Class I, Class R2, 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, Class I and Class R6 |
JPM I |
Diversified |
| JPMorgan U.S. Sustainable Leaders Fund |
Class A, Class C, Class I and Class R6 |
JPM I |
Diversified |
| JPMorgan U.S. Value Fund |
Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 |
JPM I |
Diversified |
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 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 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 Hedged Equity Fund (“Hedged Equity Fund”), JPMorgan Hedged Equity 2 Fund (“Hedged Equity 2 Fund”) and JPMorgan Hedged Equity 3 Fund (“Hedged Equity 3 Fund”) is to seek to provide capital appreciation.
The investment objective of JPMorgan Large Cap Growth Fund ("Large Cap Growth Fund") is to seek long-term 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. Applied Data Science Value Fund (“U.S. Applied Data Science Value Fund”) and JPMorgan U.S. Sustainable Leaders Fund (“U.S. Sustainable Leaders Fund”) is to seek to provide long-term capital appreciation.
The investment objective of JPMorgan U.S. Equity Fund (“U.S. Equity Fund”) and JPMorgan U.S. Large
Cap Core Plus Fund ("U.S. Large Cap Core Plus Fund") is to seek to provide high total return from a portfolio of selected equity securities.
The investment objective of JPMorgan U.S. GARP Equity Fund (“U.S. GARP Equity Fund”) is to seek to
provide long-term capital growth.
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.
The investment objective of JPMorgan U.S. Value Fund (“U.S. Value Fund”) is to seek to provide capital growth over the long-term and to earn income from dividends.
| 204 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
Class L Shares of U.S. Equity Fund and Class
A Shares of 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 the Funds’ prospectus.
Prior to February 17, 2023, all share
classes of Hedged Equity Fund were publicly offered on a limited basis. Investors were not eligible to purchase shares of Hedged Equity Fund unless they met certain
requirements as described in the Fund's prospectuses.
JPMorgan Equity Income Fund is 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 prospectuses. Effective
January 15, 2024, the Fund is no longer be subject to a limited offering, and all limited offering disclosure relating to the Fund will be deleted.
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 eight years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan
Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as adviser (the
“Adviser”) and administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their
financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial
Accounting Standards Board (“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.
Under Section 2(a)(41) of the 1940 Act, the Boards are required to determine fair value for securities that do
not have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Boards may designate the performance of these fair
valuation determinations to a valuation designee. The Boards have designated the Adviser as the “Valuation Designee” to perform fair valuation
determinations for the Funds on behalf of the Boards subject to appropriate oversight by the Boards. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
This oversight by the AVC includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.
A market-based approach is
primarily used to value the Funds' investments. Investments for which market quotations are not readily available are fair valued using prices supplied 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.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
205 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
various relationships between securities in determining fair
value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
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"):
| Equity Income Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$46,375,176 |
$— |
$— |
$46,375,176 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| Equity Index Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Investments in Securities |
|
|
|
|
| Common Stocks |
$8,766,761 |
$— |
$— |
$8,766,761
|
| Rights |
— |
— |
10 |
10 |
| Short-Term Investments |
|
|
|
|
| Investment Companies |
38,229 |
— |
— |
38,229 |
| Investment of Cash Collateral from Securities Loaned |
74,650 |
— |
— |
74,650 |
| Total Short-Term Investments |
112,879 |
— |
— |
112,879 |
| Total Investments in Securities |
$8,879,640 |
$— |
$10 |
$8,879,650 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts |
$1,238 |
$— |
$— |
$1,238 |
| Equity Premium Income
Fund |
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Investments in Securities |
|
|
|
|
| Common Stocks |
$5,011,562 |
$— |
$— |
$5,011,562
|
| Equity Linked Notes |
— |
798,887 |
— |
798,887 |
| 206 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| Equity Premium Income Fund (continued)
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Short-Term Investments |
|
|
|
|
| Investment of Cash Collateral from Securities Loaned |
$70,342 |
$— |
$— |
$70,342 |
| Total Investments in Securities |
$5,081,904 |
$798,887 |
$— |
$5,880,791 |
| Depreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts |
$(16 ) |
$— |
$— |
$(16 ) |
| Hedged Equity Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$17,437,862 |
$— |
$— |
$17,437,862 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$8,354 |
$— |
$— |
$8,354 |
| Depreciation in Other Financial Instruments |
|
|
|
|
| Options Written (a) |
|
|
|
|
| Call Options Written |
(121,489 ) |
— |
— |
(121,489 ) |
| Put Options Written |
(22,812 ) |
— |
— |
(22,812 ) |
| Total Net Appreciation/ Depreciation in Other Financial Instruments |
$(135,947 ) |
$— |
$— |
$(135,947 ) |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| Hedged Equity 2 Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$5,037,253 |
$— |
$— |
$5,037,253 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$2,850 |
$— |
$— |
$2,850 |
| Depreciation in Other Financial Instruments |
|
|
|
|
| Options Written (a) |
|
|
|
|
| Call Options Written |
(394,460 ) |
— |
— |
(394,460 ) |
| Put Options Written |
(422
) |
— |
— |
(422
) |
| Total Net Appreciation/ Depreciation in Other Financial Instruments |
$(392,032 ) |
$— |
$— |
$(392,032 ) |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| Hedged Equity 3 Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$2,927,371 |
$— |
$— |
$2,927,371 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$547 |
$— |
$— |
$547 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
207 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Hedged Equity 3 Fund (continued)
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Depreciation in Other Financial Instruments |
|
|
|
|
| Options Written (a) |
|
|
|
|
| Call Options Written |
$(54,954 ) |
$— |
$— |
$(54,954
) |
| Put Options Written |
(1,378 ) |
— |
— |
(1,378 ) |
| Total Net Appreciation/ Depreciation in Other Financial Instruments |
$(55,785 ) |
$— |
$— |
$(55,785 ) |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 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) |
$73,030,083 |
$— |
$— |
$73,030,083 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 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) |
$3,667,878 |
$— |
$— |
$3,667,878 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| U.S. Applied Data Science Value
Fund |
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$168,545 |
$— |
$— |
$168,545 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$36 |
$— |
$— |
$36 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 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) |
$25,621,194 |
$— |
$— |
$25,621,194 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| U.S. GARP Equity Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$1,221,719 |
$— |
$— |
$1,221,719 |
| 208 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| U.S. GARP Equity Fund (continued)
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$244 |
$— |
$— |
$244 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 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) |
$2,003,791 |
$— |
$— |
$2,003,791 |
| Total Liabilities in Securities Sold Short (a) |
$(412,888 ) |
$— |
$— |
$(412,888 ) |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$113 |
$— |
$— |
$113 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 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) |
$7,716,827 |
$— |
$— |
$7,716,827 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$2,013 |
$— |
$— |
$2,013 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| U.S. Sustainable Leaders
Fund |
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$189,292 |
$— |
$— |
$189,292 |
| Appreciation in Other Financial Instruments |
|
|
|
|
| Futures Contracts (a) |
$88 |
$— |
$— |
$88 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| U.S. Value Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$5,341,706 |
$— |
$— |
$5,341,706 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
209 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or
contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the
“Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and
could adversely affect the NAVs of the Funds.
As of December 31, 2023, the Funds had no investments in restricted securities other than securities sold to the
Funds under Rule 144A and/or Regulation S under the Securities Act.
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,
the Class IM Shares of the JPMorgan Prime Money Market Fund, and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the 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. Securities lending activity is subject to master netting arrangements.
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, 2023.
| |
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 |
$72,467 |
$(72,467 ) |
$— |
| Equity Premium Income Fund |
68,920 |
(68,920 ) |
— |
| Large Cap Value Fund |
29,877 |
(29,877 ) |
— |
| U.S. GARP Equity Fund |
7,213 |
(7,213 ) |
— |
| |
|
| * |
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.
| 210 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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 0.13% to 0.06%. For the six months
ended December 31, 2023, JPMIM waived fees associated with the Funds' investment in the JPMorgan U.S. Government Money Market Fund as follows:
| Equity Income Fund |
$2 |
| Equity Index Fund |
5 |
| Equity Premium Income Fund |
2 |
| Large Cap Growth Fund |
5 |
| Large Cap Value Fund |
2 |
| U.S. Equity Fund |
1 |
| U.S. GARP Equity Fund |
— (a) |
| U.S. Value Fund |
— (a) |
| |
|
| (a) |
Amount rounds to less than one thousand. |
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).
Equity Income Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, Large Cap Growth Fund, U.S. Applied Data Science Value Fund, U.S. Equity Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund, U.S. Sustainable Leaders Fund and U.S. Value Fund did not have any securities out on loan at December 31, 2023. Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, U.S. Applied Data Science Value Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund and U.S. Sustainable Leaders Fund did not lend out any securities during the six months ended December 31, 2023.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds 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. The Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| Equity Income
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$951,382 |
$3,598,764 |
$4,405,115 |
$211 |
$3 |
$145,245 |
145,129 |
$8,790 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
— |
104,000 |
104,000 |
— |
— |
— |
— |
155 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
— |
108,268 |
108,268 |
— |
— |
— |
— |
103
* |
— |
| Total |
$951,382 |
$3,811,032 |
$4,617,383 |
$211 |
$3 |
$145,245 |
|
$9,048 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| Equity Index
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Chase & Co. (a) |
$91,369 |
$3,440 |
$2,764 |
$137 |
$15,490 |
$107,672 |
633 |
$1,292 |
$— |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
211 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Equity Index Fund (continued) | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (b) (c) |
$110,942 |
$413,500 |
$458,000 |
$38 * |
$5 |
$66,485 |
66,459 |
$3,198 * |
$—
|
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (b) (c) |
13,746 |
238,289 |
243,870 |
— |
— |
8,165 |
8,165 |
485 * |
— |
| JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.21% (b) (c) |
27,916 |
532,253 |
521,940 |
— |
— |
38,229 |
38,229 |
889
|
— |
| Total |
$243,973 |
$1,187,482 |
$1,226,574 |
$175 |
$15,495 |
$220,551 |
|
$5,864 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| Equity Premium Income
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$113,862 |
$1,631,446 |
$1,745,334 |
$26 |
$— |
$— |
— |
$1,523 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
60,994 |
175,000 |
174,000 |
7 * |
5 |
62,006 |
61,981 |
870 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
8,789
|
107,554 |
108,007 |
— |
— |
8,336
|
8,336 |
139
* |
— |
| Total |
$183,645 |
$1,914,000 |
$2,027,341 |
$33 |
$5 |
$70,342 |
|
$2,532 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| Hedged Equity
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 5.21% (a) (b) |
$185,159 |
$1,623,390 |
$1,160,009 |
$— |
$— |
$648,540 |
648,540 |
$8,502 |
$— |
| |
|
| (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, 2023. |
| 212 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| Hedged Equity 2
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
$87,650 |
$841,771 |
$850,517 |
$— |
$— |
$78,904 |
78,904 |
$2,277 |
$— |
| |
|
| (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, 2023. |
| Hedged Equity 3
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$— |
$— |
$— |
$— |
$— |
$— |
— |
$7 |
$— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
22,478 |
624,377 |
630,979 |
— |
— |
15,876 |
15,876 |
1,363
|
— |
| Total |
$22,478 |
$624,377 |
$630,979 |
$— |
$— |
$15,876 |
|
$1,370 |
$— |
| |
|
| (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, 2023. |
| Large Cap Growth
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$1,980,536 |
$9,764,646 |
$9,779,901 |
$329 |
$956 |
$1,966,566 |
1,964,994 |
$66,497 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
— |
2,993,500 |
2,993,544 |
44 * |
— |
— |
— |
3,036 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
— |
579,602 |
579,602 |
— |
— |
— |
— |
439
* |
— |
| Total |
$1,980,536 |
$13,337,748 |
$13,353,047 |
$373 |
$956 |
$1,966,566 |
|
$69,972 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
213 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Large Cap Value
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$89,626 |
$1,067,265 |
$1,126,301 |
$29 |
$9 |
$30,628 |
30,604 |
$2,495 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
8,997 |
288,000 |
271,000 |
10 * |
— |
26,007 |
25,997 |
792 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
1,834
|
110,997 |
107,402 |
— |
— |
5,429
|
5,429 |
139
* |
— |
| Total |
$100,457 |
$1,466,262 |
$1,504,703 |
$39 |
$9 |
$62,064 |
|
$3,426 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| U.S. Applied Data Science Value Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$2,951 |
$16,503 |
$18,583 |
$1 |
$— (c) |
$872 |
871 |
$69 |
$— |
| |
|
| (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, 2023. |
| (c) |
Amount rounds to less than one thousand. |
| U.S. Equity
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$223,996 |
$3,168,295 |
$3,101,649 |
$131 |
$108 |
$290,881 |
290,649 |
$6,989 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
37,991 |
10,000 |
47,995 |
4 * |
— |
— |
— |
10 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
5,881
|
9,914
|
15,795 |
— |
— |
— |
— |
4
* |
— |
| Total |
$267,868 |
$3,188,209 |
$3,165,439 |
$135 |
$108 |
$290,881 |
|
$7,003 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| 214 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| U.S. GARP Equity
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$12,865 |
$91,605 |
$90,293 |
$2 |
$5 |
$14,184 |
14,173 |
$382 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
— |
30,001 |
24,000 |
— |
(1 ) |
6,000 |
5,998 |
67 * |
— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
— |
15,326 |
13,958 |
— |
— |
1,368
|
1,368 |
17
* |
— |
| Total |
$12,865 |
$136,932 |
$128,251 |
$2 |
$4 |
$21,552 |
|
$466 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| U.S. Large Cap Core Plus Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$30,659 |
$218,430 |
$200,385 |
$17 |
$13 |
$48,734 |
48,695 |
$1,117 |
$— |
| |
|
| (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, 2023. |
| U.S. Research Enhanced Equity Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$82,058 |
$459,443 |
$479,250 |
$17 |
$31 |
$62,299 |
62,250 |
$1,886 |
$— |
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 5.56% (a) (b) |
— |
5,799
|
5,799
|
— |
— |
— |
— |
1
* |
— |
| Total |
$82,058 |
$465,242 |
$485,049 |
$17 |
$31 |
$62,299 |
|
$1,887 |
$— |
| |
|
| (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, 2023. |
| * |
Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
215 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| U.S. Sustainable Leaders Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$1,493 |
$11,381 |
$9,973 |
$— (c) |
$2 |
$2,903 |
2,900 |
$78 |
$— |
| |
|
| (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, 2023. |
| (c) |
Amount rounds to less than one thousand. |
| U.S. Value
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Prime Money Market Fund Class IM Shares, 5.51% (a) (b) |
$173,633 |
$714,030 |
$813,023 |
$31 |
$43 |
$74,714 |
74,654 |
$4,068 |
$— |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
— |
867
|
867
|
— |
— |
— |
— |
—
|
— |
| Total |
$173,633 |
$714,897 |
$813,890 |
$31 |
$43 |
$74,714 |
|
$4,068 |
$— |
| |
|
| (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, 2023. |
E. Foreign
Currency Translation — The books and
records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the
U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of
investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on
securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of
Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign
currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest
and foreign withholding taxes recorded on each Fund's books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported
realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. Options
— Hedged Equity Fund, Hedged Equity 2 Fund and Hedged
Equity 3 Fund purchased and sold (“wrote”) put and call options on various instruments including options on indices to manage and hedge interest rate risks within
their portfolios and also to gain long or short exposure to the underlying instrument, index, currency or rate. 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 Funds 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 Funds will lose the entire
premium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
| 216 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
Options Written— Premiums received by the Funds for options written are included on
the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the
change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options
written that expire are treated as realized gains. If a written option is closed, the Funds record 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 Funds 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 Funds pledge collateral to the counterparty in the form of securities for options written. Securities designated as collateral are denoted on the SOIs.
Written uncovered call options
subject the Funds 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
Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Funds are 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 Funds’ 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).
G. Futures
Contracts — Equity Index Fund, Equity Premium Income Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, U.S. Applied Data Science Value Fund, U.S. Equity Fund, U.S. GARP Equity Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund and U.S. Sustainable Leaders Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Funds also purchased 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 futures contracts 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 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).
Derivatives Volume
The table below discloses the volume of the Funds' options and futures contracts activity during the six months ended December 31, 2023. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity (amounts in thousands, except number of contracts):
| |
Equity Index
Fund |
Equity Premium Income Fund |
| Futures Contracts: |
|
|
| Average Notional Balance Long |
$44,148 |
$10,470
|
| Average Notional Balance Short |
— |
(5,163 ) |
| Ending Notional Balance Long |
37,827 |
4,819 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
217 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| |
Hedged
Equity
Fund |
Hedged
Equity 2
Fund |
Hedged Equity 3 Fund |
| Futures Contracts: |
|
|
|
| Average Notional Balance Long |
$322,007 |
$92,887 |
$36,955
|
| Ending Notional Balance Long |
231,541 |
82,160 |
16,625 |
| Exchange-Traded Options: |
|
|
|
| Average Number of Contracts Purchased |
36,684 |
10,548 |
5,653 |
| Average Number of Contracts Written |
(73,368 ) |
(21,096 ) |
(11,303 ) |
| Ending Number of Contracts Purchased |
35,368 |
10,564 |
6,123 |
| Ending Number of Contracts Written |
(70,736 ) |
(21,128 ) |
(12,246 ) |
| |
U.S.
Applied Data
Science
Value Fund |
U.S.
Equity
Fund |
U.S. GARP Equity Fund |
| Futures Contracts: |
|
|
|
| Average Notional Balance Long |
$2,093 |
$63,809 |
$11,054
|
| Ending Notional Balance Long |
964 |
— |
12,047 |
| |
U.S.
Large Cap
Core Plus
Fund |
U.S.
Research
Enhanced
Equity
Fund |
U.S. Sustainable Leaders Fund |
| Futures Contracts: |
|
|
|
| Average Notional Balance Long |
$18,964 |
$68,332 |
$2,685
|
| Ending Notional Balance Long |
22,407 |
60,957 |
2,991 |
The Funds' derivatives contracts held at December 31, 2023 are not accounted for as hedging instruments under
GAAP.
H. Equity-Linked Notes — 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 publicly listed or traded on an exchange. ELNs are valued daily, under procedures adopted by the Board, based on 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 realizes a gain or loss when an ELN is sold or matures, which is recorded as Net realized gain (loss) on transactions from investments in non-affiliates on the Statements of Operations.
As of December 31, 2023, Equity Premium Income Fund had outstanding ELNs as listed on the SOIs.
I. Short Sales — U.S. Large Cap Core Plus Fund engaged 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 SOIs. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statements of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on the record
date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short. The Fund is obligated to
pay the broker interest accrued on short positions while the position is outstanding. Interest expense on short positions is reported as Interest expense to non-affiliates on securities sold short on the Statements of Operations. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
| 218 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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, 2023, U.S. Large Cap Core Plus Fund had outstanding short sales as listed on their SOIs.
J. 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 and
interest expense on securities sold short, if any, 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 and dividend expense on securities sold
short, if any, is recorded on the ex-dividend date or when the Funds first learn 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.
K. 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, 2023 are as
follows:
| |
Class A |
Class C |
Class I |
Class L |
Class R2 |
Class R3 |
Class R4 |
Class R5 |
Class R6 |
Total |
| Equity Income Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
$79 |
$18 |
$200 |
n/a |
$6 |
$3 |
$3 |
$15 |
$208 |
$532
|
| Equity Index Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
82 |
2 |
22 |
n/a |
n/a |
n/a |
n/a |
n/a |
23 |
129 |
| Equity Premium Income Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
5 |
3 |
59 |
n/a |
n/a |
n/a |
n/a |
— (a) |
6 |
73 |
| Hedged Equity Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
13 |
6 |
99 |
n/a |
n/a |
n/a |
n/a |
1 |
19 |
138 |
| Hedged Equity 2 Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
4 |
3 |
20 |
n/a |
n/a |
n/a |
n/a |
— (a) |
4 |
31 |
| Hedged Equity 3 Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
1 |
1 |
11 |
n/a |
n/a |
n/a |
n/a |
— (a) |
1 |
14 |
| Large Cap Growth Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
173 |
10 |
95 |
n/a |
10 |
6 |
3 |
7 |
236 |
540 |
| Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
21 |
2 |
54 |
n/a |
1 |
— (a) |
1 |
1 |
13 |
93 |
| U.S. Applied Data Science Value Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
1 |
1 |
1 |
n/a |
1 |
n/a |
n/a |
— (a) |
1 |
5 |
| U.S. Equity Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
47 |
6 |
131 |
$25 |
4 |
3 |
1 |
6 |
72 |
295 |
| U.S. GARP Equity Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
4 |
1 |
2 |
n/a |
10 |
n/a |
n/a |
1 |
3 |
21 |
| U.S. Large Cap Core Plus Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
7 |
1 |
10 |
n/a |
— (a) |
n/a |
n/a |
— (a) |
2 |
20 |
| U.S. Research Enhanced Equity Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
4 |
n/a |
6 |
n/a |
n/a |
n/a |
n/a |
n/a |
30 |
40 |
| U.S. Sustainable Leaders Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
2 |
— (a) |
1 |
n/a |
n/a |
n/a |
n/a |
n/a |
1 |
4 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
219 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| |
Class A |
Class C |
Class I |
Class L |
Class R2 |
Class R3 |
Class R4 |
Class R5 |
Class R6 |
Total |
| U.S. Value Fund |
|
|
|
|
|
|
|
|
|
|
| Transfer agency fees |
$69 |
$3 |
$15 |
n/a |
$— (a) |
$1 |
$— (a) |
$— (a) |
$13 |
$101
|
| |
|
| (a) |
Amount rounds to less than one thousand. |
L. 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, 2023, 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 Fund's Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
M. Distributions
to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least quarterly, except for Large Cap Growth Fund, U.S. GARP Equity Fund, U.S. Large Cap Core Plus Fund and U.S. Sustainable Leaders Fund, for which distributions are generally declared and paid at least annually, Equity Income Fund, for which distributions are generally declared and paid at least monthly, and Equity Premium Income Fund, for which distributions are generally declared daily and paid at least 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 based on each Fund's respective average daily net assets. The annual rate for each Fund is as follows:
| |
|
| Equity Income Fund |
0.40 % |
| Equity Index Fund |
0.04 |
| Equity Premium Income Fund |
0.25 |
| Hedged Equity Fund |
0.25 |
| Hedged Equity 2 Fund |
0.25 |
| Hedged Equity 3 Fund |
0.25 |
| Large Cap Growth Fund |
0.45 |
| Large Cap Value Fund |
0.40 |
| U.S. Applied Data Science Value Fund |
0.30 |
| U.S. Equity Fund |
0.40 |
| U.S. GARP Equity Fund |
0.30 |
| U.S. Large Cap Core Plus Fund |
0.65 |
| U.S. Research Enhanced Equity Fund |
0.25 |
| U.S. Sustainable Leaders Fund |
0.30 |
| U.S. Value Fund |
0.40 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note
3.F.
| 220 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
B. Administration Fee— Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. 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, 2023, the effective annualized rate for Equity Income Fund, Equity Index Fund, Equity Premium Income Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, Large Cap Growth Fund, Large Cap Value Fund, U.S. Applied Data Science Value Fund, U.S. Equity Fund, U.S. GARP Equity Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund, U.S. Sustainable Leaders Fund and U.S. Value Fund was 0.035%, 0.075%, 0.075%, 0.065%, 0.075%, 0.075%, 0.027%, 0.075%, 0.075%, 0.057%, 0.075%, 0.075%, 0.075%, 0.075% and 0.075%, 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 each Fund's 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 |
| Equity Income Fund |
0.25 % |
0.75 % |
0.50 % |
0.25 % |
| Equity Index Fund |
0.25 |
0.75 |
n/a |
n/a |
| Equity Premium Income Fund |
0.25 |
0.75 |
n/a |
n/a |
| Hedged Equity Fund |
0.25 |
0.75 |
n/a |
n/a |
| Hedged Equity 2 Fund |
0.25 |
0.75 |
n/a |
n/a |
| Hedged Equity 3 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. Applied Data Science Value Fund |
0.25 |
0.75 |
0.50 |
n/a |
| U.S. Equity Fund |
0.25 |
0.75 |
0.50 |
0.25 |
| U.S. GARP Equity Fund |
0.25 |
0.75 |
0.50 |
n/a |
| 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 |
| U.S. Sustainable Leaders Fund |
0.25 |
0.75 |
n/a |
n/a |
| U.S. Value 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, 2023, JPMDS
retained the following:
| |
Front-End Sales Charge |
CDSC |
| Equity Income Fund |
$40 |
$1 |
| Equity Index Fund |
35 |
— (a) |
| Equity Premium Income Fund |
435 |
1 |
| Hedged Equity Fund |
78 |
— |
| Hedged Equity 2 Fund |
12 |
— |
| Hedged Equity 3 Fund |
6 |
— |
| Large Cap Growth Fund |
352 |
— (a) |
| Large Cap Value Fund |
12 |
— |
| U.S. Applied Data Science Value Fund |
— (a) |
— |
| U.S. Equity Fund |
142 |
— (a) |
| U.S. GARP Equity Fund |
5 |
— (a) |
| U.S. Large Cap Core Plus Fund |
11 |
— |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
221 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| |
Front-End Sales Charge |
CDSC |
| U.S. Research Enhanced Equity Fund |
$— (a) |
$— |
| U.S. Sustainable Leaders Fund |
3 |
— |
| U.S. Value Fund |
72 |
5 |
| |
|
| (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 |
| Equity Income Fund |
0.25 % |
0.25 % |
0.25 % |
n/a |
0.25 % |
0.25 % |
0.25 % |
0.10 % |
| Equity Index Fund |
0.25 |
0.25 |
0.25 |
n/a |
n/a |
n/a |
n/a |
n/a |
| Equity Premium Income Fund |
0.25 |
0.25 |
0.25 |
n/a |
n/a |
n/a |
n/a |
0.10 |
| Hedged Equity Fund |
0.25 |
0.25 |
0.25 |
n/a |
n/a |
n/a |
n/a |
0.10 |
| Hedged Equity 2 Fund |
0.25 |
0.25 |
0.25 |
n/a |
n/a |
n/a |
n/a |
0.10 |
| Hedged Equity 3 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. Applied Data Science Value Fund |
0.25 |
0.25 |
0.25 |
n/a |
0.25 |
n/a |
n/a |
0.10 |
| U.S. Equity Fund |
0.25 |
0.25 |
0.25 |
0.10 % |
0.25 |
0.25 |
0.25 |
0.10 |
| U.S. GARP Equity Fund |
0.25 |
0.25 |
0.25 |
n/a |
0.25 |
n/a |
n/a |
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 |
n/a |
n/a |
n/a |
n/a |
n/a |
| U.S. Sustainable Leaders Fund |
0.25 |
0.25 |
0.25 |
n/a |
n/a |
n/a |
n/a |
n/a |
| U.S. Value Fund |
0.25 |
0.25 |
0.25 |
n/a |
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.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to
affiliates on the Statements of Operations.
| 222 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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 R3 |
Class R4 |
Class R5 |
Class R6 |
| Equity Index Fund |
0.45 % |
n/a |
0.20 % |
n/a |
n/a |
n/a |
n/a |
0.05 % |
| Equity Premium Income Fund |
0.85 |
1.35 % |
0.60 |
n/a |
n/a |
n/a |
0.45 % |
0.35 |
| Hedged Equity Fund |
0.85 |
1.35 |
0.60 |
n/a |
n/a |
n/a |
0.45 |
0.35 |
| Hedged Equity 2 Fund |
0.85 |
1.35 |
0.60 |
n/a |
n/a |
n/a |
0.45 |
0.35 |
| Hedged Equity 3 Fund |
0.85 |
1.35 |
0.60 |
n/a |
n/a |
n/a |
0.45 |
0.35 |
| Large Cap Growth Fund |
0.94 |
1.44 |
0.69 |
1.19 % |
0.94 % |
0.69 % |
0.54 |
0.44 |
| Large Cap Value Fund |
0.93 |
1.44 |
0.69 |
1.19 |
0.94 |
0.69 |
0.54 |
0.44 |
| U.S. Applied Data Science Value Fund |
0.73 |
1.23 |
0.49 |
1.09 |
n/a |
n/a |
0.44 |
0.34 |
| U.S. Equity Fund |
0.94 |
1.44 |
0.69 |
1.19 |
0.94 |
0.69 |
0.54 |
0.44 |
| U.S. GARP Equity Fund |
0.84 |
1.34 |
0.59 |
1.09 |
n/a |
n/a |
0.44 |
0.34 |
| U.S. Large Cap Core Plus Fund |
0.95 |
1.45 |
0.70 |
1.40 |
n/a |
n/a |
0.75 |
0.65 |
| U.S. Research Enhanced Equity Fund |
0.60 |
n/a |
0.35 |
n/a |
n/a |
n/a |
n/a |
0.25 |
| U.S. Sustainable Leaders Fund |
0.64 |
1.14 |
0.39 |
n/a |
n/a |
n/a |
n/a |
0.34 |
| U.S. Value Fund |
0.94 |
1.44 |
0.69 |
1.19 |
0.94 |
0.69 |
0.54 |
0.44 |
The expense limitation agreements were in effect for the six months ended December 31, 2023 and the contractual
expense limitation percentages in the table above are in place until at least October 31, 2024.
For the six months
ended December 31, 2023, the Funds' service providers waived fees and/or reimbursed expenses for each of the Funds as follows. 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 |
| Equity Income Fund |
$38 |
$— |
$— |
$38 |
$— |
| Equity Index Fund |
1,645 |
1,590 |
938 |
4,173 |
23 |
| Equity Premium Income Fund |
— |
— |
— (a) |
— (a) |
— |
| Hedged Equity Fund |
— |
— |
— (a) |
— (a) |
— |
| Hedged Equity 2 Fund |
14 |
9 |
3 |
26 |
— |
| Hedged Equity 3 Fund |
31 |
21 |
1 |
53 |
— (a) |
| Large Cap Growth Fund |
9,227 |
6,123 |
169 |
15,519 |
— |
| Large Cap Value Fund |
593 |
393 |
90 |
1,076 |
8 |
| U.S. Applied Data Science Value Fund |
83 |
55 |
68 |
206 |
— |
| U.S. Equity Fund |
1,937 |
1,284 |
198 |
3,419 |
73 |
| U.S. GARP Equity Fund |
199 |
132 |
17 |
348 |
2 |
| U.S. Large Cap Core Plus Fund |
436 |
291 |
1,161 |
1,888 |
— (a) |
| U.S. Research Enhanced Equity Fund |
1,901 |
1,266 |
668 |
3,835 |
— |
| U.S. Sustainable Leaders Fund |
79 |
52 |
126 |
257 |
— |
| U.S. Value Fund |
806 |
537 |
80 |
1,423 |
10 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
223 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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. None of these parties expect the Funds to repay
any such waived fees and/ or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended December 31, 2023 were as follows:
| |
|
| Equity Income Fund |
$305 |
| Equity Index Fund |
33 |
| Equity Premium Income Fund |
35 |
| Hedged Equity Fund |
324 |
| Hedged Equity 2 Fund |
54 |
| Hedged Equity 3 Fund |
32 |
| Large Cap Growth Fund |
1,509 |
| Large Cap Value Fund |
59 |
| U.S. Applied Data Science Value Fund |
2 |
| U.S. Equity Fund |
130 |
| U.S. GARP Equity Fund |
8 |
| U.S. Large Cap Core Plus Fund |
21 |
| U.S. Research Enhanced Equity Fund |
43 |
| U.S. Sustainable Leaders Fund |
2 |
| U.S. Value Fund |
95 |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees.
For the six months ended December 31, 2023 the amount of these reimbursements were as
follows:
| |
|
| Equity Income Fund |
$4 |
| Equity Index Fund |
1 |
| Equity Premium Income Fund |
1 |
| Hedged Equity Fund |
2 |
| Hedged Equity 2 Fund |
1 |
| Hedged Equity 3 Fund |
1 |
| Large Cap Growth Fund |
5 |
| Large Cap Value Fund |
1 |
| U.S. Applied Data Science Value Fund |
1 |
| U.S. Equity Fund |
2 |
| U.S. GARP Equity Fund |
1 |
| U.S. Large Cap Core Plus Fund |
1 |
| U.S. Research Enhanced Equity Fund |
1 |
| U.S. Sustainable Leaders Fund |
1 |
| U.S. Value Fund |
1 |
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, 2023, Large Cap Value Fund purchased securities from an
underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
| 224 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
The below Funds used related party
broker-dealers during the six months ended December 31, 2023, and incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows:
| |
Brokerage Commissions |
| Equity Income Fund |
$24 |
| Equity Premium Income Fund |
3 |
| Hedged Equity Fund |
62 |
| Hedged Equity 2 Fund |
10 |
| Hedged Equity 3 Fund |
26 |
| Large Cap Value Fund |
21 |
| U.S. Applied Data Science Value Fund |
1 |
| U.S. Equity Fund |
72 |
| U.S. Sustainable Leaders Fund |
— (a) |
| U.S. Value Fund |
12 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
4. Investment Transactions
During the six months
ended December 31, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| |
Purchases
(excluding
U.S. Government) |
Sales
(excluding
U.S. Government) |
Securities
Sold Short |
Covers on Securities Sold Short |
| Equity Income Fund |
$3,979,118 |
$6,481,358 |
$— |
$— |
| Equity Index Fund |
460,927 |
260,774 |
— |
— |
| Equity Premium Income Fund |
5,096,301 |
5,059,603 |
— |
— |
| Hedged Equity Fund |
2,946,152 |
3,053,466 |
— |
— |
| Hedged Equity 2 Fund |
1,095,495 |
1,187,514 |
— |
— |
| Hedged Equity 3 Fund |
782,866 |
519,589 |
— |
— |
| Large Cap Growth Fund |
20,209,760 |
13,463,795 |
— |
— |
| Large Cap Value Fund |
2,686,362 |
2,681,005 |
— |
— |
| U.S. Applied Data Science Value Fund |
15,498 |
30,625 |
— |
— |
| U.S. Equity Fund |
5,430,288 |
5,249,336 |
— |
— |
| U.S. GARP Equity Fund |
255,293 |
305,700 |
— |
— |
| U.S. Large Cap Core Plus Fund |
562,483 |
490,930 |
408,218 |
347,019 |
| U.S. Research Enhanced Equity Fund |
981,801 |
1,377,517 |
— |
— |
| U.S. Sustainable Leaders Fund |
19,387 |
22,159 |
— |
— |
| U.S. Value Fund |
770,393 |
365,344 |
— |
— |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
225 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
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, 2023 were as follows:
| |
Aggregate
Cost |
Gross
Unrealized
Appreciation |
Gross
Unrealized
Depreciation |
Net Unrealized Appreciation (Depreciation) |
| Equity Income Fund |
$31,849,719 |
$15,273,985 |
$748,528 |
$14,525,457 |
| Equity Index Fund |
3,938,885 |
4,999,690 |
57,687 |
4,942,003 |
| Equity Premium Income Fund |
5,151,418 |
826,380 |
97,023 |
729,357 |
| Hedged Equity Fund |
10,924,461 |
6,451,742 |
74,288 |
6,377,454 |
| Hedged Equity 2 Fund |
4,069,852 |
1,017,754 |
442,385 |
575,369 |
| Hedged Equity 3 Fund |
2,344,220 |
595,662 |
68,296 |
527,366 |
| Large Cap Growth Fund |
49,558,158 |
23,619,579 |
147,654 |
23,471,925 |
| Large Cap Value Fund |
3,212,613 |
483,935 |
28,670 |
455,265 |
| U.S. Applied Data Science Value Fund |
137,209 |
36,867 |
5,495 |
31,372 |
| U.S. Equity Fund |
15,910,299 |
9,770,170 |
59,275 |
9,710,895 |
| U.S. GARP Equity Fund |
633,096 |
590,633 |
1,766 |
588,867 |
| U.S. Large Cap Core Plus Fund * |
681,637 |
937,909 |
28,530 |
909,379 |
| U.S. Research Enhanced Equity Fund |
4,582,064 |
3,176,671 |
39,895 |
3,136,776 |
| U.S. Sustainable Leaders Fund |
141,057 |
50,386 |
2,063 |
48,323 |
| U.S. Value Fund |
4,427,475 |
994,220 |
79,989 |
914,231 |
| |
|
| * |
The tax cost includes the proceeds from short sales which may result in a net negative cost. |
At June 30, 2023, the following Funds had net capital loss carryforwards which are available to offset future
realized gains:
| |
Capital
Loss Carryforward Character | |
| |
Short-Term |
Long-Term |
| Equity Index Fund |
$46,651 |
$39,171 |
| Equity Premium Income Fund |
344,458 |
58,374 |
| Hedged Equity Fund |
690,096 |
503,446 |
| Hedged Equity 2 Fund |
165,296 |
140,611 |
| Hedged Equity 3 Fund |
82,738 |
76,652 |
| Large Cap Growth Fund |
196,828 |
— |
| U.S. GARP Equity Fund |
820 |
— |
| U.S. Sustainable Leaders Fund |
13,016 |
2,886 |
| U.S. Value Fund |
3,251 |
408 |
| 226 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
Net capital losses (gains) and specified
ordinary losses incurred after October 31 and late year ordinary losses incurred after December 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, 2023, the following Funds deferred to July 1, 2023 the following net capital losses (gains), specified ordinary
losses and late year ordinary losses of:
| |
Net
Capital Losses (Gains) | |
| |
Short-Term |
Long-Term |
| Equity Income Fund |
$3,561 |
$— |
| Equity Index Fund |
(3,445 ) |
26,924 |
| Equity Premium Income Fund |
214,905 |
57,671 |
| Hedged Equity 2 Fund |
177,109 |
225,151 |
| Hedged Equity 3 Fund |
43,598 |
125,509 |
| Large Cap Growth Fund |
953,148 |
665,440 |
| U.S. Equity Fund |
82,726 |
— |
| U.S. GARP Equity Fund |
5,236 |
— |
| U.S. Large Cap Core Plus Fund |
5,132 |
— |
| U.S. Research Enhanced Equity Fund |
34,234 |
— |
| U.S. Sustainable Leaders Fund |
1,527 |
2,562 |
| U.S. Value Fund |
(5,706 ) |
10,137 |
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 as of December 31, 2023. Average
borrowings from the Facility for the six months ended December 31, 2023, were as follows:
| |
Average
Borrowings |
Average
Interest
Rate paid |
Number of
Days
Outstanding |
Interest Paid |
| Equity Index Fund |
$9,194 |
5.81 % |
3 |
$4 |
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 October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2023.
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 million 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 million 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% (the "Applicable Margin"), plus the greater on the day of the borrowing, of the federal funds effective rate, or the Adjusted Secured Overnight Financing Rate ("SOFR"). Effective August 8, 2023, the Credit Facility was amended and restated for a term of 364 days, unless extended.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
227 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
The Funds did not utilize the Credit Facility during the six
months ended December 31, 2023.
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,
2023, the Funds had individual shareholder and/or omnibus accounts each owning 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 Income Fund |
1 |
10.4 % |
2 |
31.3 % |
| Equity Index Fund |
2 |
21.2 |
— |
— |
| Equity Premium Income Fund |
1 |
21.2 |
2 |
43.2 |
| Hedged Equity Fund |
— |
— |
2 |
42.0 |
| Hedged Equity 2 Fund |
1 |
15.2 |
4 |
49.6 |
| Hedged Equity 3 Fund |
— |
— |
3 |
41.9 |
| Large Cap Growth Fund |
— |
— |
1 |
19.8 |
| Large Cap Value Fund |
1 |
11.8 |
1 |
14.2 |
| U.S. Applied Data Science Value Fund |
— |
— |
3 |
33.7 |
| U.S. Equity Fund |
— |
— |
1 |
17.5 |
| U.S. GARP Equity Fund |
3 |
45.3 |
— |
— |
| U.S. Large Cap Core Plus Fund |
1 |
27.3 |
— |
— |
| U.S. Research Enhanced Equity Fund |
— |
— |
1 |
12.7 |
| U.S. Sustainable Leaders Fund |
— |
— |
2 |
35.1 |
| U.S. Value Fund |
— |
— |
2 |
39.8 |
As of December 31, 2023, J.P. Morgan Investor Funds, JPMorgan SmartRetirement Funds and JPMorgan
SmartRetirement Blend Funds, which are affiliated fund of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as
follows:
| |
J.P. Morgan
Investor
Funds |
JPMorgan
SmartRetirement
Funds |
JPMorgan SmartRetirement Blend Funds |
| Equity Index Fund |
— % |
— % |
63.8 % |
| Large Cap Value Fund |
24.7 |
— |
— |
| U.S. Equity Fund |
— |
10.7 |
— |
| U.S. GARP Equity Fund |
53.1 |
— |
— |
| U.S. Research Enhanced Equity Fund |
13.1 |
37.5 |
— |
Equity Premium Income Fund’s investments in ELNs entail varying degrees of risks. The Fund is
subject to loss of their full principal amount. In addition, the ELNs are subject to a stated maximum return which may limit the payment at maturity. The Fund may also be
exposed to additional risks associated with structured notes including: counterparty credit risk related to the issuer’s ability to make payment at maturity; liquidity
risk related to a lack of liquid market for these notes, preventing the Fund from trading or selling the notes easily; and a greater degree of market risk than other types of debt securities because the investor bears the risk associated with the underlying financial instruments.
London Interbank Offered Rate ("LIBOR") was a leading floating rate benchmark used in loans,
notes, derivatives and other instruments or investments. As a result of benchmark reforms, publication of most LIBOR settings has ceased. Some LIBOR settings continue to be
published but only on a temporary, synthetic and non-representative basis. Regulated entities have generally ceased entering into new LIBOR contracts in connection with
regulatory guidance or prohibitions. Public and private sector actors have worked to establish alternative reference rates to be used in place of LIBOR. There is no assurance that 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 which may affect the value, volatility, liquidity or return on certain of the Funds' loans, notes, derivatives and other instruments or investments comprising some or all of the Funds' investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of the Funds' investments may have transitioned from LIBOR or will transition from LIBOR in the future. The transition from LIBOR to alternative reference rates may result in operational
| 228 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
issues for the Funds or their investments.
No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on the Funds and their investments.
The Funds are subject to infectious disease epidemics/pandemics risk. For example, the outbreak of COVID-19
negatively affected economies, markets and individual companies throughout the world, including those in which the Funds invest. The effects of any future pandemic or other
global event to business and market conditions may have a significant negative impact on the performance of a Fund's investments, increase a Fund's volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take actions in response to a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
229 |
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, 2023, and continued to hold your shares at the end of the reporting period, December 31, 2023.
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, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Equity Income Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
$1,000.00 |
$1,048.30 |
$4.89 |
0.95 % |
| Hypothetical |
1,000.00 |
1,020.36 |
4.82 |
0.95 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,045.30 |
7.45 |
1.45 |
| Hypothetical |
1,000.00 |
1,017.85 |
7.35 |
1.45 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,049.90 |
3.61 |
0.70 |
| Hypothetical |
1,000.00 |
1,021.62 |
3.56 |
0.70 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,047.20 |
6.23 |
1.21 |
| Hypothetical |
1,000.00 |
1,019.05 |
6.14 |
1.21 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,048.30 |
4.89 |
0.95 |
| Hypothetical |
1,000.00 |
1,020.36 |
4.82 |
0.95 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,049.50 |
3.61 |
0.70 |
| Hypothetical |
1,000.00 |
1,021.62 |
3.56 |
0.70 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,050.70 |
2.84 |
0.55 |
| Hypothetical |
1,000.00 |
1,022.37 |
2.80 |
0.55 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,051.30 |
2.32 |
0.45 |
| Hypothetical |
1,000.00 |
1,022.87 |
2.29 |
0.45 |
| 230 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Equity Index Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
$1,000.00 |
$1,078.00 |
$2.35 |
0.45 % |
| Hypothetical |
1,000.00 |
1,022.87 |
2.29 |
0.45 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,074.60 |
5.48 |
1.05 |
| Hypothetical |
1,000.00 |
1,019.86 |
5.33 |
1.05 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,079.20 |
1.05 |
0.20 |
| Hypothetical |
1,000.00 |
1,024.13 |
1.02 |
0.20 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,080.20 |
0.21 |
0.04 |
| Hypothetical |
1,000.00 |
1,024.94 |
0.20 |
0.04 |
| JPMorgan Equity Premium Income Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,038.50 |
4.36 |
0.85 |
| Hypothetical |
1,000.00 |
1,020.86 |
4.32 |
0.85 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,035.90 |
6.91 |
1.35 |
| Hypothetical |
1,000.00 |
1,018.35 |
6.85 |
1.35 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,039.80 |
3.08 |
0.60 |
| Hypothetical |
1,000.00 |
1,022.12 |
3.05 |
0.60 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,040.60 |
2.31 |
0.45 |
| Hypothetical |
1,000.00 |
1,022.87 |
2.29 |
0.45 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,041.10 |
1.74 |
0.34 |
| Hypothetical |
1,000.00 |
1,023.43 |
1.73 |
0.34 |
| JPMorgan Hedged Equity Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,024.60 |
4.17 |
0.82 |
| Hypothetical |
1,000.00 |
1,021.01 |
4.17 |
0.82 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,021.80 |
6.76 |
1.33 |
| Hypothetical |
1,000.00 |
1,018.45 |
6.75 |
1.33 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,025.80 |
2.90 |
0.57 |
| Hypothetical |
1,000.00 |
1,022.27 |
2.90 |
0.57 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,026.50 |
2.19 |
0.43 |
| Hypothetical |
1,000.00 |
1,022.98 |
2.19 |
0.43 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,027.00 |
1.63 |
0.32 |
| Hypothetical |
1,000.00 |
1,023.53 |
1.63 |
0.32 |
| JPMorgan Hedged Equity 2 Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,009.50 |
4.29 |
0.85 |
| Hypothetical |
1,000.00 |
1,020.86 |
4.32 |
0.85 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,006.90 |
6.81 |
1.35 |
| Hypothetical |
1,000.00 |
1,018.35 |
6.85 |
1.35 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
231 |
SCHEDULE
OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Hedged Equity 2 Fund (continued) |
|
|
|
|
| Class I |
|
|
|
|
| Actual |
$1,000.00 |
$1,010.80 |
$2.98 |
0.59 % |
| Hypothetical |
1,000.00 |
1,022.17 |
3.00 |
0.59 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,012.20 |
2.23 |
0.44 |
| Hypothetical |
1,000.00 |
1,022.92 |
2.24 |
0.44 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,012.10 |
1.72 |
0.34 |
| Hypothetical |
1,000.00 |
1,023.43 |
1.73 |
0.34 |
| JPMorgan Hedged Equity 3 Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,068.60 |
4.42 |
0.85 |
| Hypothetical |
1,000.00 |
1,020.86 |
4.32 |
0.85 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,065.50 |
7.01 |
1.35 |
| Hypothetical |
1,000.00 |
1,018.35 |
6.85 |
1.35 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,069.90 |
3.07 |
0.59 |
| Hypothetical |
1,000.00 |
1,022.17 |
3.00 |
0.59 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,070.50 |
2.34 |
0.45 |
| Hypothetical |
1,000.00 |
1,022.87 |
2.29 |
0.45 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,071.10 |
1.77 |
0.34 |
| Hypothetical |
1,000.00 |
1,023.43 |
1.73 |
0.34 |
| JPMorgan Large Cap Growth Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,090.60 |
4.94 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,087.80 |
7.56 |
1.44 |
| Hypothetical |
1,000.00 |
1,017.90 |
7.30 |
1.44 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,092.00 |
3.63 |
0.69 |
| Hypothetical |
1,000.00 |
1,021.67 |
3.51 |
0.69 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,089.30 |
6.25 |
1.19 |
| Hypothetical |
1,000.00 |
1,019.15 |
6.04 |
1.19 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,090.70 |
4.94 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,091.90 |
3.63 |
0.69 |
| Hypothetical |
1,000.00 |
1,021.67 |
3.51 |
0.69 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,092.80 |
2.84 |
0.54 |
| Hypothetical |
1,000.00 |
1,022.42 |
2.75 |
0.54 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,093.40 |
2.32 |
0.44 |
| Hypothetical |
1,000.00 |
1,022.92 |
2.24 |
0.44 |
| 232 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Large Cap Value Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
$1,000.00 |
$1,064.00 |
$4.83 |
0.93 % |
| Hypothetical |
1,000.00 |
1,020.46 |
4.72 |
0.93 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,061.50 |
7.46 |
1.44 |
| Hypothetical |
1,000.00 |
1,017.90 |
7.30 |
1.44 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,066.20 |
3.58 |
0.69 |
| Hypothetical |
1,000.00 |
1,021.67 |
3.51 |
0.69 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,062.80 |
6.17 |
1.19 |
| Hypothetical |
1,000.00 |
1,019.15 |
6.04 |
1.19 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,064.00 |
4.88 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,065.70 |
3.58 |
0.69 |
| Hypothetical |
1,000.00 |
1,021.67 |
3.51 |
0.69 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,066.70 |
2.81 |
0.54 |
| Hypothetical |
1,000.00 |
1,022.42 |
2.75 |
0.54 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,067.20 |
2.29 |
0.44 |
| Hypothetical |
1,000.00 |
1,022.92 |
2.24 |
0.44 |
| JPMorgan U.S. Applied Data Science Value Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,070.10 |
3.80 |
0.73 |
| Hypothetical |
1,000.00 |
1,021.47 |
3.71 |
0.73 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,067.50 |
6.39 |
1.23 |
| Hypothetical |
1,000.00 |
1,018.95 |
6.24 |
1.23 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,071.50 |
2.55 |
0.49 |
| Hypothetical |
1,000.00 |
1,022.67 |
2.49 |
0.49 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,068.10 |
5.67 |
1.09 |
| Hypothetical |
1,000.00 |
1,019.66 |
5.53 |
1.09 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,072.00 |
2.29 |
0.44 |
| Hypothetical |
1,000.00 |
1,022.92 |
2.24 |
0.44 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,072.50 |
1.77 |
0.34 |
| Hypothetical |
1,000.00 |
1,023.43 |
1.73 |
0.34 |
| JPMorgan U.S. Equity Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,087.10 |
4.93 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,084.30 |
7.54 |
1.44 |
| Hypothetical |
1,000.00 |
1,017.90 |
7.30 |
1.44 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
233 |
SCHEDULE
OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan U.S. Equity Fund (continued) |
|
|
|
|
| Class I |
|
|
|
|
| Actual |
$1,000.00 |
$1,088.70 |
$3.62 |
0.69 % |
| Hypothetical |
1,000.00 |
1,021.67 |
3.51 |
0.69 |
| Class L |
|
|
|
|
| Actual |
1,000.00 |
1,089.70 |
2.84 |
0.54 |
| Hypothetical |
1,000.00 |
1,022.42 |
2.75 |
0.54 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,086.00 |
6.24 |
1.19 |
| Hypothetical |
1,000.00 |
1,019.15 |
6.04 |
1.19 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,087.10 |
4.93 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,088.30 |
3.62 |
0.69 |
| Hypothetical |
1,000.00 |
1,021.67 |
3.51 |
0.69 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,089.70 |
2.84 |
0.54 |
| Hypothetical |
1,000.00 |
1,022.42 |
2.75 |
0.54 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,089.90 |
2.31 |
0.44 |
| Hypothetical |
1,000.00 |
1,022.92 |
2.24 |
0.44 |
| JPMorgan U.S. GARP Equity Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,106.20 |
4.45 |
0.84 |
| Hypothetical |
1,000.00 |
1,020.91 |
4.27 |
0.84 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,103.40 |
7.08 |
1.34 |
| Hypothetical |
1,000.00 |
1,018.40 |
6.80 |
1.34 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,107.50 |
3.13 |
0.59 |
| Hypothetical |
1,000.00 |
1,022.17 |
3.00 |
0.59 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,104.70 |
5.77 |
1.09 |
| Hypothetical |
1,000.00 |
1,019.66 |
5.53 |
1.09 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,108.40 |
2.33 |
0.44 |
| Hypothetical |
1,000.00 |
1,022.92 |
2.24 |
0.44 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,108.90 |
1.80 |
0.34 |
| Hypothetical |
1,000.00 |
1,023.43 |
1.73 |
0.34 |
| JPMorgan U.S. Large Cap Core Plus Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,095.30 |
9.27 |
1.76 |
| Hypothetical |
1,000.00 |
1,016.29 |
8.92 |
1.76 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,092.00 |
11.88 |
2.26 |
| Hypothetical |
1,000.00 |
1,013.78 |
11.44 |
2.26 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,096.90 |
7.96 |
1.51 |
| Hypothetical |
1,000.00 |
1,017.55 |
7.66 |
1.51 |
| 234 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan U.S. Large Cap Core Plus Fund (continued) |
|
|
|
|
| Class R2 |
|
|
|
|
| Actual |
$1,000.00 |
$1,092.80 |
$11.63 |
2.21 % |
| Hypothetical |
1,000.00 |
1,014.03 |
11.19 |
2.21 |
| Class R5 |
|
|
|
|
| Actual |
1,000.00 |
1,096.10 |
8.22 |
1.56 |
| Hypothetical |
1,000.00 |
1,017.29 |
7.91 |
1.56 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,097.00 |
7.70 |
1.46 |
| Hypothetical |
1,000.00 |
1,017.80 |
7.41 |
1.46 |
| JPMorgan U.S. Research Enhanced Equity Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,085.10 |
3.14 |
0.60 |
| Hypothetical |
1,000.00 |
1,022.12 |
3.05 |
0.60 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,086.50 |
1.84 |
0.35 |
| Hypothetical |
1,000.00 |
1,023.38 |
1.78 |
0.35 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,086.90 |
1.31 |
0.25 |
| Hypothetical |
1,000.00 |
1,023.88 |
1.27 |
0.25 |
| JPMorgan U.S. Sustainable Leaders Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,089.20 |
3.36 |
0.64 |
| Hypothetical |
1,000.00 |
1,021.92 |
3.25 |
0.64 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,086.40 |
5.98 |
1.14 |
| Hypothetical |
1,000.00 |
1,019.41 |
5.79 |
1.14 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,090.50 |
2.05 |
0.39 |
| Hypothetical |
1,000.00 |
1,023.18 |
1.98 |
0.39 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,090.70 |
1.79 |
0.34 |
| Hypothetical |
1,000.00 |
1,023.43 |
1.73 |
0.34 |
| JPMorgan U.S. Value Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,053.50 |
4.85 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,050.90 |
7.42 |
1.44 |
| Hypothetical |
1,000.00 |
1,017.90 |
7.30 |
1.44 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,054.90 |
3.56 |
0.69 |
| Hypothetical |
1,000.00 |
1,021.67 |
3.51 |
0.69 |
| Class R2 |
|
|
|
|
| Actual |
1,000.00 |
1,052.20 |
6.14 |
1.19 |
| Hypothetical |
1,000.00 |
1,019.15 |
6.04 |
1.19 |
| Class R3 |
|
|
|
|
| Actual |
1,000.00 |
1,053.50 |
4.85 |
0.94 |
| Hypothetical |
1,000.00 |
1,020.41 |
4.77 |
0.94 |
| Class R4 |
|
|
|
|
| Actual |
1,000.00 |
1,055.00 |
3.56 |
0.69 |
| Hypothetical |
1,000.00 |
1,021.67 |
3.51 |
0.69 |
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
235 |
SCHEDULE
OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan U.S. Value Fund (continued) |
|
|
|
|
| Class R5 |
|
|
|
|
| Actual |
$1,000.00 |
$1,055.70 |
$2.79 |
0.54 % |
| Hypothetical |
1,000.00 |
1,022.42 |
2.75 |
0.54 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,056.20 |
2.27 |
0.44 |
| Hypothetical |
1,000.00 |
1,022.92 |
2.24 |
0.44 |
| |
|
| * |
Expenses are equal to each Class’ respective annualized net expense ratio, multiplied by the average account value over the period, multiplied
by 184/366 (to reflect the one-half year period). |
| 236 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board
of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further
enhance the effectiveness of the Board’s oversight and decision making. The Board and its
investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed
Income Committee) met regularly throughout the year and, at each meeting, considered factors that
are relevant to their annual consideration of the continuation of the investment advisory
agreements. The Board also met for the specific purpose of considering investment advisory agreement annual renewals. The Board held meetings June 20-21, 2023 and August 8-10, 2023, 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 each 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 parties to an Advisory Agreement or “interested
persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on August 10, 2023.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from J.P. Morgan
Investment Management Inc. (the “Adviser”). This information included the
Funds’ performance as compared to the performance of their peers and benchmarks, and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the
year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by
an independent investment consulting firm (the “independent consultant”). 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.
and/or Morningstar Inc., independent providers of investment company data (together,
“Broadridge”). The Trustees’ independent consultant also provided
additional quantitative and statistical analyses of certain Funds, including risk and performance return assessments as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory
Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser,
counsel to the Funds, and independent legal counsel to the Trustees, 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. Among other things, the Trustees
considered:
• The background and experience of the Adviser’s senior management and investment personnel, including
personnel changes, if any;
• The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, including
personnel changes, if any;
• The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
• Information about the structure and distribution strategy for each Fund and how it fits within the
Adviser’s other fund offerings within the J.P. Morgan Funds complex;
• The administration services provided by the Adviser in its role as Administrator;
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
237 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
• Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the
financial industry generally;
• 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 requests for additional information, 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.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the 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
from 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 and reviewed with the Board. 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 JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser earn fees from the Funds
for providing shareholder and administration 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 (although they are retained by JPMDS in certain
instances). The Trustees also considered the fees earned by JPMorgan Chase Bank, N.A.
(“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other
related services for each Fund, and the profitability of the arrangements to JPMCB.
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 benefits that may be received by the Adviser and its affiliates in connection with the
Funds’ potential investments in other funds advised by the Adviser. 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, as well as the Adviser’s use of affiliates to
provide other services and the benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential 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 certain Funds with contractual
expense limitations and fee waivers (“Fee Caps”) which allow a Fund’s
shareholders to share potential economies of scale from a Fund’s inception, prior to
reaching scale. The Trustees also noted that certain other Funds that had achieved scale as asset levels had increased no longer had Fee Caps in place for some or all of their share classes, but shared
economies of scale through lower average expenses. The Trustees noted that the fees remain
fair and reasonable relative to 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
| 238 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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 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, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale
and no longer had Fee Caps in place for some or all of their share classes, the relevant
Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds
and their shareholders. The Trustees noted that the Adviser’s reinvestment 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 Equity Income Fund, Equity Index
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.
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, to the extent applicable,
institutional separate accounts, collective investment trusts, other registered investment companies and/or private 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
investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and 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 investment
company 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 applicable registered investment company, typically bears
the sub-advisory fee and that many responsibilities related to the advisory function are typically 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 receive and consider information about each Fund’s performance throughout the year. In addition, the Trustees received and considered absolute
and/or relative performance information for the Funds in a report prepared by Broadridge.
The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds’ selected share classes with the same Broadridge
investment classification and objective (the “Universe”), by total return for the
applicable one-, three- and five-year periods. The Trustees reviewed a description of
Broadridge’s methodology for selecting mutual funds in each Fund’s Universe, and noted that Universe quintile rankings were not calculated if the number of funds in the Universe did not meet a
predetermined minimum. The Broadridge 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 for certain Funds 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 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 Income Fund’s performance for Class A, Class I and Class R6 shares
was in the first, second and first quintiles of the Universe for the one-, three- and five-year
periods ended December 31, 2022, 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 Index Fund’s performance for Class A shares was in the third, second
and second quintiles of the Universe, for the one-, three- and five-year periods ended December
31, 2022, respectively. The Trustees noted that the performance for Class I shares was in the third, third and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022,
respectively. The Trustees noted that the performance for Class R6 shares was in the third,
second and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and
reviewed
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
239 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
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 Premium Income Fund’s performance for Class A shares was in the second and first quintiles of the Universe for the one- and
three-year periods ended December 31, 2022, respectively. The Trustees noted that the
performance for Class I shares was in the second and first quintiles of the Universe for the one- and three-year periods ended December 31, 2022, respectively. The Trustees noted that the performance for Class R6 shares was
in the second and first quintiles of the Universe for the one- and three-year periods ended
December 31, 2022, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Advisor 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 Hedged Equity Fund’s performance for Class A shares was in the second, first
and first quintiles of the Universe for the one-, three- and five-year periods ended December 31,
2022, respectively. The Trustees noted that the performance for Class I and Class R6 shares was in the third, first and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022,
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 Hedged Equity 2 Fund’s performance for Class A shares was in the fourth quintile of the Universe for the one-year period ended December 31,
2022. The Trustees noted that the performance for Class I and Class R6 shares were in fifth
quintile of the Universe for one-year period ended December 31,2022. The Trustees discussed the
performance and investment strategy of the Fund with the Advisor 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 3 Fund’s performance for Class A, Class I and Class R6 shares was in the fifth quintile of the Universe for the one-year
ended December 31, 2022. The Trustees discussed the performance and investment strategy of the
Fund with the Advisor and reviewed the performance analysis and evaluation prepared by the indepen
dent 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 Large Cap Growth Fund’s
performance for Class A, Class I and Class R6 shares was in the second, first and first quintiles
of the Universe for the one-, three- and five-year periods ended December 31, 2022,
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, Class I and Class R6 was in the first, first and second of the Universe for the one-, three- and five-year periods ended December 31, 2022,
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 U.S. Applied Data
Science Value Fund’s performance for Class A, Class I and Class R6 shares was in the third,
second and third quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, 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 U.S. Equity Fund’s performance for Class A, Class I and Class R6 shares was in the fourth, first and first quintiles of the Universe for
the one-, three and five-year periods ended December 31, 2022, 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. GARP Equity Fund’s performance for Class A, Class I and Class R6 shares was in the second, second and third quintiles of the Universe for the one-, three- and five-year periods ended December
31, 2022, 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
| 240 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
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 U.S. Large Cap Core Plus Fund’s performance for both Class A and Class R6 shares was in the third, first and first quintiles of the Universe
for the one-, three- and five-year periods ended December 31, 2022, respectively. The
Trustees noted that the performance for Class I shares was in the fourth, first and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. 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 noted that the U.S. Research Enhanced Equity Fund’s performance for Class A, Class I and Class R6 shares was in the third, first and first quintiles
of the Universe for the one-, three- and five-year periods ended December 31, 2022,
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 U.S. Sustainable Leaders Fund’s performance for Class A and Class I shares was in the fifth, third and third quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022,
respectively. The Trustees noted that the performance for Class R6 shares was in the fifth
quintile of the Universe for the one-year period ended December 31, 2022. 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 U.S. Value Fund’s performance for Class A, Class I and Class R6 shares was
in the first quintile of the Universe for each of the one-, three- and five-year periods ended
December 31, 2022. 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 concerning
management fee rates paid by other funds’ selected share classes in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that
Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee
and administration fee rates. The Trustees also reviewed information about other expenses
and the expense ratios for each Fund and noted that Universe and Peer Group quintile 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 for each share class, as applicable, 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
can be 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 Income Fund’s net advisory fee for Class A shares was in the second and first quintiles of the Peer Group and Universe, respectively, and
that the actual total expenses for Class A shares were in the fourth and second quintiles of the
Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the second quintile of both the Peer Group and Universe, and that the actual total expenses for Class I
shares were in the first and second quintiles of 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 of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile
of 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 fair and reasonable in light of the services provided to the Fund.
The Trustees
noted that the Equity Index Fund’s net advisory fee for Class A shares was in the first quintile of both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the second quintile of both
the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I
shares was in the first quintile of both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and third quintiles of the Peer Group and Universe, respectively. The
Trustees noted that the
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
241 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
net
advisory fee for Class R6 shares was in the second and first quintiles of the Peer Group and Universe, respectively. and that the actual total expenses for Class R6 shares were in the first quintile of 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 fair and reasonable 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 shares were in the first quintile of both the Peer Group
and Universe. The Trustees noted that the net advisory fee and actual total expenses for
Class I and Class R6 shares were in the first quintile of the Universe. Broadridge did not calculate quintile rankings for the Peer Group for Class I and Class R6 shares due to the limited number of funds in the Peer
Groups. After considering the factors identified above, in light of this information, the
Trustees concluded that the advisory fee was fair and reasonable 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 shares were in the first
quintile of both the Peer Group and Universe. The Trustees noted that the net advisory fee
and actual total expenses for Class I shares were in the second quintile of the Universe.
Broadridge did not calculate quintile rankings for the Peer Group for Class I shares due to the
limited number of funds in the Peer Groups. The Trustees noted that the net advisory fee
for Class R6 shares was in the first and second quintiles of the Peer Group and Universe,
respectively, and that the actual total expenses for Class R6 shares were in the first quintile of 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 fair and reasonable in light of the services
provided to the Fund.
The Trustees noted that the Hedged Equity 2 Fund’s net advisory fee and actual total expenses for Class A and Class R6 shares were in the first quintile of both the
Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares
was in first quintile of the Universe, and that the actual total expenses for Class I shares were in the second quintile of the Universe. Broadridge did not calculate quintile rankings for the Peer Group for Class I
shares due to the limited number of funds in the Peer Groups. After considering the factors
identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the Hedged Equity 3 Fund’s net advisory fee and actual total expenses for Class
A and Class R6 shares were in the first quintile of both the Peer Group and Universe. The
Trustees noted that the net advisory fee for Class I shares was in first quintile of the Universe, and that the
actual total expenses for Class I shares
were in the second quintile of the Universe. Broadridge did not calculate quintile rankings
for the Peer Group for Class I shares due to the limited number of funds in the Peer Groups. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair
and reasonable 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 of both the Peer Group and Universe, and that the actual total expenses for Class A
shares were in the third and second quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the first quintile of both the Peer Group and Universe, and
that the actual total expenses for Class I shares were in the first and second quintiles of the
Peer Group and Universe, respectively. The Trustees noted that the net advisory fee Class R6 shares was in the second and first quintiles of the Peer Group and Universe, respectively, and that the actual total
expenses for Class R6 shares were in the first quintile of 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 fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the
Large Cap Value Fund’s net advisory fee for Class A shares was in the first quintile of both
the Peer Group and Universe, and that the actual total expenses for Class A shares were in the
third and second quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in the second and first quintiles of the Peer Group and Universe,
respectively, and that the actual total expenses for Class I shares were in the first and second
quintiles of 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 of 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 fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the U.S. Applied Data Science Value Fund’s net advisory fee and actual total
expenses for Class A, Class I and Class R6 shares were in the first quintile of 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 fair and reasonable in light of the services provided to the
Fund.
The Trustees noted that the U.S. Equity Fund’s net advisory fee for Class A shares was in the first and second quintiles of the Peer Group and Universe, respectively, and
that the actual total expenses for Class A shares were in the third and second quintiles of the
Peer Group and Universe, respectively. The
| 242 |
J.P. Morgan Large Cap Funds |
December 31, 2023
|
Trustees noted that the net advisory fee
for Class I shares was in the second quintile of both the Peer Group and Universe, and that the
actual total expenses for Class I shares were in the second and third quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the second
quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6
shares were in the second and first quintiles of 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 fair
and reasonable in light of the services provided to the Fund.
The Trustees noted that the U.S. GARP Equity Fund’s net advisory fee and actual total expenses for Class
A, Class I and Class R6 shares were in the first quintile of 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 fair and reasonable 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 were in the third and fourth quintiles of the Peer Group and Universe,
respectively, and that the actual total expenses for Class A shares were in third and second
quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class I shares was in fourth quintile of both the Peer Group and Universe, and that the actual total expenses for Class I
shares were in the first and third quintiles of the Peer Group and Universe, respectively.
The Trustees noted that the net advisory fee for Class R6 shares was in the fifth and fourth quintile of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the fourth and
second quintiles of the Peer Group and Universe, respectively. After considering all of the
factors identified above, in light of this information, the Trustees concluded that the advisory fee was fair and reasonable 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 and Class I shares were in
the first quintile of both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the second and first quintiles of the Peer Group and Universe, respectively,
and that the actual total expenses for Class R6 shares were in first quintile of 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 fair and reasonable in light of the services provided to the
Fund.
The Trustees noted that the U.S. Sustainable Leader 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 fair and reasonable in light of the services provided to the Fund.
The Trustees noted that the U.S. Value Fund’s net advisory fee for Class A shares was in the first quintile of both the Peer Group and Universe, and that the actual total
expenses for Class A shares were in the second quintiles of both the Peer Group and
Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile of both the Peer Group and Universe, and that the actual total expenses for Class I shares were in the first and second
quintiles of the Peer Group and Universe, respectively. The Trustees noted that both the
net advisory fee and actual total expenses for Class R6 shares were in the first quintile of 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 fair and reasonable in light of the services provided to the
Fund.
| December 31, 2023 |
J.P. Morgan Large Cap Funds |
243 |
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 as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports 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.
Effective January 24, 2023, the SEC adopted rule and form amendments that will result in changes to the design and
delivery of shareholder reports of mutual funds and ETFs, requiring them to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.
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.
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., 2023. All rights reserved. December
2023.
SAN-LCE-1223
Semi-Annual Report
J.P. Morgan Investor Funds
December 31, 2023 (Unaudited)
| JPMorgan Investor
Balanced Fund |
| JPMorgan Investor
Conservative Growth Fund |
| JPMorgan Investor
Growth Fund |
| JPMorgan Investor
Growth & Income Fund |
CONTENTS
| |
|
| 1 | |
| 2 | |
| 3 | |
| 13 | |
| 17 | |
| 26 | |
| 34 | |
| 47 | |
| 49 | |
| 54 |
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.
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.
Letter to Shareholders
February 7, 2024 (Unaudited)
Dear Shareholder,
U.S.
equity markets surged through the end of 2023 and into early 2024 as the risk of economic recession receded and the prospect of lower interest rates drove investor optimism. Globally, financial markets largely generated
positive returns, despite heightened geopolitical tensions and signs of economic weakness across
Europe and China.
 |
“Investors appear to have begun 2024 with a positive outlook, with the U.S. economy and its financial markets leading global growth.” — Brian S. Shlissel |
Inflation pressures eased sufficiently during the second half of 2023 to allow the U.S. Federal Reserve (the
“Fed”) to hold the benchmark discount interest rate at 5.25% at its June 2023
meeting, ending a string of 10 consecutive interest rate increases. The Fed raised rates once
more in July 2023, then held the benchmark rate at 5.50% for the remainder of the
2023.
In the face of
elevated interest rates, the U.S. economy proved surprisingly resilient and largely led developed markets in growth through the end of 2023. Gross domestic product outpaced economists’ consensus expectations with
a 4.9% jump in the third quarter and estimated growth of 3.3% in the fourth quarter. Though the
U.S. economy continued to expand, inflation data indicated that the Fed’s efforts to cool the
domestic economy appeared to be effective.
Certain other measures of the U.S. economy showed little sign of weakness. Consumer spending remained elevated
in the second half of 2023 and rose month-to-month to reach approximately $709.9 billion in
retail sales in December 2023. The unemployment rate settled at 3.7% in the final two months of
2023 as approximately 333,000 jobs were added in December alone. Further, an estimated 353,000 jobs were added in January 2024, approximately double the increase anticipated by certain economists.
Both equity and bond markets in the U.S. performed
well, buoyed by the overall strength shown by the U.S. economy and the apparent turn in Fed
policy. Stronger-than-expected consumer spending and corporate earnings, as well as investor
expectations for artificial-intelligence-driven productivity gains bolstered demand for equities
in recent months. Certain leading U.S. equity indexes returned more than 9% in November and in
excess of 5% in December 2023. In January 2024, the S&P 500 Index reached six new closing highs and surpassed 4,800 points for the first time. However, equity market gains were not broadly spread: The largest
10 stocks in the S&P 500 Index comprised approximately 90% of the index’s price gains
for all of 2023.
While U.S. financial markets largely appeared to withstand increased geopolitical tensions in 2023, the potential for the conflicts in Ukraine and Israel to expand in
intensity and geography may threaten global economic growth and increase market volatility.
Additionally, the Fed may be forced to change policy should the strength of U.S. economy recede or the downward trend in inflation were to reverse.
Investors appear to have begun 2024 with a positive outlook, with the U.S. economy and its financial markets
leading global growth. While risks to the growth outlook remain, we believe investors who hold a
well-diversified portfolio over the long term should be positioned to benefit from positive economic trends.
Our suite of investment
solutions seeks to provide investors with the ability to build durable portfolios that meet their
financial goals, regardless of macroeconomic and geopolitical uncertainties.
Sincerely,
Brian S. Shlissel
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
President, J.P. Morgan Funds
J.P. Morgan Asset Management
1-800-480-4111 or www.jpmorganfunds.com for more information
| December 31, 2023 |
J.P. Morgan Investor Funds |
1 |
J.P. Morgan Investor
Funds
FUND FACTS
SIX MONTHS ENDED December 31,
2023 (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, 2023 (In thousands) |
| JPMorgan Investor Balanced Fund, Class A |
0.61 % |
5.35 % |
3.51 % |
8.43 % |
5.88 % |
$5,277,134 |
| JPMorgan Investor Conservative Growth Fund, Class A |
(0.28 ) |
4.43 |
3.51 |
8.43 |
5.88 |
3,979,823 |
| JPMorgan Investor Growth Fund, Class A |
1.84 |
6.63 |
3.51 |
8.43 |
5.88 |
4,762,219 |
| JPMorgan Investor Growth & Income Fund, Class A |
1.15 |
5.92 |
3.51 |
8.43 |
5.88 |
4,284,605 |
| * |
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.
|
JPMorgan Investor Balanced Fund
| PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Fixed Income |
47.4% |
| U.S. Equity |
38.3 |
| International Equity |
12.1 |
| Alternative Assets |
0.8 |
| Short-Term Investments |
1.4 |
JPMorgan Investor Conservative Growth Fund
| PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| Fixed Income |
67.2% |
| U.S. Equity |
21.4 |
| International Equity |
8.1 |
| Alternative Assets |
1.0 |
| Short-Term Investments |
2.3 |
JPMorgan Investor Growth
Fund
| PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| U.S. Equity |
63.7% |
| International Equity |
22.8 |
| Fixed Income |
11.9 |
| Short-Term Investments |
1.6 |
JPMorgan Investor Growth & Income Fund
| PORTFOLIO COMPOSITION BY ASSET CLASS AS OF December
31, 2023 |
PERCENT OF
TOTAL INVESTMENTS |
| U.S. Equity |
50.7% |
| Fixed Income |
32.2 |
| International Equity |
15.5 |
| Short-Term Investments |
1.6 |
| 2 |
J.P. Morgan Investor Funds |
December 31, 2023
|
J.P. Morgan Investor
Funds
FUNDS COMMENTARY
SIX MONTHS ENDED December 31,
2023 (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?
U.S. equity markets largely rallied in the final two months of 2023, rebounding from three months of declines to generate positive returns for the six month period. Investor
demand for large cap stocks in the technology and communications sectors was a leading driver of
equity market returns. Bond markets generally provided positive returns but underperformed equity
markets.
After raising its
policy benchmark interest rates by 0.25% in July 2023, the U.S. Federal Reserve (the “Fed”) declined to raise rates further at its next three meetings for the year. More importantly for investors, the central bank stated
in December 2023 that it could begin to lower interest rates in the first half of 2024, if
inflationary pressures continued to recede.
While the U.S. economic growth showed signs of slowing in
mid-2023, third-quarter gross domestic product exceeded economists’ consensus expectations
with a 4.9% increase. Growth was largely driven by resilient consumer spending and inventory
building by businesses. The unemployment rate in the U.S. remained historically low at 3.8% for most of the six-month period before settling at 3.7% in December 2023. The data and the outlook for interest rates fed
investor expectations that the U.S. could avoid an economic recession in 2024.
U.S. equities generally outperformed both international developed markets and emerging markets equities for
the period. Overall, gains in U.S. markets were led by large capitalization stocks in the
technology and communications sectors, particularly the so-called Magnificent Seven: Apple
Inc., Amazon.com Inc., Alphabet Inc., Meta Platforms Inc.,
Microsoft Corp., Nvidia Corp. and Tesla Inc. At the end of 2023, the 10 largest companies in the
S&P 500 Index accounted for 31.2% of the index’s total market capitalization. Notably, only within small cap stocks did value outperform growth for the period.
Investor expectations that the Fed and private sector banks could begin to lower their interest rates sparked a broad rally in U.S. fixed income markets in the final two
months of 2023. Overall, lower quality bonds, high yield bonds (also known a junk bonds) and
emerging markets debt outperformed U.S. Treasury bonds and higher quality U.S. corporate debt.
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, 2023, each of the Investor Funds’ Class A Shares outperformed the Bloomberg U.S. Intermediate Aggregate Index, the
Investor Funds’ broad based fixed income benchmark, mainly due to the Investor Funds’
exposure to equities.
Each of the Investor Funds underperformed the Russell 3000 Index, the Investor Funds’ broad based U.S. equity benchmark, mainly due to the Funds’ allocations
to fixed income. The JPMorgan Investor Growth and JPMorgan Investor Growth & Income Funds
outperformed the MSCI EAFE Index, a broad global equity index, largely due to its exposure to U.S. equities which outperformed international equities. The JPMorgan Investor Balanced Fund and JPMorgan Investor
Conservative Growth Fund underperformed the MSCI EAFE Index, largely due to their higher
allocations to fixed income.
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
and real estate investment trusts. 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
| December 31, 2023 |
J.P. Morgan Investor Funds |
3 |
J.P. Morgan Investor
Funds
FUNDS COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited) (continued)
*
The adviser seeks to achieve the Portfolio’s objective. There can be no guarantee it will be achieved.
Fund’s composite benchmark. During
the period, the portfolio managers maintained a neutral-to-slightly-overweight position in
equities and a neutral-to-slightly underweight position in fixed income across the Investor Funds.
| 4 |
J.P. Morgan Investor Funds |
December 31, 2023
|
JPMorgan Investor Balanced
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF
December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
December 10, 1996 |
|
|
|
|
| With Sales Charge ** |
|
0.61 % |
8.25 % |
6.57 % |
5.15 % |
| Without Sales Charge |
|
5.35 |
13.39 |
7.55 |
5.64 |
| CLASS C SHARES |
July 1, 1997 |
|
|
|
|
| With CDSC *** |
|
4.12 |
11.86 |
7.02 |
5.19 |
| Without CDSC |
|
5.12 |
12.86 |
7.02 |
5.19 |
| CLASS I SHARES |
December 10, 1996 |
5.54 |
13.70 |
7.84 |
5.91 |
| CLASS R6 SHARES |
July 31, 2017 |
5.60 |
13.92 |
8.09 |
6.04 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 U.S. Intermediate Aggregate Index, the Russell 3000
Index, the MSCI EAFE Index (net total return) and the Lipper Mixed-Asset Target Allocation Moderate
Funds Index from December 31, 2013 to December 31, 2023. 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 total return) 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 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 total return) 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 on gains resulting
from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8
years, the 10 year average annual total return shown above for Class C Shares reflects Class A
Share's performance for the period after conversion.
The returns shown are based on net asset
values calculated for shareholder transactions and may differ from the returns shown in the financial highlights,
| |
|
5 |
JPMorgan Investor Balanced
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and
service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in
the Bloomberg Indices. Bloomberg does not approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any
warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, shall have any liability or responsibility for injury or damages arising in connection therewith.
Frank Russell Company is the source and owner of the Russell Index data
contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
Source: MSCI. The MSCI information may only be used for your internal use, may
not be reproduced or redisseminated in any form and may not be used as a basis
for or a component of any financial
instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment
decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis,
forecast, or prediction. The MSCI information is provided on an "as is" basis and the user of this information assumes the entire risk of any use made of this
information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the "MSCI Parties") expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness,
non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
| 6 |
|
|
JPMorgan Investor
Conservative Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF
December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
December 10, 1996 |
|
|
|
|
| With Sales Charge ** |
|
(0.28 )% |
4.88 % |
4.01 % |
3.48 % |
| Without Sales Charge |
|
4.43 |
9.85 |
4.97 |
3.95 |
| CLASS C SHARES |
July 1, 1997 |
|
|
|
|
| With CDSC *** |
|
3.18 |
8.43 |
4.46 |
3.51 |
| Without CDSC |
|
4.18 |
9.43 |
4.46 |
3.51 |
| CLASS I SHARES |
December 10, 1996 |
4.62 |
10.23 |
5.25 |
4.23 |
| CLASS R6 SHARES |
July 31, 2017 |
4.75 |
10.51 |
5.50 |
4.36 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 U.S. Intermediate Aggregate Index, the
Russell 3000 Index, the MSCI EAFE Index (net total return) and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from December 31, 2013 to December 31, 2023. 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 total return) 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 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 total return) 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 on gains resulting
from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8
years, the 10 year average annual total return shown above for Class C Shares reflects Class A
Share's performance for the period after conversion.
| |
|
7 |
JPMorgan Investor
Conservative Growth Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
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.
Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively
"Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg does not approve or endorse this material, or
guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, shall have any liability or responsibility for injury or damages arising in connection therewith.
Frank Russell Company is the source and owner of the Russell Index data
contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
Source: MSCI. The MSCI information may only be used for your internal use, may
not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a
recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis,
forecast, or prediction. The MSCI information is provided on an "as is" basis and the user of this information assumes the entire risk of any use made of this
information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the "MSCI Parties") expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness,
non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
| 8 |
|
|
JPMorgan Investor Growth
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF
December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
December 10, 1996 |
|
|
|
|
| With Sales Charge ** |
|
1.84 % |
13.59 % |
10.97 % |
8.04 % |
| Without Sales Charge |
|
6.63 |
18.95 |
12.00 |
8.55 |
| CLASS C SHARES |
July 1, 1997 |
|
|
|
|
| With CDSC *** |
|
5.38 |
17.30 |
11.39 |
8.07 |
| Without CDSC |
|
6.38 |
18.30 |
11.39 |
8.07 |
| CLASS I SHARES |
December 10, 1996 |
6.77 |
19.22 |
12.26 |
8.82 |
| CLASS R6 SHARES |
July 31, 2017 |
6.90 |
19.52 |
12.50 |
8.95 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 $10,000 invested in Class A Shares of the JPMorgan Investor Growth Fund, the Bloomberg U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net total return) and the Lipper Mixed-Asset
Target Allocation Conservative Funds Index from December 31, 2013 to December 31, 2023. 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 total return) 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 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 total return) 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 on gains resulting from redemptions of Fund shares.
Because Class C Shares
automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for the period after conversion.
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.
Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively
| |
|
9 |
JPMorgan Investor Growth
Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
"Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in the Bloomberg Indices. Bloomberg does not approve or endorse this material, or
guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, shall have any liability or responsibility for injury or damages arising in connection therewith.
Frank Russell Company is the source and owner of the Russell Index data
contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
Source: MSCI. The MSCI information may only be used for your internal use, may
not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of
the MSCI information is intended to
constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis,
forecast, or prediction. The MSCI information is provided on an "as is" basis and the user of this information assumes the entire risk of any use made of this
information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the "MSCI Parties") expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness,
non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
| 10 |
|
|
JPMorgan Investor Growth
& Income Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF
December 31, 2023
| |
INCEPTION DATE OF CLASS |
6 MONTH*
|
1 YEAR |
5 YEAR |
10 YEAR |
| CLASS A SHARES |
December 10, 1996 |
|
|
|
|
| With Sales Charge ** |
|
1.15 % |
10.65 % |
8.67 % |
6.50 % |
| Without Sales Charge |
|
5.92 |
15.84 |
9.68 |
6.99 |
| CLASS C SHARES |
July 1, 1997 |
|
|
|
|
| With CDSC *** |
|
4.71 |
14.23 |
9.12 |
6.53 |
| Without CDSC |
|
5.71 |
15.23 |
9.12 |
6.53 |
| CLASS I SHARES |
December 10, 1996 |
6.07 |
16.09 |
9.94 |
7.26 |
| CLASS R6 SHARES |
July 31, 2017 |
6.21 |
16.38 |
10.20 |
7.40 |
| |
|
| * |
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 FUND PERFORMANCE
(12/31/13 TO 12/31/23)
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. Updated performance information is available by visiting www.jpmorganfunds.com or by calling 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 U.S. Intermediate Aggregate Index, the
Russell 3000 Index, the MSCI EAFE Index (net total return) and the Lipper Mixed-Asset Target Allocation Growth Funds Index from December 31, 2013 to December 31, 2023. 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
broadbased securities indices and the MSCI EAFE Index (net total return) 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 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 total return) 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 on gains resulting
from redemptions of Fund shares. Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C Shares reflects Class A Share's performance for
the period after conversion.
The returns shown are based on net asset values calculated for shareholder
transactions and may differ from the returns shown in the financial highlights,
| |
|
11 |
JPMorgan Investor Growth
& Income Fund
FUND COMMENTARY
SIX MONTHS ENDED December 31,
2023 (Unaudited)
which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
Source: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and
service mark of Bloomberg Finance L.P. and its affiliates (collectively "Bloomberg"). Bloomberg or Bloomberg's licensors own all proprietary rights in
the Bloomberg Indices. Bloomberg does not approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any
warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, shall have any liability or responsibility for injury or damages arising in connection therewith.
Frank Russell Company is the source and owner of the Russell Index data
contained or reflected in this material and all trademarks and copyrights related thereto. Frank Russell Company is not responsible for the formatting or
configuration of this material or for any inaccuracy in the adviser's presentation thereof.
Source: MSCI. The MSCI information may only be used for your internal use, may
not be reproduced or redisseminated in any form and may not be used as a basis
for or a component of any financial
instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment
decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis,
forecast, or prediction. The MSCI information is provided on an "as is" basis and the user of this information assumes the entire risk of any use made of this
information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the "MSCI Parties") expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness,
non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
| 12 |
|
|
JPMorgan Investor Balanced
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Investment Companies — 86.9% | ||
| Alternative Assets — 0.8% | ||
| JPMorgan Unconstrained Debt Fund Class R6 Shares
(a) |
4,456 |
43,183 |
| Fixed Income — 44.6% | ||
| JPMorgan Core Bond Fund Class R6 Shares (a) |
117,678 |
1,213,261 |
| JPMorgan Core Plus Bond Fund Class R6 Shares (a) |
82,837 |
601,400 |
| JPMorgan Emerging Markets Debt Fund Class R6
Shares (a) |
7,929 |
48,765 |
| JPMorgan High Yield Fund Class R6 Shares (a) |
22,531 |
144,872 |
| JPMorgan Income Fund Class R6 Shares (a) |
32,468 |
271,106 |
| JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) |
8,333 |
76,165 |
| Total Fixed Income |
|
2,355,569 |
| International Equity — 6.6% | ||
| JPMorgan Emerging Markets Equity Fund Class R6
Shares (a) |
3,666 |
108,794 |
| JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) |
5,259 |
81,561 |
| JPMorgan Europe Dynamic Fund Class R6 Shares (a) |
2,730 |
83,246 |
| JPMorgan International Equity Fund Class R6 Shares (a) |
3,837 |
72,599 |
| Total International Equity |
|
346,200 |
| U.S. Equity — 34.9% | ||
| JPMorgan Equity Income Fund Class R6 Shares (a) |
6,986 |
160,543 |
| JPMorgan Large Cap Growth Fund Class R6 Shares (a) |
4,550 |
287,206 |
| JPMorgan Large Cap Value Fund Class R6 Shares (a) |
8,607 |
162,769 |
| JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) |
1,574 |
75,807 |
| JPMorgan Small Cap Equity Fund Class R6 Shares (a) |
521 |
28,238 |
| JPMorgan Small Cap Value Fund Class R6 Shares (a) |
2,004 |
54,022 |
| JPMorgan U.S. Equity Fund Class R6 Shares (a) |
21,927 |
468,791 |
| JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) |
2,592 |
173,142 |
| JPMorgan U.S. Research Enhanced Equity Fund
Class R6 Shares (a) |
7,180 |
264,939 |
| JPMorgan Value Advantage Fund Class R6 Shares (a) |
4,644 |
164,723 |
| Total U.S. Equity |
|
1,840,180 |
| Total Investment Companies (Cost $3,840,810) |
|
4,585,132 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Exchange-Traded Funds — 11.8% | ||
| Fixed Income — 2.8% | ||
| JPMorgan Limited Duration Bond ETF (a) |
2,982 |
150,891 |
| International Equity — 5.5% | ||
| JPMorgan International Research Enhanced Equity
ETF (a) |
4,980 |
290,992 |
| U.S. Equity — 3.5% | ||
| JPMorgan Market Expansion Enhanced Equity ETF (a) |
3,433 |
184,403 |
| Total Exchange-Traded Funds (Cost $504,598) |
|
626,286 |
| Short-Term Investments — 1.4% | ||
| Investment Companies — 1.4% | ||
| JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.30% (a) (b)
(Cost $72,564) |
72,564 |
72,564 |
| Total Investments — 100.1% (Cost $4,417,972) |
|
5,283,982 |
| Liabilities in Excess of Other Assets —
(0.1)% |
|
(6,848
) |
| NET ASSETS — 100.0% |
|
5,277,134 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| ETF |
Exchange Traded Fund |
| * |
Non-income producing security. |
| (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, 2023. |
Detailed
information about investment portfolios of the underlying funds and ETFs 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, 2023 |
J.P. Morgan Investor Funds |
13 |
JPMorgan Investor
Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Investment Companies — 86.7% | ||
| Alternative Assets — 1.0% | ||
| JPMorgan Unconstrained Debt Fund Class R6 Shares
(a) |
4,089 |
39,618 |
| Fixed Income — 61.6% | ||
| JPMorgan Core Bond Fund Class R6 Shares (a) |
128,731 |
1,327,212 |
| JPMorgan Core Plus Bond Fund Class R6 Shares (a) |
81,417 |
591,089 |
| JPMorgan Emerging Markets Debt Fund Class R6
Shares (a) |
6,510 |
40,035 |
| JPMorgan Government Bond Fund Class R6 Shares (a) |
4,586 |
43,753 |
| JPMorgan High Yield Fund Class R6 Shares (a) |
17,747 |
114,115 |
| JPMorgan Income Fund Class R6 Shares (a) |
30,823 |
257,372 |
| JPMorgan Short Duration Core Plus Fund Class R6
Shares (a) |
8,401 |
76,783 |
| Total Fixed Income |
|
2,450,359 |
| International Equity — 4.2% | ||
| JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) |
1,869 |
55,479 |
| JPMorgan Emerging Markets Research Enhanced
Equity Fund Class R6 Shares (a) |
2,828 |
43,860 |
| JPMorgan Europe Dynamic Fund Class R6 Shares (a) |
909 |
27,717 |
| JPMorgan International Equity Fund Class R6 Shares
(a) |
2,095 |
39,633 |
| Total International Equity |
|
166,689 |
| U.S. Equity — 19.9% | ||
| JPMorgan Equity Income Fund Class R6 Shares (a) |
3,862 |
88,741 |
| JPMorgan Large Cap Growth Fund Class R6 Shares
(a) |
1,794 |
113,208 |
| JPMorgan Large Cap Value Fund Class R6 Shares (a) |
2,846 |
53,824 |
| JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) |
1,175 |
56,621 |
| JPMorgan Small Cap Equity Fund Class R6 Shares (a) |
355 |
19,272 |
| JPMorgan Small Cap Value Fund Class R6 Shares (a) |
1,200 |
32,343 |
| JPMorgan U.S. Equity Fund Class R6 Shares (a) |
7,412 |
158,457 |
| JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) |
1,408 |
94,081 |
| JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) |
2,431 |
89,718 |
| JPMorgan Value Advantage Fund Class R6 Shares (a) |
2,494 |
88,460 |
| Total U.S. Equity |
|
794,725 |
| Total Investment Companies
(Cost $3,269,786) |
|
3,451,391 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Exchange-Traded Funds — 10.9% | ||
| Fixed Income — 5.6% | ||
| JPMorgan Limited Duration Bond ETF (a) |
4,444 |
224,848 |
| International Equity — 3.9% | ||
| JPMorgan International Research Enhanced Equity ETF (a) |
2,661 |
155,505 |
| U.S. Equity — 1.4% | ||
| JPMorgan Market Expansion Enhanced Equity ETF (a) |
1,020 |
54,807 |
| Total Exchange-Traded Funds
(Cost $374,749) |
|
435,160 |
| Short-Term Investments — 2.4% | ||
| Investment Companies — 2.4% | ||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) (Cost $93,437) |
93,437 |
93,437 |
| Total Investments — 100.0% (Cost $3,737,972) |
|
3,979,988 |
| Liabilities in Excess of Other Assets —
(0.0)% ^ |
|
(165
) |
| NET ASSETS — 100.0% |
|
3,979,823 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| ETF |
Exchange Traded Fund |
| ^ |
Amount rounds to less than 0.1% of net assets. | |
| * |
Non-income producing security. |
|
| (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, 2023. |
|
Detailed information about investment portfolios of the underlying funds and ETFs 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.
| 14 |
J.P. Morgan Investor Funds |
December 31, 2023
|
JPMorgan Investor Growth
Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Investment Companies — 85.6% | ||
| Fixed Income — 11.9% | ||
| JPMorgan Core Bond Fund Class R6 Shares (a) |
39,176 |
403,902 |
| JPMorgan Core Plus Bond Fund Class R6 Shares (a) |
9,457 |
68,658 |
| JPMorgan Emerging Markets Debt Fund Class R6
Shares (a) |
2,561 |
15,751 |
| JPMorgan High Yield Fund Class R6 Shares (a) |
9,215 |
59,252 |
| JPMorgan Income Fund Class R6 Shares (a) |
2,462 |
20,561 |
| Total Fixed Income |
|
568,124 |
| International Equity — 15.0% | ||
| JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) |
4,071 |
120,842 |
| JPMorgan Emerging Markets Research Enhanced
Equity Fund Class R6 Shares (a) |
6,497 |
100,763 |
| JPMorgan Europe Dynamic Fund Class R6 Shares (a) |
4,399 |
134,111 |
| JPMorgan International Equity Fund Class R6 Shares
(a) |
11,489 |
217,382 |
| JPMorgan International Focus Fund Class R6 Shares (a) |
5,614 |
138,109 |
| Total International Equity |
|
711,207 |
| U.S. Equity — 58.7% | ||
| JPMorgan Equity Income Fund Class R6 Shares (a) |
6,605 |
151,793 |
| JPMorgan Large Cap Growth Fund Class R6 Shares (a) |
8,807 |
555,916 |
| JPMorgan Large Cap Value Fund Class R6 Shares (a) |
22,576 |
426,908 |
| JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) |
1,978 |
95,272 |
| JPMorgan Small Cap Equity Fund Class R6 Shares (a) |
361 |
19,560 |
| JPMorgan Small Cap Value Fund Class R6 Shares (a) |
3,379 |
91,091 |
| JPMorgan U.S. Equity Fund Class R6 Shares (a) |
32,029 |
684,778 |
| JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) |
3,632 |
242,615 |
| JPMorgan U.S. Research Enhanced Equity Fund
Class R6 Shares (a) |
10,189 |
375,957 |
| JPMorgan Value Advantage Fund Class R6 Shares (a) |
4,262 |
151,180 |
| Total U.S. Equity |
|
2,795,070 |
| Total Investment Companies (Cost $2,984,204) |
|
4,074,401 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Exchange-Traded Funds — 12.9% | ||
| International Equity — 7.9% | ||
| JPMorgan International Research Enhanced Equity ETF
(a) |
6,434 |
375,994 |
| U.S. Equity — 5.0% | ||
| JPMorgan Market Expansion Enhanced Equity ETF (a) |
4,426 |
237,726 |
| Total Exchange-Traded Funds (Cost $528,684) |
|
613,720 |
| Short-Term Investments — 1.6% | ||
| Investment Companies — 1.6% | ||
| JPMorgan U.S. Government Money Market Fund
Class IM Shares, 5.30% (a) (b)
(Cost $77,903) |
77,903 |
77,903 |
| Total Investments — 100.1% (Cost $3,590,791) |
|
4,766,024 |
| Liabilities in Excess of Other Assets —
(0.1)% |
|
(3,805
) |
| NET ASSETS — 100.0% |
|
4,762,219 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| ETF |
Exchange Traded Fund |
| * |
Non-income producing security. |
| (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, 2023. |
Detailed
information about investment portfolios of the underlying funds and ETFs 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, 2023 |
J.P. Morgan Investor Funds |
15 |
JPMorgan Investor Growth
& Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF December 31, 2023
(Unaudited)
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Investment Companies — 87.8% | ||
| Fixed Income — 31.3% | ||
| JPMorgan Core Bond Fund Class R6 Shares (a) |
68,662 |
707,908 |
| JPMorgan Core Plus Bond Fund Class R6 Shares (a) |
40,740 |
295,775 |
| JPMorgan Emerging Markets Debt Fund Class R6
Shares (a) |
2,765 |
17,005 |
| JPMorgan High Yield Fund Class R6 Shares (a) |
16,580 |
106,606 |
| JPMorgan Income Fund Class R6 Shares (a) |
20,483 |
171,032 |
| JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) |
4,583 |
41,883 |
| Total Fixed Income |
|
1,340,209 |
| International Equity — 9.8% | ||
| JPMorgan Emerging Markets Equity Fund Class R6
Shares (a) |
3,344 |
99,250 |
| JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) |
5,016 |
77,801 |
| JPMorgan Europe Dynamic Fund Class R6 Shares (a) |
2,729 |
83,203 |
| JPMorgan International Equity Fund Class R6 Shares (a) |
5,260 |
99,513 |
| JPMorgan International Focus Fund Class R6 Shares
(a) |
2,548 |
62,697 |
| Total International Equity |
|
422,464 |
| U.S. Equity — 46.7% | ||
| JPMorgan Equity Income Fund Class R6 Shares (a) |
5,884 |
135,205 |
| JPMorgan Large Cap Growth Fund Class R6 Shares (a) |
6,687 |
422,101 |
| JPMorgan Large Cap Value Fund Class R6 Shares (a) |
13,214 |
249,884 |
| JPMorgan Mid Cap Growth Fund Class R6 Shares * (a) |
1,364 |
65,676 |
| JPMorgan Small Cap Equity Fund Class R6 Shares (a) |
507 |
27,471 |
| JPMorgan Small Cap Value Fund Class R6 Shares (a) |
2,603 |
70,187 |
| JPMorgan U.S. Equity Fund Class R6 Shares (a) |
21,735 |
464,681 |
| JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) |
2,027 |
135,400 |
| JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) |
7,605 |
280,637 |
| JPMorgan Value Advantage Fund Class R6 Shares (a) |
4,195 |
148,808 |
| Total U.S. Equity |
|
2,000,050 |
| Total Investment Companies
(Cost $2,930,282) |
|
3,762,723 |
| INVESTMENTS |
SHARES (000) |
VALUE ($000) |
| Exchange-Traded Funds — 10.7% | ||
| Fixed Income — 1.0% | ||
| JPMorgan Limited Duration Bond ETF (a) |
823 |
41,633 |
| International Equity — 5.7% | ||
| JPMorgan International Research Enhanced Equity ETF (a) |
4,153 |
242,702 |
| U.S. Equity — 4.0% | ||
| JPMorgan Market Expansion Enhanced Equity ETF (a) |
3,213 |
172,577 |
| Total Exchange-Traded Funds
(Cost $376,179) |
|
456,912 |
| Short-Term Investments — 1.6% | ||
| Investment Companies — 1.6% | ||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) (Cost $68,321) |
68,321 |
68,321 |
| Total Investments — 100.1% (Cost $3,374,782) |
|
4,287,956 |
| Liabilities in Excess of Other Assets —
(0.1)% |
|
(3,351
) |
| NET ASSETS — 100.0% |
|
4,284,605 |
| Percentages indicated are based on net assets. |
| Abbreviations |
|
| ETF |
Exchange Traded Fund |
| * |
Non-income producing security. |
| (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, 2023. |
Detailed
information about investment portfolios of the underlying funds and ETFs 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.
| 16 |
J.P. Morgan Investor Funds |
December 31, 2023
|
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (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 |
$5,283,982 |
$3,979,988 |
$4,766,024 |
$4,287,956
|
| Cash |
289 |
216 |
274 |
247 |
| Receivables: |
|
|
|
|
| Fund shares sold |
2,585 |
5,685 |
5,353 |
3,195 |
| Dividends from affiliates |
1,784
|
2,011
|
102
|
922 |
| Total Assets |
5,288,640 |
3,987,900 |
4,771,753 |
4,292,320 |
| LIABILITIES: |
|
|
|
|
| Payables: |
|
|
|
|
| Distributions |
374 |
120 |
390 |
373 |
| Investment securities purchased |
1,190 |
1,130 |
90 |
751 |
| Fund shares redeemed |
6,884 |
4,874 |
6,957 |
4,657 |
| Accrued liabilities: |
|
|
|
|
| Investment advisory fees |
216 |
161 |
193 |
173 |
| Distribution fees |
1,154 |
813 |
909 |
866 |
| Service fees |
1,098 |
819 |
865 |
791 |
| Custodian and accounting fees |
36 |
29 |
28 |
27 |
| Trustees’ and Chief Compliance Officer’s fees |
1 |
— |
— (a) |
— |
| Other |
553
|
131
|
102
|
77
|
| Total Liabilities |
11,506 |
8,077
|
9,534
|
7,715 |
| Net Assets |
$5,277,134 |
$3,979,823 |
$4,762,219 |
$4,284,605 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
17 |
STATEMENTS
OF ASSETS AND LIABILITIES
AS OF December 31, 2023 (Unaudited) (continued)
(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 |
| NET ASSETS: |
|
|
|
|
| Paid-in-Capital |
$4,466,392 |
$3,789,985 |
$3,615,198 |
$3,437,150 |
| Total distributable earnings (loss) |
810,742 |
189,838 |
1,147,021 |
847,455 |
| Total Net Assets |
$5,277,134 |
$3,979,823 |
$4,762,219 |
$4,284,605 |
| Net Assets: |
|
|
|
|
| Class A |
$4,613,883 |
$2,898,139 |
$3,932,662 |
$3,848,005 |
| Class C |
299,183 |
319,772 |
147,740 |
102,828 |
| Class I |
332,930 |
723,655 |
578,868 |
278,091 |
| Class R6 |
31,138 |
38,257 |
102,949 |
55,681 |
| Total |
$5,277,134 |
$3,979,823 |
$4,762,219 |
$4,284,605 |
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
|
|
|
|
| Class A |
306,906 |
238,636 |
173,543 |
214,696 |
| Class C |
20,327 |
26,479 |
7,304 |
5,983 |
| Class I |
22,083 |
59,130 |
24,749 |
15,888 |
| Class R6 |
2,068 |
3,129 |
4,403 |
3,182 |
| Net Asset Value (a): |
|
|
|
|
| Class A — Redemption price per share |
$15.03 |
$12.14 |
$22.66 |
$17.92
|
| Class C — Offering price per share (b) |
14.72 |
12.08 |
20.23 |
17.19 |
| Class I — Offering and redemption price per share |
15.08 |
12.24 |
23.39 |
17.50 |
| Class R6 — Offering and redemption price per share |
15.06 |
12.23 |
23.38 |
17.50 |
| 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)] |
$15.74 |
$12.71 |
$23.73 |
$18.76 |
| Cost of investments in affiliates |
4,417,972 |
3,737,972 |
3,590,791 |
3,374,782 |
(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.
| 18 |
J.P. Morgan Investor Funds |
December 31, 2023
|
STATEMENTS
OF OPERATIONS
FOR THE SIX MONTHS ENDED December 31, 2023 (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) |
| Dividend income from affiliates |
89,324 |
74,795 |
64,060 |
64,660 |
| Total investment income |
89,324 |
74,795 |
64,060 |
64,660 |
| EXPENSES: |
|
|
|
|
| Investment advisory fees |
1,288 |
982 |
1,127 |
1,017 |
| Distribution fees: |
|
|
|
|
| Class A |
5,560 |
3,543 |
4,632 |
4,563 |
| Class C |
1,305 |
1,481 |
559 |
431 |
| Service fees: |
|
|
|
|
| Class A |
5,560 |
3,543 |
4,632 |
4,563 |
| Class C |
435 |
494 |
186 |
144 |
| Class I |
410 |
827 |
692 |
328 |
| Custodian and accounting fees |
67 |
52 |
58 |
52 |
| Professional fees |
28 |
24 |
26 |
25 |
| Trustees’ and Chief Compliance Officer’s fees |
22 |
20 |
21 |
20 |
| Printing and mailing costs |
127 |
95 |
118 |
101 |
| Registration and filing fees |
194 |
60 |
90 |
91 |
| Transfer agency fees (See Note 2.E.) |
147 |
89 |
248 |
177 |
| Other |
25
|
20
|
22
|
20 |
| Total expenses |
15,168 |
11,230 |
12,411 |
11,532 |
| Less fees waived |
(37 ) |
(28 ) |
(535 ) |
(471 ) |
| Less expense reimbursements |
(1
) |
(1
) |
(1
) |
(1
) |
| Net expenses |
15,130 |
11,201 |
11,875 |
11,060 |
| Net investment income (loss) |
74,194 |
63,594 |
52,185 |
53,600 |
| REALIZED/UNREALIZED GAINS (LOSSES): |
|
|
|
|
| Net realized gain (loss) on transactions from investments in affiliates |
(111 ) |
(26,660 ) |
(8,278 ) |
(7,967 ) |
| Distribution of capital gains received from investment company affiliates |
23,133 |
10,406 |
34,298 |
24,789 |
| Change in net unrealized appreciation/depreciation on investments in affiliates |
170,463 |
119,311 |
219,347 |
171,778 |
| Net realized/unrealized gains (losses) |
193,485 |
103,057 |
245,367 |
188,600 |
| Change in net assets resulting from operations |
$267,679 |
$166,651 |
$297,552 |
$242,200 |
(a)
Amount rounds to
less than one thousand.
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
19 |
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, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$74,194 |
$105,590 |
$63,594 |
$101,702
|
| Net realized gain (loss) on investments in affiliates |
(111 ) |
(30,019 ) |
(26,660 ) |
(33,514 ) |
| Distributions of capital gains received from investment company affiliates |
23,133 |
73,187 |
10,406 |
35,065 |
| Change in net unrealized appreciation/depreciation of investments in affiliates |
170,463 |
269,298 |
119,311 |
86,666 |
| Change in net assets resulting from operations |
267,679 |
418,056 |
166,651 |
189,919 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(113,669 ) |
(290,596 ) |
(54,396 ) |
(172,844 ) |
| Class C |
(7,093 ) |
(27,368 ) |
(5,950 ) |
(28,991 ) |
| Class I |
(8,624 ) |
(22,096 ) |
(13,650 ) |
(38,203 ) |
| Class R6 |
(854
) |
(1,626 ) |
(810
) |
(2,215 ) |
| Total distributions to shareholders |
(130,240 ) |
(341,686 ) |
(74,806 ) |
(242,253 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
(88,898 ) |
7,440
|
(132,073 ) |
(210,212 ) |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
48,541 |
83,810 |
(40,228 ) |
(262,546 ) |
| Beginning of period |
5,228,593 |
5,144,783 |
4,020,051 |
4,282,597 |
| End of period |
$5,277,134 |
$5,228,593 |
$3,979,823 |
$4,020,051 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| |
JPMorgan
Investor Growth Fund |
JPMorgan
Investor Growth & Income Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
|
|
|
|
| Net investment income (loss) |
$52,185 |
$54,279 |
$53,600 |
$68,489
|
| Net realized gain (loss) on investments in affiliates |
(8,278 ) |
(7,170 ) |
(7,967 ) |
(16,522 ) |
| Distributions of capital gains received from investment company affiliates |
34,298 |
95,859 |
24,789 |
70,634 |
| Change in net unrealized appreciation/depreciation of investments in affiliates |
219,347 |
425,818 |
171,778 |
287,695 |
| Change in net assets resulting from operations |
297,552 |
568,786 |
242,200 |
410,296 |
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
| Class A |
(117,541 ) |
(261,319 ) |
(99,271 ) |
(244,002 ) |
| Class C |
(4,630 ) |
(12,521 ) |
(2,559 ) |
(9,288 ) |
| Class I |
(17,440 ) |
(39,591 ) |
(7,641 ) |
(19,368 ) |
| Class R6 |
(3,221 ) |
(3,222 ) |
(1,472 ) |
(2,509 ) |
| Total distributions to shareholders |
(142,832 ) |
(316,653 ) |
(110,943 ) |
(275,167 ) |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Change in net assets resulting from capital transactions |
127,393 |
357,052 |
111,297 |
163,479 |
| NET ASSETS: |
|
|
|
|
| Change in net assets |
282,113 |
609,185 |
242,554 |
298,608 |
| Beginning of period |
4,480,106 |
3,870,921 |
4,042,051 |
3,743,443 |
| End of period |
$4,762,219 |
$4,480,106 |
$4,284,605 |
$4,042,051 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
21 |
STATEMENTS
OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| |
JPMorgan
Investor Balanced Fund |
JPMorgan
Investor Conservative Growth Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$349,569 |
$630,284 |
$244,314 |
$417,288 |
| Distributions reinvested |
113,040 |
288,923 |
54,145 |
171,887 |
| Cost of shares redeemed |
(438,045 ) |
(817,982 ) |
(348,787 ) |
(672,534 ) |
| Change in net assets resulting from Class A capital transactions |
24,564 |
101,225 |
(50,328 ) |
(83,359 ) |
| Class C |
|
|
|
|
| Proceeds from shares issued |
18,625 |
41,914 |
13,005 |
31,496 |
| Distributions reinvested |
7,064 |
27,234 |
5,927 |
28,887 |
| Cost of shares redeemed |
(131,426 ) |
(143,775 ) |
(172,920 ) |
(197,926 ) |
| Change in net assets resulting from Class C capital transactions |
(105,737 ) |
(74,627 ) |
(153,988 ) |
(137,543 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
21,672 |
64,505 |
142,127 |
165,254 |
| Distributions reinvested |
8,334 |
21,548 |
13,528 |
37,830 |
| Cost of shares redeemed |
(39,205 ) |
(84,075 ) |
(85,332 ) |
(192,340 ) |
| Change in net assets resulting from Class I capital transactions |
(9,199 ) |
1,978
|
70,323 |
10,744 |
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
4,466 |
12,346 |
4,088 |
2,542 |
| Distributions reinvested |
853 |
1,626 |
807 |
2,215 |
| Cost of shares redeemed |
(3,845 ) |
(35,108 ) |
(2,975 ) |
(4,811 ) |
| Change in net assets resulting from Class R6 capital transactions |
1,474
|
(21,136 ) |
1,920
|
(54
) |
| Total change in net assets resulting from capital transactions |
$(88,898 ) |
$7,440 |
$(132,073 ) |
$(210,212 ) |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
24,153 |
43,766 |
20,990 |
35,223 |
| Reinvested |
7,613 |
20,584 |
4,569 |
14,716 |
| Redeemed |
(30,185 ) |
(56,900 ) |
(29,790 ) |
(56,938 ) |
| Change in Class A Shares |
1,581
|
7,450
|
(4,231
) |
(6,999 ) |
| Class C |
|
|
|
|
| Issued |
1,305 |
2,969 |
1,114 |
2,672 |
| Reinvested |
487 |
1,983 |
503 |
2,489 |
| Redeemed |
(9,369 ) |
(10,193 ) |
(15,024 ) |
(16,814 ) |
| Change in Class C Shares |
(7,577
) |
(5,241
) |
(13,407
) |
(11,653
) |
| Class I |
|
|
|
|
| Issued |
1,484 |
4,481 |
11,840 |
13,871 |
| Reinvested |
560 |
1,530 |
1,134 |
3,214 |
| Redeemed |
(2,692 ) |
(5,789 ) |
(7,242 ) |
(16,101 ) |
| Change in Class I Shares |
(648
) |
222
|
5,732
|
984 |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| |
JPMorgan
Investor Balanced Fund |
JPMorgan
Investor Conservative Growth Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Issued |
305 |
863 |
346 |
213 |
| Reinvested |
57 |
115 |
68 |
188 |
| Redeemed |
(263
) |
(2,372 ) |
(249
) |
(402 ) |
| Change in Class R6 Shares |
99
|
(1,394
) |
165
|
(1
) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
23 |
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, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| CAPITAL TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Proceeds from shares issued |
$349,031 |
$594,322 |
$330,757 |
$565,243 |
| Distributions reinvested |
116,870 |
259,868 |
98,729 |
242,594 |
| Cost of shares redeemed |
(338,900 ) |
(579,637 ) |
(321,793 ) |
(610,289 ) |
| Change in net assets resulting from Class A capital transactions |
127,001 |
274,553 |
107,693 |
197,548 |
| Class C |
|
|
|
|
| Proceeds from shares issued |
14,560 |
24,590 |
8,393 |
17,095 |
| Distributions reinvested |
4,582 |
12,439 |
2,543 |
9,234 |
| Cost of shares redeemed |
(31,732 ) |
(43,015 ) |
(38,418 ) |
(46,570 ) |
| Change in net assets resulting from Class C capital transactions |
(12,590 ) |
(5,986 ) |
(27,482 ) |
(20,241 ) |
| Class I |
|
|
|
|
| Proceeds from shares issued |
37,204 |
79,419 |
26,883 |
37,309 |
| Distributions reinvested |
16,890 |
38,302 |
7,183 |
18,313 |
| Cost of shares redeemed |
(49,135 ) |
(90,709 ) |
(28,287 ) |
(63,791 ) |
| Change in net assets resulting from Class I capital transactions |
4,959
|
27,012 |
5,779
|
(8,169 ) |
| Class R6 |
|
|
|
|
| Proceeds from shares issued |
16,823 |
67,416 |
36,341 |
4,987 |
| Distributions reinvested |
3,221 |
3,221 |
1,453 |
2,453 |
| Cost of shares redeemed |
(12,021 ) |
(9,164 ) |
(12,487 ) |
(13,099 ) |
| Change in net assets resulting from Class R6 capital transactions |
8,023
|
61,473 |
25,307 |
(5,659 ) |
| Total change in net assets resulting from capital transactions |
$127,393 |
$357,052 |
$111,297 |
$163,479 |
| SHARE TRANSACTIONS: |
|
|
|
|
| Class A |
|
|
|
|
| Issued |
15,994 |
28,325 |
19,160 |
33,473 |
| Reinvested |
5,191 |
12,939 |
5,565 |
14,844 |
| Redeemed |
(15,539 ) |
(27,705 ) |
(18,634 ) |
(36,218 ) |
| Change in Class A Shares |
5,646
|
13,559
|
6,091
|
12,099 |
| Class C |
|
|
|
|
| Issued |
745 |
1,308 |
507 |
1,059 |
| Reinvested |
228 |
692 |
149 |
589 |
| Redeemed |
(1,638 ) |
(2,285 ) |
(2,350 ) |
(2,872 ) |
| Change in Class C Shares |
(665
) |
(285
) |
(1,694
) |
(1,224
) |
| Class I |
|
|
|
|
| Issued |
1,659 |
3,685 |
1,588 |
2,268 |
| Reinvested |
728 |
1,850 |
415 |
1,145 |
| Redeemed |
(2,192 ) |
(4,199 ) |
(1,675 ) |
(3,888 ) |
| Change in Class I Shares |
195
|
1,336
|
328
|
(475 ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| |
JPMorgan
Investor Growth Fund |
JPMorgan
Investor Growth & Income Fund | ||
| |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended
June 30, 2023 |
Six Months Ended
December 31, 2023
(Unaudited) |
Year Ended June 30, 2023 |
| SHARE TRANSACTIONS: (continued) |
|
|
|
|
| Class R6 |
|
|
|
|
| Issued |
746 |
3,108 |
2,210 |
308 |
| Reinvested |
139 |
154 |
83 |
153 |
| Redeemed |
(532
) |
(424
) |
(767
) |
(810 ) |
| Change in Class R6 Shares |
353
|
2,838
|
1,526
|
(349
) |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
25 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED
| |
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 Balanced Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$14.63 |
$0.21 |
$0.57 |
$0.78 |
$(0.22 ) |
$(0.16 ) |
$(0.38 ) |
| Year Ended June 30, 2023 |
14.44 |
0.30 |
0.87 |
1.17 |
(0.29 ) |
(0.69 ) |
(0.98 ) |
| Year Ended June 30, 2022 |
17.07 |
0.22 |
(2.13 ) |
(1.91 ) |
(0.41 ) |
(0.31 ) |
(0.72 ) |
| Year Ended June 30, 2021 |
14.77 |
0.21 |
3.03 |
3.24 |
(0.25 ) |
(0.69 ) |
(0.94 ) |
| Year Ended June 30, 2020 |
15.00 |
0.27 |
0.46 |
0.73 |
(0.27 ) |
(0.69 ) |
(0.96 ) |
| Year Ended June 30, 2019 |
15.30 |
0.29 |
0.46 |
0.75 |
(0.37 ) |
(0.68 ) |
(1.05 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
14.33 |
0.16 |
0.57 |
0.73 |
(0.18 ) |
(0.16 ) |
(0.34 ) |
| Year Ended June 30, 2023 |
14.16 |
0.22 |
0.86 |
1.08 |
(0.22 ) |
(0.69 ) |
(0.91 ) |
| Year Ended June 30, 2022 |
16.75 |
0.13 |
(2.08 ) |
(1.95 ) |
(0.33 ) |
(0.31 ) |
(0.64 ) |
| Year Ended June 30, 2021 |
14.51 |
0.12 |
2.98 |
3.10 |
(0.17 ) |
(0.69 ) |
(0.86 ) |
| Year Ended June 30, 2020 |
14.74 |
0.19 |
0.46 |
0.65 |
(0.19 ) |
(0.69 ) |
(0.88 ) |
| Year Ended June 30, 2019 |
15.06 |
0.21 |
0.44 |
0.65 |
(0.29 ) |
(0.68 ) |
(0.97 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
14.67 |
0.23 |
0.57 |
0.80 |
(0.23 ) |
(0.16 ) |
(0.39 ) |
| Year Ended June 30, 2023 |
14.47 |
0.33 |
0.89 |
1.22 |
(0.33 ) |
(0.69 ) |
(1.02 ) |
| Year Ended June 30, 2022 |
17.11 |
0.26 |
(2.14 ) |
(1.88 ) |
(0.45 ) |
(0.31 ) |
(0.76 ) |
| Year Ended June 30, 2021 |
14.80 |
0.25 |
3.04 |
3.29 |
(0.29 ) |
(0.69 ) |
(0.98 ) |
| Year Ended June 30, 2020 |
15.02 |
0.29 |
0.48 |
0.77 |
(0.30 ) |
(0.69 ) |
(0.99 ) |
| Year Ended June 30, 2019 |
15.33 |
0.33 |
0.45 |
0.78 |
(0.41 ) |
(0.68 ) |
(1.09 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
14.66 |
0.25 |
0.56 |
0.81 |
(0.25 ) |
(0.16 ) |
(0.41 ) |
| Year Ended June 30, 2023 |
14.46 |
0.33 |
0.92 |
1.25 |
(0.36 ) |
(0.69 ) |
(1.05 ) |
| Year Ended June 30, 2022 |
17.10 |
0.31 |
(2.15 ) |
(1.84 ) |
(0.49 ) |
(0.31 ) |
(0.80 ) |
| Year Ended June 30, 2021 |
14.79 |
0.27 |
3.06 |
3.33 |
(0.33 ) |
(0.69 ) |
(1.02 ) |
| Year Ended June 30, 2020 |
15.02 |
0.34 |
0.46 |
0.80 |
(0.34 ) |
(0.69 ) |
(1.03 ) |
| Year Ended June 30, 2019 |
15.32 |
0.36 |
0.45 |
0.81 |
(0.43 ) |
(0.68 ) |
(1.11 ) |
| |
|
| (a) |
Annualized for periods less than one year, unless otherwise noted. |
| (b) |
Net investment income (loss) is affected by the 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) |
Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (g) |
Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| |
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) |
Expenses without
waivers and reimbursements(g) |
Portfolio turnover
rate(d)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $15.03 |
5.35 % |
$4,613,883 |
0.57 % |
2.92 % |
0.58 % |
3 % |
| 14.63 |
8.51 |
4,466,541 |
0.57 |
2.08 |
0.58 |
8 |
| 14.44 |
(11.73 ) |
4,301,016 |
0.57 |
1.34 |
0.57 |
8 |
| 17.07 |
22.40 |
4,788,045 |
0.56 |
1.28 |
0.57 |
6 |
| 14.77 |
4.97 |
3,638,623 |
0.54 |
1.85 |
0.57 |
26 |
| 15.00 |
5.52 |
3,458,135 |
0.52 |
1.98 |
0.60 |
12 |
| |
|
|
|
|
|
|
| 14.72 |
5.12 |
299,183 |
1.07 |
2.19 |
1.08 |
3 |
| 14.33 |
7.98 |
399,784 |
1.07 |
1.56 |
1.07 |
8 |
| 14.16 |
(12.17 ) |
469,295 |
1.07 |
0.83 |
1.07 |
8 |
| 16.75 |
21.78 |
619,700 |
1.07 |
0.75 |
1.07 |
6 |
| 14.51 |
4.48 |
648,738 |
1.07 |
1.31 |
1.07 |
26 |
| 14.74 |
4.89 |
758,346 |
1.08 |
1.42 |
1.10 |
12 |
| |
|
|
|
|
|
|
| 15.08 |
5.54 |
332,930 |
0.32 |
3.15 |
0.32 |
3 |
| 14.67 |
8.84 |
333,425 |
0.32 |
2.31 |
0.32 |
8 |
| 14.47 |
(11.54 ) |
325,811 |
0.32 |
1.59 |
0.32 |
8 |
| 17.11 |
22.72 |
363,694 |
0.31 |
1.54 |
0.32 |
6 |
| 14.80 |
5.26 |
303,555 |
0.29 |
1.98 |
0.32 |
26 |
| 15.02 |
5.71 |
478,250 |
0.27 |
2.24 |
0.35 |
12 |
| |
|
|
|
|
|
|
| 15.06 |
5.60 |
31,138 |
0.07 |
3.44 |
0.07 |
3 |
| 14.66 |
9.11 |
28,843 |
0.08 |
2.31 |
0.08 |
8 |
| 14.46 |
(11.33 ) |
48,661 |
0.07 |
1.84 |
0.07 |
8 |
| 17.10 |
23.03 |
141,480 |
0.07 |
1.69 |
0.07 |
6 |
| 14.79 |
5.46 |
73,386 |
0.06 |
2.27 |
0.07 |
26 |
| 15.02 |
5.96 |
86,510 |
0.09 |
2.40 |
0.10 |
12 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
27 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED
| |
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 Conservative Growth Fund |
|
|
|
|
|
|
|
| Class A |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
$11.85 |
$0.19 |
$0.33 |
$0.52 |
$(0.20 ) |
$(0.03 ) |
$(0.23 ) |
| Year Ended June 30, 2023 |
12.00 |
0.29 |
0.27 |
0.56 |
(0.29 ) |
(0.42 ) |
(0.71 ) |
| Year Ended June 30, 2022 |
13.90 |
0.20 |
(1.62 ) |
(1.42 ) |
(0.30 ) |
(0.18 ) |
(0.48 ) |
| Year Ended June 30, 2021 |
12.63 |
0.20 |
1.56 |
1.76 |
(0.23 ) |
(0.26 ) |
(0.49 ) |
| Year Ended June 30, 2020 |
12.58 |
0.26 |
0.37 |
0.63 |
(0.26 ) |
(0.32 ) |
(0.58 ) |
| Year Ended June 30, 2019 |
12.61 |
0.28 |
0.41 |
0.69 |
(0.32 ) |
(0.40 ) |
(0.72 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
11.78 |
0.15 |
0.34 |
0.49 |
(0.16 ) |
(0.03 ) |
(0.19 ) |
| Year Ended June 30, 2023 |
11.94 |
0.23 |
0.26 |
0.49 |
(0.23 ) |
(0.42 ) |
(0.65 ) |
| Year Ended June 30, 2022 |
13.83 |
0.13 |
(1.61 ) |
(1.48 ) |
(0.23 ) |
(0.18 ) |
(0.41 ) |
| Year Ended June 30, 2021 |
12.57 |
0.13 |
1.55 |
1.68 |
(0.16 ) |
(0.26 ) |
(0.42 ) |
| Year Ended June 30, 2020 |
12.52 |
0.19 |
0.37 |
0.56 |
(0.19 ) |
(0.32 ) |
(0.51 ) |
| Year Ended June 30, 2019 |
12.55 |
0.21 |
0.41 |
0.62 |
(0.25 ) |
(0.40 ) |
(0.65 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
11.94 |
0.21 |
0.33 |
0.54 |
(0.21 ) |
(0.03 ) |
(0.24 ) |
| Year Ended June 30, 2023 |
12.08 |
0.33 |
0.27 |
0.60 |
(0.32 ) |
(0.42 ) |
(0.74 ) |
| Year Ended June 30, 2022 |
13.99 |
0.24 |
(1.64 ) |
(1.40 ) |
(0.33 ) |
(0.18 ) |
(0.51 ) |
| Year Ended June 30, 2021 |
12.71 |
0.24 |
1.57 |
1.81 |
(0.27 ) |
(0.26 ) |
(0.53 ) |
| Year Ended June 30, 2020 |
12.66 |
0.29 |
0.37 |
0.66 |
(0.29 ) |
(0.32 ) |
(0.61 ) |
| Year Ended June 30, 2019 |
12.69 |
0.31 |
0.41 |
0.72 |
(0.35 ) |
(0.40 ) |
(0.75 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
11.93 |
0.23 |
0.33 |
0.56 |
(0.23 ) |
(0.03 ) |
(0.26 ) |
| Year Ended June 30, 2023 |
12.08 |
0.36 |
0.26 |
0.62 |
(0.35 ) |
(0.42 ) |
(0.77 ) |
| Year Ended June 30, 2022 |
13.98 |
0.27 |
(1.63 ) |
(1.36 ) |
(0.36 ) |
(0.18 ) |
(0.54 ) |
| Year Ended June 30, 2021 |
12.70 |
0.27 |
1.57 |
1.84 |
(0.30 ) |
(0.26 ) |
(0.56 ) |
| Year Ended June 30, 2020 |
12.65 |
0.37 |
0.32 |
0.69 |
(0.32 ) |
(0.32 ) |
(0.64 ) |
| Year Ended June 30, 2019 |
12.68 |
0.35 |
0.38 |
0.73 |
(0.36 ) |
(0.40 ) |
(0.76 ) |
| |
|
| (a) |
Annualized for periods less than one year, unless otherwise noted. |
| (b) |
Net investment income (loss) is affected by the 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) |
Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (g) |
Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| |
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) |
Expenses without
waivers and reimbursements(g) |
Portfolio turnover
rate(d)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $12.14 |
4.43 % |
$2,898,139 |
0.57 % |
3.27 % |
0.57 % |
5 % |
| 11.85 |
4.86 |
2,877,376 |
0.57 |
2.49 |
0.57 |
5 |
| 12.00 |
(10.59 ) |
2,998,252 |
0.57 |
1.50 |
0.57 |
8 |
| 13.90 |
14.14 |
3,327,682 |
0.56 |
1.49 |
0.57 |
3 |
| 12.63 |
5.13 |
2,428,688 |
0.54 |
2.08 |
0.57 |
21 |
| 12.58 |
5.80 |
2,170,888 |
0.52 |
2.25 |
0.60 |
10 |
| |
|
|
|
|
|
|
| 12.08 |
4.27 |
319,772 |
1.07 |
2.55 |
1.07 |
5 |
| 11.78 |
4.28 |
469,916 |
1.07 |
1.95 |
1.07 |
5 |
| 11.94 |
(11.02 ) |
615,133 |
1.07 |
0.98 |
1.07 |
8 |
| 13.83 |
13.54 |
840,217 |
1.07 |
0.96 |
1.07 |
3 |
| 12.57 |
4.60 |
967,282 |
1.07 |
1.54 |
1.07 |
21 |
| 12.52 |
5.24 |
1,113,797 |
1.08 |
1.69 |
1.10 |
10 |
| |
|
|
|
|
|
|
| 12.24 |
4.62 |
723,655 |
0.32 |
3.54 |
0.32 |
5 |
| 11.94 |
5.18 |
637,396 |
0.32 |
2.75 |
0.32 |
5 |
| 12.08 |
(10.37 ) |
633,390 |
0.32 |
1.75 |
0.32 |
8 |
| 13.99 |
14.41 |
649,055 |
0.31 |
1.79 |
0.32 |
3 |
| 12.71 |
5.35 |
130,768 |
0.29 |
2.32 |
0.33 |
21 |
| 12.66 |
6.03 |
138,655 |
0.27 |
2.51 |
0.36 |
10 |
| |
|
|
|
|
|
|
| 12.23 |
4.75 |
38,257 |
0.06 |
3.80 |
0.07 |
5 |
| 11.93 |
5.36 |
35,363 |
0.07 |
2.99 |
0.07 |
5 |
| 12.08 |
(10.08 ) |
35,822 |
0.07 |
1.99 |
0.07 |
8 |
| 13.98 |
14.70 |
42,417 |
0.07 |
2.02 |
0.07 |
3 |
| 12.70 |
5.57 |
7,862 |
0.08 |
2.91 |
0.09 |
21 |
| 12.65 |
6.19 |
996 |
0.12 |
2.78 |
0.12 |
10 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
29 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED
| |
Per
share operating performance | ||||||
| |
|
Investment
operations |
Distributions | ||||
| |
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(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, 2023 (Unaudited) |
$21.90 |
$0.25 |
$1.20 |
$1.45 |
$(0.25 ) |
$(0.44 ) |
$(0.69 ) |
| Year Ended June 30, 2023 |
20.71 |
0.27 |
2.59 |
2.86 |
(0.27 ) |
(1.40 ) |
(1.67 ) |
| Year Ended June 30, 2022 |
25.19 |
0.23 |
(3.56 ) |
(3.33 ) |
(0.68 ) |
(0.47 ) |
(1.15 ) |
| Year Ended June 30, 2021 |
19.50 |
0.16 |
7.08 |
7.24 |
(0.22 ) |
(1.33 ) |
(1.55 ) |
| Year Ended June 30, 2020 |
20.15 |
0.24 |
0.73 |
0.97 |
(0.23 ) |
(1.39 ) |
(1.62 ) |
| Year Ended June 30, 2019 |
20.80 |
0.27 |
0.55 |
0.82 |
(0.46 ) |
(1.01 ) |
(1.47 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
19.63 |
0.16 |
1.08 |
1.24 |
(0.20 ) |
(0.44 ) |
(0.64 ) |
| Year Ended June 30, 2023 |
18.73 |
0.15 |
2.32 |
2.47 |
(0.17 ) |
(1.40 ) |
(1.57 ) |
| Year Ended June 30, 2022 |
22.94 |
0.09 |
(3.22 ) |
(3.13 ) |
(0.61 ) |
(0.47 ) |
(1.08 ) |
| Year Ended June 30, 2021 |
17.92 |
0.03 |
6.49 |
6.52 |
(0.17 ) |
(1.33 ) |
(1.50 ) |
| Year Ended June 30, 2020 |
18.67 |
0.12 |
0.68 |
0.80 |
(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 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
22.59 |
0.28 |
1.24 |
1.52 |
(0.28 ) |
(0.44 ) |
(0.72 ) |
| Year Ended June 30, 2023 |
21.30 |
0.33 |
2.67 |
3.00 |
(0.31 ) |
(1.40 ) |
(1.71 ) |
| Year Ended June 30, 2022 |
25.87 |
0.29 |
(3.66 ) |
(3.37 ) |
(0.73 ) |
(0.47 ) |
(1.20 ) |
| Year Ended June 30, 2021 |
19.99 |
0.22 |
7.26 |
7.48 |
(0.27 ) |
(1.33 ) |
(1.60 ) |
| Year Ended June 30, 2020 |
20.62 |
0.28 |
0.76 |
1.04 |
(0.28 ) |
(1.39 ) |
(1.67 ) |
| Year Ended June 30, 2019 |
21.24 |
0.32 |
0.58 |
0.90 |
(0.51 ) |
(1.01 ) |
(1.52 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
22.58 |
0.31 |
1.23 |
1.54 |
(0.30 ) |
(0.44 ) |
(0.74 ) |
| Year Ended June 30, 2023 |
21.29 |
0.39 |
2.66 |
3.05 |
(0.36 ) |
(1.40 ) |
(1.76 ) |
| Year Ended June 30, 2022 |
25.86 |
0.35 |
(3.66 ) |
(3.31 ) |
(0.79 ) |
(0.47 ) |
(1.26 ) |
| Year Ended June 30, 2021 |
19.98 |
0.28 |
7.25 |
7.53 |
(0.32 ) |
(1.33 ) |
(1.65 ) |
| Year Ended June 30, 2020 |
20.61 |
0.33 |
0.75 |
1.08 |
(0.32 ) |
(1.39 ) |
(1.71 ) |
| Year Ended June 30, 2019 |
21.23 |
0.36 |
0.57 |
0.93 |
(0.54 ) |
(1.01 ) |
(1.55 ) |
| |
|
| (a) |
Annualized for periods less than one year, unless otherwise noted. |
| (b) |
Net investment income (loss) is affected by the 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) |
Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (g) |
Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| |
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) |
Expenses without
waivers and reimbursements(g) |
Portfolio turnover
rate(d)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $22.66 |
6.68 % |
$3,932,662 |
0.55 % |
2.31 % |
0.58 % |
2 % |
| 21.90 |
14.63 |
3,677,684 |
0.55 |
1.31 |
0.58 |
3 |
| 20.71 |
(14.03 ) |
3,195,974 |
0.55 |
0.93 |
0.58 |
1 |
| 25.19 |
38.24 |
3,494,958 |
0.55 |
0.70 |
0.59 |
2 |
| 19.50 |
4.69 |
2,330,222 |
0.54 |
1.23 |
0.59 |
21 |
| 20.15 |
4.89 |
2,129,765 |
0.52 |
1.33 |
0.62 |
7 |
| |
|
|
|
|
|
|
| 20.23 |
6.38 |
147,740 |
1.08 |
1.66 |
1.08 |
2 |
| 19.63 |
14.07 |
156,403 |
1.08 |
0.77 |
1.08 |
3 |
| 18.73 |
(14.49 ) |
154,615 |
1.08 |
0.39 |
1.08 |
1 |
| 22.94 |
37.52 |
193,877 |
1.08 |
0.15 |
1.08 |
2 |
| 17.92 |
4.09 |
170,927 |
1.08 |
0.67 |
1.09 |
21 |
| 18.67 |
4.31 |
191,971 |
1.09 |
0.77 |
1.12 |
7 |
| |
|
|
|
|
|
|
| 23.39 |
6.77 |
578,868 |
0.32 |
2.52 |
0.32 |
2 |
| 22.59 |
14.95 |
554,576 |
0.32 |
1.53 |
0.32 |
3 |
| 21.30 |
(13.82 ) |
494,526 |
0.32 |
1.15 |
0.32 |
1 |
| 25.87 |
38.55 |
547,092 |
0.31 |
0.94 |
0.32 |
2 |
| 19.99 |
4.92 |
375,434 |
0.29 |
1.41 |
0.33 |
21 |
| 20.62 |
5.18 |
454,039 |
0.27 |
1.59 |
0.36 |
7 |
| |
|
|
|
|
|
|
| 23.38 |
6.90 |
102,949 |
0.07 |
2.79 |
0.07 |
2 |
| 22.58 |
15.23 |
91,443 |
0.08 |
1.82 |
0.08 |
3 |
| 21.29 |
(13.62 ) |
25,806 |
0.08 |
1.40 |
0.09 |
1 |
| 25.86 |
38.86 |
26,868 |
0.09 |
1.17 |
0.09 |
2 |
| 19.98 |
5.13 |
13,768 |
0.10 |
1.67 |
0.10 |
21 |
| 20.61 |
5.35 |
10,299 |
0.11 |
1.77 |
0.12 |
7 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
31 |
FINANCIAL
HIGHLIGHTS
FOR THE PERIODS INDICATED
| |
Per
share operating performance | ||||||
| |
|
Investment
operations |
Distributions | ||||
| |
Net asset
value,
beginning
of period |
Net
investment
income
(loss)(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, 2023 (Unaudited) |
$17.36 |
$0.23 |
$0.80 |
$1.03 |
$(0.23 ) |
$(0.24 ) |
$(0.47 ) |
| Year Ended June 30, 2023 |
16.81 |
0.30 |
1.47 |
1.77 |
(0.29 ) |
(0.93 ) |
(1.22 ) |
| Year Ended June 30, 2022 |
20.06 |
0.22 |
(2.62 ) |
(2.40 ) |
(0.50 ) |
(0.35 ) |
(0.85 ) |
| Year Ended June 30, 2021 |
16.59 |
0.19 |
4.57 |
4.76 |
(0.24 ) |
(1.05 ) |
(1.29 ) |
| Year Ended June 30, 2020 |
16.94 |
0.26 |
0.61 |
0.87 |
(0.25 ) |
(0.97 ) |
(1.22 ) |
| Year Ended June 30, 2019 |
17.41 |
0.28 |
0.52 |
0.80 |
(0.40 ) |
(0.87 ) |
(1.27 ) |
| Class C |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.67 |
0.16 |
0.78 |
0.94 |
(0.18 ) |
(0.24 ) |
(0.42 ) |
| Year Ended June 30, 2023 |
16.18 |
0.20 |
1.43 |
1.63 |
(0.21 ) |
(0.93 ) |
(1.14 ) |
| Year Ended June 30, 2022 |
19.34 |
0.12 |
(2.53 ) |
(2.41 ) |
(0.40 ) |
(0.35 ) |
(0.75 ) |
| Year Ended June 30, 2021 |
16.04 |
0.09 |
4.40 |
4.49 |
(0.14 ) |
(1.05 ) |
(1.19 ) |
| Year Ended June 30, 2020 |
16.41 |
0.16 |
0.61 |
0.77 |
(0.17 ) |
(0.97 ) |
(1.14 ) |
| Year Ended June 30, 2019 |
16.92 |
0.18 |
0.49 |
0.67 |
(0.31 ) |
(0.87 ) |
(1.18 ) |
| Class I |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.97 |
0.24 |
0.78 |
1.02 |
(0.25 ) |
(0.24 ) |
(0.49 ) |
| Year Ended June 30, 2023 |
16.45 |
0.33 |
1.45 |
1.78 |
(0.33 ) |
(0.93 ) |
(1.26 ) |
| Year Ended June 30, 2022 |
19.65 |
0.27 |
(2.57 ) |
(2.30 ) |
(0.55 ) |
(0.35 ) |
(0.90 ) |
| Year Ended June 30, 2021 |
16.28 |
0.23 |
4.47 |
4.70 |
(0.28 ) |
(1.05 ) |
(1.33 ) |
| Year Ended June 30, 2020 |
16.64 |
0.29 |
0.61 |
0.90 |
(0.29 ) |
(0.97 ) |
(1.26 ) |
| Year Ended June 30, 2019 |
17.14 |
0.32 |
0.50 |
0.82 |
(0.45 ) |
(0.87 ) |
(1.32 ) |
| Class R6 |
|
|
|
|
|
|
|
| Six Months Ended December 31, 2023 (Unaudited) |
16.97 |
0.29 |
0.75 |
1.04 |
(0.27 ) |
(0.24 ) |
(0.51 ) |
| Year Ended June 30, 2023 |
16.45 |
0.38 |
1.44 |
1.82 |
(0.37 ) |
(0.93 ) |
(1.30 ) |
| Year Ended June 30, 2022 |
19.65 |
0.31 |
(2.57 ) |
(2.26 ) |
(0.59 ) |
(0.35 ) |
(0.94 ) |
| Year Ended June 30, 2021 |
16.27 |
0.28 |
4.47 |
4.75 |
(0.32 ) |
(1.05 ) |
(1.37 ) |
| Year Ended June 30, 2020 |
16.64 |
0.33 |
0.60 |
0.93 |
(0.33 ) |
(0.97 ) |
(1.30 ) |
| Year Ended June 30, 2019 |
17.13 |
0.26 |
0.59 |
0.85 |
(0.47 ) |
(0.87 ) |
(1.34 ) |
| |
|
| (a) |
Annualized for periods less than one year, unless otherwise noted. |
| (b) |
Net investment income (loss) is affected by the 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) |
Includes interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (g) |
Does not include expenses of Underlying Funds. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| |
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) |
Expenses without
waivers and reimbursements(g) |
Portfolio turnover
rate(d)
|
| |
|
|
|
|
|
|
| |
|
|
|
|
|
|
| $17.92 |
5.99 % |
$3,848,005 |
0.55 % |
2.64 % |
0.58 % |
2 % |
| 17.36 |
11.14 |
3,621,965 |
0.55 |
1.78 |
0.58 |
8 |
| 16.81 |
(12.60 ) |
3,302,595 |
0.55 |
1.16 |
0.58 |
4 |
| 20.06 |
29.49 |
3,595,109 |
0.55 |
1.03 |
0.58 |
4 |
| 16.59 |
5.14 |
2,593,685 |
0.54 |
1.55 |
0.58 |
27 |
| 16.94 |
5.45 |
2,430,409 |
0.52 |
1.67 |
0.61 |
12 |
| |
|
|
|
|
|
|
| 17.19 |
5.71 |
102,828 |
1.07 |
1.88 |
1.08 |
2 |
| 16.67 |
10.62 |
127,954 |
1.07 |
1.23 |
1.07 |
8 |
| 16.18 |
(13.06 ) |
144,027 |
1.07 |
0.61 |
1.08 |
4 |
| 19.34 |
28.77 |
199,275 |
1.07 |
0.49 |
1.07 |
4 |
| 16.04 |
4.62 |
203,007 |
1.07 |
1.00 |
1.08 |
27 |
| 16.41 |
4.78 |
237,376 |
1.09 |
1.11 |
1.11 |
12 |
| |
|
|
|
|
|
|
| 17.50 |
6.07 |
278,091 |
0.32 |
2.87 |
0.32 |
2 |
| 16.97 |
11.47 |
264,025 |
0.32 |
1.99 |
0.32 |
8 |
| 16.45 |
(12.40 ) |
263,812 |
0.32 |
1.39 |
0.32 |
4 |
| 19.65 |
29.74 |
313,988 |
0.31 |
1.25 |
0.32 |
4 |
| 16.28 |
5.45 |
210,480 |
0.29 |
1.79 |
0.33 |
27 |
| 16.64 |
5.62 |
224,050 |
0.27 |
1.93 |
0.36 |
12 |
| |
|
|
|
|
|
|
| 17.50 |
6.21 |
55,681 |
0.07 |
3.43 |
0.07 |
2 |
| 16.97 |
11.76 |
28,107 |
0.07 |
2.31 |
0.07 |
8 |
| 16.45 |
(12.17 ) |
33,009 |
0.07 |
1.62 |
0.07 |
4 |
| 19.65 |
30.11 |
36,164 |
0.07 |
1.50 |
0.07 |
4 |
| 16.27 |
5.62 |
25,466 |
0.06 |
2.02 |
0.07 |
27 |
| 16.64 |
5.85 |
13,949 |
0.08 |
1.60 |
0.09 |
12 |
SEE NOTES TO FINANCIAL STATEMENTS.
| December 31, 2023 |
J.P. Morgan Investor Funds |
33 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited)
(Dollar values in thousands)
1. Organization
JPMorgan
Trust II (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 and Class R6 |
Diversified |
| JPMorgan Investor Conservative Growth Fund |
Class A, Class C, Class I and Class R6 |
Diversified |
| JPMorgan Investor Growth Fund |
Class A, Class C, Class I and Class R6 |
Diversified |
| JPMorgan Investor Growth & Income Fund |
Class A, Class C, Class I and Class R6 |
Diversified |
The investment objective of 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 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 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 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 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 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 eight years. All
classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase
& Co. (“JPMorgan”), acts as adviser (the “Adviser”) and administrator (the “Administrator”) to the Funds.
2. Significant
Accounting Policies
The following is a summary of significant accounting policies followed by the Funds
in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting
guidance of the Financial Accounting Standards Board (“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.
Under Section 2(a)(41) of the 1940 Act, the Board is required to determine fair value for securities that do not
have readily available market quotations. Under SEC Rule 2a-5 (Good Faith Determinations of Fair Value), the Board may designate the performance of these fair valuation
determinations to a valuation designee. The Board has designated the Adviser as the “Valuation Designee” to perform fair valuation determinations for the Funds on behalf of the Board subject to appropriate oversight by the Board. The Adviser, as Valuation Designee, leverages the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to help oversee and carry out the policies for the valuation of investments held in the Funds. The Adviser, as Valuation Designee, remains responsible for the valuation determinations.
| 34 |
J.P. Morgan Investor Funds |
December 31, 2023
|
This oversight by the AVC 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, excluding exchange-traded funds (“ETFs”) (“Underlying Funds”), are valued at each Underlying Fund’s net asset value ("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"):
| Investor Balanced
Fund |
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$5,283,982 |
$— |
$— |
$5,283,982 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 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) |
$3,979,988 |
$— |
$— |
$3,979,988 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| Investor Growth Fund
|
|
|
|
|
| |
Level 1
Quoted prices |
Level 2
Other significant
observable inputs |
Level 3
Significant
unobservable inputs |
Total |
| Total Investments in Securities (a) |
$4,766,024 |
$— |
$— |
$4,766,024 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| 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) |
$4,287,956 |
$— |
$— |
$4,287,956 |
| |
|
| (a) |
Please refer to the SOI for specifics of portfolio holdings. |
| December 31, 2023 |
J.P. Morgan Investor Funds |
35 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or
contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the
“Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and
could adversely affect the NAVs of the Funds.
As of December 31, 2023, the Funds had no investments in restricted securities including securities sold to the Funds
under Rule 144A and/or Regulation S under the Securities Act.
C. Investment Transactions with Affiliates — The Funds invested in Underlying Funds and ETFs 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. The Underlying Funds’ and ETFs' distributions may be reinvested into such Underlying Funds and ETFs. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
| Investor Balanced
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Core Bond Fund Class R6 Shares (a) |
$1,171,611 |
$68,024 |
$39,363 |
$(9,606 ) |
$22,595 |
$1,213,261 |
117,678 |
$23,173 |
$— |
| JPMorgan Core Plus Bond Fund Class R6 Shares (a) |
583,747 |
27,029 |
16,313 |
(4,249 ) |
11,186 |
601,400 |
82,837 |
12,801 |
— |
| JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) |
45,667 |
1,413 |
— |
— |
1,685 |
48,765 |
7,929 |
1,414 |
— |
| JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) |
113,095 |
1,791 |
5,079 |
(1,353 ) |
340 |
108,794 |
3,666 |
1,790 |
— |
| JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) |
80,071 |
2,433 |
1,061 |
(243 ) |
361 |
81,561 |
5,259 |
2,432 |
— |
| JPMorgan Equity Income Fund Class R6 Shares (a) |
151,161 |
5,445 |
1,024 |
(45 ) |
5,006 |
160,543 |
6,986 |
1,883 |
1,123 |
| JPMorgan Europe Dynamic Fund Class R6 Shares (a) |
83,579 |
2,739 |
4,712 |
740 |
900 |
83,246 |
2,730 |
2,740 |
— |
| JPMorgan High Yield Fund Class R6 Shares (a) |
146,798 |
4,823 |
12,079 |
(2,075 ) |
7,405 |
144,872 |
22,531 |
4,823 |
— |
| JPMorgan Income Fund Class R6 Shares (a) |
269,958 |
7,243 |
12,410 |
(2,301 ) |
8,616 |
271,106 |
32,468 |
7,243 |
— |
| JPMorgan International Equity Fund Class R6 Shares (a) |
70,961 |
1,699 |
1,591 |
313 |
1,217 |
72,599 |
3,837 |
1,699 |
— |
| JPMorgan International Research Enhanced Equity ETF (a) |
288,456 |
3,883 |
8,459 |
1,056 |
6,056 |
290,992 |
4,980 |
7,963 |
— |
| JPMorgan Large Cap Growth Fund Class R6 Shares (a) |
298,781 |
2,355 |
38,472 |
4,092 |
20,450 |
287,206 |
4,550 |
892 |
— |
| JPMorgan Large Cap Value Fund Class R6 Shares (a) |
161,530 |
10,109 |
11,966 |
387 |
2,709 |
162,769 |
8,607 |
1,718 |
5,951 |
| JPMorgan Limited Duration Bond ETF (a) |
— |
156,276 |
9,973 |
(368 ) |
4,956 |
150,891 |
2,982 |
2,804 |
— |
| JPMorgan Limited Duration Bond Fund Class R6 Shares (a) |
184,178 |
640 |
182,276 |
(756 ) |
(1,786 ) |
— |
— |
640 |
— |
| JPMorgan Market Expansion Enhanced Equity ETF (a) |
174,690 |
— |
2,664 |
226 |
12,151 |
184,403 |
3,433 |
2,299 |
— |
| JPMorgan Mid Cap Growth Fund Class R6 Shares (a) * |
77,060 |
— |
6,233 |
(1,479 ) |
6,459 |
75,807 |
1,574 |
— |
— |
| JPMorgan Realty Income ETF (a) |
15,407 |
— |
15,684 |
(2,255 ) |
2,532 |
— |
— |
— |
— |
| JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) |
76,445 |
1,345 |
3,415 |
(399 ) |
2,189 |
76,165 |
8,333 |
1,345 |
— |
| JPMorgan Small Cap Equity Fund Class R6 Shares (a) |
26,669 |
1,139 |
— |
— |
430 |
28,238 |
521 |
286 |
852 |
| JPMorgan Small Cap Value Fund Class R6 Shares (a) |
49,068 |
688 |
— |
— |
4,266 |
54,022 |
2,004 |
617 |
71 |
| JPMorgan U.S. Equity Fund Class R6 Shares (a) |
465,590 |
10,216 |
38,957 |
13,215 |
18,727 |
468,791 |
21,927 |
2,680 |
5,097 |
| 36 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| Investor Balanced Fund (continued)
| |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) |
$180,172 |
$1,987 |
$24,624 |
$2,832 |
$12,775 |
$173,142 |
2,592 |
$906 |
$1,083 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
58,666 |
191,782 |
177,884 |
— |
— |
72,564 |
72,564 |
1,520 |
— |
| JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) |
260,265 |
4,125 |
18,753 |
2,280 |
17,022 |
264,939 |
7,180 |
1,847 |
327 |
| JPMorgan Unconstrained Debt Fund Class R6 Shares (a) |
41,258 |
764 |
— |
— |
1,161 |
43,183 |
4,456 |
765 |
— |
| JPMorgan Value Advantage Fund Class R6 Shares (a) |
159,907 |
11,674 |
7,790
|
(123
) |
1,055
|
164,723 |
4,644 |
3,044
|
8,629
|
| Total |
$5,234,790 |
$519,622 |
$640,782 |
$(111 ) |
$170,463 |
$5,283,982 |
|
$89,324 |
$23,133 |
| |
|
| (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, 2023. |
| * |
Non-income producing security. |
| Investor Conservative Growth Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Core Bond Fund Class R6 Shares (a) |
$1,290,115 |
$103,288 |
$79,700 |
$(19,053 ) |
$32,562 |
$1,327,212 |
128,731 |
$25,758 |
$— |
| JPMorgan Core Plus Bond Fund Class R6 Shares (a) |
572,357 |
44,345 |
32,091 |
(8,482 ) |
14,960 |
591,089 |
81,417 |
12,801 |
— |
| JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) |
39,350 |
1,207 |
1,919 |
(722 ) |
2,119 |
40,035 |
6,510 |
1,208 |
— |
| JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) |
60,185 |
914 |
4,921 |
(390 ) |
(309 ) |
55,479 |
1,869 |
913 |
— |
| JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) |
47,186 |
1,308 |
4,537 |
(817 ) |
720 |
43,860 |
2,828 |
1,308 |
— |
| JPMorgan Equity Income Fund Class R6 Shares (a) |
89,410 |
1,712 |
5,061 |
126 |
2,554 |
88,741 |
3,862 |
1,078 |
635 |
| JPMorgan Europe Dynamic Fund Class R6 Shares (a) |
30,559 |
912 |
4,190 |
577 |
(141 ) |
27,717 |
909 |
912 |
— |
| JPMorgan Government Bond Fund Class R6 Shares (a) |
43,458 |
612 |
744 |
(201 ) |
628 |
43,753 |
4,586 |
612 |
— |
| JPMorgan High Yield Fund Class R6 Shares (a) |
117,739 |
3,789 |
11,650 |
(1,982 ) |
6,219 |
114,115 |
17,747 |
3,789 |
— |
| JPMorgan Income Fund Class R6 Shares (a) |
266,421 |
6,964 |
21,969 |
(3,884 ) |
9,840 |
257,372 |
30,823 |
6,964 |
— |
| JPMorgan International Equity Fund Class R6 Shares (a) |
34,619 |
3,903 |
— |
— |
1,111 |
39,633 |
2,095 |
927 |
— |
| JPMorgan International Research Enhanced Equity ETF (a) |
157,714 |
— |
5,789 |
642 |
2,938 |
155,505 |
2,661 |
4,255 |
— |
| JPMorgan Large Cap Growth Fund Class R6 Shares (a) |
121,874 |
1,840 |
20,200 |
1,975 |
7,719 |
113,208 |
1,794 |
351 |
— |
| JPMorgan Large Cap Value Fund Class R6 Shares (a) |
56,157 |
4,061 |
7,390 |
365 |
631 |
53,824 |
2,846 |
580 |
1,993 |
| JPMorgan Limited Duration Bond ETF (a) |
— |
235,460 |
17,168 |
(408 ) |
6,964 |
224,848 |
4,444 |
4,194 |
— |
| December 31, 2023 |
J.P. Morgan Investor Funds |
37 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Investor Conservative Growth
Fund (continued) | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Limited Duration Bond Fund Class R6 Shares (a) |
$319,267 |
$962 |
$316,960 |
$(2,627 ) |
$(642 ) |
$— |
— |
$962 |
$—
|
| JPMorgan Market Expansion Enhanced Equity ETF (a) |
54,664 |
— |
3,519 |
340 |
3,322 |
54,807 |
1,020 |
683 |
— |
| JPMorgan Mid Cap Growth Fund Class R6 Shares (a) * |
63,080 |
— |
10,216 |
(1,766 ) |
5,523 |
56,621 |
1,175 |
— |
— |
| JPMorgan Realty Income ETF (a) |
4,589 |
— |
4,652 |
(543 ) |
606 |
— |
— |
— |
— |
| JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) |
80,105 |
1,376 |
6,508 |
(714 ) |
2,524 |
76,783 |
8,401 |
1,375 |
— |
| JPMorgan Small Cap Equity Fund Class R6 Shares (a) |
19,712 |
800 |
1,526 |
(432 ) |
718 |
19,272 |
355 |
195 |
604 |
| JPMorgan Small Cap Value Fund Class R6 Shares (a) |
30,809 |
425 |
1,554 |
(172 ) |
2,835 |
32,343 |
1,200 |
380 |
45 |
| JPMorgan U.S. Equity Fund Class R6 Shares (a) |
161,741 |
5,981 |
20,182 |
7,716 |
3,201 |
158,457 |
7,412 |
907 |
1,725 |
| JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) |
101,082 |
1,068 |
16,392 |
2,167 |
6,156 |
94,081 |
1,408 |
492 |
576 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
40,895 |
320,025 |
267,483 |
— |
— |
93,437 |
93,437 |
1,162 |
— |
| JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) |
92,922 |
2,597 |
12,480 |
2,017 |
4,662 |
89,718 |
2,431 |
626 |
111 |
| JPMorgan Unconstrained Debt Fund Class R6 Shares (a) |
40,946 |
728 |
3,078 |
(360 ) |
1,382 |
39,618 |
4,089 |
728 |
— |
| JPMorgan Value Advantage Fund Class R6 Shares (a) |
90,575 |
6,352
|
8,944
|
(32
) |
509
|
88,460 |
2,494 |
1,635
|
4,717 |
| Total |
$4,027,531 |
$750,629 |
$890,823 |
$(26,660 ) |
$119,311 |
$3,979,988 |
|
$74,795 |
$10,406 |
| |
|
| (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, 2023. |
| * |
Non-income producing security. |
| Investor Growth
Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Core Bond Fund Class R6 Shares (a) |
$378,432 |
$28,629 |
$7,563 |
$(2,050 ) |
$6,454 |
$403,902 |
39,176 |
$7,702 |
$— |
| JPMorgan Core Plus Bond Fund Class R6 Shares (a) |
62,189 |
8,218 |
2,521 |
(690 ) |
1,462 |
68,658 |
9,457 |
1,479 |
— |
| JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) |
14,750 |
457 |
— |
— |
544 |
15,751 |
2,561 |
457 |
— |
| JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) |
119,794 |
1,989 |
— |
— |
(941 ) |
120,842 |
4,071 |
1,988 |
— |
| JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) |
97,648 |
3,005 |
— |
— |
110 |
100,763 |
6,497 |
3,005 |
— |
| JPMorgan Equity Income Fund Class R6 Shares (a) |
144,391 |
2,847 |
— |
— |
4,555 |
151,793 |
6,605 |
1,785 |
1,062 |
| JPMorgan Europe Dynamic Fund Class R6 Shares (a) |
122,706 |
8,895 |
— |
— |
2,510 |
134,111 |
4,399 |
4,414 |
— |
| 38 |
J.P. Morgan Investor Funds |
December 31, 2023
|
| Investor Growth Fund (continued)
| |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan High Yield Fund Class R6 Shares (a) |
$55,142 |
$1,903 |
$— |
$— |
$2,207 |
$59,252 |
9,215 |
$1,904 |
$—
|
| JPMorgan Income Fund Class R6 Shares (a) |
19,533 |
535 |
— |
— |
493 |
20,561 |
2,462 |
536 |
— |
| JPMorgan International Equity Fund Class R6 Shares (a) |
190,756 |
21,508 |
— |
— |
5,118 |
217,382 |
11,489 |
5,086 |
— |
| JPMorgan International Focus Fund Class R6 Shares (a) |
129,417 |
5,231 |
— |
— |
3,461 |
138,109 |
5,614 |
2,931 |
— |
| JPMorgan International Research Enhanced Equity ETF (a) |
358,417 |
8,662 |
— |
— |
8,915 |
375,994 |
6,434 |
10,288 |
— |
| JPMorgan Large Cap Growth Fund Class R6 Shares (a) |
533,605 |
1,726 |
26,121 |
(1,829 ) |
48,535 |
555,916 |
8,807 |
1,726 |
— |
| JPMorgan Large Cap Value Fund Class R6 Shares (a) |
400,023 |
19,825 |
— |
— |
7,060 |
426,908 |
22,576 |
4,462 |
15,362 |
| JPMorgan Market Expansion Enhanced Equity ETF (a) |
222,014 |
— |
— |
— |
15,712 |
237,726 |
4,426 |
2,964 |
— |
| JPMorgan Mid Cap Growth Fund Class R6 Shares (a) * |
86,652 |
2,119 |
— |
— |
6,501 |
95,272 |
1,978 |
— |
— |
| JPMorgan Realty Income ETF (a) |
16,564 |
— |
16,799 |
(2,919 ) |
3,154 |
— |
— |
— |
— |
| JPMorgan Small Cap Equity Fund Class R6 Shares (a) |
18,474 |
788 |
— |
— |
298 |
19,560 |
361 |
198 |
591 |
| JPMorgan Small Cap Value Fund Class R6 Shares (a) |
80,465 |
3,263 |
— |
— |
7,363 |
91,091 |
3,379 |
1,024 |
120 |
| JPMorgan U.S. Equity Fund Class R6 Shares (a) |
632,640 |
11,158 |
4,361 |
(437 ) |
45,778 |
684,778 |
32,029 |
3,828 |
7,330 |
| JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) |
230,769 |
2,822 |
12,976 |
(353 ) |
22,353 |
242,615 |
3,632 |
1,269 |
1,552 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
80,034 |
123,332 |
125,463 |
— |
— |
77,903 |
77,903 |
1,658 |
— |
| JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) |
345,906 |
3,023 |
— |
— |
27,028 |
375,957 |
10,189 |
2,562 |
461 |
| JPMorgan Value Advantage Fund Class R6 Shares (a) |
139,889 |
10,614 |
— |
— |
677
|
151,180 |
4,262 |
2,794
|
7,820 |
| Total |
$4,480,210 |
$270,549 |
$195,804 |
$(8,278 ) |
$219,347 |
$4,766,024 |
|
$64,060 |
$34,298 |
| |
|
| (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, 2023. |
| * |
Non-income producing security. |
| Investor Growth & Income Fund | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Core Bond Fund Class R6 Shares (a) |
$657,572 |
$49,628 |
$7,665 |
$(2,042 ) |
$10,415 |
$707,908 |
68,662 |
$13,295 |
$— |
| JPMorgan Core Plus Bond Fund Class R6 Shares (a) |
280,795 |
13,590 |
2,299 |
(629 ) |
4,318 |
295,775 |
40,740 |
6,244 |
— |
| JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) |
15,925 |
493 |
— |
— |
587 |
17,005 |
2,765 |
493 |
— |
| December 31, 2023 |
J.P. Morgan Investor Funds |
39 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| Investor Growth & Income
Fund (continued) | |||||||||
| For the six months ended December 31, 2023 | |||||||||
| Security Description |
Value at
June 30,
2023 |
Purchases at
Cost |
Proceeds from
Sales |
Net Realized
Gain (Loss) |
Change in
Unrealized
Appreciation/
(Depreciation) |
Value at
December 31,
2023 |
Shares at
December 31,
2023 |
Dividend
Income |
Capital Gain Distributions |
| JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) |
$98,389 |
$1,634 |
$— |
$— |
$(773 ) |
$99,250 |
3,344 |
$1,633 |
$—
|
| JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) |
75,396 |
2,320 |
— |
— |
85 |
77,801 |
5,016 |
2,320 |
— |
| JPMorgan Equity Income Fund Class R6 Shares (a) |
128,612 |
2,536 |
— |
— |
4,057 |
135,205 |
5,884 |
1,590 |
946 |
| JPMorgan Europe Dynamic Fund Class R6 Shares (a) |
78,969 |
2,739 |
— |
— |
1,495 |
83,203 |
2,729 |
2,739 |
— |
| JPMorgan High Yield Fund Class R6 Shares (a) |
99,210 |
3,426 |
— |
— |
3,970 |
106,606 |
16,580 |
3,426 |
— |
| JPMorgan Income Fund Class R6 Shares (a) |
162,480 |
4,455 |
— |
— |
4,097 |
171,032 |
20,483 |
4,455 |
— |
| JPMorgan International Equity Fund Class R6 Shares (a) |
90,884 |
6,278 |
— |
— |
2,351 |
99,513 |
5,260 |
2,328 |
— |
| JPMorgan International Focus Fund Class R6 Shares (a) |
59,784 |
1,330 |
— |
— |
1,583 |
62,697 |
2,548 |
1,330 |
— |
| JPMorgan International Research Enhanced Equity ETF (a) |
230,645 |
6,301 |
— |
— |
5,756 |
242,702 |
4,153 |
6,641 |
— |
| JPMorgan Large Cap Growth Fund Class R6 Shares (a) |
411,056 |
1,311 |
26,221 |
(1,501 ) |
37,456 |
422,101 |
6,687 |
1,311 |
— |
| JPMorgan Large Cap Value Fund Class R6 Shares (a) |
234,147 |
11,604 |
— |
— |
4,133 |
249,884 |
13,214 |
2,612 |
8,993 |
| JPMorgan Limited Duration Bond ETF (a) |
— |
42,426 |
— |
— |
(793 ) |
41,633 |
823 |
761 |
— |
| JPMorgan Limited Duration Bond Fund Class R6 Shares (a) |
48,393 |
165 |
49,926 |
(297 ) |
1,665 |
— |
— |
165 |
— |
| JPMorgan Market Expansion Enhanced Equity ETF (a) |
161,171 |
— |
— |
— |
11,406 |
172,577 |
3,213 |
2,152 |
— |
| JPMorgan Mid Cap Growth Fund Class R6 Shares (a) * |
57,126 |
3,950 |
— |
— |
4,600 |
65,676 |
1,364 |
— |
— |
| JPMorgan Realty Income ETF (a) |
11,624 |
— |
11,796 |
(1,788 ) |
1,960 |
— |
— |
— |
— |
| JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) |
47,780 |
813 |
7,665 |
(865 ) |
1,820 |
41,883 |
4,583 |
813 |
— |
| JPMorgan Small Cap Equity Fund Class R6 Shares (a) |
19,652 |
7,032 |
— |
— |
787 |
27,471 |
507 |
279 |
829 |
| JPMorgan Small Cap Value Fund Class R6 Shares (a) |
58,013 |
6,382 |
— |
— |
5,792 |
70,187 |
2,603 |
761 |
92 |
| JPMorgan U.S. Equity Fund Class R6 Shares (a) |
431,446 |
11,558 |
9,442 |
307 |
30,812 |
464,681 |
21,735 |
2,589 |
5,019 |
| JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) |
134,701 |
1,576 |
13,122 |
(864 ) |
13,109 |
135,400 |
2,027 |
708 |
868 |
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.30% (a) (b) |
51,543 |
109,367 |
92,589 |
— |
— |
68,321 |
68,321 |
1,352 |
— |
| JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) |
263,077 |
2,257 |
4,833 |
(288 ) |
20,424 |
280,637 |
7,605 |
1,913 |
344 |
| JPMorgan Value Advantage Fund Class R6 Shares (a) |
137,694 |
10,448 |
— |
— |
666
|
148,808 |
4,195 |
2,750
|
7,698
|
| Total |
$4,046,084 |
$303,619 |
$225,558 |
$(7,967 ) |
$171,778 |
$4,287,956 |
|
$64,660 |
$24,789 |
| |
|
| (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, 2023. |
| * |
Non-income producing security. |
| 40 |
J.P. Morgan Investor Funds |
December 31, 2023
|
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. Distributions of net investment income and realized capital gains from the Underlying Funds and ETFs are recorded on the ex-dividend
date.
E. Allocation of Income and Expenses— Expenses directly attributable to a Fund are charged directly to
that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the 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, 2023 are as
follows:
| |
Class A |
Class C |
Class I |
Class R6 |
Total |
| Investor Balanced Fund |
|
|
|
|
|
| Transfer agency fees |
$132 |
$7 |
$7 |
$1 |
$147
|
| Investor Conservative Growth Fund |
|
|
|
|
|
| Transfer agency fees |
71 |
6 |
12 |
— (a) |
89 |
| Investor Growth Fund |
|
|
|
|
|
| Transfer agency fees |
221 |
9 |
14 |
4 |
248 |
| Investor Growth & Income Fund |
|
|
|
|
|
| Transfer agency fees |
165 |
5 |
7 |
— (a) |
177 |
| |
|
| (a) |
Amount rounds to less than one thousand. |
The Funds invested in Underlying Funds and ETFs and, as a result bear a portion of the expenses incurred by these Underlying Funds and ETFs. 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 in the Financial Highlights. Certain expenses of affiliated Underlying Funds and ETFs are waived as described in Note
3.F.
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, 2023, 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 Fund's Federal tax returns for the prior three fiscal years remain 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 quarterly, except for Investor Conservative Growth Fund, for which distributions are generally declared and paid at least 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 the Funds' 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 each Fund. 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.
| December 31, 2023 |
J.P. Morgan Investor Funds |
41 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution
Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund's principal underwriter and promotes and arranges for the
sale of each Fund's shares.
The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C 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 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 |
| |
0.25 % |
0.75 % |
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, 2023, JPMDS retained the following:
| |
Front-End Sales Charge |
CDSC |
| Investor Balanced Fund |
$68 |
$— (a) |
| Investor Conservative Growth Fund |
22 |
— (a) |
| Investor Growth Fund |
124 |
— (a) |
| Investor Growth & Income Fund |
69 |
— (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 equal to a percentage of the average daily net assets as shown in the table below:
| |
Class A |
Class C |
Class I |
| |
0.25 % |
0.25 % |
0.25 % |
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 |
| JPMorgan Investor Balanced Fund |
n/a |
n/a |
n/a |
n/a |
| JPMorgan Investor Conservative Growth Fund |
n/a |
n/a |
n/a |
n/a |
| JPMorgan Investor Growth Fund |
0.55 % |
n/a |
n/a |
n/a |
| JPMorgan Investor Growth & Income Fund |
0.55 |
n/a |
n/a |
n/a |
The expense limitation agreements were in effect for the six months ended December 31, 2023 and the contractual
expense limitation percentages in the table above are in place until at least October 31, 2024.
| 42 |
J.P. Morgan Investor Funds |
December 31, 2023
|
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 and Class I 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 and Class I
Shares. These waivers may be in addition to any waivers required to meet the Funds’ contractual expense limitations, but will not exceed the Funds’ service
fees.
For
the six months ended December 31, 2023, the Funds' service providers waived fees and/or reimbursed expenses for each of the Funds as follows. 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 |
Service
Fees |
Total |
| Investor Balanced Fund |
$4 |
$— |
$4 |
| Investor Conservative Growth Fund |
3 |
— |
3 |
| Investor Growth Fund |
4 |
493 |
497 |
| Investor Growth & Income Fund |
3 |
438 |
441 |
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. None of these parties expect the Funds to repay any such waived fees and/ or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the six months ended December 31, 2023 were as follows:
| |
|
| Investor Balanced Fund |
$33 |
| Investor Conservative Growth Fund |
25 |
| Investor Growth Fund |
38 |
| Investor Growth & Income Fund |
30 |
JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees.
For the six months ended December 31, 2023 the amount of these reimbursements were as
follows:
| |
|
| Investor Balanced Fund |
$1 |
| Investor Conservative Growth Fund |
1 |
| Investor Growth Fund |
1 |
| Investor Growth & Income Fund |
1 |
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.
4. Investment
Transactions
During the six months ended December 31, 2023, purchases and sales of investments (excluding short-term investments) were as follows:
| |
Purchases
(excluding
U.S. Government) |
Sales (excluding U.S. Government) |
| Investor Balanced Fund |
$171,565 |
$306,624 |
| Investor Conservative Growth Fund |
195,143 |
387,880 |
| Investor Growth Fund |
147,217 |
70,340 |
| December 31, 2023 |
J.P. Morgan Investor Funds |
43 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
| |
Purchases
(excluding
U.S. Government) |
Sales
(excluding U.S. Government) |
| Investor Growth & Income Fund |
$151,826 |
$90,542
|
During the six months ended December 31, 2023, 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, 2023 were as follows:
| |
Aggregate
Cost |
Gross
Unrealized
Appreciation |
Gross
Unrealized
Depreciation |
Net Unrealized Appreciation (Depreciation) |
| Investor Balanced Fund |
$4,417,972 |
$1,058,929 |
$192,919 |
$866,010 |
| Investor Conservative Growth Fund |
3,737,972 |
474,995 |
232,979 |
242,016 |
| Investor Growth Fund |
3,590,791 |
1,233,470 |
58,237 |
1,175,233 |
| Investor Growth & Income Fund |
3,374,782 |
1,022,049 |
108,875 |
913,174 |
At June 30, 2023, the Funds did not have any net capital loss carryforwards.
Net capital losses (gains) 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, 2023, the following Funds deferred to July 1, 2023 the following net capital losses (gains) :
of:
| |
Net Capital Losses (Gains) |
| |
Short-Term |
| Investor Conservative Growth Fund |
$990 |
| Investor Growth Fund |
329 |
| Investor Growth & Income Fund |
2,108 |
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 the Trust and may be relied upon by the Funds because the Funds and the series of the Trust 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, or loans outstanding to another fund, during the six
months ended December 31, 2023.
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 October 29, 2024.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the six months ended December 31, 2023.
The Trust, 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 million 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
| 44 |
J.P. Morgan Investor Funds |
December 31, 2023
|
respect to the $25 million 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% (the "Applicable Margin"), plus the greater on the day of the borrowing, of the federal funds effective rate, or the Adjusted Secured Overnight
Financing Rate ("SOFR"). Effective August 8, 2023, the Credit Facility was 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, 2023.
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, 2023, the Funds had individual shareholder and/or omnibus accounts each owning 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 |
64.9 % |
1 |
21.8 % |
| Investor Conservative Growth Fund |
1 |
59.8 |
2 |
30.4 |
| Investor Growth Fund |
1 |
45.8 |
1 |
28.8 |
| Investor Growth & Income Fund |
1 |
50.1 |
1 |
32.5 |
Significant shareholder transactions by these shareholders may impact the Funds' performance and
liquidity.
As of December 31, 2023, 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 Equity ETF |
67.9 % |
| JPMorgan Europe Dynamic Fund |
60.0 |
| JPMorgan Limited Duration Bond ETF |
56.7 |
| JPMorgan U.S. GARP Equity Fund |
53.1 |
| JPMorgan Large Cap Value Fund |
24.7 |
| JPMorgan Emerging Markets Debt Fund |
19.1 |
| JPMorgan International Research Enhanced Equity ETF |
17.0 |
| JPMorgan Small Cap Value Fund |
17.0 |
| JPMorgan Emerging Markets Research Enhanced Equity Fund |
14.8 |
| JPMorgan International Focus Fund |
13.2 |
| JPMorgan U.S. Research Enhanced Equity Fund |
13.1 |
Because of the Funds’ investments in Underlying Funds and ETFs, the Funds indirectly pay a portion of
the expenses incurred by the Underlying Funds and ETFs. 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’ and ETFs’ 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.
The Funds
invest in ETFs. ETFs are pooled investment vehicles whose ownership interests are purchased and sold on a securities exchange. ETFs may be structured as investment companies,
depositary receipts or other pooled investment vehicles and may be passively or actively managed. Passively managed ETFs generally seek to track the performance of a
particular market index, including broad-based market indices, as well as indices relating to particular sectors, markets, regions or industries. Actively managed ETFs do not
seek to track the performance of a particular market index. The price movement of an index-based ETF may not track the underlying index and may result in a loss. In addition,
ETFs may trade at a price below or above their NAV (also known as a discount or premium, respectively).
| December 31, 2023 |
J.P. Morgan Investor Funds |
45 |
NOTES TO
FINANCIAL STATEMENTS
AS OF December 31, 2023 (Unaudited) (continued)
(Dollar values in thousands)
In addition, the Underlying Funds and ETFs 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 and ETFs are disclosed
within their individual financial statements and registration statements, as appropriate.
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.
London Interbank Offered Rate
("LIBOR") was a leading floating rate benchmark used in loans, notes, derivatives and other instruments or investments. As a result of benchmark reforms, publication of most
LIBOR settings has ceased. Some LIBOR settings continue to be published but only on a temporary, synthetic and non-representative basis. Regulated entities have generally
ceased entering into new LIBOR contracts in connection with regulatory guidance or prohibitions. Public and private sector actors have worked to establish alternative
reference rates to be used in place of LIBOR. There is no assurance that 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 which may affect the value, volatility, liquidity or return on certain of the Funds'
loans, notes, derivatives and other instruments or investments comprising some or all of the Funds' investments and result in costs incurred in connection with changing reference rates used for positions, closing out positions and entering into new trades. Certain of the Funds' investments may have transitioned from LIBOR or will transition from LIBOR in the future. The transition from LIBOR to alternative reference rates may result in operational issues for the Funds or their investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on the Fund and its investments.
The Funds
are subject to infectious disease epidemics/pandemics risk. For example, the outbreak of COVID-19 negatively affected economies, markets and individual companies throughout
the world, including those in which the Funds invest. The effects of any future pandemic or other global event to business and market conditions may have a significant
negative impact on the performance of a Fund's investments, increase a Fund's volatility, exacerbate other pre-existing political, social and economic risks to the Funds and
negatively impact broad segments of businesses and populations. In addition, governments, their regulatory agencies, or self-regulatory organizations have taken or may take
actions in response to a pandemic or other global event that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could have a
significant negative impact on a Fund’s investment performance. The ultimate impact of any pandemic or other global event and the extent to which the associated conditions and governmental responses impact a Fund will also depend on future developments, which are highly uncertain, difficult to accurately predict and subject to frequent changes.
| 46 |
J.P. Morgan Investor Funds |
December 31, 2023
|
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, 2023, and continued to hold your shares at the end of the reporting period, December 31, 2023.
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, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Investor Balanced Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
$1,000.00 |
$1,053.50 |
$2.94 |
0.57 % |
| Hypothetical |
1,000.00 |
1,022.27 |
2.90 |
0.57 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,051.20 |
5.52 |
1.07 |
| Hypothetical |
1,000.00 |
1,019.76 |
5.43 |
1.07 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,055.40 |
1.65 |
0.32 |
| Hypothetical |
1,000.00 |
1,023.53 |
1.63 |
0.32 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,056.00 |
0.36 |
0.07 |
| Hypothetical |
1,000.00 |
1,024.79 |
0.36 |
0.07 |
| JPMorgan Investor Conservative Growth Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,044.30 |
2.93 |
0.57 |
| Hypothetical |
1,000.00 |
1,022.27 |
2.90 |
0.57 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,042.70 |
5.49 |
1.07 |
| Hypothetical |
1,000.00 |
1,019.76 |
5.43 |
1.07 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,046.20 |
1.65 |
0.32 |
| Hypothetical |
1,000.00 |
1,023.53 |
1.63 |
0.32 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,047.50 |
0.31 |
0.06 |
| Hypothetical |
1,000.00 |
1,024.84 |
0.31 |
0.06 |
| December 31, 2023 |
J.P. Morgan Investor Funds |
47 |
SCHEDULE
OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| |
Beginning
Account Value
July 1, 2023 |
Ending
Account Value
December 31, 2023 |
Expenses
Paid During
the Period* |
Annualized Expense Ratio |
| JPMorgan Investor Growth Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
$1,000.00 |
$1,066.80 |
$2.86 |
0.55 % |
| Hypothetical |
1,000.00 |
1,022.37 |
2.80 |
0.55 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,063.80 |
5.60 |
1.08 |
| Hypothetical |
1,000.00 |
1,019.71 |
5.48 |
1.08 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,067.70 |
1.66 |
0.32 |
| Hypothetical |
1,000.00 |
1,023.53 |
1.63 |
0.32 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,069.00 |
0.36 |
0.07 |
| Hypothetical |
1,000.00 |
1,024.79 |
0.36 |
0.07 |
| JPMorgan Investor Growth & Income Fund |
|
|
|
|
| Class A |
|
|
|
|
| Actual |
1,000.00 |
1,059.90 |
2.85 |
0.55 |
| Hypothetical |
1,000.00 |
1,022.37 |
2.80 |
0.55 |
| Class C |
|
|
|
|
| Actual |
1,000.00 |
1,057.10 |
5.53 |
1.07 |
| Hypothetical |
1,000.00 |
1,019.76 |
5.43 |
1.07 |
| Class I |
|
|
|
|
| Actual |
1,000.00 |
1,060.70 |
1.66 |
0.32 |
| Hypothetical |
1,000.00 |
1,023.53 |
1.63 |
0.32 |
| Class R6 |
|
|
|
|
| Actual |
1,000.00 |
1,062.10 |
0.36 |
0.07 |
| Hypothetical |
1,000.00 |
1,024.79 |
0.36 |
0.07 |
| |
|
| * |
Expenses are equal to each Class’ respective annualized net expense ratio, multiplied by the average account value over the period, multiplied
by 184/366 (to reflect the one-half year period). |
| 48 |
J.P. Morgan Investor Funds |
December 31, 2023
|
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board
of Trustees (the “Board” or the “Trustees”) has established various standing committees composed of Trustees with diverse backgrounds, to which the Board has assigned specific subject matter responsibilities to further
enhance the effectiveness of the Board’s oversight and decision making. The Board and
its investment committees (Money Market and Alternative Products Committee, Equity Committee, and Fixed Income Committee) met regularly throughout the year and, at each meeting, considered factors that are relevant
to their annual consideration of the continuation of the investment advisory agreements.
The Board also met for the specific purpose of considering investment advisory agreement annual
renewals. The Board held meetings June 20-21, 2023 and August 8-10, 2023, 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 Funds and the other J.P. Morgan Funds overseen by the Board in
which each Fund invests (the “Underlying Funds”). Each investment committee reported to the full Board, which then considered each 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 parties to an Advisory Agreement or “interested persons” (as defined in the Investment Company Act of 1940) of any party to an Advisory Agreement or any of their
affiliates, approved the continuation of each Advisory Agreement on August 10, 2023.
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 J.P. Morgan Investment Management
Inc. (the “Adviser”). This information included 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, at each of their regular meetings throughout the year, the Trustees considered reports on the
performance of certain J.P. Morgan Funds provided by an independent investment consulting firm
(the “independent consultant”). 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. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’
independent consultant also provided additional quantitative and statistical analyses of the Funds and certain Underlying Funds, including risk and performance return assessments as compared to the Funds’
and/or Under
lying
Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Funds, and independent legal counsel
to the Trustees, 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 with independent legal counsel in executive sessions 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. Among other things, the Trustees considered:
• The background and experience of the Adviser’s senior management and investment personnel, including
personnel changes, if any;
• The qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and Underlying Funds, including personnel changes, if any;
• The investment strategy for each Fund, and the infrastructure supporting the portfolio management teams;
• Information about the structure and distribution strategy for each Fund and how it fits within the
Adviser’s other fund offerings within the J.P. Morgan Funds complex;
| December 31, 2023 |
J.P. Morgan Investor Funds |
49 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
• The administration services provided by the Adviser in its role as Administrator;
• Their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Funds and in the
financial industry generally;
• The overall reputation and capabilities of the Adviser and its affiliates;
• The commitment of the Adviser to provide high quality service to the Funds and Underlying Funds, as applicable;
• Their overall confidence in the Adviser’s integrity; and
• The Adviser’s responsiveness to requests for additional information, 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 Funds.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the 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
from 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 and reviewed with the
Board. 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 JPMorgan
Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser
earn fees from the Funds and/or Underlying Funds for providing shareholder and administration 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 (although they are retained by JPMDS in
certain instances). The Trustees also considered the fees earned by JPMorgan Chase Bank,
N.A. (“JPMCB”), an affiliate of the Adviser, for custody, fund accounting and other related services for the Funds and/or Underlying Funds, and the profitability of the arrangements to JPMCB.
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, as well as the Adviser’s use of affiliates to provide other services and the
benefits to such affiliates of doing so. The Trustees also considered the benefit to the Adviser and its affiliates from allocating client assets to the Funds.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from potential 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 certain Funds with contractual expense limitations and fee
waivers (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that certain other Funds that
had achieved scale as asset levels had increased, no longer had Fee Caps in place for some or all
of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain fair and reasonable relative to peer funds. The
| 50 |
J.P. Morgan Investor Funds |
December 31, 2023
|
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 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, for Funds with Fee Caps in place for some or all of their share classes, the relevant
Fund’s shareholders received the benefits of potential economies of scale through the Fee
Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased
assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the
Adviser’s reinvestment 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, to the extent applicable,
institutional separate accounts, collective investment trusts, other registered investment companies and/or private 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 investment companies relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and 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
investment company 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 applicable registered investment company, typically
bears the sub-advisory fee and that many
responsibilities related to the advisory function are typically 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 receive and consider information about each Fund’s performance throughout the year. In
addition, the Trustees received and considered absolute and/or relative performance information
for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe comprised of funds’
selected share classes with the same Broadridge investment classification and objective (the
“Universe”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in each Fund’s
Universe, and noted that Universe quintile rankings were not calculated if the number of funds in
the Universe did not meet a predetermined minimum. The Broadridge 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 for the Funds 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 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, Class I and Class R6 shares was in the second quintile of the Universe for each of the one-, three- and five-year periods ended December 31,
2022. 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 quintile of the Universe for each of the one-,
three- and five-year periods ended December 31, 2022. The Trustees noted that the
performance for the Class I shares was in the second, first and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. The Trustees noted that the
performance for
| December 31, 2023 |
J.P. Morgan Investor Funds |
51 |
BOARD
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
Class R6 shares was in the second, first and first quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. 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 first quintile of the Universe for each of the one-, three- and five-year
periods ended December 31, 2022. The Trustees noted that the performance for Class I shares
was in the second, first and first quintiles of the Universe for the one-, three- and five-year
periods ended December 31, 2022, respectively. The Trustees noted that the performance for
Class R6 shares was in the first quintile of the Universe for each of the one-, three- and
five-year periods ended December 31, 2022. 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, first and second quintiles of the Universe for the one-, three- and five-year periods
ended December 31, 2022, respectively. The Trustees noted that the performance for Class I shares was in the second, first and second quintiles of the Universe for the one-, three- and five-year periods ended
December 31, 2022, respectively. The Trustees noted that the performance for Class R6
shares was in the second, first and second quintiles of the Universe for the one-, three- and five-year periods ended December 31, 2022, respectively. 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 concerning
management fee rates paid by other funds’ selected share classes in the Universe, as well as a subset of funds within the Universe (the “Peer Group”). The Trustees recognized that
Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee
and the administration fee rates. The Trustees also reviewed information about other expenses and
the expense ratios for each Fund and noted that Universe and/or Peer Group quintile 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 for each share class, as
applicable, 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 can be 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
second and third quintiles of the Peer Group and Universe, respectively, and that the actual
total expenses for Class A shares were in the second quintile of both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the third quintile of both the Peer Group and
Universe, and that the actual total expenses for Class I shares were in the second quintile of
both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6 shares
were in the second and first quintiles of the Peer Group and Universe, respectively. After
considering the factors identified above, in light of the information, the Trustees concluded that the advisory fee was fair and reasonable 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 of the Peer Group and Universe, respectively, and that the
actual total expenses for Class A shares were in the second quintile of both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the third quintile of both the Peer Group
and Universe, and that the actual total expenses for Class I shares were in the second and third
quintiles of the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile of both the Peer Group and Universe, and that the actual total
expenses were in the second and first quintiles of the Peer Group and Universe,
respectively. After considering the factors identified above, in light of the information,
the Trustees concluded that the advisory fee was fair and reasonable in light of the services
provided to the Fund and that such fees would be for services
| 52 |
J.P. Morgan Investor Funds |
December 31, 2023
|
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 for Class A shares was in the second and third quintiles of the Peer Group and Universe,
respectively, and that the actual total expenses for Class A shares were in the first and second
quintile of 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 of the Peer Group and Universe, respectively, and that the actual
total expenses for Class I shares were in the first and second quintiles of the Peer Group and
Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third quintile of both the Peer Group and Universe, and that the actual total expenses for Class R6 shares were in the first
quintile of 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 fair and reasonable 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 of the Peer Group and Universe,
respectively, and that the actual total expenses for Class A shares were in the second quintiles
of both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the second and fourth quintiles of the Peer Group and Universe, respectively, and that the actual total expenses
for Class I shares were in the first and third quintiles of the Peer Group and Universe,
respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third and fourth quintiles of the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares
were in the first quintile of 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 fair and reasonable 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, 2023 |
J.P. Morgan Investor Funds |
53 |
TAX
LETTER
(Unaudited)
(Dollar values in thousands)
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, 2023. 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, 2023. The information necessary to
complete your income tax returns for the calendar year ending December 31, 2023 will be provided
under separate cover.
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended June 30, 2023, the following Funds intend to elect to pass through to
shareholders taxes paid to foreign countries. Gross income and foreign tax expenses are as
follows or amounts as finally determined:
| |
Total Foreign
Source Income |
Total Foreign Tax Credit |
| JPMorgan Investor Balanced Fund |
$14,689 |
$1,908 |
| JPMorgan Investor Conservative Growth Fund |
7,399 |
967 |
| JPMorgan Investor Growth Fund |
24,153 |
2,843 |
| JPMorgan Investor Growth & Income Fund |
15,209 |
1,868 |
| 54 |
J.P. Morgan Investor Funds |
December 31, 2023
|
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 as an exhibit to its report on Form N-PORT. The Funds' Form N-PORT reports 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.
Effective January 24, 2023, the SEC adopted rule and form amendments that will result in changes to the design and
delivery of shareholder reports of mutual funds and ETFs, requiring them to transmit concise and visually engaging streamlined annual and semi-annual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semi-annual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.
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.
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., 2023. All rights reserved. December
2023.
SAN-INV-1223
ITEM 2. CODE OF ETHICS.
Not applicable to a semi-annual report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to a semi-annual report.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to a semi-annual report.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to a semi-annual report.
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 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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. 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), exactly as set forth below:
(1) 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.
(2) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period.
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. |
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 | ||
| March 4, 2024 |
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 | ||
| March 4, 2024 | ||
| By: | /s/ Timothy J. Clemens | |
| Timothy J. Clemens | ||
| Treasurer and Principal Financial Officer | ||
| March 4, 2024 | ||